N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip Code)

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

(Name and address of agent for services)

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

Date of fiscal year end: 02/29/20

Date of reporting period: 08/31/19

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2019 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2019

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.

Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.

Shareholder Services at

Grantham, Mayo, Van Otterloo & Co. LLC

40 Rowes Wharf, Boston, Massachusetts 02110

1-617-346-7646 (collect)

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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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 or Form N-PORT (available for filings after March 31, 2019), which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q or Form N-PORT may be reviewed and copied, after paying a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov. 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	3
Schedule of Investments	4
Emerging Country Debt Fund
Investment Concentration Summary	8
Schedule of Investments	9
High Yield Fund
Investment Concentration Summary	20
Schedule of Investments	21
Opportunistic Income Fund
Investment Concentration Summary	25
Schedule of Investments	26
U.S. Treasury Fund
Investment Concentration Summary	35
Schedule of Investments	36
Portfolio, Counterparty and Currency Abbreviations	37
Fund Financial Statements:
Statements of Assets and Liabilities	38
Statements of Operations	42
Statements of Changes in Net Assets	44
Financial Highlights	47
Notes to Financial Statements	53
Board Review of Investment Management Agreements	96
Fund Expenses	104

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		95.7	%
Mutual Funds		4.0
Short-Term Investments		0.3
Other		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.7%
		U.S. Government — 95.7%
	7,188,495	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (a)		7,296,911
	23,938,534	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		24,221,772
	45,715,407	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		47,446,061
	48,867,151	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		50,153,324
	25,128,484	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		26,149,420
	53,758,698	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		61,461,848
	14,035,877	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		15,008,921
	17,771,449	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		19,233,219
	42,742,328	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		52,610,231
		Total U.S. Government		303,581,707
		TOTAL DEBT OBLIGATIONS (COST $290,271,560)		303,581,707
		MUTUAL FUNDS — 4.0%
		United States — 4.0%
		Affiliated Issuers — 4.0%
	2,545,838	GMO U.S. Treasury Fund		12,729,189
		TOTAL MUTUAL FUNDS (COST $12,729,189)		12,729,189
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	949,391	State Street Institutional Treasury Money Market Fund-Premier Class, 2.03% (b)		949,391
		TOTAL SHORT-TERM INVESTMENTS (COST $949,391)		949,391
		TOTAL INVESTMENTS — 100.0% (Cost $303,950,140)		317,260,287
		Other Assets and Liabilities (net) — 0.0%		31,366
		TOTAL NET ASSETS — 100.0%		$317,291,653

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 37.

2 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		73.7	%
Short-Term Investments		25.6
Mutual Funds		15.3
Swap Contracts		0.6
Loan Participations		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		(0.0	)^
Forward Currency Contracts		(0.4	)
Other		(14.9	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		83.9	%
Canada		14.9
Sweden		11.9
New Zealand		11.4
Other Emerging		4.8	¥
Switzerland		2.7
Japan		1.7
United Kingdom		(6.0	)
Australia		(12.2	)
Euro Region		(13.1	)§
		100.0	%

† The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

‡ The table 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%.

3

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 48.1%
		United States — 48.1%
		Asset-Backed Securities — 7.4%
	300,237	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40		307,537
	28,970,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		30,423,370
	2,900,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		3,056,447
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,344,743
	5,360,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,714,216
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		385,115
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33		103,113
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33		5,155,656
		Total Asset-Backed Securities		47,490,197
		U.S. Government — 25.4%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		10,025,201
	45,764,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		58,676,241
	27,733,000	U.S. Treasury Note, 1.75%, due 11/30/21		27,887,915
	22,406,000	U.S. Treasury Note, 2.50%, due 05/15/24		23,507,920
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		28,761,224
	12,515,000	U.S. Treasury Note, 2.25%, due 02/15/27		13,216,035
		Total U.S. Government		162,074,536
		U.S. Government Agency — 15.3%
	25,098,000	Federal National Mortgage Association, TBA, 2.50%, due 09/17/34		25,432,430
	20,312,000	Federal National Mortgage Association, TBA, 3.00%, due 09/12/49		20,706,338
	11,260,000	Federal National Mortgage Association, TBA, 3.50%, due 09/12/49		11,573,169
	14,022,000	Federal National Mortgage Association, TBA, 4.00%, due 09/12/49		14,554,398
	24,255,000	Government National Mortgage Association, TBA, 3.50%, due 09/19/49		25,198,671
		Total U.S. Government Agency		97,465,006
		TOTAL DEBT OBLIGATIONS (COST $291,307,790)		307,029,739

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 44.7%
		United States — 44.7%
		Affiliated Issuers — 29.4%
	1,293,541	GMO Emerging Country Debt Fund, Class IV		35,831,081
	5,179,318	GMO Opportunistic Income Fund, Class VI		138,494,958
	2,739,927	GMO U.S. Treasury Fund		13,699,633
		Total Affiliated Issuers		188,025,672
		Exchange-Traded Fund — 15.3%
	758,862	iShares iBoxx $ Investment Grade Corporate Bond ETF		97,741,426
		TOTAL MUTUAL FUNDS (COST $277,648,762)		285,767,098
		SHORT-TERM INVESTMENTS — 22.7%
		Foreign Government Obligations — 22.5%
JPY	3,561,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/09/19		33,520,583
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/17/19		52,715,386
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/30/19		31,065,645
JPY	1,612,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/28/19		15,176,811
JPY	1,223,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/18/19		11,515,642
				143,994, 067
		Money Market Funds — 0.2%
	1,207,165	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (b)		1,207,165
		TOTAL SHORT-TERM INVESTMENTS (COST $142,671,539)		145,201,232
		TOTAL INVESTMENTS — 115.5% (Cost $711,628,091)		737,998,069
		Other Assets and Liabilities (net) — (15.5%)		(98,790,116	)
		TOTAL NET ASSETS — 100.0%		$639,207,953

4 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
11/06/2019	BOA	AUD	4,820,000	USD	3,331,198		79,122
11/06/2019	GS	AUD	45,366,000	USD	31,095,749		487,093
11/04/2019	BCLY	BRL	3,318,400	USD	800,000		2,020
11/04/2019	MSCI	BRL	5,670,690	USD	1,410,000		46,362
09/04/2019	BOA	CAD	4,301,230	USD	3,230,000		(658	)
09/04/2019	JPM	CHF	18,962,988	USD	19,010,000		(149,372	)
09/17/2019	BOA	CHF	36,068,393	USD	36,594,499		109,784
09/17/2019	JPM	CHF	7,343,279	USD	7,530,000		101,960
10/04/2019	JPM	CHF	18,962,988	USD	19,246,879		34,125
10/11/2019	JPM	CLP	56,528,800	USD	80,000		1,632
10/11/2019	MSCI	CLP	2,752,199,000	USD	3,985,171		169,687
10/11/2019	BOA	COP	15,712,483,500	USD	4,789,525		232,557
09/13/2019	BOA	CZK	13,804,176	USD	600,000		15,178
09/13/2019	CITI	CZK	13,704,402	USD	590,000		9,405
09/13/2019	MSCI	CZK	56,917,612	USD	2,509,322		97,974
09/17/2019	BCLY	GBP	5,300,000	USD	6,698,282		245,568
09/17/2019	JPM	GBP	4,379,000	USD	5,536,795		205,391
09/13/2019	BCLY	HUF	155,990,396	USD	540,000		22,164
09/13/2019	BOA	HUF	850,624,665	USD	3,017,363		193,572
09/13/2019	JPM	HUF	152,842,217	USD	520,000		12,615
09/12/2019	BCLY	INR	61,627,600	USD	860,000		812
09/09/2019	BOA	JPY	283,509,945	USD	2,670,000		404
09/09/2019	JPM	JPY	3,561,000,000	USD	33,060,491		(470,718	)
09/17/2019	MSCI	JPY	5,600,000,000	USD	51,995,769		(766,657	)
09/30/2019	CITI	JPY	3,300,000,000	USD	30,824,376		(299,070	)
10/28/2019	BOA	JPY	1,612,000,000	USD	14,928,276		(304,303	)
11/18/2019	JPM	JPY	1,223,000,000	USD	11,572,360		(46	)
09/10/2019	BCLY	KRW	4,625,064,890	USD	3,899,389		76,881
11/21/2019	BCLY	MXN	11,553,300	USD	570,000		999
09/04/2019	JPM	NOK	186,875,374	USD	20,760,426		252,165
10/08/2019	MSCI	NOK	20,469,156	USD	2,280,000		31,772
09/05/2019	GS	NZD	2,000,000	USD	1,304,280		44,035
09/05/2019	JPM	NZD	12,810,000	USD	8,445,111		373,239
09/05/2019	MSCI	NZD	11,230,000	USD	7,207,247		130,969
10/11/2019	BCLY	PEN	1,068,465	USD	323,601		9,351
10/11/2019	BOA	PEN	1,949,832	USD	590,000		16,528
09/09/2019	JPM	PHP	60,220,670	USD	1,150,817		(4,764	)
09/13/2019	BOA	PLN	6,140,533	USD	1,580,000		37,226
09/13/2019	MSCI	PLN	9,092,058	USD	2,400,842		116,515
10/30/2019	BOA	RON	15,789,640	USD	3,718,359		49,921
10/24/2019	BCLY	RUB	48,182,400	USD	720,000		2,574
10/24/2019	BOA	RUB	66,827,600	USD	1,010,000		14,950
10/03/2019	BCLY	SEK	36,974,030	USD	3,930,000		155,286
11/06/2019	BCLY	SEK	30,470,155	USD	3,210,000		92,546
09/17/2019	BCLY	SGD	2,297,412	USD	1,682,938		27,203
09/17/2019	JPM	SGD	1,313,555	USD	970,000		23,327
09/13/2019	BCLY	THB	19,477,710	USD	630,000		(7,259	)
09/11/2019	BCLY	TWD	123,315,030	USD	3,923,512		(16,265	)
11/06/2019	GS	USD	6,867,423	AUD	10,110,000		(46,158	)
11/04/2019	JPM	USD	1,305,730	BRL	4,977,218		(108,852	)
09/04/2019	BOA	USD	15,180,000	CAD	20,382,850		129,583
09/04/2019	JPM	USD	14,909,274	CAD	19,986,893		102,904
09/04/2019	JPM	USD	19,193,308	CHF	18,962,988		(33,936	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
09/17/2019	BOA	USD	8,370,000	CHF	8,239,638		(35,256	)
10/11/2019	BOA	USD	700,000	COP	2,243,850,000		(49,234	)
09/13/2019	BCLY	USD	900,000	CZK	20,211,759		(43,717	)
09/13/2019	BOA	USD	340,000	CZK	7,649,415		(15,928	)
11/25/2019	CITI	USD	860,627	EUR	770,000		(9,061	)
09/17/2019	BCLY	USD	11,756,675	GBP	9,660,000		4,310
09/17/2019	GS	USD	2,014,407	GBP	1,660,000		6,632
09/17/2019	MSCI	USD	13,615,364	GBP	10,860,000		(393,387	)
11/26/2019	BCLY	USD	2,209,516	IDR	31,931,990,000		11,737
11/26/2019	JPM	USD	520,000	IDR	7,520,760,000		3,159
11/29/2019	BOA	USD	640,000	ILS	2,238,104		(3,533	)
11/29/2019	MSCI	USD	1,558,506	ILS	5,453,211		(7,734	)
09/12/2019	BCLY	USD	490,000	INR	33,841,360		(18,197	)
09/12/2019	JPM	USD	3,354,959	INR	235,087,530		(77,462	)
09/09/2019	GS	USD	6,470,000	JPY	696,915,502		92,319
09/09/2019	JPM	USD	1,375,426	JPY	147,757,784		15,896
09/10/2019	BCLY	USD	980,000	KRW	1,187,466,000		1,413
11/21/2019	BCLY	USD	1,006,199	MXN	20,215,655		(10,576	)
09/04/2019	JPM	USD	21,350,000	NOK	186,875,374		(841,739	)
10/08/2019	MSCI	USD	14,952,923	NOK	127,693,480		(927,721	)
12/04/2019	JPM	USD	13,241,766	NOK	120,222,585		(26,499	)
09/05/2019	BOA	USD	1,178,282	NZD	1,830,000		(25,158	)
09/05/2019	GS	USD	1,680,762	NZD	2,592,000		(47,484	)
09/05/2019	JPM	USD	3,723,669	NZD	5,650,000		(163,476	)
09/05/2019	MSCI	USD	4,748,266	NZD	7,247,000		(181,766	)
09/09/2019	BCLY	USD	630,000	PHP	32,882,220		981
09/13/2019	MSCI	USD	847,468	PLN	3,200,039		(43,476	)
10/24/2019	BOA	USD	3,869,664	RUB	247,335,390		(186,891	)
10/03/2019	BCLY	USD	2,550,000	SEK	24,254,708		(73,814	)
10/03/2019	MSCI	USD	4,610,000	SEK	42,629,125		(257,952	)
11/06/2019	BCLY	USD	29,312,169	SEK	281,360,179		(525,727	)
09/13/2019	BCLY	USD	3,870,137	THB	120,178,472		61,781
09/13/2019	JPM	USD	570,000	THB	17,412,930		(296	)
09/20/2019	BCLY	USD	3,818,673	TRY	23,472,237		181,603
09/11/2019	BCLY	USD	650,000	TWD	20,449,000		3,323
09/11/2019	JPM	USD	590,000	TWD	18,268,170		(6,352	)
09/11/2019	MSCI	USD	650,000	TWD	20,124,845		(7,034	)
10/30/2019	BCLY	USD	2,230,189	ZAR	31,755,978		(151,792	)
10/30/2019	BCLY	ZAR	28,880,183	USD	1,870,000		(20,179	)
10/30/2019	BOA	ZAR	16,180,537	USD	1,050,000		(9,000	)
						$	(2,229,946	)

See accompanying notes to the financial statements. 5

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
52	U.S. Long Bond (CBT)	December 2019		8,593,000		(27,741	)
317	U.S. Treasury Note 2 Yr. (CBT)	December 2019		68,509,149		13,655
94	U.S. Treasury Note 5 Yr. (CBT)	December 2019		11,277,797		(844	)
22	U.S. Treasury Note 10 Yr. (CBT)	December 2019		2,897,812		4,354
165	U.S. Treasury Ultra 10 Yr. (CBT)	December 2019		23,832,187		(45,574	)
12	U.S. Ultra Bond (CBT)	December 2019		2,369,250		(8,136	)
			$	117,479,195	$	(64,286	)

+ 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) ($)
6 Month AUD BBSW	1.11%	AUD	7,370,000		09/18/2029	Semi-Annually		—			11,981			11,981
1.10%	6 Month AUD BBSW	AUD	72,258,000		09/18/2029	Semi-Annually		152,932			(70,331	)		(223,263	)
1.14%	6 Month AUD BBSW	AUD	4,369,000		09/18/2029	Semi-Annually		—			(16,222	)		(16,222	)
1.14%	6 Month AUD BBSW	AUD	64,745,000		09/18/2029	Semi-Annually		(157,474	)		(236,179	)		(78,705	)
6 Month AUD BBSW	1.05%	AUD	9,610,000		09/18/2029	Semi-Annually		—			(20,110	)		(20,110	)
6 Month AUD BBSW	1.08%	AUD	6,920,000		09/18/2029	Semi-Annually		—			(2,293	)		(2,293	)
1.09%	6 Month AUD BBSW	AUD	15,495,600		09/18/2029	Semi-Annually		(2,326	)		(2,953	)		(627	)
3 Month CAD LIBOR	1.68%	CAD	135,980,000		09/17/2029	Semi-Annually		617,336			1,057,875			440,539
3 Month CAD LIBOR	1.62%	CAD	8,420,000		09/17/2029	Semi-Annually		—			32,825			32,825
1.53%	3 Month CAD LIBOR	CAD	5,650,000		09/17/2029	Semi-Annually		—			12,662			12,662
3 Month CAD LIBOR	1.67%	CAD	10,120,000		09/17/2029	Semi-Annually		—			75,159			75,159
3 Month CAD LIBOR	1.58%	CAD	11,465,000		09/17/2029	Semi-Annually		—			10,715			10,715
3 Month CAD LIBOR	1.57%	CAD	11,465,000		09/17/2029	Semi-Annually		—			1,006			1,006
1.63%	3 Month CAD LIBOR	CAD	30,750,000		09/17/2029	Semi-Annually		(16,860	)		(130,726	)		(113,866	)
3 Month CAD LIBOR	1.53%	CAD	3,560,000		09/17/2029	Semi-Annually		—			(7,978	)		(7,978	)
(0.68)%	6 Month CHF LIBOR	CHF	6,073,000		09/18/2029	Semi-Annually		—			53,371			53,371
(0.61)%	6 Month CHF LIBOR	CHF	6,350,000		09/18/2029	Semi-Annually		—			8,636			8,636
(0.60)%	6 Month CHF LIBOR	CHF	360,000		09/18/2029	Semi-Annually		—			12			12
6 Month CHF LIBOR	(0.64)%	CHF	18,726,000		09/18/2029	Semi-Annually		6,479			(80,114	)		(86,593	)
6 Month CHF LIBOR	(0.61)%	CHF	14,110,000		09/18/2029	Semi-Annually		—			(20,436	)		(20,436	)
(0.29)%	6 Month EURIBOR	EUR	5,750,000		09/19/2029	Semi-Annually		—			8,678			8,678
(0.30)%	6 Month EURIBOR	EUR	1,335,000		09/19/2029	Semi-Annually		—			3,458			3,458
(0.31)%	6 Month EURIBOR	EUR	1,995,000		09/19/2029	Semi-Annually		—			6,869			6,869
(0.31)%	6 Month EURIBOR	EUR	1,335,000		09/19/2029	Semi-Annually		—			4,293			4,293
(0.31)%	6 Month EURIBOR	EUR	1,045,000		09/19/2029	Semi-Annually		—			4,133			4,133

6 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (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) ($)
(0.22)%		6 Month EURIBOR	EUR	61,170,000		09/19/2029	Semi-Annually		(229,976	)		(394,809	)		(164,833	)
(0.25)%		6 Month EURIBOR	EUR	4,200,000		09/19/2029	Semi-Annually		—			(12,774	)		(12,774	)
(0.27)%		6 Month EURIBOR	EUR	4,200,000		09/19/2029	Semi-Annually		—			(2,740	)		(2,740	)
(0.24)%		6 Month EURIBOR	EUR	6,060,000		09/19/2029	Semi-Annually		—			(27,393	)		(27,393	)
0.65%		6 Month GBP LIBOR	GBP	40,800,000		09/19/2029	Semi-Annually		(183,623	)		(164,174	)		19,449
6 Month GBP LIBOR		0.66%	GBP	4,030,000		09/19/2029	Semi-Annually		—			21,508			21,508
6 Month GBP LIBOR		0.64%	GBP	4,030,000		09/19/2029	Semi-Annually		—			11,405			11,405
0.60%		6 Month GBP LIBOR	GBP	1,602,000		09/19/2029	Semi-Annually		—			3,212			3,212
0.60%		6 Month GBP LIBOR	GBP	1,602,000		09/19/2029	Semi-Annually		—			3,977			3,977
0.59%		6 Month GBP LIBOR	GBP	2,394,000		09/19/2029	Semi-Annually		—			6,514			6,514
0.58%		6 Month GBP LIBOR	GBP	1,380,000		09/19/2029	Semi-Annually		—			5,732			5,732
0.59%		6 Month GBP LIBOR	GBP	1,380,000		09/19/2029	Semi-Annually		—			4,661			4,661
0.59%		6 Month GBP LIBOR	GBP	1,380,000		09/19/2029	Semi-Annually		—			4,497			4,497
6 Month GBP LIBOR		0.61%	GBP	5,482,000		09/19/2029	Semi-Annually		—			(4,773	)		(4,773	)
3 Month NZD Bank Bill Rate		1.30%	NZD	132,921,000		09/18/2029	Quarterly		145,344			749,604			604,260
3 Month NZD Bank Bill Rate		1.23%	NZD	3,740,000		09/18/2029	Quarterly		—			6,365			6,365
3 Month SEK STIBOR		0.27%	SEK	170,300,000		09/18/2029	Quarterly		(8,486	)		212,969			221,455
3 Month SEK STIBOR		0.30%	SEK	299,935,000		09/18/2029	Quarterly		66,056			455,399			389,343
3 Month SEK STIBOR		0.27%	SEK	105,700,000		09/18/2029	Quarterly		—			125,444			125,444
3 Month SEK STIBOR		0.16%	SEK	62,700,000		09/18/2029	Quarterly		—			2,457			2,457
3 Month SEK STIBOR		0.21%	SEK	72,200,000		09/18/2029	Quarterly		—			41,864			41,864
3 Month SEK STIBOR		0.25%	SEK	35,800,000		09/18/2029	Quarterly		—			37,009			37,009
3 Month SEK STIBOR		0.19%	SEK	104,900,000		09/18/2029	Quarterly		—			41,563			41,563
3 Month USD LIBOR		1.56%	USD	23,031,000		12/19/2029	Quarterly		(36,040	)		398,567			434,607
1.43%		3 Month USD LIBOR	USD	6,820,000		12/19/2029	Quarterly		—			(34,588	)		(34,588	)
1.48%		3 Month USD LIBOR	USD	6,840,000		12/19/2029	Quarterly		—			(68,162	)		(68,162	)
1.41%		3 Month USD LIBOR	USD	9,645,000		12/19/2029	Quarterly		—			(34,846	)		(34,846	)
1.42%		3 Month USD LIBOR	USD	9,645,000		12/19/2029	Quarterly		—			(38,023	)		(38,023	)
1.38%		3 Month USD LIBOR	USD	3,737,000		12/19/2029	Quarterly		—			(1,192	)		(1,192	)
1.38%		3 Month USD LIBOR	USD	3,737,000		12/19/2029	Quarterly		—			(1,017	)		(1,017	)
1.39%		3 Month USD LIBOR	USD	3,736,000		12/19/2029	Quarterly		—			(3,126	)		(3,126	)
								$	353,362		$	2,049,461		$	1,696,099

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 37.

See accompanying notes to the financial statements. 7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		93.7	%
Short-Term Investments		2.5
Loan Participations		1.3
Rights/Warrants		0.4
Loan Assignments		0.2
Swap Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.2	)
Other		2.1
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		15.8	%*
Mexico		12.5
Turkey		8.1
Indonesia		8.0
Russia		5.0
Oman		3.3
Argentina		3.2
Brazil		3.2
Ukraine		3.2
Tunisia		2.9
South Africa		2.5
Philippines		2.4
Saudi Arabia		2.1
Ecuador		2.0
Chile		1.8
Colombia		1.9
Pakistan		1.9
United States		1.9
Venezuela		1.9
China		1.8
Costa Rica		1.8
Egypt		1.8
Dominican Republic		1.7
Israel		1.6
Kazakhstan		1.6
Uruguay		1.5
Ivory Coast		1.2
Sri Lanka		1.2
Bahrain		1.1
Croatia		1.1
		100.0	%

† The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

‡ The table 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.

^ Rounds to 0.0%.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.7%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		41,979,027
		Angola — 0.3%
		Foreign Government Obligations
	12,700,000	Angolan Government International Bond, 144A, 9.38%, due 05/08/48		13,398,500
		Argentina — 2.5%
		Foreign Government Obligations
	5,400,000	Republic of Argentina, 7.50%, due 04/22/26		2,043,900
	23,100,000	Republic of Argentina, 6.88%, due 01/26/27		8,500,800
EUR	12,000,000	Republic of Argentina, 5.25%, due 01/15/28		4,616,009
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		1,917,848
EUR	17,641,371	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		7,597,964
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		15,884,105
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		5,379,762
EUR	109,130,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		42,578,447
EUR	42,850,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		16,482,997
		Total Argentina		105,001,832
		Armenia — 0.1%
		Foreign Government Obligations
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,526,308
		Azerbaijan — 0.5%
		Foreign Government Agency — 0.2%
	7,450,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		8,800,313
		Foreign Government Obligations — 0.3%
	13,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		14,147,971
		Total Azerbaijan		22,948,284
		Bahrain — 0.6%
		Foreign Government Obligations
	22,550,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		26,094,578

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		3,932,406
		Belize — 0.5%
		Foreign Government Obligations
	35,228,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		21,367,984
		Bermuda — 0.1%
		Foreign Government Obligations
	4,300,000	Bermuda Government International Bond, 144A, 4.75%, due 02/15/29		4,923,500
		Brazil — 2.0%
		Corporate Debt — 0.5%
	19,000,000	MV24 Capital BV, 144A, 6.75%, due 06/01/34		19,224,200
		Foreign Government Agency — 0.8%
	31,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		34,670,563
		Foreign Government Obligations — 0.7%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		21,923,857
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		7,273,169
				29,197,026
		Total Brazil		83,091,789
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		4,885,313
		Chile — 1.1%
		Foreign Government Agency — 0.2%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		9,864,250
		Corporate Debt — 0.9%
	4,300,000	Empresa Nacional del Petroleo, 144A, 5.25%, due 11/06/29		4,998,750
	3,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		3,907,688
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97(c)		28,575,400
				37,481,838
		Total Chile		47,346,088
		Colombia — 1.8%
		Foreign Government Agency — 1.4%
	44,011,000	Ecopetrol SA, 7.38%, due 09/18/43		59,167,288

See accompanying notes to the financial statements. 9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.4%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		772,680
	7,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		10,059,562
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (c)		6,080,000
				16,912,242
		Total Colombia		76,079,530
		Congo Republic (Brazzaville) — 1.5%
		Foreign Government Obligations
	72,676,938	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		62,865,551
		Costa Rica — 1.7%
		Foreign Government Agency — 0.1%
	5,500,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		4,566,719
		Foreign Government Obligations — 1.6%
	26,400,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		29,607,286
	36,631,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		37,352,172
				66,959,458
		Total Costa Rica		71,526,177
		Dominican Republic — 1.9%
		Asset-Backed Securities — 0.5%
	17,872,348	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		19,123,412
		Foreign Government Obligations — 1.4%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		21,334,944
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		34,208,123
	5,100,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		5,602,031
				61,145,098
		Total Dominican Republic		80,268,510
		Ecuador — 1.9%
		Foreign Government Obligations
	18,900,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		19,396,125
	34,000,000	Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27		33,617,500
	7,300,000	Ecuador Government International Bond, Reg S, 7.88%, due 01/23/28		6,866,563
	18,100,000	Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29		19,570,625
		Total Ecuador		79,450,813

Par Value†		Description	Value ($)
		Egypt — 1.2%
		Foreign Government Obligations
	24,000,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		24,705,000
	23,400,000	Egypt Government International Bond, 144A, 8.70%, due 03/01/49		25,564,500
		Total Egypt		50,269,500
		El Salvador — 0.8%
		Foreign Government Obligations
	26,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		28,163,516
	5,300,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		5,409,312
		Total El Salvador		33,572,828
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,358,909
		Gabon — 0.4%
		Foreign Government Obligations
	15,300,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		14,774,063
		Ghana — 0.9%
		Foreign Government Agency — 0.4%
	13,514,814	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		14,730,104
		Foreign Government Obligations — 0.5%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		21,765,090
		Total Ghana		36,495,194
		Greece — 0.2%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		7,539,691
		Grenada — 0.2%
		Foreign Government Obligations
	6,992,597	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,642,967
		Guatemala — 0.6%
		Foreign Government Obligations
	16,195,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		20,871,307
	2,900,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		3,466,406
		Total Guatemala		24,337,713

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Honduras — 0.3%
		Foreign Government Obligations
	3,416,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		3,808,840
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		7,221,294
		Total Honduras		11,030,134
		India — 0.1%
		Corporate Debt
	3,700,000	Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29		3,877,057
		Indonesia — 5.4%
		Foreign Government Agency — 1.6%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		18,760,500
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,709,875
	8,800,000	Pertamina Persero PT, 144A, 6.50%, due 11/07/48		11,836,000
	6,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		7,907,125
	14,200,000	Perusahaan Listrik Negara PT, 144A, 6.25%, due 01/25/49		18,673,000
				66,886,500
		Foreign Government Obligations — 3.8%
	12,200,000	Indonesia Government International Bond, 4.75%, due 02/11/29		14,075,750
	24,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48		27,300,000
	12,200,000	Indonesia Government International Bond, 5.35%, due 02/11/49		15,959,125
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		60,085,013
	28,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		35,642,231
	6,000,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		7,558,125
				160,620,244
		Total Indonesia		227,506,744
		Iraq — 0.4%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,676,563
		Israel — 1.1%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		28,008,660
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,375,430
		Total Israel		45,384,090

Par Value†		Description	Value ($)
		Ivory Coast — 0.8%
		Foreign Government Obligations
	4,574,240	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		4,534,215
EUR	24,500,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		27,827,079
		Total Ivory Coast		32,361,294
		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)		4,820,000
		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		21,900,586
		Total Jamaica		26,720,586
		Jordan — 0.5%
		Foreign Government Obligations
	21,450,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		22,308,000
		Kazakhstan — 1.2%
		Foreign Government Agency — 0.5%
	14,700,000	KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48		18,563,344
		Foreign Government Obligations — 0.7%
	21,299,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		31,043,292
		Total Kazakhstan		49,606,636
		Kenya — 0.5%
		Foreign Government Obligations
	21,000,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		21,656,250
		Malaysia — 0.2%
		Foreign Government Agency
	7,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		7,372,750
		Mexico — 8.6%
		Foreign Government Agency — 4.1%
	5,000,000	Petroleos Mexicanos, 6.50%, due 01/23/29		5,046,875
	106,387,000	Petroleos Mexicanos, 6.75%, due 09/21/47		101,067,650
	69,851,000	Petroleos Mexicanos, 6.35%, due 02/12/48		64,210,532
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,698,000
				176,023,057

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — continued
		Foreign Government Obligations — 4.5%
	102,178,000	United Mexican States, 5.75%, due 10/12/2110		120,857,415
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		68,488,823
				189,346,238
		Total Mexico		365,369,295
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		18,029,844
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) (e)		4,930,795
		Nigeria — 0.4%
		Foreign Government Obligations
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		10,343,516
	7,200,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		7,184,250
		Total Nigeria		17,527,766
		Oman — 2.3%
		Foreign Government Obligations
	33,800,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		33,588,750
	24,100,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		22,352,750
	43,700,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		41,091,656
		Total Oman		97,033,156
		Pakistan — 0.9%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		39,809,263
		Panama — 0.9%
		Foreign Government Agency — 0.4%
	12,900,000	Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48		16,435,890
		Foreign Government Obligations — 0.5%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,210,910
	4,000,000	Panama Government International Bond, 4.30%, due 04/29/53		4,911,250
	4,200,000	Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26		4,460,400
				20,582,560
		Total Panama		37,018,450

Par Value†		Description	Value ($)
		Papua New Guinea — 0.0%
		Foreign Government Obligations
	1,400,000	Papua New Guinea Government International Bond, 144A, 8.38%, due 10/04/28		1,470,000
		Paraguay — 0.1%
		Foreign Government Obligations
	3,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		3,756,563
		Peru — 1.1%
		Foreign Government Agency — 1.0%
	11,796,726	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		10,992,897
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		31,573,773
				42,566,670
		Foreign Government Obligations — 0.1%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (c)		5,030,075
		Total Peru		47,596,745
		Philippines — 2.7%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		19,571,261
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		30,872,500
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		62,125,245
		Total Philippines		112,569,006
		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		14,674,688
		Romania — 0.2%
		Foreign Government Obligations
EUR	7,200,000	Romanian Government International Bond, 144A, 4.63%, due 04/03/49		10,133,787
		Russia — 4.1%
		Foreign Government Agency — 1.4%
	30,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		42,056,217
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,352,531
				58,408,748

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Russia — continued
		Foreign Government Obligations — 2.7%
	49,600,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		56,048,000
	48,600,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		57,909,937
				113,957,937
		Total Russia		172,366,685
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,802,487
		Saudi Arabia — 1.5%
		Corporate Debt — 0.1%
	3,700,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		4,066,531
		Foreign Government Obligations — 1.4%
	21,000,000	Saudi Government International Bond, 144A, 5.00%, due 04/17/49		26,250,000
	26,100,000	Saudi Government International Bond, 144A, 5.25%, due 01/16/50		33,734,250
				59,984,250
		Total Saudi Arabia		64,050,781
		Senegal — 0.3%
		Foreign Government Obligations
	14,400,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		13,752,000
		South Africa — 1.8%
		Foreign Government Agency — 0.5%
	9,100,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		9,350,250
	8,500,000	Eskom Holdings SOC, Ltd., 144A, 8.45%, due 08/10/28		9,312,812
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,552,765
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,196,760
				22,412,587
		Foreign Government Obligations — 1.3%
	21,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		22,812,125
	28,300,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		32,120,500
				54,932,625
		Total South Africa		77,345,212

Par Value†		Description	Value ($)
		Sri Lanka — 1.1%
		Foreign Government Obligations
	14,500,000	Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28		13,847,500
	11,100,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		11,100,000
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		9,172,700
	10,844,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		10,162,861
		Total Sri Lanka		44,283,061
		SupraNational — 0.3%
		Corporate Debt
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		12,307,037
		Suriname — 0.3%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		14,418,643
		Trinidad And Tobago — 0.4%
		Foreign Government Agency
	4,792,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,875,860
	11,361,000	Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26		12,864,202
		Total Trinidad And Tobago		17,740,062
		Tunisia — 1.8%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		56,138,028
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		18,761,002
		Total Tunisia		74,899,030
		Turkey — 6.9%
		Corporate Debt — 0.3%
	12,940,000	Akbank Turk AS, Reg S, Variable Rate, 6.80%, due 04/27/28		10,800,856
		Foreign Government Agency — 1.4%
	5,000,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		4,690,625
	10,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		10,539,375
	11,078,000	QNB Finansbank AS, 144A, 6.88%, due 09/07/24		11,327,947
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,550,000

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Turkey — continued
		Foreign Government Agency — continued
	11,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		10,375,121
	19,700,000	Turkiye Vakiflar Bankasi TAO, 144A, 8.13%, due 03/28/24		19,256,750
				60,739,818
		Foreign Government Obligations — 5.2%
	39,600,000	Republic of Turkey, 7.63%, due 04/26/29		40,639,500
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		28,697,603
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		71,093,051
	38,100,000	Republic of Turkey, 6.63%, due 02/17/45		34,504,312
	57,013,000	Republic of Turkey, 5.75%, due 05/11/47		46,715,027
				221,649,493
		Total Turkey		293,190,167
		Ukraine — 2.9%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,572,859
	5,100,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		5,393,250
				13,966,109
		Foreign Government Obligations — 2.6%
EUR	7,500,000	Ukraine Government International Bond, 144A, 6.75%, due 06/20/26		8,984,731
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,271,798
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,371,112
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,999,855
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,185,950
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,996,562
	15,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		15,920,140
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		7,272,554
	35,900,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28		42,317,125
				110,319,827
		Total Ukraine		124,285,936
		United States — 16.5%
		Asset-Backed Securities — 0.4%
	2,789,650	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.44%, due 12/15/35		2,448,965

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,406,085	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.44%, due 12/15/35		1,367,877
	1,979,924	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 2.40%, due 05/15/36		1,889,182
	9,733,238	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 2.30%, due 11/25/36		4,797,882
	9,863,014	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 2.37%, due 11/25/36		4,920,023
	5,303,175	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 2.51%, due 04/25/37		2,871,794
				18,295,723
		Corporate Debt — 0.1%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		548,234
	1,649,828	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 7.32%, due 02/12/23		1,674,575
				2,222,809
		U.S. Government — 16.0%
	30,000,000	U.S. Treasury Bond, 3.00%, due 02/15/47		36,667,969
	79,218,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (g)		78,691,547
	28,500,000	U.S. Treasury Note, 1.63%, due 12/31/19		28,466,601
	40,000,000	U.S. Treasury Note, 1.38%, due 01/31/20		39,906,250
	57,000,000	U.S. Treasury Note, 1.38%, due 02/29/20		56,848,594
	22,000,000	U.S. Treasury Note, 1.38%, due 03/31/20		21,934,687
	35,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		34,825,000
	30,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		30,096,094
	14,000,000	U.S. Treasury Note, 2.50%, due 08/15/49		14,888,672
	95,000,000	U.S. Treasury Note, Variable Rate, USBMMY3M 1.96%, due 01/31/20		94,936,277
	51,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20		51,458,207
	46,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (d) (f)		45,946,507
	143,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20		143,245,270
				677,911,675
		Total United States		698,430,207

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Uruguay — 1.2%
		Foreign Government Obligations
	42,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		52,521,831
		Uzbekistan — 0.2%
		Foreign Government Obligations
	7,200,000	Republic of Uzbekistan Bond, 144A, 5.38%, due 02/20/29		7,924,500
		Venezuela — 2.2%
		Foreign Government Agency — 1.1%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (e)		16,719,750
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (e)		22,000,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (e)		7,745,875
				46,465,625
		Foreign Government Obligations — 1.1%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (e)		1,015,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (e)		2,759,060
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (e)		5,307,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (e)		3,443,750
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (e)		25,054,985
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (e)		9,961,500
				47,541,295
		Total Venezuela		94,006,920
		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		18,703,225
		Foreign Government Obligations — 0.1%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 3.50%, due 03/13/28 (c)		5,592,360
		Total Vietnam		24,295,585
		Zambia — 0.3%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		2,367,000
	14,900,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		9,969,031
		Total Zambia		12,336,031
		TOTAL DEBT OBLIGATIONS (COST $3,996,797,541)		3,962,052,692

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.2%
		Indonesia — 0.0%
	136,023	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.69%, due 12/16/19 (c)		126,012
EUR	377,334	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (b)		392,788
		Total Indonesia		518,800
		Kenya — 0.2%
	7,300,000	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (b)		7,483,636
		TOTAL LOAN ASSIGNMENTS (COST $7,884,573)		8,002,436
		LOAN PARTICIPATIONS — 1.3%
		Angola — 0.9%
	15,637,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/13/23 (c)		15,481,125
	5,708,813	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.94%, due 12/20/23 (c)		5,651,724
	15,833,333	Republic of Angola Loan agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		15,041,667
		Total Angola		36,174,516
		Egypt — 0.0%
CHF	40,326	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		39,286
		Indonesia — 0.0%
	782,239	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.56%, due 09/29/19 (c)		724,666
	99,875	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.56%, due 10/14/19 (c)		92,525
		Total Indonesia		817,191
		Iraq — 0.4%
EUR	951,289	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		791,396
JPY	2,463,336,397	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		13,234,942

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, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Iraq — continued
JPY	321,860,542	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,729,353
JPY	136,806,132	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		731,582
		Total Iraq		16,487,273
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (e)		2
		TOTAL LOAN PARTICIPATIONS (COST $73,111,458)		53,518,268
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers
	14,838,144	GMO U.S. Treasury Fund		74,190,722
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,190,722
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)		2,762,102
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (g)		452,885
		Total Argentina		3,214,987
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (g)		870,334
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)		12,640,250
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (b) (g)		—
		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 (c) (e) (g)		1,080,062
		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		17,805,633

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.4%
	15,683,856	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (h)		15,683,856
		U.S. Government — 0.3%
	15,000,000	U.S. Treasury Note, 1.25%, due 02/29/20		14,951,367
		TOTAL SHORT-TERM INVESTMENTS (COST $30,600,180)		30,635,223
		TOTAL INVESTMENTS — 98.1% (Cost $4,238,205,447)		4,146,204,974
		Other Assets and Liabilities (net) — 1.9%		81,999,588
		TOTAL NET ASSETS — 100.0%		$4,228,204,562

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/21/2019	JPM	EUR	19,297,600		USD	21,540,753		253,458
10/21/2019	MSCI	GBP	50,411,000		USD	61,230,461		(231,534	)
09/12/2019	JPM	USD	9,671,367		ARS	500,000,000		(1,521,242	)
10/21/2019	MSCI	USD	13,954,722		JPY	1,500,000,000		212,848
							$	(1,286,470	)

16 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Reverse Repurchase Agreements⁽ⁱ⁾

Face Value		Description	Value ($)
USD	4,864,473	JP Morgan Securities, Inc, 1.25%, dated 08/05/19 (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.		(4,864,473	)
USD	5,381,971	JP Morgan Securities, Inc, 1.75%, dated 08/01/19 (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.		(5,381,971	)
			$	(10,246,444	)
		Average balance outstanding	$	(34,127,868	)
		Average interest rate (net)		(1.99	)%
		Maximum balance outstanding	$	(69,681,984	)

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 the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
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	)		(233,743	)
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)		(587,500	)		205,034
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	)		(1,589,539	)
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)		(38,551	)		44,406
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)		(861,874	)		391,294
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)		(3,043,333	)		111,738
					$	(5,840,063	)	$	(1,070,810	)

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-EMS.31.V1-5Y

USD

199,000,000

1.00%

2.12%

N/A

06/20/2024

Quarterly

$

6,218,750

$

10,300,240

$

4,081,490

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		1.99%		N/A			12/20/2020		Quarterly		7,730,397			739,001			(6,991,396	)
Petrobras Global Finance BV	CITI	USD	53,000,000		1.00%		2.05%		N/A			06/20/2024		Quarterly		2,755,224			2,052,436			(702,788	)
Republic of Argentina	BOA	USD	2,500,000		5.00%		12.07%		N/A			06/20/2024		Quarterly		359,815			1,521,453			1,161,638
Republic of Argentina	CITI	USD	10,000,000		5.00%		12.07%		N/A			06/20/2024		Quarterly		1,476,727			6,085,812			4,609,085
Commonwealth of Bahamas	DB	EUR	55,770,291		1.00%		5.37%		N/A			06/20/2025		Quarterly		7,903,309			3,344,138			(4,559,171	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.98%		N/A			06/20/2029		Quarterly		1,589,641			1,466,137			(123,504	)
United States of Mexico	GS	USD	20,000,000		1.00%		2.17%		N/A			09/20/2031		Quarterly		2,640,655			1,930,739			(709,916	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		1.99%		61,270,000	USD		12/20/2020		Quarterly		(7,515,364	)		(782,193	)		6,733,171
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.34%		3,487,000	USD		06/20/2023		Quarterly		(641,463	)		(165,094	)		476,369
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.34%		6,975,000	USD		06/20/2023		Quarterly		(1,263,915	)		(330,235	)		933,680
Republic of Croatia	JPM	USD	40,000,000		1.00%		0.70%		40,000,000	USD		06/20/2023		Quarterly		(6,395,816	)		576,607			6,972,423
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.59%		4,873,000	USD		06/20/2024		Quarterly		3,073			121,519			118,446
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.59%		60,000,000	USD		06/20/2024		Quarterly		(2,413,417	)		1,496,237			3,909,654
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.69%		25,000,000	USD		03/20/2025		Quarterly		(744,727	)		582,766			1,327,493
Commonwealth of Bahamas	DB	USD	74,745,714		1.00%		5.30%		74,745,714	USD		06/20/2025		Quarterly		(8,891,823	)		(3,896,255	)		4,995,568
Indonesia	GS	USD	36,208,000		1.00%		1.38%		36,208,000	USD		06/20/2025		Quarterly		(3,153,880	)		(210,640	)		2,943,240
Indonesia	GS	USD	10,000,000		1.00%		1.38%		10,000,000	USD		06/20/2025		Quarterly		(961,768	)		(58,175	)		903,593
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.72%		22,436,000	USD		06/20/2025		Quarterly		(590,310	)		510,906			1,101,216
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.16%		4,873,000	USD		12/20/2025		Quarterly		(726,704	)		(191,494	)		535,210
Russia	GS	USD	2,436,000		1.00%		1.60%		2,436,000	USD		12/20/2025		Quarterly		(238,041	)		(36,033	)		202,008
Russia	GS	USD	8,487,000		1.00%		1.72%		8,487,000	USD		12/20/2026		Quarterly		(1,059,663	)		(206,635	)		853,028
Republic of Malaysia	CITI	USD	17,200,000		1.00%		1.17%		17,200,000	USD		12/20/2028		Quarterly		(845,599	)		93,970			939,569
Republic of Brazil	JPM	USD	40,000,000		1.00%		2.65%		40,000,000	USD		03/20/2030		Quarterly		(5,674,358	)		(4,184,892	)		1,489,466
															$	(16,658,007	)	$	10,460,075		$	27,118,082

^ 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 the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

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, 2019, 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.

18 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

OTC Cross-Currency Basis Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

3 Month EURIBOR plus a spread of (0.35)%

3 Month USD LIBOR

JPM

EUR

122,436,000

09/11/2020

Quarterly

$

—

$

3,660,656

$

3,660,656

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	$	—	$	(6,592,720	)	$	(6,592,720	)

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)%	6 Month EURIBOR	EUR	18,000,000		03/20/2048	Annual		—		(8,414,141	)		(8,414,141	)
1.76%	6 Month GBP LIBOR	GBP	24,493,000		12/16/2048	Semi-Annual		—		(9,005,686	)		(9,005,686	)
							$	—	$	(17,419,827	)	$	(17,419,827	)

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 JPEICORE Index Short Swap	3 Month USD LIBOR plus a spread of 0.45%	JPM		USD	24,000,001		10/23/2019	Monthly		—		(254,256	)		(254,256	)
Total Return on JPEICORE Index Short Swap	3 Month USD LIBOR plus a spread of 0.45%	JPM		USD	36,000,003		11/08/2019	Monthly		—		(270,814	)		(270,814	)
									$	—	$	(525,070	)	$	(525,070	)

As of August 31, 2019, 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) 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) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(e) Security is in default.

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

(h) The rate disclosed is the 7 day net yield as of August 31, 2019.

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

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 37.

See accompanying notes to the financial statements. 19

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		58.8	%
Short-Term Investments		21.1
Mutual Funds		19.6
Swap Contracts		1.9
Futures Contracts		0.0	^
Forward Currency Contracts		(0.1	)
Reverse Repurchase Agreements		(1.4	)
Other		0.1
		100.0	%

Industry Group Summary¤	% of Investments
Communications		21.1	%
Consumer Cyclical		14.9
Consumer Non-Cyclical		13.2
Energy		11.9
Capital Goods		8.0
Technology		7.2
Basic Industry		5.7
Finance Companies		5.6
Industrial Other		2.0
Electric		1.8
Cash / Cash Equivalents		1.7
REITS		1.6
Insurance		1.3
Banking		1.1
Financial Other		1.0
Utilities Other		1.0
Transportation		0.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/ (depreciation).

¤ 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%.

20

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 58.8%
		Canada — 0.6%
		Corporate Debt — 0.6%
	375,000	MEG Energy Corp., 144A, 6.50%, due 01/15/25		376,875
	1,000,000	Tervita Corp., 144A, 7.63%, due 12/01/21		1,015,000
		Total Canada		1,391,875
		Germany — 0.5%
		Corporate Debt — 0.5%
	1,208,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,141,270
		Italy — 0.7%
		Corporate Debt — 0.7%
	1,375,000	Telecom Italia SpA, 144A, 5.30%, due 05/30/24		1,471,250
		United States — 57.0%
		Corporate Debt — 22.6%
	750,000	Acadia Healthcare Co., Inc., 6.13%, due 03/15/21		751,875
	750,000	ACCO Brands Corp., 144A, 5.25%, due 12/15/24		769,688
	1,250,000	ADT Security Corp. (The), 4.13%, due 06/15/23		1,269,922
	875,000	Alcoa Nederland Holding BV, 144A, 6.13%, due 05/15/28		910,000
	1,000,000	Amsted Industries, Inc., 144A, 5.63%, due 07/01/27		1,067,500
	2,500,000	Antero Resources Corp., 5.63%, due 06/01/23 (a)		2,306,250
	1,000,000	Berry Global, Inc., 144A, 4.88%, due 07/15/26		1,050,000
	1,000,000	Brinker International, Inc., 144A, 5.00%, due 10/01/24		1,030,000
	2,455,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,479,550
	375,000	CDK Global, Inc., 144A, 5.25%, due 05/15/29		387,188
	1,000,000	CEC Entertainment, Inc., 8.00%, due 02/15/22		950,000
	1,125,000	CF Industries, Inc., 4.95%, due 06/01/43		1,105,312
	825,000	CHS/Community Health Systems, Inc., 5.13%, due 08/01/21		825,000
	1,000,000	Clean Harbors, Inc., 144A, 4.88%, due 07/15/27		1,057,500
	825,000	Denbury Resources, Inc., 144A, 9.00%, due 05/15/21		750,750
	500,000	Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.38%, due 08/15/26		525,000
	875,000	EnLink Midstream Partners LP, 4.40%, due 04/01/24		866,250

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,000,000	EnLink Midstream Partners LP, 4.15%, due 06/01/25		955,000
	875,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21		743,750
	750,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		770,625
	1,125,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26 (a)		1,113,750
	1,000,000	Graphic Packaging International LLC, 144A, 4.75%, due 07/15/27		1,050,000
	750,000	HAT Holdings I LLC / HAT Holdings II LLC, 144A, REIT, 5.25%, due 07/15/24		790,125
	750,000	Hologic, Inc., 144A, 4.63%, due 02/01/28		775,312
	750,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.38%, due 12/15/25		794,062
	875,000	Ingles Markets, Inc., 5.75%, due 06/15/23		892,500
	1,000,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		1,004,469
	750,000	Navient Corp., 5.50%, due 01/25/23		787,725
	875,000	Nielsen Finance LLC / Nielsen Finance Co., 144A, 5.00%, due 04/15/22		879,375
	625,000	Nuance Communications, Inc., 5.63%, due 12/15/26		658,594
	1,250,000	NuStar Logistics LP, 6.75%, due 02/01/21		1,303,125
	750,000	NuStar Logistics LP, 5.63%, due 04/28/27		780,000
	1,625,000	Pitney Bowes, Inc., 4.70%, due 04/01/23		1,543,750
	825,000	Pyxus International, Inc., 144A, 8.50%, due 04/15/21		831,187
	375,000	QEP Resources, Inc., 5.25%, due 05/01/23		328,125
	1,154,000	Quebecor Media, Inc., 5.75%, due 01/15/23		1,249,586
	1,500,000	Quicken Loans, Inc., 144A, 5.25%, due 01/15/28		1,556,250
	500,000	RR Donnelley & Sons Co., 7.88%, due 03/15/21		500,000
	500,000	Senior Housing Properties Trust, REIT, 4.75%, due 02/15/28		501,520
	375,000	Sensata Technologies BV, 144A, 5.00%, due 10/01/25		397,500
	1,000,000	Sirius XM Radio, Inc., 144A, 5.38%, due 07/15/26		1,056,250
	1,125,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		1,143,000
	1,500,000	T-Mobile USA, Inc., 5.38%, due 04/15/27		1,622,820
	875,000	TerraForm Power Operating LLC, 144A, 4.25%, due 01/31/23		896,569
	1,000,000	Triumph Group, Inc., 4.88%, due 04/01/21		987,500
	875,000	United Airlines Holdings, Inc., 4.88%, due 01/15/25		916,562
	625,000	Urban One, Inc., 144A, 7.38%, due 04/15/22		623,438
	1,000,000	VeriSign, Inc., 4.75%, due 07/15/27		1,057,500
	2,125,000	Wyndham Destinations, Inc., 5.40%, due 04/01/24		2,230,586

See accompanying notes to the financial statements. 21

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	750,000	Xerox Corp., 4.13%, due 03/15/23		763,125
		Total Corporate Debt		49,605,465
		U.S. Government — 26.6%
	11,500,000	U.S. Treasury Note, 1.38%, due 03/31/20		11,465,859
	6,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		5,970,000
	11,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (b)		11,740,465
	16,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20		16,281,045
	12,992,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20		12,968,937
		Total U.S. Government		58,426,306
		U.S. Government Agency — 7.8%
	17,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 2.19%, due 12/26/19		16,999,189
		Total United States		125,030,960
		TOTAL DEBT OBLIGATIONS (COST $128,005,631)		129,035,355
		MUTUAL FUNDS — 19.6%
		United States — 19.6%
		Affiliated Issuers — 6.1%
	2,692,218	GMO U.S. Treasury Fund		13,461,091
		Exchange-Traded Fund — 13.5%
	339,950	iShares iBoxx $ High Yield Corporate Bond ETF		29,630,042
		Total United States		43,091,133
		TOTAL MUTUAL FUNDS (COST $43,070,736)		43,091,133

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 21.0%
		Foreign Government Obligations — 19.5%
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/24/19		16,295,040
JPY	680,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/07/19		6,401,565
JPY	407,750,000	Japan Treasury Discount Bill, Zero Coupon, due 10/15/19		3,838,706
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/18/19		16,298,918
		Total Foreign Government Obligations		42,834,229
		Money Market Funds — 0.2%
	444,247	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (c)		444,247
		U.S. Government — 1.3%
	350,000	U.S. Treasury Bill, 1.83%, due 10/01/19 (d)		349,441
	580,500	U.S. Treasury Bill, 1.79%, due 10/03/19 (d)		579,536
	2,040,000	U.S. Treasury Bill, 1.81%, due 10/08/19 (d)		2,036,070
		Total U.S. Government		2,965,047
		TOTAL SHORT-TERM INVESTMENTS (COST $45,907,121)		46,243,523
		TOTAL INVESTMENTS — 99.4% (Cost $216.983,488)		218,370,011
		Other Assets and Liabilities (net) — 0.6%		1,216,076
		TOTAL NET ASSETS — 100.0%		$219,586,087

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
09/24/2019	JPM	JPY	1,731,000,000	USD	16,212,888		(105,191	)
10/07/2019	BOA	JPY	680,000,000	USD	6,316,228		(100,368	)
10/15/2019	JPM	JPY	407,750,000	USD	3,789,957		(59,709	)
11/18/2019	JPM	JPY	1,731,000,000	USD	16,379,195		(65	)
						$	(265,333	)

22 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Futures Contracts

Number of Contracts+	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
45	U.S. Treasury Note 10 Yr. (CBT)	December 2019			5,927,344			8,027
52	U.S. Treasury Note 2 Yr. (CBT)	December 2019			11,238,094			2,240
71	U.S. Treasury Note 5 Yr. (CBT)	December 2019			8,518,336			(638	)
				$	25,683,774		$	9,629
Sales
5	U.S. Long Bond (CBT)	December 2019		$	826,250		$	(1,881	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements^(e)

Face Value		Description	Value ($)
USD	942,293	Barclays Bank plc, 1.50%, dated 08/22/19 (collateral: Antero Resources Corp., 5.63%, due 06/01/23), to be repurchased on demand at face value plus accrued interest.		(942,293	)
USD	2,032,684	Barclays Bank plc, 2.00%, dated 08/15/19 (collateral: Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26), to be repurchased on demand at face value plus accrued interest.		(2,032,684	)
			$	(2,974,977	)
		Average balance outstanding	$	(1,640,532	)
		Average interest rate (net)		0.88	%
		Maximum balance outstanding	$	(2,977,139	)

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 the reverse repurchase agreements.

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-NAHYS32V1-5Y	USD	40,131,630		5.00%		3.93%	$	40,131,630		06/20/2024		Quarterly	$	2,848,791	$	2,691,067	$	(157,724	)

See accompanying notes to the financial statements. 23

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (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) ($)
Sell Protection^:
Frontier Communications	BOA	USD	1,250,000		5.00%		20.36%	$	1,250,000		12/20/2019		Quarterly	$	(118,750	)	$	(279,810	)	$	(161,060	)

^ 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 the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

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, 2019, 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 Total Return 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	Total Return on iBoxx High Yield Corp. ETF	JPM		USD	56,399,999		09/20/2019		Quarterly		—			1,007,326			1,007,326
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	MORD		USD	5,510,000		09/20/2019		Quarterly		—			184,752			184,752
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	GS		USD	22,720,001		09/20/2019		Quarterly		—			658,392			658,392
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	JPM		USD	510,003		12/20/2019		Quarterly		(2,096	)		3,029			5,125
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	JPM		USD	2,100,000		12/20/2019		Quarterly		(9,746	)		(8,071	)		1,675
										$	(11,842	)	$	1,845,428		$	1,857,270

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) All or a portion of this security has been pledged to cover collateral requirements on reverse purchase agreements (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, 2019.

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

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

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 37.

24 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		94.1	%
Short-Term Investments		1.7
Swap Contracts		1.4
Mutual Funds		1.1
Purchased Options		0.0	^
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Written Options		0.0	^
Other		1.7
		100.0	%
Industry Sector Summary	% of Debt Obligations
Student Loans – Private		22.3	%
Collateralized Loan Obligations		17.2
Small Balance Commercial Mortgages		15.2
Commercial Mortgage-Backed Securities		13.2
Residential Mortgage-Backed Securities – Other		13.0
Student Loans – Federal Family Education Loan Program		6.1
Residential Mortgage-Backed Securities – Prime		4.3
U.S. Government Agency		3.4
Residential Mortgage-Backed Securities – Subprime		2.0
Residential Mortgage-Backed Securities – Alt-A		1.4
CMBS Collateralized Debt Obligations		1.4
Time Share		0.4
Auto Retail Subprime		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

25

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.1%
		Asset-Backed Securities — 90.9%
		Auto Retail Subprime — 0.1%
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,059,240
		CMBS Collateralized Debt Obligations — 1.3%
	1,236,331	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		1,258,500
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,520,260
	3,006,791	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 2.67%, due 01/20/37 (a)		2,916,587
	4,934,158	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.36%, due 03/21/46		4,317,388
		Total CMBS Collateralized Debt Obligations		12,012,735
		Collateralized Loan Obligations — 16.2%
	15,972,461	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.84%, due 05/01/27		16,001,947
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 4.20%, due 10/17/26		1,881,205
	857,300	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.26%, due 01/25/29		857,305
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 4.06%, due 01/27/28		4,113,382
	2,034,186	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 3.08%, due 04/15/27		2,029,196
	5,510,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.40%, due 01/20/30		5,474,653
	4,161,000	ECP CLO Ltd., Series 15-7A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 3.42%, due 04/22/30		4,119,032
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 3.95%, due 07/17/28		1,250,404
	11,360,000	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 3.27%, due 07/17/28		11,247,275
	9,319,200	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.16%, due 08/15/23		9,383,018
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.63%, due 07/20/26		1,468,775

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	12,484,500	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.42%, due 07/15/31		12,352,439
	7,535,964	Newfleet CLO Ltd., Series 16-1A, Class CR,144A, Variable Rate, 3 mo. LIBOR + 2.00%, 4.28%, due 04/20/28		7,386,782
	8,750,133	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.06%, due 11/15/26		8,753,046
	2,015,360	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.44%, due 06/22/30		2,011,569
	8,464,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 3.34%, due 01/26/31		8,376,592
	3,328,000	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.30%, due 04/15/31		3,284,353
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.40%, due 07/18/31		4,965,533
	5,200,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 3.34%, due 02/28/26		5,180,765
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 4.18%, due 07/25/26		1,568,911
	1,822,022	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 3.46%, due 07/17/26		1,824,722
	7,946,500	Z Capital Credit Partners CLO Ltd., Series 15-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 4.17%, due 07/16/27		7,728,424
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.80%, due 04/15/28		6,711,525
	20,250,000	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.45%, due 04/15/28		20,228,494
	1,918,200	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.25%, due 04/15/29		1,899,977
		Total Collateralized Loan Obligations		150,099,324
		Commercial Mortgage-Backed Securities — 13.7%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,977,334
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		6,905,215
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,612,976
	1,454,200	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34		1,509,232

26 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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	3,550,200	Core Industrial Trust, Series 15-TEXW, Class E, 144A, Variable Rate, 3.98%, due 02/10/34		3,665,856
	3,717,650	Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37		4,074,433
	3,300,000	Core Industrial Trust, Series 15-WEST, Class D, 144A, Variable Rate, 4.37%, due 02/10/37		3,729,380
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		25,780,715
	287,973	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 2.45%, due 04/15/37		272,910
	227,518	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		226,012
	6,372,761	CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		6,905,743
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		5,543,160
	9,657,000	GS Mortgage Securities Trust, Series 15-GC34, Class A4, 3.51%, due 10/10/48		10,416,216
	5,550,330	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,065,246
	4,069,073	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.54%, due 06/12/41		4,140,282
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		1,365,198
	2,221,727	Merrill Lynch Mortgage Trust, Series 04-BPC1, Class E, 144A, Variable Rate, 5.17%, due 10/12/41		2,218,862
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.03%, due 07/15/33		1,129,134
	8,543,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38		9,133,645
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.80%, due 03/23/45		8,429,024
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		1,743,360
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		8,346,453
		Total Commercial Mortgage-Backed Securities		127,190,386
		Residential Mortgage-Backed Securities — Other — 12.2%
	1,196,307	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 2.43%, due 02/25/36		555,057

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	20,333,234	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 2.51%, due 02/25/36		2,791,031
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		9,620,614
	5,691,865	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,461,813
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,838,618
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,079,983
	610,679	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.47%, due 02/25/37		577,506
	2,806,315	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,729,323
	5,559,143	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,453,065
	6,459,546	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		6,596,470
	3,087,856	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,972,295
	1,580,176	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 2.35%, due 06/15/37		1,506,722
	9,820,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 17-DNA3, Class M2, Variable Rate, 1 mo. LIBOR + 2.50%, 4.65%, due 03/25/30		9,938,868
	494,094	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.77%, due 10/25/34		463,335
	7,664,414	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		7,777,880
	6,261,702	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		2,871,303
	30,817,475	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 2.41%, due 06/25/36		2,978,108
	15,357,852	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		11,466,416
	14,163,576	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43% due 03/25/37		7,474,716
	4,143,782	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.47%, due 03/25/36		722,502
	607,991	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.40%, due 02/26/34		578,243

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	8,103,491	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 2.49%, due 03/25/36		550,648
	14,206,171	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 2.35%, due 03/25/36		965,558
	21,604,800	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 2.55%, due 03/25/36		1,467,945
	1,386,631	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 3.05%, due 08/25/35		1,518,273
	7,398,071	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		7,234,903
	1,578,864	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,671,430
	2,421,175	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,489,609
	5,370,420	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		4,737,458
	10,754,733	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,694,330
	1,301,266	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,077,176
	872,365	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		861,202
		Total Residential Mortgage-Backed Securities — Other		113,722,400
		Residential Mortgage-Backed Securities — Prime — 4.1%
	1,646,214	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.52%, due 08/25/35		1,649,101
	1,466,915	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.27%, due 10/25/35		1,501,214
	917,627	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.59%, due 08/25/35		908,659
	6,314,381	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		5,654,474
	2,480,040	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.31%, due 12/25/36		2,366,894
	1,828,824	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.24%, due 03/25/37		1,746,123
	2,423,987	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.57%, due 09/25/35		2,413,978
	1,820,626	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.17%, due 09/25/35		1,843,373

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	1,678,534	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.39%, due 01/25/47		1,671,473
	17,379,956	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		18,170,843
		Total Residential Mortgage-Backed Securities — Prime		37,926,132
		Residential Mortgage-Backed Securities — Subprime — 1.9%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Step Up, 4.73%, due 06/25/35		1,918,184
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.64%, due 05/26/37		2,424,069
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 3.23%, due 08/25/35		1,733,274
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 4.02%, due 08/25/35		3,323,722
	3,318,034	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 2.26%, due 04/25/31		4,923,744
	1,761,357	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 4.24%, due 11/20/34		1,795,853
	1,686,400	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,728,432
		Total Residential Mortgage-Backed Securities — Subprime		17,847,278
		Residential Mortgage-Backed Securities — Alt-A — 1.3%
	921,189	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		966,542
	2,230,136	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.85%, due 05/25/36		1,252,798
	2,312,021	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.85%, due 10/25/36		1,261,357
	3,377,921	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,517,323
	5,548,486	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.85%, due 07/25/36		3,944,477
	1,404,189	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,483,136
		Total Residential Mortgage-Backed Securities — Alt-A		12,425,633

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — 13.0%
	517,922	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 2.99%, due 04/25/34		510,860
	469,056	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 3.95%, due 04/25/34		466,609
	520,370	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 5.00%, due 04/25/34		520,552
	5,294,287	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 2.46%, due 08/25/35		5,075,626
	2,700,950	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.54%, due 01/25/36		2,616,154
	1,493,152	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 2.53%, due 04/25/36		1,429,157
	2,180,639	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 2.38%, due 07/25/36		2,092,181
	4,460,525	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 2.43%, due 07/25/36		4,285,952
	6,127,922	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.40%, due 10/25/36		5,855,889
	2,913,542	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 2.37%, due 03/25/37		2,761,778
	2,345,553	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 2.39%, due 07/25/37		2,226,825
	9,591,509	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.42%, due 07/25/37		9,124,429
	6,176,867	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.47%, due 07/25/37		5,794,479
	1,756,049	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 3.00%, due 12/25/37		1,744,585
	15,028,429	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.40%, due 12/25/37		15,034,032
	16,983,004	GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + 0.20%, 2.40%, due 05/15/34		16,504,105
	4,221,684	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 2.37%, due 04/15/35		4,135,231
	3,385,689	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.20%, due 04/16/35		3,096,318

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	442,899	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.29%, 2.44%, due 09/25/36		442,582
	306,548	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.20%, 2.35%, due 12/25/36		303,687
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 2.52%, due 06/25/37		4,086,609
	1,986,018	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.52%, due 02/25/30		1,966,399
	1,575,768	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.52%, 2.79%, due 09/25/30		1,569,788
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.27%, due 09/25/30		2,424,005
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 2.80%, due 04/25/31		5,310,917
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.27%, due 04/25/31		1,941,161
	2,554,500	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.54%, due 09/25/36		2,493,812
	6,230,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 2.69%, due 10/25/37		6,456,669
	928,756	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.95%, due 10/25/46		932,664
	3,747,596	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 4.25%, due 12/27/49		3,749,717
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 4.63%, due 12/27/49		3,462,876
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.78%, due 12/27/49		2,632,663
		Total Small Balance Commercial Mortgages		121,048,311
		Student Loans — Federal Family Education Loan Program — 6.12%
	6,533,429	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 2.47%, due 10/25/24		6,430,983

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Federal Family Education Loan Program — continued
	18,686,572	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.34%, due 01/25/23		18,401,088
	11,352,085	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 2.98%, due 01/25/43		10,405,290
	4,711,810	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 2.65%, due 03/28/35 (a)		4,208,393
	3,500,000	ECMC Group Student Loan Trust, Series 19-1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.23%, due 07/25/69		3,520,735
	13,776,083	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 3.93%, due 07/25/22		13,917,261
		Total Student Loans — Federal Family Education Loan Program		56,883,750
		Student Loans — Private — 20.5%
	4,930,659	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 3.08%, due 07/25/34		4,738,806
	798,720	AccessLex Institute, Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.26% due 07/01/38		798,223
	4,274,943	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 3.04%, due 09/27/38		4,244,345
	29,160,947	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 2.79%, due 12/27/41		28,726,799
	3,311,219	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.06%, due 04/28/42		3,247,823
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.51%, due 07/28/42		4,720,940
	1,818,348	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.70%, due 10/15/28		1,754,157
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38 (a)		6,935,000
	5,183,390	National Collegiate Student Loan Trust, Series 05-3, Variable Rate, 1 mo. LIBOR + 0.38%, 2.53%, due 10/25/33		4,948,363
	1,217,710	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.38%, due 03/26/29		1,212,728
	260,813	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + 0.27%, 2.42%, due 03/26/29		259,986

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	6,813,759	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.39%, due 07/25/30		6,768,321
	11,356,826	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.46%, due 05/25/32		10,829,833
	6,912,846	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 2.50%, due 03/25/33		6,525,630
	12,389,443	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.63%, due 06/25/33		11,786,751
	14,906,500	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.45%, due 10/25/33		13,532,803
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 2.69%, due 12/26/33		2,966,390
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a)		69,188
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a)		23,500
	8,500,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, 5.26% due 06/15/32 (a)		8,496,600
	4,300,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, 5.59% due 09/15/32 (a)		4,298,280
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 4.01%, due 09/15/32		1,936,140
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 2.84%, due 09/15/33		8,688,317
	3,946,370	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 2.69%, due 12/15/38		3,902,252
	14,995,765	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 2.70%, due 06/15/39		14,699,532
	16,848,306	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 2.74%, due 06/15/39		16,535,578
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 2.80%, due 12/15/39		2,326,136
	9,376,013	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.65%, due 01/25/36		9,381,535
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.20%, due 01/25/46		6,673,449
		Total Student Loans — Private		191,027,405

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Time Share — 0.4%
	316,011	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		316,133
	1,314,712	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		1,320,602
	650,507	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		652,365
	1,216,479	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		1,222,281
		Total Time Share		3,511,381
		Total Asset-Backed Securities		844,753,975
		U.S. Government — 1.8%
	10,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (b)		10,291,642
	2,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (b)		1,997,674
	4,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.07%, due 01/31/21 (b)		3,994,895
		Total U.S. Government		16,284,211
		U.S. Government Agency — 1.4%
	5,431,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 2.07%, due 02/01/25 (c)		5,225,802
	5,625,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 2.23%, due 10/29/26 (c)		5,393,102

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	2,820,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.08%, due 07/01/23 (c)		2,743,655
		Total U.S. Government Agency		13,362,559
		TOTAL DEBT OBLIGATIONS (COST $868,793,357)		874,400,745
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	2,043,048	GMO U.S. Treasury Fund		10,215,242
		TOTAL MUTUAL FUNDS (COST $10,215,242)		10,215,242
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.3%
	3,164,937	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (d)		3,164,937
		Repurchase Agreements — 1.4%
	12,999,293	Nomura Securities International, Inc. Repurchase Agreement, dated 08/30/19, maturing on 09/03/19 with a maturity value of $13,002,369 and an effective yield of 2.13%, collateralized by a U.S. Treasury Note with maturity date 12/31/22 and a market value of $13,279,722.		12,999,293
		TOTAL SHORT-TERM INVESTMENTS (COST $16,164,230)		16,164,230

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.IGS.32.V1-5Y

GS

55.00

%

10/16/19

USD 81,400,000

Fixed Spread

Pay

181,079

CDX.NA.IGS.32.V1-5Y

GS

57.50

%

10/16/19

USD 82,300,000

Fixed Spread

Pay

147,178

Total Options on Credit Default Swaps — Puts	328,257
TOTAL PURCHASED OPTIONS (COST $292,151)	328,257
TOTAL INVESTMENTS — 96.9% (Cost $895,464,980)	901,108,474
Other Assets and Liabilities (net) — 3.1%	28,649,228
TOTAL NET ASSETS — 100.0%	$929,757,702

See accompanying notes to the financial statements. 31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/21/2019	JPM	USD	5,638,363		EUR	5,051,210	$	(66,343	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
9	U.S. Treasury Note 10 Yr. (CBT)		December 2019	$	1,185,469	$	(295	)
Sales
26	U.S. Treasury Note 2 Yr. (CBT)		December 2019		5,619,047		574
357	U.S. Treasury Note 5 Yr. (CBT)		December 2019		42,831,633		(16,659	)
				$	48,450,680	$	(16,085	)

+ 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.IGS.32.V1-5Y

GS

110.00

%

09/18/19

USD

82,900,000

Fixed Spread

Pay

(834)

CDX.NA.IGS.32.V1-5Y

GS

110.00

%

09/18/19

USD

70,200,000

Fixed Spread

Pay

(706)

ITRAXX.EUROPES.31.V2-5Y

CITI

100.00

%

10/16/19

EUR

86,000,000

Fixed Spread

Pay

(6,453)

ITRAXX.EUROPES.31.V2-5Y

CITI

75.00

%

11/20/19

EUR

37,640,000

Fixed Spread

Pay

(29,887)

CDX.NA.IGS.32.V1-5Y

CITI

100.00

%

11/20/19

USD

81,400,000

Fixed Spread

Pay

(27,497)

CDX.NA.IGS.32.V1-5Y

GS

90.00

%

11/20/19

USD

82,300,000

Fixed Spread

Pay

(41,233)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $223,188)

$(106,610)

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	23,520,868		5.00%		0.32%		N/A		12/20/2021		Quarterly		(1,770,477	)		(1,196,483	)		573,994
ITRAXX.XOVERS.30.V3-5Y	EUR	23,344,107		5.00%		1.02%		N/A		12/20/2023		Quarterly		(2,440,279	)		(2,667,745	)		(227,466	)
ITRAXX.EUROPES.31.V2-5Y	EUR	38,000,000		1.00%		0.33%		N/A		06/20/2024		Quarterly		(1,096,507	)		(1,035,953	)		60,554
ITRAXX.EUROPES.31.V2-5Y	EUR	37,640,000		1.00%		0.33%		N/A		06/20/2024		Quarterly		(927,794	)		(1,026,139	)		(98,345	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.32%		17,200,000 USD		06/20/2022		Quarterly		300,982			303,270			2,288
													$	(5,934,075	)	$	(5,623,050	)	$	311,025

32 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (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%		0.32%		N/A		12/20/2020		Quarterly		369,771			(270,149	)		(639,920	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	4,343,000		5.00%		0.33%		N/A		12/20/2020		Quarterly		(26,058	)		(266,649	)		(240,591	)
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.21%		N/A		12/20/2020		Quarterly		710,600			(45,505	)		(756,105	)
CDX.NA.HYS.25.V5-5Y	JPM	USD	8,543,000		5.00%		0.13%		N/A		12/20/2020		Quarterly		(847,893	)		(524,519	)		323,374
CDX.NA.IGS.25.V2-5Y	CITI	USD	4,300,000		1.00%		0.21%		N/A		12/20/2020		Quarterly		547,891			(44,471	)		(592,362	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		1.02%		N/A		12/20/2021		Quarterly		21,450			(781,490	)		(802,940	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		2.15%		N/A		12/20/2021		Quarterly		(11,825	)		(391,656	)		(379,831	)
D.R. HORTON, INC.	BCLY	USD	17,200,000		1.00%		0.22%		N/A		06/20/2022		Quarterly		(165,250	)		(371,786	)		(206,536	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	5,060,000		5.00%		2.15%		N/A		12/20/2022		Quarterly		(301,070	)		(466,537	)		(165,467	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		0.31%		N/A		12/20/2022		Quarterly		(188,414	)		(318,167	)		(129,753	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		0.13%		N/A		12/20/2022		Quarterly		(282,711	)		(592,414	)		(309,703	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		1.47%		N/A		12/20/2022		Quarterly		(208,665	)		(289,352	)		(80,687	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		1.47%		N/A		12/20/2022		Quarterly		(198,694	)		(289,352	)		(90,658	)
Navient Corp.	BCLY	USD	3,435,200		5.00%		1.47%		N/A		12/20/2022		Quarterly		(264,646	)		(385,803	)		(121,157	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.53%		N/A		01/17/2047		Monthly		47,352			(83,935	)		(131,287	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.53%		N/A		01/17/2047		Monthly		197,705			(310,734	)		(508,439	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.53%		N/A		01/17/2047		Monthly		112,812			(81,979	)		(194,791	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		2.18%		N/A		01/17/2047		Monthly		205,782			(247,241	)		(453,023	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.53%		N/A		01/18/2047		Monthly		(119,899	)		(141,749	)		(21,850	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.31%		N/A		10/17/2057		Monthly		140,432			(66,525	)		(206,957	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		0.96%		N/A		10/18/2057		Monthly		247,717			(232,424	)		(480,141	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.60%		N/A		10/18/2057		Monthly		73,095			(174,804	)		(247,899	)
CMBX.NA.BBB-.8	CGMI	USD	4,223,000		3.00%		4.16%		N/A		10/18/2057		Monthly		392,728			219,781			(172,947	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		4.16%		N/A		10/18/2057		Monthly		400,908			219,833			(181,075	)
CMBX.NA.BBB-.8	CSI	USD	2,108,500		3.00%		4.16%		N/A		10/18/2057		Monthly		144,924			109,734			(35,190	)
CMBX.NA.BBB-.8	CGMI	USD	2,134,000		3.00%		4.16%		N/A		10/18/2057		Monthly		114,688			111,062			(3,626	)
CMBX.NA.BBB-.8	GS	USD	7,500,000		3.00%		4.16%		N/A		10/18/2057		Monthly		444,099			390,329			(53,770	)
CMBX.NA.BBB-.8	GS	USD	8,650,000		3.00%		4.16%		N/A		10/18/2057		Monthly		1,299,082			450,179			(848,903	)
CMBX.NA.AAA.9	CGMI	USD	4,000,000		0.50%		0.31%		N/A		09/18/2058		Monthly		(17,096	)		(43,207	)		(26,111	)
CMBX.NA.AAA.9	GS	USD	5,602,300		0.50%		0.31%		N/A		09/18/2058		Monthly		(27,385	)		(60,515	)		(33,130	)
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.00%		N/A		09/18/2058		Monthly		(31,983	)		(35,948	)		(3,965	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.31%		N/A		09/18/2058		Quarterly		(102,116	)		(108,018	)		(5,902	)
CMBX.NA.AAA.9	MORD	USD	5,000,000		0.50%		0.00%		N/A		09/18/2058		Monthly		(51,058	)		(54,009	)		(2,951	)
CMBX.NA.AAA.9	GS	USD	7,000,000		0.50%		0.31%		N/A		09/18/2058		Quarterly		(69,157	)		(75,612	)		(6,455	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		3.66%		N/A		09/18/2058		Monthly		517,160			148,918			(368,242	)
CMBX.NA.BBB-.9	MORD	USD	8,528,000		3.00%		3.66%		N/A		09/18/2058		Monthly		974,545			297,907			(676,638	)
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		3.66%		N/A		09/18/2058		Monthly		950,085			153,704			(796,381	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		3.66%		N/A		09/18/2058		Monthly		346,611			61,482			(285,129	)
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		0.33%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,381,601			(275,412	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		2.15%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			923,215			(220,585	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	8,543,000		5.00%		0.32%		8,543,000 USD		12/20/2021		Quarterly		1,230,192			917,096			(313,096	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	12,672,000		5.00%		0.32%		12,672,000 USD		12/20/2021		Quarterly		1,795,622			1,360,346			(435,276	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.33%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			917,310			(452,454	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.63%		5,115,600 USD		12/20/2022		Quarterly		742,274			730,902			(11,372	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	20,894,345		5.00%		0.31%		20,894,345 USD		12/20/2022		Quarterly		3,992,909			3,244,224			(748,685	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	25,885,000		5.00%		0.63%		25,885,000 USD		12/20/2022		Quarterly		4,283,968			3,698,375			(585,593	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	10,233,600		5.00%		3.66%		10,233,600 USD		12/20/2022		Quarterly		1,547,320			1,462,148			(85,172	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	41,498,054		5.00%		0.63%		41,498,054 USD		12/20/2022		Quarterly		8,851,535			6,443,322			(2,408,213	)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,387,605		5.00%		0.60%		18,387,605 USD		12/20/2023		Quarterly		3,660,972			3,515,027			(145,945	)
CDX.NA.HYS.31.V5-5Y	GS	USD	10,000,000		5.00%		1.31%		10,000,000 USD		12/20/2023		Quarterly		1,396,000			1,551,281			155,281
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	1,513,052		5.00%		0.32%		1,513,052 USD		12/20/2023		Quarterly		(1,125,917	)		(1,056,108	)		69,809
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		1.80%		6,822,400 USD		09/18/2058		Monthly		89,487			77,165			(12,322	)

See accompanying notes to the financial statements. 33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (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) ($)
CMBX.NA.A.6	CSI	USD	4,217,000		2.00%		2.05%		4,217,000 USD		05/12/2063		Monthly		(52,738	)		(5,503	)		47,235
CMBX.NA.A.6	CGMI	USD	4,268,000		2.00%		2.05%		4,268,000 USD		05/12/2063		Monthly		(3,940	)		(5,570	)		(1,630	)
														$	35,923,778		$	20,563,210		$	(15,360,568	)

^ 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 the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

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, 2019, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.76%	3 Month USD LIBOR	USD	10,400,000		11/10/2022	Semi-Annually		(3,459	)		(121,277	)		(117,818	)
1.41%	3 Month USD LIBOR	USD	32,360,000		08/20/2024	Semi-Annually		—			(137,058	)		(137,058	)
1.33%	3 Month USD LIBOR	USD	8,270,000		08/29/2024	Semi-Annually		—			(1,286	)		(1,286	)
1.80%	3 Month USD LIBOR	USD	30,736,000		01/18/2025	Semi-Annually		(20,922	)		(757,950	)		(737,028	)
1.85%	3 Month USD LIBOR	USD	5,500,000		05/19/2026	Semi-Annually		(10,832	)		(183,549	)		(172,717	)
1.94%	3 Month USD LIBOR	USD	7,700,000		06/04/2028	Semi-Annually		(8,056	)		(367,434	)		(359,378	)
1.95%	3 Month USD LIBOR	USD	6,900,000		07/30/2028	Semi-Annually		(10,206	)		(338,032	)		(327,826	)
							$	(53,475	)	$	(1,906,586	)	$	(1,853,111	)

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

30,000,000

09/20/2019

Quarterly

$

—

$

(89,044

)

$

(89,044

)

As of August 31, 2019, 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) 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, 2019.

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 37.

34 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.8	%
Other		0.2
		100.0	%

35

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value † / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.8%
		U.S. Government — 78.1%
	1,000,000	U.S. Treasury Note, 1.25%, due 02/29/20		996,758
	51,400,000	U.S. Treasury Note, 1.38%, due 03/31/20		51,247,406
	15,000,000	U.S. Treasury Note, 1.38%, due 05/31/20		14,945,508
	20,000,000	U.S. Treasury Note, 1.63%, due 06/30/20		19,964,062
	30,000,000	U.S. Treasury Note, 1.63%, due 07/31/20		29,947,266
	54,741,200	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20		54,677,542
	49,000,000	U.S. Treasury Note, 1.50%, due 08/15/20		48,856,445
	50,000,000	U.S. Treasury Note, 1.38%, due 08/31/20		49,783,203
	49,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20		48,913,019
	94,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.07%, due 01/31/21		93,880,034
		Total U.S. Government		413,211,243
		U.S. Government Agency — 13.1%
	24,470,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.05%, due 02/07/20		24,462,472
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.16%, due 02/21/20		20,000,413
	25,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.08%, 2.20%, due 07/24/20		25,006,083
		Total U.S. Government Agency		69,468,968
		Money Market Funds — 0.0%
	170,982	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 2.05% (a)		170,982
		Repurchase Agreements — 8.6%
	45,377,648	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/30/19, maturing on 09/03/19 with a maturity value of $45,388,438 and an effective yield of 2.14%, collateralized by a U.S. Treasury Note with maturity date 02/29/24 and a market value of $45,848,803.		45,377,648
		TOTAL SHORT-TERM INVESTMENTS (COST $528,269,120)		528,228,841
		TOTAL INVESTMENTS — 99.8% (Cost $528,269,120)		528,228,841
		Other Assets and Liabilities (net) — 0.2%		799,571
		TOTAL NET ASSETS — 100.0%		$529,028,412

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 37.

36 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2019 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

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

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

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

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

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 Pound.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

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

OTC - Over-the-Counter

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

REIT - Real Estate Investment Trust

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

SOFR - Secured Overnight Financing Rate

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 Dollar.

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,

2019, which are subject to change based on the terms of the security.

Counterparty Abbreviations:     

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

ARS - Argentine Peso

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 37

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (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)	$	12,729,189	$	188,025,672	$	74,190,722
Investments in unaffiliated issuers, at value (Note 2)(b)		304,531,098		549,972,397		4,072,014,252
Foreign currency, at value (Note 2)(c)		—		9		215
Cash		37		—		12,987,227
Receivable for investments sold		—		—		10,867,688
Dividends and interest receivable		417,493		1,018,423		58,814,024
Unrealized appreciation on open forward currency contracts (Note 4)		—		4,138,553		466,306
Receivable for variation margin on open futures contracts (Note 4)		—		64,080		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		171,727		1,317
Due from broker (Note 2)		—		5,533,665		16,250,364
Receivable for open OTC swap contracts (Note 4)		—		—		24,182,377
Interest receivable for open OTC swap contracts (Note 4)		—		—		2,099,360
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		17,363		87,469		5,027
Receivable for options (Note 4)(d)		—		—		752,472
Miscellaneous receivable		—		—		1,760
Total assets		317,695,180		749,011,995		4,272,633,111
Liabilities:
Due to custodian		—		6,346		—
Payable for investments purchased		17,301		—		10,739,164
Payable for Fund shares repurchased		124,209		5,832,264		9,269
Payable for purchases of delayed delivery securities		—		97,248,435		—
Payable to affiliate for (Note 5):
Management fee		68,848		138,503		1,253,191
Shareholder service fee		20,479		58,754		411,098
Payable to agents unaffiliated with GMO		33		152		1,091
Unrealized depreciation on open forward currency contracts (Note 4)		—		6,368,499		1,752,776
Interest payable for open OTC swap contracts (Note 4)		—		—		559,421
Payable for open OTC swap contracts (Note 4)		—		—		17,179,436
Payable for reverse repurchase agreements (Note 2)		—		—		10,246,444
Payable for options (Note 4)(d)		—		—		1,823,282
Payable to Trustees and related expenses		4,870		1,322		206
Accrued expenses		167,787		149,767		453,171
Total liabilities		403,527		109,804,042		44,428,549
Net assets	$	317,291,653	$	639,207,953	$	4,228,204,562
(a)  Cost of investments – affiliated issuers:	$	12,729,189	$	186,694,343	$	74,296,430
(b)  Cost of investments – unaffiliated issuers:	$	291,220,951	$	524,933,748	$	4,163,909,017
(c)  Cost of foreign currency:	$	—	$	9	$	215
(d)  Premiums on options:	$	—	$	—	$	5,840,063

38 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Core Plus Bond Fund		Emerging Country Debt Fund
Net assets consist of:
Paid-in capital	$	369,776,260		$	621,678,352	$	4,408,728,020
Distributable earnings (accumulated loss)		(52,484,607	)		17,529,601		(180,523,458	)
	$	317,291,653		$	639,207,953	$	4,228,204,562
Net assets attributable to:
Class III	$	64,840,178		$	78,643,730	$	1,265,347,840
Class IV	$	—		$	560,564,223	$	2,962,856,722
Class VI	$	252,451,475		$	—	$	—
Shares outstanding:
Class III		2,860,034			3,446,887		45,604,827
Class IV		—			24,493,223		106,952,746
Class VI		11,104,843			—		—
Net asset value per share:
Class III	$	22.67		$	22.82	$	27.75
Class IV	$	—		$	22.89	$	27.70
Class VI	$	22.73		$	—	$	—

See accompanying notes to the financial statements. 39

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	High Yield Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	13,461,091	$	10,215,242	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		204,908,920		890,893,232		528,228,841
Cash		1,263,029		150,923		39
Receivable for investments sold		349,427		92,126		—
Receivable for Fund shares sold		—		—		—
Receivable for closed swap contracts (Note 4)		9,745		—		—
Dividends and interest receivable		1,015,398		3,104,876		1,310,704
Receivable for variation margin on open futures contracts (Note 4)		15,750		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		9,818		—		—
Due from broker (Note 2)		2,013,607		4,646,752		—
Receivable for open OTC swap contracts (Note 4)		1,853,499		28,384,941		—
Interest receivable for open OTC swap contracts (Note 4)		12,674		1,880,706		—
Receivable for sales of delayed delivery securities		—		19,288,657		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		77		31,052		6,882
Total assets		224,913,035		958,688,507		529,546,466
Liabilities:
Payable for investments purchased		1,617,405		150,183		—
Payable for Fund shares repurchased		—		—		—
Payable for purchases of delayed delivery securities		—		19,272,368		—
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		2,810		—		—
Payable to affiliate for (Note 5):
Management fee		64,537		319,091		34,619
Shareholder service fee		10,142		43,876		—
Payable to agents unaffiliated with GMO		63		243		97
Payable for variation margin on open futures contracts (Note 4)		—		35,063		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		70,658		—
Dividend payable		—		—		369,848
Unrealized depreciation on open forward currency contracts (Note 4)		265,333		66,343		—
Interest payable for open OTC swap contracts (Note 4)		—		650,615		—
Payable for open OTC swap contracts (Note 4)		287,881		7,910,775		—
Payable for reverse repurchase agreements (Note 2)		2,974,977		—		—
Written options outstanding, at value (Note 4)(c)		—		106,610		—
Payable to Trustees and related expenses		141		710		13,057
Accrued expenses		103,659		304,270		100,433
Total liabilities		5,326,948		28,930,805		518,054
Net assets	$	219,586,087	$	929,757,702	$	529,028,412
(a)  Cost of investments – affiliated issuers:	$	13,461,091	$	10,215,242	$	—
(b)  Cost of investments – unaffiliated issuers:	$	203,522,397	$	885,249,738	$	528,269,120
(c)  Premiums on written options:	$	—	$	223,188	$	—

40 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	High Yield Fund		Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	211,204,594	$	996,651,674		$	530,924,645
Distributable earnings (accumulated loss)		8,381,493		(66,893,972	)		(1,896,233	)
	$	219,586,087	$	929,757,702		$	529,028,412
Net assets attributable to:
Core Class	$	—	$	—		$	529,028,412
Class VI	$	219,586,087	$	929,757,702		$	—
Shares outstanding:
Core Class		—		—			105,792,313
Class VI		10,556,631		34,771,413			—
Net asset value per share:
Core Class	$	—	$	—		$	5.00
Class VI	$	20.80	$	26.74		$	—

See accompanying notes to the financial statements. 41

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund
Investment Income:
Interest	$	6,879,013		$	2,568,382		$	119,126,889
Dividends from affiliated issuers (Note 10)		182,863			2,063,722			886,938
Dividends from unaffiliated issuers		19,793			1,934,565			528,079
Total investment income		7,081,669			6,566,669			120,541,906
Expenses:
Management fee (Note 5)		438,556			829,544			7,360,777
Shareholder service fee – Class III (Note 5)		55,406			63,257			1,002,029
Shareholder service fee – Class IV (Note 5)		—			289,646			1,435,060
Shareholder service fee – Class VI (Note 5)		76,167			—			—
Audit and tax fees		43,302			43,044			77,342
Custodian, fund accounting agent and transfer agent fees		53,169			71,778			311,070
Legal fees		9,556			14,130			89,129
Registration fees		1,715			2,564			20,772
Trustees’ fees and related expenses (Note 5)		6,143			8,745			50,573
Interest expense (Note 2)		1,204			12,922			419,423
Miscellaneous		5,787			6,968			68,795
Total expenses		691,005			1,342,598			10,834,970
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(109,969	)		(133,799	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(830	)		(339,414	)		(10,245	)
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			(55,806	)		—
Net expenses		580,206			813,579			10,824,725
Net investment income (loss)		6,501,463			5,753,090			109,717,181
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,004,291			8,863,198			37,960,792
Futures contracts		—			5,470,339			—
Options		26,925			64,197			(366,653	)
Swap contracts		1,526,196			7,997,790			(8,509,646	)
Forward currency contracts		592,313			(1,950,143	)		7,898,101
Foreign currency and foreign currency related transactions		(31,096	)		235,951			189,374
Net realized gain (loss)		3,118,629			20,681,332			37,171,968
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		16,178,506			31,413,380			52,303,253
Investments in affiliated issuers		—			3,948,031			—
Futures contracts		—			164,415			—
Options		(26,925	)		(64,197	)		288,990
Swap contracts		(929,229	)		(422,476	)		1,905,878
Forward currency contracts		(738,520	)		(3,008,133	)		1,546,360
Foreign currency and foreign currency related transactions		—			—			(116,884	)
Net change in unrealized appreciation (depreciation)		14,483,832			32,031,020			55,927,597
Net realized and unrealized gain (loss)		17,602,461			52,712,352			93,099,565
Net increase (decrease) in net assets resulting from operations	$	24,103,924		$	58,465,442		$	202,816,746

42 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	High Yield Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	2,472,676		$	27,062,730		$	5,722,102
Dividends from affiliated issuers (Note 10)		52,004			136,023			—
Dividends from unaffiliated issuers		130,642			70,544			9,057
Total investment income		2,655,322			27,269,297			5,731,159
Expenses:
Management fee (Note 5)		382,766			1,978,214			192,739
Shareholder service fee – Class VI (Note 5)		60,149			272,004			—
Audit and tax fees		46,807			60,484			18,063
Custodian, fund accounting agent and transfer agent fees		24,310			91,292			42,153
Legal fees		6,656			97,812			17,174
Registration fees		17			499			506
Trustees’ fees and related expenses (Note 5)		2,786			12,552			12,960
Interest expense (Note 2)		40,677			—			—
Recoupment of past waived and/or reimbursed fees (Note 5)		26,030			—			—
Miscellaneous		9,663			19,294			7,865
Total expenses		599,861			2,532,151			291,460
Fees and expenses reimbursed and/or waived by GMO (Note 5)		—			(185,108	)		(211,769	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(182	)		(1,384	)		—
Net expenses		599,679			2,345,659			79,691
Net investment income (loss)		2,055,643			24,923,638			5,651,468
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,192,029			3,187,716			159,274
Investments in affiliated issuers		—			(2,899	)		—
Futures contracts		1,298,893			4,626,368			—
Written options		—			350,610			—
Swap contracts		6,068,827			(2,394,401	)		—
Forward currency contracts		(703,861	)		(24,985	)		—
Foreign currency and foreign currency related transactions		57,363			5,504			—
Net realized gain (loss)		8,913,251			5,747,913			159,274
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,058,417			2,411,330			150,218
Investments in affiliated issuers		—			2,899			—
Futures contracts		80,927			343,865			—
Written options		—			(23,853	)		—
Swap contracts		(769,563	)		(3,625,902	)		—
Forward currency contracts		(752,035	)		(65,809	)		—
Foreign currency and foreign currency related transactions		—			6,688			—
Net change in unrealized appreciation (depreciation)		(382,254	)		(950,782	)		150,218
Net realized and unrealized gain (loss)		8,530,997			4,797,131			309,492
Net increase (decrease) in net assets resulting from operations	$	10,586,640		$	29,720,769		$	5,960,960

See accompanying notes to the financial statements. 43

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Core Plus Bond Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,501,463		$	16,237,207		$	5,753,090		$	17,962,198
Net realized gain (loss)		3,118,629			(7,202,984	)		20,681,332			8,316,836
Change in net unrealized appreciation (depreciation)		14,483,832			12,325,263			32,031,020			8,799,016
Net increase (decrease) in net assets from operations		24,103,924			21,359,486			58,465,442			35,078,050
Distributions to shareholders:
Class III		(1,443,696	)		(4,684,062	)		—			(2,096,439	)
Class IV		—			—			—			(31,186,788	)
Class VI		(5,615,563	)		(18,119,873	)		—			—
Total distributions		(7,059,259	)		(22,803,935	)		—			(33,283,227	)
Net share transactions (Note 9):
Class III		(21,551,058	)		(124,498,378	)		(12,909,249	)		49,702,985
Class IV		—			—			(70,966,780	)		(342,156,707	)
Class VI		(66,845,092	)		(711,557,145	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(88,396,150	)		(836,055,523	)		(83,876,029	)		(292,453,722	)
Total increase (decrease) in net assets		(71,351,485	)		(837,499,972	)		(25,410,587	)		(290,658,899	)
Net assets:
Beginning of period		388,643,138			1,226,143,110			664,618,540			955,277,439
End of period	$	317,291,653		$	388,643,138		$	639,207,953		$	664,618,540

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Country Debt Fund						High Yield Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Period from June 25, 2018 (commencement of operations) through February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	109,717,181		$	198,181,993		$	2,055,643		$	2,900,494
Net realized gain (loss)		37,171,968			25,424,719			8,913,251			4,204,205
Change in net unrealized appreciation (depreciation)		55,927,597			(185,787,980	)		(382,254	)		3,049,678
Net increase (decrease) in net assets from operations		202,816,746			37,818,732			10,586,640			10,154,377
Distributions to shareholders:
Class III		(19,784,050	)		(88,640,894	)		—			—
Class IV		(41,684,462	)		(199,249,504	)		—			—
Class VI		—			—			(4,379,125	)		(8,155,753	)
Total distributions		(61,468,512	)		(287,890,398	)		(4,379,125	)		(8,155,753	)
Net share transactions (Note 9):
Class III		(75,409,057	)		97,793,087			—			—
Class IV		17,423,972			155,415,222			—			—
Class VI		—			—			616,600			210,763,348
Increase (decrease) in net assets resulting from net share transactions		(57,985,085	)		253,208,309			616,600			210,763,348
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		299,281			1,446,323			—			—
Class IV		649,074			3,144,860			—			—
Increase in net assets resulting from purchase premiums and redemption fees		948,355			4,591,183			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(57,036,730	)		257,799,492			616,600			210,763,348
Total increase (decrease) in net assets		84,311,504			7,727,826			6,824,115			212,761,972
Net assets:
Beginning of period		4,143,893,058			4,136,165,232			212,761,972			—
End of period	$	4,228,204,562		$	4,143,893,058		$	219,586,087		$	212,761,972

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,923,638		$	54,376,560		$	5,651,468		$	27,557,392
Net realized gain (loss)		5,747,913			15,537,970			159,274			(755,612	)
Change in net unrealized appreciation (depreciation)		(950,782	)		(33,793,317	)		150,218			1,016,591
Net increase (decrease) in net assets from operations		29,720,769			36,121,213			5,960,960			27,818,371
Distributions to shareholders:
Net investment income		(10,076,379	)		—			—			—
Core Class		—			—			(5,651,285	)		(27,557,392	)
Class VI		(10,076,379	)		(45,077,214	)		—			—
Total distributions		(10,076,379	)		(45,077,214	)		(5,651,285	)		(27,557,392	)
Net share transactions (Note 9):
Core Class		—			—			(107,058,664	)		(1,689,189,143	)
Class VI		(91,353,246	)		(197,886,568	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(91,353,246	)		(197,886,568	)		(107,058,664	)		(1,689,189,143	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		320,758			2,034,100			—			—
Increase in net assets resulting from purchase premiums and redemption fees		320,758			2,034,100			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(91,032,488	)		(195,852,468	)		(107,058,664	)		(1,689,189,143	)
Total increase (decrease) in net assets		(71,388,098	)		(204,808,469	)		(106,748,989	)		(1,688,928,164	)
Net assets:
Beginning of period		1,001,145,800			1,205,954,269			635,777,401			2,324,705,565
End of period	$	929,757,702		$	1,001,145,800		$	529,028,412		$	635,777,401

46 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	21.61			$	21.95			$	22.15			$	22.16			$	26.36			$	24.57			$	21.67			$	22.02			$	22.23			$	22.21			$	26.40			$	24.60
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.41				0.54				0.33				0.18				0.01				0.38				0.42				0.57				0.36				0.21				0.06				0.22
Net realized and unrealized gain (loss)			1.13				0.18				(0.31	)			(0.19	)			(2.58	)			2.48				1.13				0.18				(0.33	)			(0.19	)			(2.61	)			2.68
Total from investment operations			1.54				0.72				0.02				(0.01	)			(2.57	)			2.86				1.55				0.75				0.03				0.02				(2.55	)			2.90
Less distributions to shareholders:
From net investment income			(0.48	)			(1.06	)			(0.22	)			—				(1.63	)			(0.67	)			(0.49	)			(1.10	)			(0.24	)			—				(1.64	)			(0.70	)
From net realized gains			—				—				—				—				—				(0.40	)			—				—				—				—				—				(0.40	)
Total distributions			(0.48	)			(1.06	)			(0.22	)			—				(1.63	)			(1.07	)			(0.49	)			(1.10	)			(0.24	)			—				(1.64	)			(1.10	)
Net asset value, end of period		$	22.67			$	21.61			$	21.95			$	22.15			$	22.16			$	26.36			$	22.73			$	21.67			$	22.02			$	22.23			$	22.21			$	26.40
Total Return(b)			7.19	%**			3.37	%			0.07	%			(0.05	)%			(9.88	)%			11.92	%			7.22	%**			3.48	%			0.12	%			0.09	%			(9.79	)%			12.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	64,840			$	82,801			$	207,008			$	282,272			$	352,828			$	421,910			$	252,451			$	305,842			$	1,019,135			$	1,209,721			$	1,888,505			$	4,652,197
Net operating expenses to average daily net assets			0.41	%(c)*			0.41	%(c)			0.41	%			0.41	%(c)			0.40	%(c)			0.40	%(c)			0.31	%(c)*			0.31	%(c)			0.31	%			0.31	%(c)			0.31	%(c)			0.31	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.02	%			0.01	%			0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.02	%			0.01	%
Total net expenses to average daily net assets			0.41	%(c)*			0.41	%(c)			0.41	%			0.41	%(c)			0.42	%(c)			0.41	%(c)			0.31	%(c)*			0.31	%(c)			0.31	%			0.31	%(c)			0.33	%(c)			0.32	%(c)
Net investment income (loss) to average daily net assets(a)			3.65	%*			2.48	%			1.50	%			0.81	%			0.03	%			1.49	%			3.72	%*			2.57	%			1.59	%			0.94	%			0.27	%			0.84	%
Portfolio turnover rate			13	%(f)**			59	%(f)			89	%			130	%(f)			177	%			177	%			13	%(f)**			59	%(f)			89	%			130	%(f)			177	%			177	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%(g)*			0.04	%			0.02	%			0.02	%			0.03	%			0.02	%			0.06	%(g)*			0.04	%			0.02	%			0.02	%			0.03	%			0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Interest and dividend expense and/or borrowing costs 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)  Ratio is less than 0.01%.

^(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, 2019, and the years ended February 28, 2019 and February 28, 2017, including transactions in USTF, was 28%, 88% and 126%, respectively, of the average value of its portfolio.

^(g)  Ratio includes 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. 47

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)								2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	20.88			$	20.93			$	21.10			$	21.39			$	23.43			$	22.35			$	20.94			$	20.98			$	21.15			$	21.45			$	23.49			$	22.41
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.19				0.51				0.41				0.26				0.24				0.21				0.19				0.48				0.46				0.24				0.27				0.21
Net realized and unrealized gain (loss)			1.75				0.49				(0.06	)			0.25				(1.14	)			1.83				1.76				0.53				(0.10	)			0.29				(1.17	)			1.83
Total from investment operations			1.94				1.00				0.35				0.51				(0.90	)			2.04				1.95				1.01				0.36				0.53				(0.90	)			2.04
Less distributions to shareholders:
From net investment income			—				(1.05	)			(0.52	)			(0.80	)			(1.14	)			(0.96	)			—				(1.05	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)
Total distributions			—				(1.05	)			(0.52	)			(0.80	)			(1.14	)			(0.96	)			—				(1.05	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)
Net asset value, end of period		$	22.82			$	20.88			$	20.93			$	21.10			$	21.39			$	23.43			$	22.89			$	20.94			$	20.98			$	21.15			$	21.45			$	23.49
Total Return(c)			9.29	%**			4.88	%			1.61	%			2.44	%			(3.93	)%			9.25	%			9.31	%**			4.93	%			1.68	%			2.55	%			(3.91	)%			9.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	78,644			$	84,163			$	34,641			$	22,172			$	52,187			$	51,045			$	560,564			$	580,456			$	920,637			$	566,433			$	215,060			$	191,054
Net operating expenses to average daily net assets(d)			0.29	%*			0.29	%			0.29	%			0.35	%			0.35	%			0.37	%			0.24	%*			0.24	%			0.24	%			0.30	%			0.30	%			0.32	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f)*			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)
Total net expenses to average daily net assets(d)			0.29	%*			0.29	%			0.29	%			0.35	%			0.36	%			0.37	%			0.24	%*			0.24	%			0.24	%			0.30	%			0.31	%			0.32	%
Net investment income (loss) to average daily net assets(b)			1.70	%*			2.41	%			1.91	%			1.21	%			1.14	%			0.89	%			1.74	%*			2.29	%			2.14	%			1.10	%			1.17	%			0.94	%
Portfolio turnover rate			102	%(g)**			201	%(g)			198	%(g)			216	%(g)			21	%			128	%			102	%(g)**			201	%(g)			198	%(g)			216	%(g)			21	%			128	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.16	%*			0.16	%			0.14	%			0.30	%			0.21	%			0.15	%			0.16	% *			0.15	%			0.14	%			0.26	%			0.21	%			0.15	%

^(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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(e)  Interest and dividend expense and/or borrowing costs 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 129%, 250%, 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.

48 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)								2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	26.82			$	28.62			$	28.99			$	26.01			$	28.47			$	29.31			$	26.77			$	28.57			$	28.95			$	25.98			$	28.44			$	29.28
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.71				1.36				1.36				1.94				1.53				1.77	(c)			0.72				1.37				1.39				1.95				1.53				1.80	(c)
Net realized and unrealized gain (loss)			0.62				(1.19	)			0.32				3.01	(d)			(2.04	)			(0.03	)			0.62				(1.19	)			0.29				3.01	(d)			(2.01	)			(0.06	)
Total from investment operations			1.33				0.17				1.68				4.95				(0.51	)			1.74				1.34				0.18				1.68				4.96				(0.48	)			1.74
Less distributions to shareholders:
From net investment income			(0.40	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(0.41	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)
Total distributions			(0.40	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(0.41	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)
Net asset value, end of period		$	27.75			$	26.82			$	28.62			$	28.99			$	26.01			$	28.47			$	27.70			$	26.77			$	28.57			$	28.95			$	25.98			$	28.44
Total Return(e)			4.98	%**			0.97	%			5.81	%			19.47	%			(1.77	)%			6.03	%			5.01	%**			1.02	%			5.83	%			19.50	%			(1.73	)%			6.07	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,265,348			$	1,294,577			$	1,273,188			$	1,067,086			$	827,667			$	746,182			$	2,962,857			$	2,849,316			$	2,862,977			$	3,018,159			$	3,099,809			$	3,262,104
Net operating expenses to average daily net assets(f)			0.53	%*			0.52	%			0.53	%			0.54	%			0.54	%			0.56	%			0.48	%*			0.47	%			0.48	%			0.49	%			0.49	%			0.51	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(g)			0.02	%*			0.02	%			0.00	%(h)			—				0.00	%(h)			—				0.02	%*			0.02	%			0.00	%(h)			—				0.00	%(h)			—
Total net expenses to average daily net assets(f)			0.55	%*			0.54	%			0.53	%			0.54	%			0.54	%			0.56	%			0.50	%*			0.49	%			0.48	%			0.49	%			0.49	%			0.51	%
Net investment income (loss) to average daily net assets(b)			5.19	%*			4.99	%			4.57	%			6.76	%			5.58	%			5.86	%(i)			5.23	%*			5.04	%			4.67	%			6.81	%			5.60	%			5.93	%(i)
Portfolio turnover rate			12	%(j)**			15	%(j)			34	%(j)			21	%(j)			20	%			18	%			12	%(j)**			15	%(j)			34	%(j)			21	%(j)			20	%			18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k)			0.00	%(h)*			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)*			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)			0.00	%(h)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.03			$	0.04	(a)		$	0.04	(a)		$	0.06	(a)		$	0.01			$	0.03			$	0.03			$	0.04	(a)		$	0.04	(a)		$	0.06	(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 other GMO Funds and/or other investment companies 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)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

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

^(h)  Ratio is less than 0.01%.

⁽ⁱ⁾  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.

^(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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 12%, 15%, 33% and 23%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 49

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Period From June 25, 2018 (commencment of operations) through February 28, 2019
Net asset value, beginning of period		$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.27
Net realized and unrealized gain (loss)			0.81				0.71
Total from investment operations			1.01				0.98
Less distributions to shareholders:
From net investment income			(0.42	)			(0.61	)
From net realized gains			—				(0.16	)
Total distributions			(0.42	)			(0.77	)
Net asset value, end of period		$	20.80			$	20.21
Total Return(b)			4.99	%**			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	219,586			$	212,762
Net operating expenses to average daily net assets(c)			0.51	%(d)*			0.51	%(d)*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.04	%*			0.04	%*
Total net expenses to average daily net assets(c)			0.55	%*			0.55	%*
Net investment income (loss) to average daily net assets(a)			1.88	%*			2.00	%*
Portfolio turnover rate(f)			27	%**			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(g)(h)*			0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  Interest and dividend expense and/or borrowing costs 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)  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, 2019 and February 28, 2019, including transactions in USTF, was 89% and 159%, respectively, of the average value of its portfolio.

^(g)  Ratio is less than 0.01%.

^(h)  Ratio includes 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 each period)

OPPORTUNISTIC INCOME FUND

	Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015(a)
Net asset value, beginning of period		$	26.21			$	26.41			$	25.78			$	24.57			$	24.80			$	24.22
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.67				1.32				1.15				0.96				0.53				0.54
Net realized and unrealized gain (loss)			0.14				(0.38	)			0.18				0.89				(0.34	)			0.42
Total from investment operations			0.81				0.94				1.33				1.85				0.19				0.96
Less distributions to shareholders:
From net investment income			(0.28	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(0.38	)
Total distributions			(0.28	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(0.38	)
Net asset value, end of period		$	26.74			$	26.21			$	26.41			$	25.78			$	24.57	(c)		$	24.80
Total Return(d)			3.08	%**			3.58	%			5.18	%			7.62	%			0.77	%			3.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	929,758			$	1,001,146			$	1,205,954			$	1,510,894			$	1,648,019			$	1,790,805
Net operating expenses to average daily net assets(e)			0.47	%*			0.49	%			0.47	%			0.33	%			0.31	%			0.31	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			—				0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Total net expenses to average daily net assets(e)			0.47	%*			0.49	%			0.47	%			0.33	%			0.31	%			0.31	%
Net investment income (loss) to average daily net assets(b)			5.04	%*			4.99	%			4.39	%			3.82	%			2.13	%			2.18	%
Portfolio turnover rate			26	%(h)**			75	%(h)			152	%(h)			66	%(h)			66	%			37	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(i)*			0.04	%			0.03	%			0.04	%			0.03	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.05			$	0.04			$	0.03			$	0.04			$	0.03	(a)

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(c)  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.

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

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

^(f)  Interest and dividend expense and/or borrowing costs 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 27%, 83%, 175% and 75%, respectively, of the average value of its portfolio.

⁽ⁱ⁾  Ratio involves 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. 51

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019(a)				2018(a)				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	5.00			$	5.00			$	5.01			$	5.01			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.06				0.10				0.05				0.02				0.01				0.00	(b)
Net realized and unrealized gain (loss)			0.00	(c)			0.01				(0.01	)			0.00	(c)			0.00	(c)			0.00	(c)
Total from investment operations			0.06				0.11				0.04				0.02				0.01				0.00
Less distributions to shareholders:
From net investment income			(0.06	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)			(0.00	)(d)
From net realized gains			—				—				—				(0.00	)(e)			(0.00	)(e)			(0.00	)(e)
Total distributions			(0.06	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)			(0.00	)
Net asset value, end of period		$	5.00			$	5.00			$	5.00			$	5.01			$	5.01			$	5.01
Total Return(f)			1.20	%**			2.16	%			0.96	%			0.54	%			0.19	%			0.06	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	529,028			$	635,777			$	2,324,706			$	2,666,697			$	4,033,504			$	2,243,931
Net expenses to average daily net assets			0.03	%*			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Net investment income (loss) to average daily net assets			2.35	%*			1.97	%			1.06	%			0.47	%			0.16	%			0.05	%
Portfolio turnover rate(h)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.10	%			0.09	%			0.10	%			0.10	%			0.10	%

^(a)  Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018.

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

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

^(d)  Distributions from net investment income were less than $0.01 per share.

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

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

^(g)  Ratio is less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

52 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2019 (Unaudited)

1. Organization

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

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

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

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

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	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 currently limits 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.

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

53

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2019, 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. 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).

“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.

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.

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

54

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be 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, 2019:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	303,581,707	$	—	$	303,581,707
TOTAL DEBT OBLIGATIONS		—		303,581,707		—		303,581,707
Mutual Funds		12,729,189		—		—		12,729,189
Short-Term Investments		949,391		—		—		949,391
Total Investments		13,678,580		303,581,707		—		317,260,287
Total	$	13,678,580	$	303,581,707	$	—	$	317,260,287
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	47,490,197	$	—	$	47,490,197
U.S. Government		162,074,536		—		—		162,074,536
U.S. Government Agency		—		97,465,006		—		97,465,006
TOTAL DEBT OBLIGATIONS		162,074,536		144,955,203		—		307,029,739
Mutual Funds		285,767,098		—		—		285,767,098
Short-Term Investments		1,207,165		143,994,067		—		145,201,232
Total Investments		449,048,799		288,949,270		—		737,998,069
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		4,138,553		—		4,138,553
Futures Contracts
Interest Rate Risk		18,009		—		—		18,009
Swap Contracts
Interest Rate Risk		—		3,424,420		—		3,424,420
Total	$	449,066,808	$	296,512,243	$	—	$	745,579,051

55

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Core Plus Bond Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(6,368,499	)	$	—		$	(6,368,499	)
Futures Contracts
Interest Rate Risk		(82,295	)		—			—			(82,295	)
Swap Contracts
Interest Rate Risk		—			(1,374,959	)		—			(1,374,959	)
Total	$	(82,295	)	$	(7,743,458	)	$	—		$	(7,825,753	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	37,419,135		$	—		$	37,419,135
Corporate Debt		—			61,404,928			28,575,400			89,980,328
Foreign Government Agency		—			769,028,119			184,757,473			953,785,592
Foreign Government Obligations		—			2,031,949,806			171,006,156			2,202,955,962
U.S. Government		599,220,128			78,691,547			—			677,911,675
TOTAL DEBT OBLIGATIONS		599,220,128			2,978,493,535			384,339,029			3,962,052,692
Loan Assignments		—			—			8,002,436			8,002,436
Loan Participations		—			—			53,518,268			53,518,268
Mutual Funds		74,190,722			—			—			74,190,722
Rights/Warrants		—			15,402,352			2,403,281			17,805,633
Short-Term Investments		30,635,223			—			—			30,635,223
Total Investments		704,046,073			2,993,895,887			448,263,014			4,146,204,974
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			466,306			—			466,306
Options
Credit Risk		—			—			752,472			752,472
Swap Contracts
Credit Risk		—			30,821,961			—			30,821,961
Interest Rate Risk		—			3,660,656			—			3,660,656
Total	$	704,046,073		$	3,028,844,810		$	449,015,486		$	4,181,906,369
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,752,776	)	$	—		$	(1,752,776	)
Options
Credit Risk		—			—			(1,823,282	)		(1,823,282	)
Swap Contracts
Credit Risk		—			(10,061,646	)		—			(10,061,646	)
Interest Rate Risk		—			(24,537,617	)		—			(24,537,617	)
Total	$	—		$	(36,352,039	)	$	(1,823,282	)	$	(38,175,321	)

56

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	53,609,860		$	—	$	53,609,860
U.S. Government		58,426,306			—			—		58,426,306
U.S. Government Agency		16,999,189			—			—		16,999,189
TOTAL DEBT OBLIGATIONS		75,425,495			53,609,860			—		129,035,355
Mutual Funds		43,091,133			—			—		43,091,133
Short-Term Investments		3,409,294			42,834,229			—		46,243,523
Total Investments		121,925,922			96,444,089			—		218,370,011
Derivatives^
Futures Contracts
Interest Rate Risk		10,267			—			—		10,267
Swap Contracts
Credit Risk		—			2,691,067			—		2,691,067
Interest Rate Risk		—			1,853,499			—		1,853,499
Total	$	121,936,189		$	100,988,655		$	—	$	222,924,844
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(265,333	)	$	—	$	(265,333	)
Futures Contracts
Interest Rate Risk		(2,519	)		—			—		(2,519	)
Swap Contracts
Credit Risk		—			(279,810	)		—		(279,810	)
Interest Rate Risk		—			(8,071	)		—		(8,071	)
Total	$	(2,519	)	$	(553,214	)	$	—	$	(555,733	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	817,806,427		$	26,947,548	$	844,753,975
U.S. Government		16,284,211			—			—		16,284,211
U.S. Government Agency		—			—			13,362,559		13,362,559
TOTAL DEBT OBLIGATIONS		16,284,211			817,806,427			40,310,107		874,400,745
Mutual Funds		10,215,242			—			—		10,215,242
Short-Term Investments		3,164,937			12,999,293			—		16,164,230
Purchased Options		—			328,257			—		328,257
Total Investments		29,664,390			831,133,977			40,310,107		901,108,474
Derivatives^
Futures Contracts
Interest Rate Risk		574			—			—		574
Swap Contracts
Credit Risk		—			28,688,211			—		28,688,211
Total	$	29,664,964		$	859,822,188		$	40,310,107	$	929,797,259

57

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(66,343	)	$	—	$	(66,343	)
Futures Contracts
Interest Rate Risk		(16,954	)		—			—		(16,954	)
Written Options
Credit Risk		—			(106,610	)		—		(106,610	)
Swap Contracts
Credit Risk		—			(13,748,051	)		—		(13,748,051	)
Interest Rate Risk		—			(1,995,630	)		—		(1,995,630	)
Total	$	(16,954	)	$	(15,916,634	)	$	—	$	(15,933,588	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	482,851,193		$	45,377,648		$	—	$	528,228,841
Total Investments		482,851,193			45,377,648			—		528,228,841
Total	$	482,851,193		$	45,377,648		$	—	$	528,228,841

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2019.

58

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

The following is a reconciliation of material securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019			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, 2019			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2019
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	24,697,310		$	—	$	—		$	(759	)	$	—		$	3,878,849		$	—		$	—	$	28,575,400		$	3,878,849
Foreign Government Agency		130,262,106			—		(1,253,637	)		1,176,053			—			8,107,326			46,465,625	‡		—		184,757,473			8,107,326
Foreign Government Obligations		116,011,870			—		(3,206,336	)		2,263,267			—			8,396,060			47,541,295	‡		—		171,006,156			8,396,060
Loan Assignments		7,965,089			—		(229,429	)		(1,698	)		—			268,474			—			—		8,002,436			268,474
Loan Participations		58,083,336			—		(6,497,571	)		1,315,583			—			616,920			—			—		53,518,268			616,920
Rights/Warrants		2,736,698			—		—			—			—			(333,417	)		—			—		2,403,281			(333,417	)
Total Investments		339,756,409			—		(11,186,973	)		4,752,446			—			20,934,212			94,006,920			—		448,263,014			20,934,212
Derivatives
Options		(993,146	)		—		—			—			(366,653	)		288,989			—			—		(1,070,810	)		327,919
Total	$	338,763,263		$	—	$	(11,186,973	)#	$	4,752,446		$	(366,653	)	$	21,223,201		$	94,006,920		$	—	$	447,192,204		$	21,262,131
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	30,514,634		$	119,850	$	(2,584,753	)	$	64,355		$	32,159		$	(1,198,697	)	$	—		$	—	$	26,947,548		$	(1,198,697	)
U.S. Government Agency		14,579,868			—		(1,221,250	)		—			16,405			(12,464	)		—			—		13,362,559			(12,464	)
Total	$	45,094,502		$	119,850	$	(3,806,003	)##	$	64,355		$	48,564		$	(1,211,161	)	$	—		$	—	$	40,310,107		$	(1,211,161	)

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

# Includes $11,186,973 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $2,047,004 of proceeds received from partial calls and/or principal paydowns as applicable.

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.

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Indexed investments

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

Loan assignments and participations

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

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” in Note 4 “Derivative financial instruments”. 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.

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, 2019, 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		Nomura Securities International, Inc.		12,999,293		13,279,722		4.0
U.S. Treasury Fund		Daiwa Capital Markets America Inc.		45,377,648		45,848,803		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

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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, 2019, 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		10,246,444		10,179,618
High Yield Fund		2,974,977		3,469,375

As of August 31, 2019, Emerging Country Debt Fund and High Yield Fund had investments in reverse repurchase agreements with Barclays Bank plc and JP Morgan Securities, Inc. with a gross value of $10,246,444 and $2,974,977, respectively. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2019, the reverse repurchase agreements held by Emerging Country Debt Fund and High Yield Fund had open maturity dates.

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

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

	August 31, 2019
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	10,246,444	$	10,246,444
Total borrowings	$	—	$	—	$	—	$	—	$	10,246,444	$	10,246,444
High Yield Fund
Reverse Repurchase Agreements
Corporate Debt	$	—	$	—	$	—	$	—	$	2,974,977	$	2,974,977
Total borrowings	$	—	$	—	$	—	$	—	$	2,974,977	$	2,974,977

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.

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.

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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 dividend and/or 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 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, 2019, 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 a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

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As of February 28, 2019, certain Funds elected to defer to March 1, 2019, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		(1,642,124)		(634,963)
Core Plus Bond Fund		(15,735)		—
Emerging Country Debt Fund		—		(25,012,261)
High Yield Fund		—		(2,388,810)
Opportunistic Income Fund		—		—
U.S. Treasury Fund		—		(2,490)

As of February 28, 2019, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2019, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Asset Allocation Bond Fund		(28,642,545)		(43,396,592)
Core Plus Bond Fund		(1,889,938)		(31,410,825)
Emerging Country Debt Fund		(38,114,264)		—
High Yield Fund		—		—
Opportunistic Income Fund		—		(79,601,499)
U.S. Treasury Fund		(2,012,921)		—

As of August 31, 2019, 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		304,176,807		13,083,480		—		13,083,480		—
Core Plus Bond Fund		711,628,091		28,407,629		(2,037,651)		26,369,978		(598,134)
Emerging Country Debt Fund		4,342,039,899		351,194,532		(547,029,457)		(195,834,925)		9,655,923
High Yield Fund		217,011,178		1,881,875		(523,042)		1,358,833		1,280,901
Opportunistic Income Fund		900,132,776		28,438,915		(27,463,217)		975,698		(16,957,844)
U.S. Treasury Fund		528,269,120		209,743		(250,022)		(40,279)		—

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

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August 31, 2019 (Unaudited)

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 underlying funds, if any, 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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of 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).

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As of August 31, 2019, 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(2)	U.S. Treasury Fund
Purchase Premium	—	—	0.75%	—	—	—
Redemption Fee	—	—	0.75%	—	—	—

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

⁽²⁾ Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

3. Investment and other risks

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

	Asset Allocation Bond Fund	Core Plus Bond Fund	Emerging Country Debt Fund	High Yield Fund	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X
Currency Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X
Futures Contracts Risk		X		X	X
Illiquidity Risk	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X		X
Market Risk – Equities	X				X
Market Risk – Fixed Income	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Small Company Risk	X	X			X

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August 31, 2019 (Unaudited)

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. In addition, 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 can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not 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

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could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their 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 obligors’ failure to meet their 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 will 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 can be expected to 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 will 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

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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 “high yield” or “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 instruments generally are considered speculative and typically 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 instrument proves incorrect, a Fund is likely to 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 is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates or inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely

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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, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being 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 and exposes the Funds to the risk that the pricing models used do 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, there is a risk that inaccurate valuations will 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 will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”

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

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 GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative positions, the Funds make payments (including margin payments) to and receive payments from a

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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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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 derivative 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 derivative 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 are likely to 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 for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post 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

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clearing members. These rules and regulations are 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 at 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.)

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.

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

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

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically 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

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crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”

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

Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

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

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will 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 bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher 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.

• 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 typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to reenter or 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

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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 could 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 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. 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 or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often 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.

The SEC has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.

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

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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 is the business day prior to actual receipt by the Fund of the redemption request) 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 determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. 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.

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

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models 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.

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 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 operational services. Operational risk includes the

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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 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 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 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.

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 shutdowns 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”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no

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deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. 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. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, 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. 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

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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 they 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. 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 would likely 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 a failure to keep up with technological advances 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 “high yield” or “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”)

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is 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 would likely be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or variable-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.

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 investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. 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 a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to 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 list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A

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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. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. 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); 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 reliable 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, High Yield 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.

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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 their 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, a Fund may have gross investment exposures in excess of its net assets (i.e. the Fund may be 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.

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For Funds that held derivatives during the period ended August 31, 2019, 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	X	X
Adjust exposure to foreign currencies	X	X	X	X
Futures contracts
Adjust interest rate exposure		X		X	X
Maintain the diversity and liquidity of the portfolio		X		X	X
Options (Purchased)
Adjust currency exchange rate risk	X	X
Adjust exposure to foreign currencies	X	X
Adjust interest rate exposure					X
Achieve exposure to a reference entity’s credit					X
Provide a measure of protection against default loss					X
Options (Written)
Achieve exposure to a reference entity’s credit					X
Adjust currency exchange rate risk	X	X
Adjust exposure to foreign currencies	X	X
Adjust interest rate exposure					X
Provide a measure of protection against default loss					X
Options (Credit linked)
Achieve exposure to a reference entity’s credit			X
Swap contracts
Achieve exposure to a reference entity’s credit			X	X	X
Adjust exposure to certain markets					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		X
Adjust exposure to foreign currencies			X

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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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 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, the 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.

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

Swap contracts

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

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

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

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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.

* * *

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019 and the Statements of Operations for the period ended August 31, 2019^:

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
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(84,743	)	$	(144,317	)	$	—	$	(229,060	)
Forward Currency Contracts		—		—		592,313			—			—		592,313
Written Options		—		—		26,925			—			—		26,925
Swap Contracts		—		—		—			1,526,196			—		1,526,196
Total	$	—	$	—	$	534,495		$	1,381,879		$	—	$	1,916,374
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	84,743		$	122,582		$	—	$	207,325
Forward Currency Contracts		—		—		(738,520	)		—			—		(738,520	)
Written Options		—		—		(26,925	)		—			—		(26,925	)
Swap Contracts		—		—		—			(929,229	)		—		(929,229	)
Total	$	—	$	—	$	(680,702	)	$	(806,647	)	$	—	$	(1,487,349	)

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	4,138,553		$	—		$	—	$	4,138,553
Unrealized Appreciation on Futures Contracts¤		—			—		—			18,009			—		18,009
Swap Contracts, at value¤		—			—		—			3,424,420			—		3,424,420
Total	$	—		$	—	$	4,138,553		$	3,442,429		$	—	$	7,580,982
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(6,368,499	)	$	—		$	—	$	(6,368,499	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(82,295	)		—		(82,295	)
Swap Contracts, at value¤		—			—		—			(1,374,959	)		—		(1,374,959	)
Total	$	—		$	—	$	(6,368,499	)	$	(1,457,254	)	$	—	$	(7,825,753	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(202,051	)	$	(326,169	)	$	—	$	(528,220	)
Forward Currency Contracts		—			—		(1,950,143	)		—			—		(1,950,143	)
Futures Contracts		—			—		—			5,470,339			—		5,470,339
Written Options		—			—		64,197			—			—		64,197
Swap Contracts		—			—		—			7,997,790			—		7,997,790
Total	$	—		$	—	$	(2,087,997	)	$	13,141,960		$	—	$	11,053,963
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	202,051		$	291,202		$	—	$	493,253
Forward Currency Contracts		—			—		(3,008,133	)		—			—		(3,008,133	)
Futures Contracts		—			—		—			164,415			—		164,415
Written Options		—			—		(64,197	)		—			—		(64,197	)
Swap Contracts		—			—		—			(422,476	)		—		(422,476	)
Total	$	—		$	—	$	(2,870,279	)	$	33,141		$	—	$	(2,837,138	)
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	466,306		$	—		$	—	$	466,306
Options, at value		752,472			—		—			—			—		752,472
Swap Contracts, at value¤		30,821,961			—		—			3,660,656			—		34,482,617
Total	$	31,574,433		$	—	$	466,306		$	3,660,656		$	—	$	35,701,395
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(1,752,776	)	$	—		$	—	$	(1,752,776	)
Options, at value		(1,823,282	)		—		—			—			—		(1,823,282	)
Swap Contracts, at value¤		(10,061,646	)		—		—			(24,537,617	)		—		(34,599,263	)
Total	$	(11,884,928	)	$	—	$	(1,752,776	)	$	(24,537,617	)	$	—	$	(38,175,321	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	7,898,101		$	—		$	—	$	7,898,101
Options		(366,653	)		—		—			—			—		(366,653	)
Swap Contracts		(9,152,780	)		—		—			643,134			—		(8,509,646	)
Total	$	(9,519,433	)	$	—	$	7,898,101		$	643,134		$	—	$	(978,198	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	1,546,360		$	—		$	—	$	1,546,360
Options		288,990			—		—			—			—		288,990
Swap Contracts		20,121,068			—		—			(18,215,190	)		—		1,905,878
Total	$	20,410,058		$	—	$	1,546,360		$	(18,215,190	)	$	—	$	3,741,228

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—		$	—	$	—		$	10,267		$	—	$	10,267
Swap Contracts, at value¤		2,691,067			—		—			1,853,499			—		4,544,566
Total	$	2,691,067		$	—	$	—		$	1,863,766		$	—	$	4,554,833
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(265,333	)	$	—		$	—	$	(265,333	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(2,519	)		—		(2,519	)
Swap Contracts, at value¤		(279,810	)		—		—			(8,071	)		—		(287,881	)
Total	$	(279,810	)	$	—	$	(265,333	)	$	(10,590	)	$	—	$	(555,733	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	(703,861	)	$	—		$	—	$	(703,861	)
Futures Contracts		—			—		—			1,298,893			—		1,298,893
Swap Contracts		1,519,372			—		—			4,549,455			—		6,068,827
Total	$	1,519,372		$	—	$	(703,861	)	$	5,848,348		$	—	$	6,663,859
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	(752,035	)	$	—		$	—	$	(752,035	)
Futures Contracts		—			—		—			80,927			—		80,927
Swap Contracts		(344,992	)		—		—			(424,571	)		—		(769,563	)
Total	$	(344,992	)	$	—	$	(752,035	)	$	(343,644	)	$	—	$	(1,440,671	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	328,257		$	—	$	—		$	—		$	—	$	328,257
Unrealized Appreciation on Futures Contracts¤		—			—		—			574			—		574
Swap Contracts, at value¤		28,688,211			—		—			—			—		28,688,211
Total	$	29,016,468		$	—	$	—		$	574		$	—	$	29,017,042
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(66,343	)	$	—		$	—	$	(66,343	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(16,954	)		—		(16,954	)
Written Options, at value		(106,610	)		—		—			—			—		(106,610	)
Swap Contracts, at value¤		(13,748,051	)		—		—			(1,995,630	)		—		(15,743,681	)
Total	$	(13,854,661	)	$	—	$	(66,343	)	$	(2,012,584	)	$	—	$	(15,933,588	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(1,282,262	)	$	—	$	—		$	—		$	—	$	(1,282,262	)
Forward Currency Contracts		—			—		(24,985	)		—			—		(24,985	)
Futures Contracts		—			—		—			4,626,368			—		4,626,368
Written Options		350,610			—		—			—			—		350,610
Swap Contracts		1,388,051			—		—			(3,782,452	)		—		(2,394,401	)
Total	$	456,399		$	—	$	(24,985	)	$	843,916		$	—	$	1,275,330
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	718,915		$	—	$	—		$	—		$	—	$	718,915
Forward Currency Contracts		—			—		(65,809	)		—			—		(65,809	)
Futures Contracts		—			—		—			343,865			—		343,865
Written Options		(23,853	)		—		—			—			—		(23,853	)
Swap Contracts		(2,033,768	)		—		—			(1,592,134	)		—		(3,625,902	)
Total	$	(1,338,706	)	$	—	$	(65,809	)	$	(1,248,269	)	$	—	$	(2,652,784	)

^ 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.

86

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

¤ 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.

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, 2019, 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, 2019:

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.	$	878,825	$	—		$	(629,961	)	$	248,864
Barclays Bank plc		900,552		(33,026	)		(867,526	)		—	*
Citibank N.A.		9,405		—			9,405			—
Goldman Sachs International		630,079		(440,000	)		(93,642	)		96,437
JPMorgan Chase Bank, N.A.		1,126,413		—			1,126,413			—
Morgan Stanley & Co. International PLC		593,279		—			593,279			—
Total	$	4,138,553	$	(473,026	)	$	137,968		$	345,301

87

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Core Plus Bond Fund (continued)

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.	$	629,961	$	—		$	629,961		$	—
Barclays Bank plc		867,526		—			867,526			—
Citibank N.A.		308,131		(256,430	)		(9,405	)		42,296
Goldman Sachs International		93,642		—			93,642			—
JPMorgan Chase Bank, N.A.		1,883,512		(757,099	)		(1,126,413	)		—	*
Morgan Stanley & Co. International PLC		2,585,727		(1,855,269	)		(593,279	)		137,179
Total	$	6,368,499	$	(2,868,798	)	$	(137,968	)	$	179,475

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,521,453	$	(937,030	)	$	(191,494	)	$	392,929
Citibank N.A.		8,232,218		(7,220,000	)		—			1,012,218
Deutsche Bank AG		4,835,611		—			4,835,611			—
Goldman Sachs International		4,490,548		—			4,490,548			—
JPMorgan Chase Bank, N.A.		6,108,477		—			6,108,477			—
Morgan Stanley & Co. International PLC		212,848		—			212,848			—
Total	$	25,401,155	$	(8,157,030	)	$	15,455,990		$	1,405,147
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.	$	191,494	$	—		$	191,494		$	—
Deutsche Bank AG		6,997,059		(1,758,952	)		(4,835,611	)		402,496
Goldman Sachs International		7,104,203		(2,613,655	)		(4,490,548	)		—	*
JPMorgan Chase Bank, N.A.		6,231,204		(122,727	)		(6,108,477	)		—	*
Morgan Stanley & Co. International PLC		231,534		(18,686	)		(212,848	)		—	*
Total	$	20,755,494	$	(4,514,020	)	$	(15,455,990	)	$	402,496

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Goldman Sachs International	$	658,392	$	(570,000	)	$	—		$	88,392
JPMorgan Chase Bank, N.A.		1,010,355		(837,319	)		(173,036	)		—	*
Morgan Stanley Capital Services LLC.		184,752		—			—			184,752
Total	$	1,853,499	$	(1,407,319	)	$	(173,036	)	$	273,144

88

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

High Yield Fund (continued)

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.	$	380,178	$	(377,693	)	$	—	$	2,485
JPMorgan Chase Bank, N.A.		173,036		—			173,036		—
Total	$	553,214	$	(377,693	)	$	173,036	$	2,485

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.	$	5,346,587	$	(4,946,998	)	$	(399,589	)	$	—	*
Citigroup Global Markets Inc.		330,843		—			(223,581	)		107,262
Credit Suisse International		109,734		—			109,734			—
Deutsche Bank AG		302,622		—			302,622			—
Goldman Sachs International		4,460,127		(3,150,000	)		(1,150,387	)		159,740
JPMorgan Chase Bank, N.A.		13,159,006		(9,705,736	)		(3,453,270	)		—	*
Morgan Stanley Capital Services LLC		5,004,279		(4,318,337	)		(685,942	)		—	*
Total	$	28,713,198	$	(22,121,071	)	$	(5,500,413	)	$	267,002
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.	$	399,589	$	—		$	399,589		$	—
Barclays Bank plc		1,336,293		(1,336,293	)		—			—	*
Citibank N.A.		108,308		—			—			108,308
Citigroup Global Markets Inc.		223,581		—			223,581			—
Credit Suisse International		237,927		—			(109,734	)		128,193
Deutsche Bank AG		452,483		—			(302,622	)		149,861
Goldman Sachs International		1,150,387		—			1,150,387			—
JPMorgan Chase Bank, N.A.		3,453,270		—			3,453,270			—
Morgan Stanley & Co. International PLC		35,948		—			—			35,948
Morgan Stanley Capital Services LLC		685,942		—			685,942			—
Total	$	8,083,728	$	(1,336,293	)	$	5,500,413		$	422,310

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

89

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2019:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)			Swap Contracts ($)
Asset Allocation Bond Fund		65,960,178		—		404,563	*		78,219,570
Core Plus Bond Fund		488,819,566		118,708,941		964,596	*		607,406,773
Emerging Country Debt Fund		176,932,648		—		275,543,000			1,255,884,501
High Yield Fund		41,939,539		39,165,691		—			152,364,978
Opportunistic Income Fund		1,449,210		104,642,917		679,978,325			645,380,686

* During the period ended August 31, 2019, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

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

	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%	0.25%	0.35%	0.35%	0.40%(a)	0.08%(b)

^(a) Prior to January 1, 2017, the management fee was 0.25%.

^(b) Prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

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 III

Class IV

Class V

Class VI

Class R6

Class I

Asset Allocation Bond Fund

0.15%

0.055%

Core Plus Bond Fund

0.15%

0.10%

0.15%*

0.15%*

Emerging Country Debt Fund

0.15%

0.10%

High Yield Fund

0.15%

*

0.10%

*

0.085%

*

0.055%

0.15%*

0.15%*

Opportunistic Income Fund

0.15%

*

0.055%

0.15%*

0.15%*

* Class is offered but has no shareholders as of August 31, 2019.

For each Fund, other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse each GMO 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 daily net assets (“Expense Threshold Amount”).

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided in respect of Class I shareholders), 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.

90

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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 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, 2019, GMO recouped the following previously recorded waivers and/or reimbursements.

	Recoupment Amount ($)
High Yield Fund, Class VI		26,030

On August 31, 2019, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2020		Expiring the year ending February 28, 2021		Expiring the year ending February 28, 2022
High Yield Fund, Class VI		$    —		$        —		$139,528

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, 2020 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.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments to financial intermediaries that provide sub-transfer agent/recordkeeping services in respect of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments to third parties for sub-transfer agency, recordkeeping and other administrative services provided with respect to investors invested in Class I shares through an account maintained by a third party intermediary. These services are not primarily intended to result in the sale of Fund shares but are intended to provide ongoing services with respect to shareholders investing in Class I shares through a third-party platform or intermediary. The payments are, however, made pursuant to a service plan adopted pursuant to the provisions of Rule 12b-1 under the 1940 Act so as to ensure compliance with relevant regulations in the event payment for those services is nonetheless deemed to constitute the direct or indirect financing of distribution of a Fund’s shares by holders of its Class I shares. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares and may cost holders of those shares more than other types of sales charges.

91

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

The Funds’ portion of the 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, 2019 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		6,143		858
Core Plus Bond Fund		8,745		934
Emerging Country Debt Fund		50,573		4,848
High Yield Fund		2,786		209
Opportunistic Income Fund		12,552		1,304
U.S. Treasury Fund		12,960		1,752

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2019, the below Funds had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses*
Core Plus Bond Fund		0.126%

* Annualized.

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, 2019, 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, 2019 are noted in the table below:

Fund Name	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		41,081,658		56,113,410		103,571,294		73,090,000
Core Plus Bond Fund		594,500,265		180,974,686		628,180,026		227,298,586
Emerging Country Debt Fund		64,197,422		490,444,351		51,565,767		421,797,544
High Yield Fund		11,329,297		145,182,022		14,672,094		95,773,870
Opportunistic Income Fund		60,534,027		190,911,231		60,709,308		299,323,303
U.S. Treasury Fund		—		—		—		—

7. Guarantees

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

92

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2019

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	‡		69.62	%		< 0.01	%		99.98	%
Core Plus Bond Fund		4	#		78.96	%		0.01	%		97.46	%
Emerging Country Debt Fund		—			—			0.13	%		19.22	%
High Yield Fund		2	‡		99.99	%		—			100.00	%
Opportunistic Income Fund		3	§		88.66	%		0.77	%		98.79	%
U.S. Treasury Fund		2	#		34.78	%		0.69	%		86.79	%

‡ 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, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		—		$	—			323,246		$	7,094,871
Shares issued to shareholders in reinvestment of distributions		64,583			1,429,864			217,076			4,658,802
Shares repurchased		(1,036,094	)		(22,980,922	)		(6,141,016	)		(136,252,051	)
Net increase (decrease)		(971,511	)	$	(21,551,058	)		(5,600,694	)	$	(124,498,378	)
Class VI:
Shares sold		127,215		$	2,800,000			559,591		$	12,172,474
Shares issued to shareholders in reinvestment of distributions		222,130			4,931,301			766,638			16,505,943
Shares repurchased		(3,358,154	)		(74,576,393	)		(33,498,610	)		(740,235,562	)
Net increase (decrease)		(3,008,809	)	$	(66,845,092	)		(32,172,381	)	$	(711,557,145	)
Core Plus Bond Fund
Class III:
Shares sold		16,488		$	352,710			2,392,287		$	50,128,789
Shares issued to shareholders in reinvestment of distributions		—			—			100,928			2,073,392
Shares repurchased		(599,733	)		(13,261,959	)		(118,350	)		(2,499,196	)
Net increase (decrease)		(583,245	)	$	(12,909,249	)		2,374,865		$	49,702,985
Class IV:
Shares sold		213,876		$	4,556,254			9,700,548		$	203,400,272
Shares issued to shareholders in reinvestment of distributions		—			—			1,452,774			29,943,776
Shares repurchased		(3,437,144	)		(75,523,034	)		(27,325,419	)		(575,500,755	)
Net increase (decrease)		(3,223,268	)	$	(70,966,780	)		(16,172,097	)	$	(342,156,707	)

93

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund
Class III:
Shares sold		2,631,884		$	71,653,020			4,223,809		$	113,980,360
Shares issued to shareholders in reinvestment of distributions		622,442			17,129,609			2,995,477			76,849,920
Shares repurchased		(5,924,151	)		(164,191,686	)		(3,437,900	)		(93,037,193	)
Purchase premiums		—			15,559			—			717,117
Redemption fees		—			283,722			—			729,206
Net increase (decrease)		(2,669,825	)	$	(75,109,776	)		3,781,386		$	99,239,410
Class IV:
Shares sold		5,363,931		$	148,827,109			12,706,912		$	341,918,055
Shares issued to shareholders in reinvestment of distributions		1,376,759			37,833,334			7,021,515			179,598,243
Shares repurchased		(6,208,655	)		(169,236,471	)		(13,508,216	)		(366,101,076	)
Purchase premiums		—			36,243			—			1,575,671
Redemption fees		—			612,831			—			1,569,189
Net increase (decrease)		532,035		$	18,073,046			6,220,211		$	158,560,082
High Yield Fund
Class VI:*
Shares sold		267		$	5,517			24,418,763	(a)	$	489,560,914	(a)
Shares issued to shareholders in reinvestment of distributions		212,270			4,379,125			422,797			8,155,753
Shares repurchased		(182,649	)		(3,768,042	)		(14,314,817	)		(286,953,319	)
Net increase (decrease)		29,888		$	616,600			10,526,743		$	210,763,348
Opportunistic Income Fund
Class VI:
Shares sold		688,632		$	18,129,581			5,491,424		$	146,241,083
Shares issued to shareholders in reinvestment of distributions		318,729			8,452,702			1,432,303			37,450,244
Shares repurchased		(4,435,019	)		(117,935,529	)		(14,383,492	)		(381,577,895	)
Purchase premiums		—			69,775			—			547,528
Redemption fees		—			250,983			—			1,486,572
Net increase (decrease)		(3,427,658	)	$	(91,032,488	)		(7,459,765	)	$	(195,852,468	)
U.S. Treasury Fund
Core Class:
Shares sold		408,398,981		$	2,041,994,903			441,036,241	(b)	$	5,077,646,036
Shares issued to shareholders in reinvestment of distributions		625,243			3,126,216			1,124,838	(b)		19,828,549
Shares repurchased		(430,435,957	)		(2,152,179,783	)		(408,046,941	)(b)(c)		(6,786,663,728	)(c)
Net increase (decrease)		(21,411,733	)	$	(107,058,664	)		34,114,138		$	(1,689,189,143	)

* The period under the heading “Year Ended February 28, 2019” represents the period from June 25, 2018 (commencement of operations) through February 28, 2019.

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

^(b) Shares were adjusted to reflect an approximate 5:1 stock split effective December 6, 2018.

^(c) 203,548,498 shares and $1,017,970,052 were redeemed in-kind by an affiliate.

94

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities 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, 2019 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	$	29,705,779	$	56,113,410	$	73,090,000	$	182,863	$	—		$	—	$	12,729,189
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	34,628,088	$	—	$	—	$	527,247	$	—		$	1,202,993	$	35,831,081
GMO Opportunistic Income Fund, Class VI		135,749,920		—		—		1,430,010		—			2,745,038		138,494,958
GMO U.S. Treasury Fund		39,599,632		176,100,000		201,999,999		106,465		—			—		13,699,633
Totals	$	209,977,640	$	176,100,000	$	201,999,999	$	2,063,722	$	—		$	3,948,031	$	188,025,672
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,190,722	$	—	$	—	$	886,938	$	—		$	—	$	74,190,722
High Yield Fund
GMO U.S. Treasury Fund	$	3,539,546	$	88,156,545	$	78,235,000	$	52,004	$	—		$	—	$	13,461,091
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	17,465,242	$	15,000,000	$	22,250,000	$	136,023	$	(2,899	)	$	2,899	$	10,215,242

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through August 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

95

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2019 (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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 divisions that manage the Fund. The Trustees discussed how a fund using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that fee. The Trustees also considered possible alternative fee arrangements.

96

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 agreement for GMO Core Plus Bond Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 fund managed by the investment division that manages the Fund. The Trustees discussed how a fund using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology services.

97

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

98

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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.

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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 High Yield Fund

Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

99

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

At a meeting on May 16, 2019, the Trustees discussed at length 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 6, 2019. 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 fund managed by the investment division that manages the Fund. The Trustees discussed how a fund using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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.

100

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 fund managed by the investment division that manages the Fund. The Trustees discussed how a fund using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that fee. The Trustees also considered possible alternative fee arrangements.

101

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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.

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, operational and technology 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, as well as changes in that methodology, and

102

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2019 (Unaudited)

considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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.

103

GMO Trust Funds

Fund Expenses

August 31, 2019 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2019.

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,

2019 through August 31, 2019.

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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,071.90		$2.14		$1,000.00		$1,023.08		$2.08		0.41%
Class VI		$1,000.00		$1,072.20		$1.61		$1,000.00		$1,023.58		$1.58		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$1,092.90		$2.21		$1,000.00		$1,023.03		$2.14		0.42%
Class IV		$1,000.00		$1,093.10		$1.95		$1,000.00		$1,023.28		$1.88		0.37%
Emerging Country Debt Fund
Class III		$1,000.00		$1,049.80		$2.83		$1,000.00		$1,022.37		$2.80		0.55%
Class IV		$1,000.00		$1,050.10		$2.58		$1,000.00		$1,022.62		$2.54		0.50%
High Yield Fund
Class VI		$1,000.00		$1,049.90		$2.83		$1,000.00		$1,022.37		$2.80		0.55%
Opportunistic Income Fund
Class VI		$1,000.00		$1,030.80		$2.40		$1,000.00		$1,022.77		$2.39		0.47%
U.S. Treasury Fund
Core		$1,000.00		$1,012.00		$0.15		$1,000.00		$1,024.99		$0.15		0.03%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2019, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

104

GMO Trust

Semiannual Report

August 31, 2019

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.

Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.

Shareholder Services at

Grantham, Mayo, Van Otterloo & Co. LLC

40 Rowes Wharf, Boston, Massachusetts 02110

1-617-346-7646 (collect)

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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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 or Form N-Port (available for filings after March 31, 2019), which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q or Form N-Port may be reviewed and copied, after paying a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov. 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-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
International Equity Fund
Investment Concentration Summary	17
Schedule of Investments	18
Quality Fund
Investment Concentration Summary	23
Schedule of Investments	24
Resources Fund
Investment Concentration Summary	26
Schedule of Investments	27
Risk Premium Fund
Investment Concentration Summary	30
Schedule of Investments	31
Tax-Managed International Equities Fund
Investment Concentration Summary	32
Schedule of Investments	33
U.S. Equity Fund
Investment Concentration Summary	39
Schedule of Investments	40
U.S. Small Cap Value Fund
Investment Concentration Summary	44
Schedule of Investments	45
Portfolio, Counterparty and Currency Abbreviations	50
Fund Financial Statements:
Statements of Assets and Liabilities	51
Statements of Operations	57
Statements of Changes in Net Assets	60
Financial Highlights	65
Notes to Financial Statements	79
Board Review of Investment Management Agreements	126
Fund Expenses	139

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.5	%
Mutual Funds		4.0
Preferred Stocks		2.8
Short-Term Investments		0.2
Other		(2.5	)
		100.0	%
Country Summary¤	% of Investments
United States		33.8	%
Japan		9.7
France		8.5
Russia		4.9
United Kingdom		4.0
Other Emerging		3.8	†
Spain		3.7
Germany		3.6
Denmark		3.0
Canada		3.0
China		3.0
Italy		2.9
Chile		2.7
Norway		2.4
Other Developed		2.2	‡
Brazil		2.2
Australia		1.6
Israel		1.4
Poland		1.3
Portugal		1.3
Mexico		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Clean Energy		38.8	%
Energy Efficiency		21.8
Agriculture		16.3
Copper		10.1
Electric Grid		6.3
Water		6.0
Smart Grid		0.7
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

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

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

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

1

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.5%
		Argentina — 0.8%
	162,053	Adecoagro SA *		904,256
		Australia — 1.7%
	415,437	Infigen Energy		164,778
	19,699	OZ Minerals Ltd		121,488
	53,371	Quintis Ltd * (a) (b)		—
	238,096	Sandfire Resources NL		999,160
	182,396	Tassal Group Ltd		529,875
		Total Australia		1,815,301
		Brazil — 2.2%
	94,700	Cosan SA		1,143,215
	74,400	Duratex SA		238,058
	194,700	Sao Martinho SA		838,795
	52,000	SLC Agricola SA		217,619
		Total Brazil		2,437,687
		Canada — 3.1%
	77,463	Canadian Solar Inc *		1,811,860
	887,600	Largo Resources Ltd *		913,333
	59,800	Lundin Mining Corp		285,211
	16,100	NFI Group Inc		351,409
		Total Canada		3,361,813
		China — 3.0%
	883,000	Chaowei Power Holdings Ltd		323,756
	609,000	China Datang Corp Renewable Power Co Ltd – Class H		56,616
	386,000	China High Speed Transmission Equipment Group Co Ltd		210,294
	825,000	China Suntien Green Energy Corp Ltd – Class H		211,995
	18,600	Hollysys Automation Technologies Ltd		291,090
	1,740,000	Huaneng Renewables Corp Ltd – Class H		481,816
	168,000	MMG Ltd *		34,545
	746,000	Tianneng Power International Ltd		587,819
	518,000	Wasion Group Holdings Ltd		185,368
	620,120	Xinjiang Goldwind Science & Technology Co Ltd – Class H		728,498
	110,214	Zhengzhou Yutong Bus Co Ltd – Class A		224,131
		Total China		3,335,928
		Denmark — 3.1%
	46,590	Vestas Wind Systems A/S		3,425,988
		Finland — 0.2%
	17,755	Kemira Oyj		250,242

Shares		Description	Value ($)
		France — 8.7%
	16,842	Albioma SA		434,943
	94,730	Electricite de France SA		1,151,992
	20,006	Nexans SA		642,034
	13,537	Schneider Electric SE		1,133,912
	24,543	STMicroelectronics NV		434,642
	98,076	Suez		1,522,731
	60,545	Valeo SA		1,656,677
	81,320	Veolia Environnement SA		1,944,687
	11,700	Vilmorin & Cie SA		628,017
		Total France		9,549,635
		Germany — 3.7%
	13,683	CENTROTEC Sustainable AG		185,243
	104,396	E.ON SE		971,268
	24,879	K+S AG (Registered)		393,967
	209	Knorr-Bremse AG		19,552
	14,366	Nordex SE *		145,910
	23,966	Siemens AG (Registered)		2,396,656
		Total Germany		4,112,596
		India — 0.1%
	253,775	Rashtriya Chemicals & Fertilizers Ltd		145,745
		Israel — 1.5%
	357,997	Israel Chemicals Ltd		1,616,773
		Italy — 2.9%
	279,636	Enel SPA		2,028,699
	25,758	Prysmian SPA		565,278
	99,537	Terna Rete Elettrica Nazionale SPA		627,192
		Total Italy		3,221,169
		Japan — 9.9%
	7,800	Central Japan Railway Co		1,542,253
	900	Daikin Industries Ltd		111,281
	16,600	East Japan Railway Co		1,579,912
	35,900	Ebara Corp		850,349
	36,500	GS Yuasa Corp		610,454
	88,700	Hitachi Zosen Corp		283,527
	81,000	Kubota Corp		1,160,526
	9,000	Kurita Water Industries Ltd		233,730
	4,300	METAWATER Co Ltd		148,854
	47,700	Osaki Electric Co Ltd		296,406
	159,500	Panasonic Corp		1,228,616
	89,700	Renesas Electronics Corp *		559,044
	41,700	Takuma Co Ltd		480,797
	7,600	Tsukishima Kikai Co Ltd		94,331
	18,500	West Japan Railway Co		1,558,607
	8,000	Yokogawa Electric Corp		145,140
		Total Japan		10,883,827

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.2%
	724,600	George Kent Malaysia Berhad		180,398
		Mexico — 1.0%
	489,900	Grupo Mexico SAB de CV		1,128,103
		Netherlands — 0.8%
	46,972	Arcadis NV		889,054
		Norway — 2.5%
	159,340	Austevoll Seafood ASA		1,635,196
	704	Bakkafrost P/F		41,372
	27,157	Grieg Seafood ASA		333,067
	1,183	Mowi ASA (a)		28,298
	6,512	Norway Royal Salmon ASA		133,121
	1,025	Salmar ASA		48,628
	11,052	Yara International ASA		478,934
		Total Norway		2,698,616
		Pakistan — 0.4%
	827,000	Fauji Fertilizer Co Ltd		482,888
		Poland — 1.4%
	77,187	KGHM Polska Miedz SA *		1,516,036
		Portugal — 1.3%
	375,522	EDP – Energias de Portugal SA		1,419,400
		Russia — 5.0%
	117,000	MMC Norilsk Nickel PJSC ADR		2,840,601
	105,480	PhosAgro PJSC GDR (Registered)		1,366,309
	116,061	Ros Agro Plc GDR (Registered)		1,267,143
		Total Russia		5,474,053
		South Africa — 0.0%
	19,722	Tongaat Hulett Ltd * (b)		8,588
		South Korea — 0.7%
	2,945	LG Chem Ltd		805,696
		Spain — 3.8%
	6,288	Acciona SA		675,427
	2,409	Construcciones y Auxiliar de Ferrocarriles SA		104,585
	65,788	Endesa SA		1,690,809
	11,949	Fomento de Construcciones y Contratas SA		148,741
	85,454	Iberdrola SA		879,664
	33,043	Red Electrica Corp SA		656,186
		Total Spain		4,155,412
		Sweden — 0.3%
	37,757	Svenska Cellulosa AB SCA – Class B		326,237

Shares		Description	Value ($)
		Switzerland — 0.9%
	877	Gurit Holding AG		1,006,340
		Taiwan — 0.6%
	150,000	Delta Electronics Inc		699,180
		Thailand — 0.2%
	446,400	SPCG Pcl		271,202
		Ukraine — 0.7%
	67,964	Kernel Holding SA		771,638
		United Kingdom — 4.1%
	96,055	Antofagasta Plc		1,015,355
	81,236	Drax Group Plc		267,203
	27,798	Go-Ahead Group Plc		704,347
	50,027	KAZ Minerals Plc		245,490
	70,590	National Grid Plc		739,401
	77,381	Polypipe Group Plc		354,986
	159,653	Renewables Infrastructure Group Ltd (The)		252,589
	961,840	Renewi Plc		360,692
	375,079	Stagecoach Group Plc		563,974
		Total United Kingdom		4,504,037
		United States — 30.7%
	13,000	AGCO Corp.		898,560
	49,900	Albemarle Corp. (a)		3,080,327
	54,300	BorgWarner, Inc.		1,771,809
	4,700	Darling Ingredients, Inc. *		87,420
	1,100	Deere & Co.		170,401
	44,600	Delphi Technologies Plc		590,058
	14,200	Eaton Corp Plc		1,146,224
	11,400	Edison International		823,878
	5,800	EnerSys		324,800
	37,400	Exelon Corp.		1,767,524
	26,500	First Solar, Inc. *		1,644,855
	612,780	Freeport-McMoRan, Inc.		5,631,448
	20,300	FutureFuel Corp.		218,834
	2,500	Ingersoll-Rand Plc		302,725
	27,700	Johnson Controls International Plc		1,182,513
	166,100	Livent Corp. *		1,021,515
	98,900	Mosaic Co. (The)		1,818,771
	45,400	ON Semiconductor Corp. *		808,120
	29,500	Owens Corning		1,692,120
	141,400	Renewable Energy Group, Inc. *		1,720,838
	4,800	REX American Resources Corp. *		329,664
	8,200	Rexnord Corp. *		214,676
	70,395	SolarEdge Technologies, Inc. *		5,766,759
	5,100	TE Connectivity Ltd.		465,222
	10,100	TPI Composites, Inc. *		178,164
	700	Valmont Industries, Inc.		94,850
		Total United States		33,752,075
		TOTAL COMMON STOCKS (COST $110,774,861)		105,149,913

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, 2019 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (c) — 2.8%
		Chile — 2.8%
	125,900	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		3,102,176
		TOTAL PREFERRED STOCKS (COST $5,457,850)		3,102,176
		MUTUAL FUNDS — 4.0%
		United States — 4.0%
		Affiliated Issuers — 4.0%
	873,680	GMO U.S. Treasury Fund (d)		4,368,402
		TOTAL MUTUAL FUNDS (COST $4,368,402)		4,368,402
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	218,705	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (e)		218,705
		TOTAL SHORT-TERM INVESTMENTS (COST $218,705)		218,705
		TOTAL INVESTMENTS — 102.5% (Cost $120,819,818)		112,839,196
		Other Assets and Liabilities (net) — (2.5%)		(2,711,280	)
		TOTAL NET ASSETS — 100.0%		$110,127,916

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

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

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

(d) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(e) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

4 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		84.1	%
Investment Funds		7.3
Mutual Funds		3.7
Preferred Stocks		3.0
Debt Obligations		1.0
Short-Term Investments		0.2
Futures Contracts		0.0	^
Other		0.7
		100.0	%
Country Summary¤	% of Investments
China		28.6	%
Taiwan		12.1
Thailand		10.9
South Korea		7.4
United States		6.3	*
Brazil		5.8
Switzerland		4.3
Russia		3.5
Indonesia		3.3
India		3.1
Philippines		2.6
Mexico		1.9
South Africa		1.6
Turkey		1.6
Hong Kong		1.5
United Kingdom		1.3	*
Vietnam		1.0
Belgium		0.8
France		0.7
Peru		0.6
Japan		0.4
Greece		0.4
United Arab Emirates		0.3
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		22.5	%
Food, Beverage & Tobacco		10.5
Retailing		9.4
Technology Hardware & Equipment		9.2
Media & Entertainment		8.4
Semiconductors & Semiconductor Equipment		8.2
Insurance		6.7
Real Estate		4.7
Food & Staples Retailing		3.2
Transportation		3.2
Household & Personal Products		3.0
Consumer Services		2.7
Capital Goods		2.4
Diversified Financials		1.6
Consumer Durables & Apparel		1.5
Energy		0.5
Telecommunication Services		0.4
Software & Services		0.4
Utilities		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Materials		0.4
Automobiles & Components		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# 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%.

5

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 84.1%
		Belgium — 0.8%
	83,996	Anheuser-Busch InBev SA/NV		7,939,246
		Brazil — 2.7%
	685,700	Atacadao SA		3,692,613
	176,700	B3 SA – Brasil Bolsa Balcao		1,911,654
	429,639	Banco BTG Pactual SA		6,077,820
	880,500	BR Malls Participacoes SA		2,866,250
	703,500	Localiza Rent a Car SA		7,991,461
	908,300	Rumo SA *		4,847,484
		Total Brazil		27,387,282
		China — 26.9%
	380,376	Alibaba Group Holding Ltd Sponsored ADR *		66,577,211
	6,882,004	China Construction Bank Corp – Class H		5,114,116
	189,800	China Gas Holdings Ltd		782,398
	319,229	China International Travel Service Corp Ltd – Class A		4,271,698
	1,543,000	China Mengniu Dairy Co Ltd *		6,104,022
	1,630,500	China Merchants Bank Co Ltd – Class H		7,397,515
	3,770,000	China Overseas Land & Investment Ltd		11,892,561
	2,324,000	China Resources Land Ltd		9,421,889
	1,670,000	CSPC Pharmaceutical Group Ltd		3,327,405
	1,799,372	Midea Group Co Ltd – Class A		13,313,929
	13,300	NetEase Inc ADR		3,391,500
	44,900	New Oriental Education & Technology Group Inc Sponsored ADR *		5,091,660
	5,388,751	Ping An Bank Co Ltd – Class A		10,679,414
	2,826,905	Ping An Insurance Group Co of China Ltd – Class H		32,433,096
	702,093	SAIC Motor Corp Ltd – Class A		2,464,492
	1,569,184	Tencent Holdings Ltd		64,784,585
	2,258,000	Tingyi Cayman Islands Holding Corp		3,104,706
	603,971	Toly Bread Co Ltd – Class A		4,085,714
	499,711	Wuliangye Yibin Co Ltd – Class A		9,894,723
	294,600	Yum China Holdings Inc		13,383,678
		Total China		277,516,312
		France — 0.7%
	26,729	L’Oreal SA		7,298,513
		Greece — 0.4%
	2,173,257	Eurobank Ergasias SA *		1,922,243
	759,375	National Bank of Greece SA *		2,201,313
		Total Greece		4,123,556
		Hong Kong — 1.4%
	1,527,041	AIA Group Ltd		14,776,793

Shares		Description	Value ($)
		India — 4.3%
	870,808	CMI Ltd (a)		696,243
	961,668	Coffee Day Enterprises Ltd *		1,008,037
	10,683,040	Gayatri Highways Ltd *		59,836
	11,052,457	Gayatri Projects Ltd * (a)		16,440,025
	151,965	HDFC Bank Ltd		4,759,229
	1,269,762	HDFC Life Insurance Co Ltd		9,888,849
	129,178	Hindustan Unilever Ltd		3,406,442
	327,924	ICICI Bank Ltd		1,883,238
	486,985	ICICI Prudential Life Insurance Co Ltd		2,892,679
	145,556	Kotak Mahindra Bank Ltd		2,926,591
		Total India		43,961,169
		Indonesia — 3.2%
	14,298,464	Bank Central Asia Tbk PT		30,688,288
	6,922,000	Bank Rakyat Indonesia Persero Tbk PT		2,083,676
		Total Indonesia		32,771,964
		Japan — 0.4%
	34,000	Daikin Industries Ltd		4,203,951
		Mexico — 1.8%
	1,607,200	Fomento Economico Mexicano SAB de CV		14,700,288
	766,400	Grupo Financiero Banorte SAB de CV – Class O		4,135,344
		Total Mexico		18,835,632
		Peru — 0.6%
	28,582	Credicorp Ltd		5,919,904
		Philippines — 2.5%
	5,505,882	BDO Unibank Inc		15,754,458
	6,513,940	Puregold Price Club Inc		5,495,979
	10,195,000	Semirara Mining & Power Corp		4,542,901
		Total Philippines		25,793,338
		Russia — 3.0%
	147,800	QIWI Plc Sponsored ADR		3,591,540
	1,099,319	Sberbank of Russia PJSC Sponsored ADR		15,088,193
	138,401	X5 Retail Group NV GDR (Registered)		4,776,596
	199,400	Yandex NV – Class A *		7,397,740
		Total Russia		30,854,069
		South Africa — 1.6%
	858,204	FirstRand Ltd		3,395,890
	56,337	Naspers Ltd – N Shares		12,820,367
		Total South Africa		16,216,257

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, 2019 (Unaudited)

Shares		Description	Value ($)
		South Korea — 7.2%
	99,177	KB Financial Group Inc		3,240,414
	3,374	LG Household & Health Care Ltd		3,291,700
	1,871,387	Samsung Electronics Co Ltd		68,135,272
		Total South Korea		74,667,386
		Switzerland — 4.3%
	389,700	Nestle SA (Registered)		43,792,301
		Taiwan — 11.9%
	817,770	Chailease Holding Co Ltd		3,240,155
	11,994,000	CTBC Financial Holding Co Ltd		7,768,834
	1,815,000	Delta Electronics Inc		8,460,078
	7,627,575	E.Sun Financial Holding Co Ltd		6,129,558
	26,000	Largan Precision Co Ltd		3,228,472
	7,194,000	Mega Financial Holding Co Ltd		6,582,198
	539,000	President Chain Store Corp		5,011,307
	2,674,486	Taiwan Cement Corp		3,272,023
	8,978,000	Taiwan Semiconductor Manufacturing Co Ltd		73,768,855
	2,017,000	Uni-President Enterprises Corp		4,918,551
		Total Taiwan		122,380,031
		Thailand — 6.3%
	489,800	Advanced Info Service Pcl (Foreign Registered)		3,710,065
	6,693,400	Airports of Thailand Pcl (Foreign Registered)		15,722,371
	3,656,400	CP ALL Pcl (Foreign Registered)		10,024,583
	1,817,400	CPN Retail Growth Leasehold (Foreign Registered) (REIT)		2,048,520
	1,643,000	Delta Electronics Thailand Pcl (Foreign Registered)		2,616,832
	275,800	Delta Electronics Thailand Pcl NVDR		439,271
	9,008,000	Home Product Center Pcl (Foreign Registered)		5,292,847
	22,680,824	Land & Houses Pcl (Foreign Registered)		7,992,367
	9,685,000	Quality Houses Leasehold Property Fund		4,779,470
	3,749,900	Tisco Financial Group Pcl (Foreign Registered)		12,486,089
		Total Thailand		65,112,415
		Turkey — 1.5%
	13,308,604	Akbank TAS *		15,819,269
		United Arab Emirates — 0.3%
	2,526,700	Emaar Properties PJSC		3,411,514
		United Kingdom — 1.3%
	210,300	Unilever Plc		13,286,372

Shares / Par Value†		Description	Value ($)
		Vietnam — 1.0%
	3,162,750	Bank for Foreign Trade of Vietnam JSC		10,581,447
		TOTAL COMMON STOCKS (COST $850,668,949)		866,648,721
		PREFERRED STOCKS (b) — 3.0%
		Brazil — 3.0%
	1,515,360	Banco Bradesco SA		12,057,743
	725,800	Companhia Energetica de Minas Gerais		2,587,010
	2,014,950	Itau Unibanco Holding SA		16,514,707
		Total Brazil		31,159,460
		TOTAL PREFERRED STOCKS (COST $37,096,788)		31,159,460
		INVESTMENT FUNDS — 7.3%
		China — 1.1%
	802,200	Hang Seng Investment Index Funds Series –Hang Seng CEI ETF		10,548,337
		Russia — 0.4%
	188,900	VanEck Vectors Russia ETF		4,204,914
		Thailand — 4.3%
	80,428,290	Digital Telecommunications Infrastructure Fund		44,420,146
		United States — 1.5%
	322,442	iShares Core MSCI Emerging Markets ETF		15,564,275
		TOTAL INVESTMENT FUNDS (COST $68,771,718)		74,737,672
		DEBT OBLIGATIONS — 1.0%
		United States — 1.0%
	10,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (c)		9,988,371
		TOTAL DEBT OBLIGATIONS (COST $10,001,963)		9,988,371
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	7,665,707	GMO U.S. Treasury Fund		38,328,536
		TOTAL MUTUAL FUNDS (COST $38,329,601)		38,328,536

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	2,079,306	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (d)		2,079,306
		TOTAL SHORT-TERM INVESTMENTS (COST $2,079,306)		2,079,306
		TOTAL INVESTMENTS — 99.3% (Cost $1,006,948,325)		1,022,942,066
		Other Assets and Liabilities (net) — 0.7%		7,689,561
		TOTAL NET ASSETS — 100.0%		$1,030,631,627

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
145	Mini MSCI Emerging Markets		September 2019	$	7,134,000	$	33,040
Sales
563	SGX NIFTY 50		September 2019	$	12,453,120	$	35,336

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Affiliated company (Note 10).

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

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

(d) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

8 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.8	%
Investment Funds		4.6
Mutual Funds		3.5
Preferred Stocks		3.3
Short-Term Investments		0.5
Swap Contracts		0.1
Other		0.2
		100.0	%
Country Summary¤	% of Investments
China		34.8	%
Taiwan		16.1
Russia		15.6
United States		8.2	*
Turkey		5.8
South Africa		4.2
South Korea		3.8
Poland		3.2
India		3.0
Qatar		1.4
United Kingdom		0.8	*
Thailand		0.7
United Arab Emirates		0.5
Mexico		0.4
Indonesia		0.4
Philippines		0.4
Pakistan		0.3
Peru		0.1
Czech Republic		0.1
Argentina		0.1
Brazil		0.1
Colombia		0.0	^
Chile		0.0	^
Sri Lanka		0.0	^
Malaysia		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		19.3	%
Energy		14.3
Real Estate		9.4
Technology Hardware & Equipment		9.0
Materials		8.5
Semiconductors & Semiconductor Equipment		7.6
Retailing		5.2
Insurance		4.9
Capital Goods		4.3
Media & Entertainment		3.3
Utilities		2.4
Diversified Financials		2.2
Consumer Durables & Apparel		1.6
Telecommunication Services		1.3
Health Care Equipment & Services		1.1
Automobiles & Components		1.1
Household & Personal Products		1.1
Consumer Services		1.1
Food, Beverage & Tobacco		0.9
Transportation		0.8
Software & Services		0.5
Food & Staples Retailing		0.1
Commercial & Professional Services		0.0	^
Pharmaceuticals, Biotechnology & Life Sciences		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# 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%.

9

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.8%
		Argentina — 0.1%
	47,500	Banco Macro SA ADR		1,107,225
	47,400	Grupo Financiero Galicia SA ADR		513,816
	26,100	Grupo Supervielle SA Sponsored ADR		64,206
		Total Argentina		1,685,247
		Brazil — 0.0%
	17,200	Cia de Saneamento de Minas Gerais-COPASA		288,093
	126,300	Light SA		617,622
		Total Brazil		905,715
		Chile — 0.0%
	45,779	Inversiones La Construccion SA		662,324
		China — 34.6%
	4,196,000	361 Degrees International Ltd		887,873
	773,000	AAC Technologies Holdings Inc		3,319,943
	3,514,000	Agile Group Holdings Ltd		4,473,426
	12,856,500	Agricultural Bank of China Ltd – Class A		6,117,730
	75,662,290	Agricultural Bank of China Ltd – Class H		29,088,466
	1,330,000	Agritrade Resources Ltd		154,489
	6,713,130	Aier Eye Hospital Group Co Ltd – Class A		31,744,656
	545,726	Alibaba Group Holding Ltd Sponsored ADR *		95,518,422
	1,058,536	Anhui Conch Cement Co Ltd – Class A		5,844,026
	3,969,500	Anhui Conch Cement Co Ltd – Class H		22,282,045
	737,800	Anhui Expressway Co Ltd – Class A		565,620
	31,000	ANTA Sports Products Ltd		257,146
	108,752,682	Bank of China Ltd – Class H		41,583,988
	271,500	Baoye Group Co Ltd – Class H *		150,418
	676,000	Beijing Enterprises Water Group Ltd. *		354,363
	8,712,341	Beijing North Star Co Ltd – Class A		4,143,480
	1,383,000	BYD Electronic International Co Ltd		1,655,438
	394,000	CAR Inc *		279,167
	2,837,000	CGN Power Co Ltd – Class H		747,933
	8,600	Changyou.com Ltd ADR *		49,364
	32,800	Cheetah Mobile Inc ADR *		129,560
	451,000	China Aoyuan Group Ltd		529,247
	1,867,100	China Communications Construction Co Ltd – Class A		2,609,043
	1,320,000	China Communications Construction Co Ltd – Class H		1,021,714
	6,790,560	China Communications Services Corp Ltd – Class H		3,792,835
	117,861,906	China Construction Bank Corp – Class H		87,584,877
	578,000	China Evergrande Group		1,193,153
	2,127,368	China International Travel Service Corp Ltd – Class A		28,466,944
	13,654,000	China Jinmao Holdings Group Ltd		7,601,452
	226,000	China Lesso Group Holdings Ltd		216,630
	1,074,000	China Life Insurance Co Ltd – Class H		2,510,383

Shares		Description	Value ($)
		China — continued
	8,776,000	China Machinery Engineering Corp – Class H		3,431,808
	2,637,877	China Merchants Bank Co Ltd – Class A		12,656,611
	2,709,437	China Mobile Ltd		22,419,455
	148,200	China Mobile Ltd Sponsored ADR		6,122,142
	2,642,000	China Oriental Group Co Ltd		1,042,545
	1,333,000	China Overseas Grand Oceans Group Ltd		630,234
	14,652,000	China Overseas Land & Investment Ltd		46,220,108
	600,000	China Overseas Property Holdings Ltd		305,172
	1,798,600	China Pacific Insurance Group Co Ltd – Class A		9,517,792
	16,500	China Petroleum & Chemical Corp ADR		959,805
	75	China Petroleum & Chemical Corp – Class A		52
	12,316,000	China Petroleum & Chemical Corp – Class H		7,184,356
	1,636,800	China Railway Construction Corp Ltd – Class A		2,086,065
	2,259,974	China Railway Group Ltd – Class A		1,901,293
	2,591,000	China Railway Group Ltd – Class H		1,691,796
	245,000	China Reinsurance Group Corp – Class H		39,950
	5,214,000	China Resources Cement Holdings Ltd		4,606,995
	536,000	China Resources Gas Group Ltd		2,644,967
	9,976,000	China Resources Land Ltd		40,444,392
	138,000	China SCE Group Holdings Ltd		66,884
	4,953,944	China Shenhua Energy Co Ltd – Class A		12,959,496
	11,397,000	China Shenhua Energy Co Ltd – Class H		22,364,800
	418,000	China South City Holdings Ltd		51,627
	636,000	China State Construction International Holdings Ltd		572,383
	323,600	China Taiping Insurance Holdings Co Ltd		726,145
	3,776,000	China Travel International Investment Hong Kong Ltd		577,072
	2,829,602	China Vanke Co Ltd – Class A		10,214,494
	3,914,900	China Vanke Co Ltd – Class H		13,492,006
	908,886	Chongqing Changan Automobile Co Ltd – Class A		1,018,365
	6,193,000	CNOOC Ltd		9,174,409
	1,400	CNOOC Ltd Sponsored ADR		207,536
	11,541,000	Country Garden Holdings Co Ltd		14,293,401
	4,048,101	CRRC Corp Ltd – Class A		4,126,274
	1,751,000	Dongyue Group Ltd		823,984
	299,653	Foshan Electrical and Lighting Co Ltd – Class A		214,921
	234,000	Future Land Development Holdings Ltd		184,328
	1,699,000	Geely Automobile Holdings Ltd		2,617,252
	2,422,000	Gemdale Properties & Investment Corp Ltd		268,092
	17,462,000	Guangdong Investment Ltd		36,760,011
	138,779	Guangdong Provincial Expressway Development Co Ltd – Class A		145,450
	2,294,400	Guangzhou R&F Properties Co Ltd – Class H		3,682,885
	78,000	Haier Electronics Group Co Ltd		203,092
	557,922	Hangzhou Robam Appliances Co Ltd – Class A		1,955,346
	481,000	Hebei Construction Group Corp Ltd – Class H		328,868

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, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	9,469,555	Hisense Home Appliances Group Co Ltd – Class A		15,640,607
	86,800	Hollysys Automation Technologies Ltd		1,358,420
	244,000	Hopson Development Holdings Ltd		239,526
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		679,680
	9,448,000	Huabao International Holdings Ltd		3,583,084
	2,409,250	Huaxin Cement Co Ltd – Class A		6,268,532
	1,418,000	IGG Inc		958,633
	3,155,800	Industrial & Commercial Bank of China Ltd – Class A		2,380,678
	103,297,647	Industrial & Commercial Bank of China Ltd – Class H		65,145,330
	317,300	Inner Mongolia Yitai Coal Co Ltd – Class H		210,703
	305,500	Jiangsu Expressway Co Ltd – Class A		430,690
	4,158,000	Jiayuan International Group Ltd		1,657,747
	78,000	Jumei International Holding Ltd ADR *		148,200
	2,022,000	Kingboard Laminates Holdings Ltd		1,591,591
	6,658,000	Kunlun Energy Co Ltd		5,787,901
	137,228	Kweichow Moutai Co Ltd – Class A		21,931,174
	1,298,500	KWG Property Holding Ltd *		1,127,283
	5,856,000	Logan Property Holdings Co Ltd		8,227,571
	1,916,500	Longfor Group Holdings Ltd		6,815,012
	1,168,555	Midea Group Co Ltd – Class A		8,646,383
	15,300	NetEase Inc ADR		3,901,500
	826,000	New China Life Insurance Co Ltd – Class H		3,249,303
	17,309,000	PICC Property & Casualty Co Ltd – Class H		19,792,693
	2,889,050	Ping An Insurance Group Co of China Ltd – Class A		35,349,234
	1,170,000	Ping An Insurance Group Co of China Ltd – Class H		13,423,416
	5,268,400	Qingling Motors Co Ltd – Class H		1,255,497
	188,000	Road King Infrastructure Ltd		329,846
	2,227,600	SAIC Motor Corp Ltd -– Class A		7,819,336
	1,377,477	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		2,667,743
	585,748	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		1,449,983
	642,586	Shenzhen Expressway Co Ltd – Class A		861,854
	118,000	Shenzhen Expressway Co Ltd – Class H		144,375
	2,065,809	Shenzhen Investment Ltd		781,406
	2,960,000	Shimao Property Holdings Ltd		8,349,256
	1,089,500	Shui On Land Ltd		226,156
	176,500	Sinopec Engineering Group Co Ltd – Class H		115,091
	4,103,900	Sinopec Shanghai Petrochemical Co Ltd – Class A		2,423,481
	19,518,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		5,620,820
	1,201,500	Sinotruk Hong Kong Ltd		1,848,684
	6,640,503	Suning Universal Co Ltd – Class A		3,494,086
	2,142,465	Tencent Holdings Ltd		88,452,792
	346,000	Tianneng Power International Ltd		272,635
	2,685,879	Weichai Power Co Ltd – Class A		4,356,162

Shares		Description	Value ($)
		China — continued
	3,679,621	Weifu High-Technology Group Co Ltd – Class A		8,707,616
	378,000	Yadea Group Holdings Ltd 144A		72,742
	21,961,300	Yangzijiang Shipbuilding Holdings Ltd		14,358,932
	2,822,000	Yuexiu Property Co Ltd		606,968
	28,900	Yum China Holdings Inc		1,312,927
	9,984,000	Yuzhou Properties Co Ltd		4,190,203
	656,000	Zall Smart Commerce Group Ltd		84,506
	6,494,000	Zhejiang Expressway Co Ltd – Class H		5,424,350
	500,573	Zhejiang Supor Co Ltd – Class A		5,069,302
	408,000	Zhenro Properties Group Ltd.		249,599
	238,700	Zhuzhou CRRC Times Electric Co Ltd – Class H		947,592
		Total China		1,085,847,321
		Czech Republic — 0.1%
	113,739	Moneta Money Bank AS		368,547
	3,259	Philip Morris CR AS		1,872,322
		Total Czech Republic		2,240,869
		India — 3.0%
	28,260	Amara Raja Batteries Ltd		244,536
	302,991	Arvind Ltd		206,270
	256,987	Asian Paints Ltd		5,832,155
	1,097	Bosch Ltd		221,169
	160,551	CMI Ltd		128,366
	54,911	Delta Corp Ltd		136,459
	314,042	Dewan Housing Finance Corp Ltd		210,795
	12,264,578	Gayatri Highways Ltd * (b)		68,694
	16,772,852	Gayatri Projects Ltd * (b)		24,948,851
	240,622	HDFC Bank Ltd		7,535,782
	37,527	Hexaware Technologies Ltd		203,331
	197,971	Hindustan Unilever Ltd		5,220,524
	252,428	Housing Development Finance Corp Ltd		7,663,973
	1,332,810	ICICI Bank Ltd		7,654,206
	1,411,183	Indiabulls Housing Finance Ltd		8,951,428
	454,300	Infosys Ltd Sponsored ADR		5,219,907
	3,013,682	Jai Balaji Industries Ltd *		659,934
	1,322,083	Kiri Industries Ltd *		7,236,481
	386,197	Kotak Mahindra Bank Ltd		7,764,987
	25,477	Radico Khaitan Ltd		109,561
	22,181	Rajesh Exports Ltd		217,842
	312,651	Titan Co Ltd		4,833,796
		Total India		95,269,047
		Indonesia — 0.4%
	24,947,700	Bukit Asam Persero Tbk PT		4,334,978
	5,221,291	Indo Tambangraya Megah Tbk PT		4,774,343
	203,381,900	Panin Financial Tbk PT *		4,356,211
		Total Indonesia		13,465,532

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.0%
	1,465,700	IOI Properties Group Berhad		414,058
		Mexico — 0.4%
	142,100	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		180,590
	547,100	Credito Real SAB de CV SOFOM ER		606,569
	919,600	Fibra Uno Administracion SA de CV (REIT)		1,273,303
	623,500	Gentera SAB de CV		464,168
	157,800	Grupo Aeroportuario del Centro Norte SAB de CV		927,911
	5,200	Grupo Aeroportuario del Centro Norte SAB de CV ADR		243,256
	66,500	Grupo Aeroportuario del Pacifico SAB de CV – Class B		632,167
	8,000	Grupo Aeroportuario del Sureste SAB de CV ADR		1,179,120
	1,115,300	Grupo Financiero Banorte SAB de CV – Class O		6,017,940
	81,500	Grupo Financiero Inbursa SAB de CV – Class O		100,444
	180,800	Kimberly-Clark de Mexico SAB de CV – Class A		370,775
	91,700	Promotora y Operadora de Infraestructura SAB de CV		765,391
	52,200	Qualitas Controladora SAB de CV		175,367
	9,200	Ternium SA Sponsored ADR		162,472
	342,400	Unifin Financiera SAB de CV SOFOM ENR		602,059
		Total Mexico		13,701,532
		Pakistan — 0.3%
	720,010	Engro Corp Ltd		1,171,919
	3,628,000	Engro Fertilizers Ltd		1,525,989
	114,000	Fauji Fertilizer Co Ltd		66,565
	60,900	Habib Bank Ltd		42,653
	266,650	Lucky Cement Ltd		596,383
	55,100	MCB Bank Ltd		59,337
	4,801,600	Oil & Gas Development Co Ltd		3,207,318
	641,250	Pakistan Oilfields Ltd		1,511,101
	648,600	Pakistan Petroleum Ltd		431,095
	334,700	Pakistan State Oil Co Ltd		266,518
	145,000	SUI Northern Gas Pipeline		47,571
	752,500	United Bank Ltd		622,762
		Total Pakistan		9,549,211
		Peru — 0.1%
	13,500	Credicorp Ltd		2,796,120
		Philippines — 0.4%
	882,720	Manila Electric Co		6,188,559
	13,257,800	Megaworld Corp		1,306,065
	30,993,338	Nickel Asia Corp		1,630,383
	1,234,365	Pilipinas Shell Petroleum Corp		744,532

Shares		Description	Value ($)
		Philippines — continued
	6,287,200	Semirara Mining & Power Corp		2,801,582
		Total Philippines		12,671,121
		Poland — 3.2%
	14,023	Alior Bank SA *		142,353
	14,650	Asseco Poland SA		205,730
	14,367	Bank Handlowy w Warszawie SA		181,858
	138,108	Bank Millennium SA *		231,263
	586,449	Bank Polska Kasa Opieki SA		14,355,046
	75,696	Budimex SA *		2,492,240
	110,878	Ciech SA		1,002,412
	264,489	Grupa Lotos SA		5,711,685
	15,584	KRUK SA *		649,462
	59,567	Lubelski Wegiel Bogdanka SA *		576,246
	1,893	mBank SA *		153,350
	1,217,426	Polski Koncern Naftowy ORLEN SA		27,698,763
	11,866,778	Polskie Gornictwo Naftowe i Gazownictwo SA		14,137,561
	404,277	Powszechna Kasa Oszczednosci Bank Polski SA		3,977,868
	2,859,645	Powszechny Zaklad Ubezpieczen SA		26,835,296
	13,533	Santander Bank Polska SA		1,036,323
	14,179	Stalprodukt SA		729,639
	124,940	Warsaw Stock Exchange		1,234,241
		Total Poland		101,351,336
		Qatar — 1.4%
	6,633,320	Barwa Real Estate Co		6,193,017
	1,617,865	Doha Bank QPSC		1,155,271
	1,339,259	Ezdan Holding Group QSC *		223,208
	1,388,175	Gulf International Services QSC *		595,303
	214,180	Qatar Electricity & Water Co QSC		887,494
	3,756,930	Qatar Gas Transport Co Ltd		2,455,293
	1,170,558	Qatar Insurance Co SAQ		1,006,301
	818,798	Qatar International Islamic Bank QSC		1,740,618
	71,677	Qatar Islamic Bank SAQ		310,729
	5,163,670	Qatar National Bank QPSC		27,157,219
	1,018,270	Qatar National Cement Co QSC		1,596,151
	1,615,012	United Development Co QSC		607,717
		Total Qatar		43,928,321
		Russia — 14.1%
	22,735,430	Alrosa PJSC		25,312,113
	3,211,900	Credit Bank of Moscow PJSC *		286,926
	123,493	Etalon Group Plc GDR (Registered)		241,171
	119,750,000	Federal Grid Co Unified Energy System PJSC		318,660
	992,750	Gazprom Neft PJSC		6,139,719
	6,771	Gazprom Neft PJSC Sponsored ADR		210,068
	3,579,035	Gazprom PJSC Sponsored ADR		24,780,021
	689,079	Globaltrans Investment Plc Sponsored GDR (Registered)		6,052,028
	102,866,000	Inter RAO UES PJSC		6,617,231

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	49,887	LSR Group PJSC		571,155
	43,820	LSR Group PJSC GDR (Registered)		98,560
	830,518	LUKOIL PJSC Sponsored ADR		66,944,738
	647,687	M.Video PJSC *		4,498,845
	41,826	Magnit PJSC Sponsored GDR (Registered)		554,559
	3,660,600	Magnitogorsk Iron & Steel Works PJSC		2,296,846
	103,372	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		844,294
	1,420,336	MMC Norilsk Nickel PJSC ADR		34,483,825
	9,888,257	Moscow Exchange MICEX-RTS PJSC		14,025,792
	234,382	Novatek PJSC Sponsered GDR (Registered)		45,513,204
	1,102,670	Novolipetsk Steel PJSC		2,460,293
	1,153,118	Novolipetsk Steel PJSC GDR		25,678,599
	32,575	PhosAgro PJSC GDR (Registered)		421,952
	22,617	Polyus PJSC GDR (Registered)		1,290,818
	329,615	QIWI Plc Sponsored ADR		8,009,644
	250,580	Raspadskaya OJSC *		472,371
	7,696,000	ROSSETI PJSC		135,316
	4,991,035	Rostelecom PJSC		6,062,050
	33,228	Rostelecom PJSC Sponsored ADR		242,272
	30,134,000	RusHydro PJSC		247,953
	170,400	Safmar Financial Investment		1,249,056
	4,692,803	Sberbank of Russia PJSC Sponsored ADR		64,408,890
	903,633	Severstal PJSC GDR (Registered)		13,520,012
	10,129,200	Surgutneftegas PJSC		4,166,059
	2,878,707	Surgutneftegas PJSC Sponsored ADR		11,861,965
	519,740	Tatneft PJSC		5,793,375
	749,368	Tatneft PJSC Sponsored ADR		49,950,799
	290,599	TCS Group Holding Plc GDR (Registered)		5,409,330
	116,240	TMK PJSC		95,845
	53,524	TMK PJSC GDR (Registered)		173,821
	32,793,000	Unipro PJSC		1,337,270
		Total Russia		442,777,445
		South Africa — 4.2%
	1,030,032	Absa Group Ltd		10,429,078
	55,691	Astral Foods Ltd		583,526
	455,963	Barloworld Ltd		3,339,763
	28,703	BID Corp Ltd		614,099
	200,611	Capitec Bank Holdings Ltd		14,476,814
	35,247	Clicks Group Ltd		462,607
	60,710	Coronation Fund Managers Ltd		170,364
	2,795,755	Delta Property Fund Ltd (REIT)		203,136
	1,618,133	Emira Property Fund Ltd (REIT)		1,364,998
	404,005	Fortress REIT Ltd – Class B		287,854
	203,033	Foschini Group Ltd (The)		2,013,823
	6,661,965	Growthpoint Properties Ltd (REIT)		10,091,211
	214,510	Hyprop Investments Ltd (REIT)		930,682
	274,130	Investec Ltd		1,449,928
	362,190	Invicta Holdings Ltd		454,849
	54,490	JSE Ltd		464,277

Shares		Description	Value ($)
		South Africa — continued
	599,697	Kumba Iron Ore Ltd		15,557,342
	287,523	Lewis Group Ltd		596,352
	171,033	Liberty Holdings Ltd		1,237,249
	1,513,569	Mr Price Group Ltd		17,117,618
	34,783	Naspers Ltd – N Shares		7,915,416
	139,513	Nedbank Group Ltd		2,080,125
	20,722	NEPI Rockcastle Plc		183,811
	39,294	Rand Merchant Investment Holdings Ltd		76,857
	2,748,571	Redefine Properties Ltd (REIT)		1,423,503
	1,824,348	RMB Holdings Ltd		8,592,925
	1,187,113	SA Corporate Real Estate Ltd (REIT)		251,853
	787,811	Sanlam Ltd		3,779,132
	33,177	SPAR Group Ltd (The)		380,148
	191,150	Standard Bank Group Ltd		2,236,528
	20,857	Tiger Brands Ltd		287,620
	294,937	Transaction Capital Ltd		430,433
	5,634,948	Truworths International Ltd		19,603,277
	365,327	Wilson Bayly Holmes-Ovcon Ltd		2,412,382
	337,099	Woolworths Holdings Ltd		1,226,457
		Total South Africa		132,726,037
		South Korea — 2.1%
	1,574	BGF retail Co Ltd		264,809
	11,679	Cheil Worldwide Inc		254,810
	19,405	Daelim Industrial Co Ltd		1,566,436
	274,008	DB Insurance Co Ltd		10,848,382
	103,913	DGB Financial Group Inc		591,509
	1,084,351	Dongwon Development Co Ltd		3,724,948
	2,458	Hankook Shell Oil Co Ltd		654,778
	91,556	Hankook Technology Group Co Ltd		1,116,126
	244,936	Hyundai Hy Communications & Network Co Ltd		755,550
	5,969	Hyundai Mobis Co Ltd		1,226,893
	499,296	Korea Asset In Trust Co Ltd		1,401,150
	554	Korea Zinc Co Ltd		199,167
	81,600	KT Corp Sponsored ADR		916,368
	2,576	KT&G Corp		216,925
	93,007	Kyobo Securities Co Ltd		732,632
	10,419	LG Corp		612,917
	725,318	Samsung Electronics Co Ltd		26,408,081
	14,427	Samsung Electronics Co Ltd GDR		13,235,753
		Total South Korea		64,727,234
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (b)		581,795
		Taiwan — 16.0%
	1,215,000	Actron Technology Corp		3,668,927
	1,096,532	Advantech Co Ltd		9,318,315
	6,612,000	AmTRAN Technology Co Ltd *		2,284,627
	4,530,620	Asustek Computer Inc		29,400,101

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	395,000	Aten International Co Ltd		1,051,144
	129,200	Aurora Corp		393,351
	5,237,000	Catcher Technology Co Ltd		36,704,887
	731,400	Cathay Financial Holding Co Ltd		934,539
	298,000	Cathay Real Estate Development Co Ltd		192,962
	5,539,332	Chailease Holding Co Ltd		21,947,851
	2,122,100	Chin-Poon Industrial Co Ltd		2,156,725
	17,623,000	China Development Financial Holding Corp		5,097,337
	682,000	China Motor Corp		542,531
	606,000	Chong Hong Construction Co Ltd		1,542,672
	286,000	Cleanaway Co Ltd		1,388,644
	4,378,400	Coretronic Corp		5,359,993
	44,100,720	CTBC Financial Holding Co Ltd		28,565,213
	1,938,000	CTCI Corp		2,701,729
	679,000	Elite Material Co Ltd		2,854,379
	3,632,000	Farglory Land Development Co Ltd		4,352,216
	2,346,000	FLEXium Interconnect Inc		7,000,132
	1,305,000	Formosa Chemicals & Fibre Corp		3,658,328
	2,757,000	Formosa Petrochemical Corp		8,525,343
	2,129,000	Formosa Plastics Corp		6,375,350
	6,832,075	Foxconn Technology Co Ltd		13,787,729
	819,000	Globalwafers Co Ltd		7,519,353
	2,078,000	Grand Pacific Petrochemical		1,226,312
	335,000	Greatek Electronics Inc		439,819
	836,000	HannStar Display Corp		178,222
	3,858,754	Highwealth Construction Corp		6,078,893
	1,414,000	Holtek Semiconductor Inc		3,010,355
	141,000	Holy Stone Enterprise Co Ltd		408,891
	5,308,000	Hon Hai Precision Industry Co Ltd		12,529,786
	1,887,000	Huaku Development Co Ltd		4,834,105
	1,630,000	IBF Financial Holdings Co Ltd		542,047
	2,218,010	IEI Integration Corp		2,556,431
	227,000	Kung Long Batteries Industrial Co Ltd		1,076,178
	2,317,000	Lite-On Technology Corp		3,685,845
	1,230,425	Mercuries Life Insurance Co Ltd *		411,351
	150,000	Mirle Automation Corp		198,747
	1,365,000	Nan Ya Plastics Corp		2,989,057
	978,000	Nantex Industry Co Ltd		1,015,181
	11,494,000	Nanya Technology Corp		25,741,405
	4,448,810	Novatek Microelectronics Corp		26,351,046
	423,000	On-Bright Electronics Inc		2,401,339
	1,338,000	Phison Electronics Corp		12,301,537
	10,850,870	Radiant Opto-Electronics Corp		39,188,629
	1,822,720	Realtek Semiconductor Corp		12,466,004
	1,324,090	Ruentex Development Co Ltd		1,793,249
	117,000	Shanghai Commercial & Savings Bank Ltd (The)		189,241
	878,000	Shinkong Insurance Co Ltd		1,047,583
	1,092,068	Simplo Technology Co Ltd		9,145,901
	163,000	Sinbon Electronics Co Ltd		713,043
	297,200	Sitronix Technology Corp		1,530,884

Shares		Description	Value ($)
		Taiwan — continued
	2,237,250	Syncmold Enterprise Corp		5,578,036
	193,000	Taiwan PCB Techvest Co Ltd		227,329
	5,641,000	Taiwan Semiconductor Manufacturing Co Ltd		46,349,979
	877,410	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		37,403,988
	258,000	Taiwan Styrene Monomer		177,725
	300,000	Test Research Inc		459,162
	88,000	Tong Hsing Electronic Industries Ltd		334,735
	379,981	Topco Scientific Co Ltd		1,122,474
	1,122,000	Transcend Information Inc *		2,353,098
	1,712,160	Tripod Technology Corp		6,183,281
	725,000	TXC Corp		919,501
	1,323,400	United Integrated Services Co Ltd		6,529,641
	1,241,000	YC INOX Co Ltd		1,028,989
	2,246,000	Yuanta Financial Holding Co Ltd		1,290,291
	133,100	Yulon Finance Corp		465,775
	133,000	Yulon Nissan Motor Co Ltd		1,045,277
	3,028,670	Yungtay Engineering Co Ltd		6,257,751
	303,000	Zeng Hsing Industrial Co Ltd		1,276,549
	505,000	Zhen Ding Technology Holding Ltd		1,865,903
		Total Taiwan		502,244,943
		Thailand — 0.3%
	17,334,300	Land & Houses Pcl (Foreign Registered)		6,108,336
	3,674,200	Pruksa Holding Pcl (Foreign Registered)		2,326,566
	2,390,492	Quality Houses Pcl (Foreign Registered)		229,486
	1,503,675	Supalai Pcl (Foreign Registered)		967,207
		Total Thailand		9,631,595
		Turkey — 5.8%
	17,701,278	Akbank TAS		21,040,620
	502,815	Aksa Akrilik Kimya Sanayii AS		744,661
	503,628	Aygaz AS		851,381
	13,987,604	Dogan Sirketler Grubu Holding AS		3,177,638
	2,973,172	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		1,335,347
	69,442,329	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		14,096,882
	4,051,404	Enerjisa Enerji AS		4,100,395
	4,917,039	Enka Insaat ve Sanayi AS		4,894,670
	5,852,735	Eregli Demir ve Celik Fabrikalari TAS		6,452,692
	218,192	Ford Otomotiv Sanayi AS		2,202,949
	4,074,365	Haci Omer Sabanci Holding AS		6,145,328
	564,597	Kordsa Teknik Tekstil AS		1,139,126
	533,848	Koza Altin Isletmeleri AS *		6,272,863
	424,380	Mavi Giyim Sanayi Ve Ticaret AS – Class B		2,689,698
	163,924	Otokar Otomotiv Ve Savunma Sanayi AS		3,672,896
	877,416	Selcuk Ecza Deposu Ticaret ve Sanayi AS		738,462
	18,415,919	Soda Sanayii AS		17,454,590
	1,170,410	TAV Havalimanlari Holding AS		4,746,491
	3,325,196	Tekfen Holding AS		11,843,537

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	108,828	Tofas Turk Otomobil Fabrikasi AS		330,655
	3,845,220	Trakya Cam Sanayii AS		1,686,483
	757,779	Tupras-Turkiye Petrol Rafineriler AS		16,402,086
	9,129,434	Turkiye Garanti Bankasi AS		13,984,262
	13,376,366	Turkiye Is Bankasi – Class C		12,692,481
	37,950,194	Turkiye Sinai Kalkinma Bankasi AS		5,476,024
	12,049,809	Turkiye Vakiflar Bankasi TAO – Class D		9,631,633
	87,384	Verusa Holding AS *		224,812
	18,172,726	Yapi ve Kredi Bankasi AS *		7,164,380
		Total Turkey		181,193,042
		United Arab Emirates — 0.5%
	331,962	Abu Dhabi Commercial Bank PJSC		785,243
	2,235,158	Al Waha Capital PJSC		627,114
	1,757,985	DAMAC Properties Dubai Co PJSC *		457,256
	1,129,048	Dubai Islamic Bank PJSC		1,575,947
	5,402,846	Emaar Properties PJSC		7,294,844
	520,327	First Abu Dhabi Bank PJSC		2,162,443
	11,102,376	RAK Properties PJSC *		1,338,620
		Total United Arab Emirates		14,241,467
		United Kingdom — 0.8%
	386,665	Unilever Plc		24,428,793
		TOTAL COMMON STOCKS (COST $2,753,849,806)		2,757,040,105
		PREFERRED STOCKS (c) — 3.3%
		Brazil — 0.0%
	45,300	Companhia de Transmissao de Energia Eletrica Paulista		271,297
	35,000	Companhia Energetica de Sao Paulo – Class B		235,136
		Total Brazil		506,433
		Colombia — 0.1%
	71,053	Banco Davivienda SA		859,410
	1,255,072	Grupo Aval Acciones y Valores SA		468,467
		Total Colombia		1,327,877
		Russia — 1.5%
	2,550	AK Transneft PJSC		5,748,971
	258,531	Bashneft PJSC		6,081,469
	69,953,800	Surgutneftegas PJSC		33,818,436
		Total Russia		45,648,876
		South Korea — 1.7%
	1,747,590	Samsung Electronics Co Ltd		53,244,758

Shares		Description	Value ($)
		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd		1,248,915
		TOTAL PREFERRED STOCKS (COST $101,875,788)		101,976,859
		INVESTMENT FUNDS — 4.6%
		Thailand — 0.4%
	22,546,425	Digital Telecommunications Infrastructure Fund		12,452,279
		United States — 4.2%
	1	iShares MSCI Emerging Markets ETF		40
	2,744,170	iShares Core MSCI Emerging Markets ETF		132,461,086
		Total United States		132,461,126
		TOTAL INVESTMENT FUNDS (COST $141,037,385)		144,913,405
		MUTUAL FUNDS — 3.5%
		United States — 3.5%
		Affiliated Issuers — 3.5%
	21,950,564	GMO U.S. Treasury Fund		109,752,820
		TOTAL MUTUAL FUNDS (COST $109,752,820)		109,752,820
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	15,321,413	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (d)		15,321,413
		TOTAL SHORT-TERM INVESTMENTS (COST $15,321,413)		15,321,413
		TOTAL INVESTMENTS — 99.7% (Cost $3,121,837,212)		3,129,004,602
		Other Assets and Liabilities (net) — 0.3%		9,884,188
		TOTAL NET ASSETS — 100.0%		$3,138,888,790

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

A summary of outstanding financial instruments at August 31, 2019 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) ($)
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	10,521,015	09/16/2019	At Maturity		—		225,515		225,515
Depreciation of Total Return on MSCI China A Index + (1 Month USD LIBOR minus 3.50%)	Appreciation of Total Return on MSCI China A Index	GS		USD	55,440,638	08/15/2020	At Maturity		—		1,622,740		1,622,740
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.50%)	Appreciation of CSI 500 Total Return on Index	GS		USD	23,598,361	08/20/2020	At Maturity		—		882,346		882,346
								$	—	$	2,730,601	$	2,730,601

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) Affiliated company (Note 10).

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

(d) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

16 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Mutual Funds		1.5
Short-Term Investments		0.3
Preferred Stocks		0.0	^
Futures Contracts		(0.0	)^
Other		0.3
		100.0	%
Country Summary¤	% of Investments
Japan		23.7	%
United Kingdom		17.9
France		9.4
Spain		6.9
Netherlands		6.4
Switzerland		5.8
Germany		5.8
Italy		5.5
Sweden		4.1
Australia		3.7
Norway		2.4
Hong Kong		1.7
Singapore		1.6
United States		1.5
Other Developed		1.4	‡
Portugal		1.2
European Union		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		13.4	%
Capital Goods		11.1
Food, Beverage & Tobacco		8.9
Materials		7.7
Utilities		6.7
Banks		5.9
Consumer Durables & Apparel		5.2
Diversified Financials		4.9
Technology Hardware & Equipment		4.9
Automobiles & Components		4.9
Insurance		4.1
Transportation		3.7
Household & Personal Products		3.6
Telecommunication Services		3.2
Retailing		2.2
Energy		2.1
Commercial & Professional Services		1.4
Food & Staples Retailing		1.4
Software & Services		1.2
Semiconductors & Semiconductor Equipment		1.0
Real Estate		1.0
Consumer Services		0.6
Media & Entertainment		0.6
Health Care Equipment & Services		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

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

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

^ Rounds to 0.0%.

17

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Australia — 3.8%
	281,212	Abacus Property Group (REIT)		751,895
	177,022	Appen Ltd		3,083,702
	119,227	Charter Hall Group (REIT)		1,014,757
	112,623	Credit Corp Group Ltd		2,186,404
	1,880,018	CSR Ltd		4,940,424
	2,245,371	Downer EDI Ltd		11,649,277
	110,271	Elders Ltd		507,892
	3,116,313	Fortescue Metals Group Ltd		16,813,090
	465,773	Harvey Norman Holdings Ltd		1,373,419
	107,401	IDP Education Ltd		1,200,525
	524,640	Macquarie Group Ltd		43,737,987
	320,810	Mineral Resources Ltd		2,855,829
	596,610	Mirvac Group (REIT)		1,280,582
	378,557	New Hope Corp Ltd		580,748
	1,289,383	OZ Minerals Ltd		7,951,932
	509,074	Pact Group Holdings Ltd *		831,979
	262,310	Rio Tinto Ltd		15,469,124
	980,512	Sandfire Resources NL		4,114,678
	429,091	Super Retail Group Ltd		2,704,743
	319,432	Tassal Group Ltd		927,975
	752,674	Telstra Corp Ltd		1,884,274
		Total Australia		125,861,236
		Austria — 0.1%
	69,286	Oesterreichische Post AG		2,468,574
		Belgium — 0.2%
	538,793	AGFA-Gevaert NV *		2,145,675
	1,001	Barco NV		213,022
	40,732	D’ieteren SA		2,056,467
	7,399	Elia System Operator SA/NV		613,339
	79,421	Orange Belgium SA		1,734,316
	17,566	UCB SA		1,312,879
		Total Belgium		8,075,698
		Denmark — 0.2%
	11,091	Per Aarsleff Holding A/S		395,323
	83,750	Royal Unibrew A/S		7,258,639
	7,566	Schouw & Co AB		519,962
		Total Denmark		8,173,924
		Finland — 0.7%
	716,749	Neste Oyj		22,608,578
		France — 9.5%
	18,923	Alten SA		2,259,533
	91,414	BNP Paribas SA		4,120,566
	2,955	Christian Dior SE		1,455,804

Shares		Description	Value ($)
		France — continued
	23,558	Cie Generale des Etablissements Michelin SCA		2,480,169
	417,522	CNP Assurances		7,584,793
	586	Dassault Systemes SE		82,628
	25,042	Gaztransport Et Technigaz SA		2,344,159
	13,417	Hermes International		9,162,335
	15,143	IPSOS		408,087
	365,322	L’Oreal SA		99,753,358
	26,489	Lagardere SCA		564,205
	9,608	LVMH Moet Hennessy Louis Vuitton SE		3,831,535
	208,823	Metropole Television SA		3,588,041
	1,424,771	Peugeot SA		31,853,821
	208,292	Safran SA		30,252,691
	951,865	Sanofi		81,772,477
	263,328	Sanofi ADR		11,309,938
	1,356,922	STMicroelectronics NV – NY Shares		24,017,519
	67,653	Television Francaise 1		615,805
		Total France		317,457,464
		Germany — 5.8%
	2,183	adidas AG		646,849
	114,812	ADVA Optical Networking SE *		736,507
	298,779	Allianz SE (Registered)		65,941,684
	532,329	Bayerische Motoren Werke AG		35,602,337
	13,499	Bechtle AG		1,343,553
	31,159	Carl Zeiss Meditec AG		3,600,891
	5,166	Cewe Stiftung & Co KGaA		466,575
	2,066,768	Deutsche Lufthansa AG (Registered)		31,855,740
	576,488	Deutsche Pfandbriefbank AG		6,845,231
	245,181	Deutz AG		1,431,554
	168,231	Dialog Semiconductor Plc *		7,969,625
	6,074	Indus Holding AG		232,498
	102,352	RHOEN-KLINIKUM AG		2,532,790
	105,206	Software AG		2,837,631
	63,230	Talanx AG *		2,623,190
	173,865	Volkswagen AG		28,433,135
		Total Germany		193,099,790
		Hong Kong — 1.8%
	2,523,640	Champion (REIT)		1,697,852
	2,067,814	Dah Sing Banking Group Ltd		2,824,306
	411,515	Dah Sing Financial Holdings Ltd		1,509,665
	4,603,096	Esprit Holdings Ltd *		692,148
	921,001	Hysan Development Co Ltd		3,723,617
	4,988,469	I-CABLE Communications Ltd *		46,363
	803,257	Luk Fook Holdings International Ltd		2,001,437
	1,419,647	Pacific Textiles Holdings Ltd		958,486
	3,546,916	SJM Holdings Ltd		3,343,026
	1,336,673	SmarTone Telecommunications Holdings Ltd		1,187,223
	381,680	Television Broadcasts Ltd		602,105
	46,490,420	WH Group Ltd		37,255,694

18 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, 2019 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	464,045	Wheelock & Co Ltd		2,691,602
	740,122	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		108,661
		Total Hong Kong		58,642,185
		Ireland — 0.1%
	92,700	CRH Plc Sponsored ADR		3,116,574
	165	Flutter Entertainment Plc		13,595
		Total Ireland		3,130,169
		Italy — 5.5%
	131,619	Banca Mediolanum SPA		957,384
	36,437	De’ Longhi SPA		708,535
	10,482,130	Enel SPA		76,045,611
	669,237	EXOR NV		45,467,863
	2,087,224	Fiat Chrysler Automobiles NV		27,426,123
	483,547	Hera SPA		1,930,594
	1,952,528	Iren SPA		5,308,167
	45,129	La Doria SPA		387,544
	56,069	Leonardo SPA		688,945
	647,721	Mediobanca Banca di Credito Finanziario SPA		6,437,254
	8,580	Reply SPA		508,563
	1,267,773	Saras SPA		1,973,603
	1,313,333	Societa Cattolica di Assicurazioni SC		10,712,207
	271,339	Unipol Gruppo SPA		1,370,029
	1,677,425	UnipolSai Assicurazioni SPA		4,265,028
		Total Italy		184,187,450
		Japan — 23.8%
	73,353	AOKI Holdings Inc		717,079
	4,309,076	Asahi Kasei Corp		38,928,523
	5,335,850	Astellas Pharma Inc		73,653,278
	111,927	Autobacs Seven Co Ltd		1,875,476
	60,700	Bandai Namco Holdings Inc		3,566,586
	1,741,921	Brother Industries Ltd		30,114,568
	45,636	Cawachi Ltd		866,509
	62,500	Daicel Corp		482,252
	86,819	Daiwabo Holdings Co Ltd		3,373,963
	709,162	DCM Holdings Co Ltd		7,037,499
	154,609	Denka Co Ltd		4,025,723
	81,385	Dexerials Corp		548,424
	61,878	Doutor Nichires Holdings Co Ltd		1,175,341
	30,366	DTS Corp		633,170
	6,621	Ehime Bank Ltd (The)		68,855
	636,092	Fancl Corp		15,419,181
	661,745	Fuji Electric Co Ltd		18,830,061
	266,500	Fuji Media Holdings Inc		3,452,394
	430,200	FUJIFILM Holdings Corp		18,399,810
	164,396	Fujitsu Ltd		12,677,955
	30,189	Fuyo General Lease Co Ltd		1,731,542

Shares		Description	Value ($)
		Japan — continued
	148,912	Geo Holdings Corp		1,866,613
	20,435	Gunze Ltd		845,236
	354,100	Hakuhodo DY Holdings Inc		5,221,371
	26,167	Hanwa Co Ltd		704,462
	2,036,378	Hitachi Ltd		69,465,592
	916,100	Honda Motor Co Ltd		21,706,801
	255,849	House Foods Group Inc		9,744,697
	55,300	Isuzu Motors Ltd		593,895
	3,803,568	ITOCHU Corp		75,776,867
	51,200	Kajima Corp		622,359
	161,711	Kanematsu Corp		1,836,309
	225,800	KDDI Corp		6,014,368
	132,317	Keihin Corp		1,803,651
	53,669	Kohnan Shoji Co Ltd		1,169,796
	1,731,100	Konica Minolta Inc		12,293,487
	50,667	Mandom Corp		1,244,737
	2,845,912	Marubeni Corp		18,163,457
	8,979,956	Mitsubishi Chemical Holdings Corp		61,552,497
	565,141	Mitsubishi Gas Chemical Co Inc		6,785,691
	3,178	Mitsui Sugar Co Ltd		65,080
	80,150	Modec Inc		1,812,266
	76,266	Namura Shipbuilding Co Ltd		169,840
	126,100	NEC Corp		5,397,375
	351,172	NET One Systems Co Ltd		9,386,176
	151,957	Nichias Corp		2,521,994
	111,309	Nippon Corp		1,976,523
	68,233	Nippon Signal Co Ltd		741,137
	1,926,744	Nippon Telegraph & Telephone Corp		92,363,963
	104,512	Nishi-Nippon Financial Holdings Inc		658,072
	607	NuFlare Technology Inc		43,657
	70,800	Obayashi Corp		651,568
	134,392	Okinawa Electric Power Co (The)		2,041,553
	94,802	Press Kogyo Co Ltd		394,771
	210,896	Prima Meat Packers Ltd		4,166,980
	121,686	Rohto Pharmaceutical Co Ltd		3,014,565
	37,957	San-A Co Ltd		1,576,944
	100,187	Seiko Holdings Corp		2,102,146
	483,628	Sekisui Chemical Co Ltd		6,957,672
	51,600	Shionogi & Co Ltd		2,761,910
	210,500	Showa Corp		2,689,744
	10,624,487	Sojitz Corp		32,364,937
	10,364,563	Sumitomo Chemical Co Ltd		45,289,260
	142,203	T-Gaia Corp		2,853,815
	43,361	Tokyo Seimitsu Co Ltd		1,148,039
	151,295	Tokyu Construction Co Ltd		1,042,726
	56,704	Tosoh Corp		726,698
	145,911	Towa Pharmaceutical Co Ltd		3,339,787
	587,754	Toyota Tsusho Corp		18,203,247
	27,982	TPR Co Ltd		432,762
	228,267	TS Tech Co Ltd		6,257,360
	76,619	TSI Holdings Co Ltd		382,873

See accompanying notes to the financial statements. 19

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	65,416	Ube Industries Ltd		1,250,170
	197,814	Valor Holdings Co Ltd		3,320,694
	23,304	Warabeya Nichiyo Holdings Co Ltd		384,232
	26,746	Yahagi Construction Co Ltd		168,057
	200,163	Zeon Corp		2,328,635
		Total Japan		795,977,303
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—
		Netherlands — 6.4%
	1,488,257	ABN AMRO Group NV CVA		26,394,559
	410,594	ASR Nederland NV		14,357,611
	16,849	Corbion NV		478,554
	159,217	Heineken Holding NV		15,757,162
	7,479,578	ING Groep NV		71,457,448
	1,666,996	Koninklijke Ahold Delhaize NV		39,050,032
	23,727	Randstad NV		1,107,874
	454,224	Signify NV		13,291,330
	448,310	Wolters Kluwer NV		32,271,901
		Total Netherlands		214,166,471
		New Zealand — 0.0%
	481,967	Air New Zealand Ltd		870,059
	208,052	Chorus Ltd		660,456
		Total New Zealand		1,530,515
		Norway — 2.4%
	23,866	Aker ASA – A Shares		1,221,313
	10,483	Austevoll Seafood ASA		107,580
	19,879	Bakkafrost P/F		1,168,235
	437,753	BW LPG Ltd *		2,154,834
	2,710,437	DNB ASA		43,665,860
	1,043,378	Equinor ASA		17,792,820
	1,070,065	Leroy Seafood Group ASA		7,012,165
	134,003	Salmar ASA		6,357,289
	10,853	SpareBank 1 Nord Norge		80,861
	248,541	Storebrand ASA		1,428,548
		Total Norway		80,989,505
		Portugal — 1.2%
	130,405	Altri SGPS SA		824,517
	291,299	CTT-Correios de Portugal SA		601,625
	4,529,011	EDP – Energias de Portugal SA		17,118,780
	1,260,458	Galp Energia SGPS SA		18,114,927
	61,208	Jeronimo Martins SGPS SA		1,010,064
	156,727	Navigator Co SA (The)		529,337
	276,037	NOS SGPS SA		1,620,860
	639,463	REN – Redes Energeticas Nacionais SGPS SA		1,792,608
		Total Portugal		41,612,718

Shares		Description	Value ($)
		Singapore — 1.6%
	502,800	CapitaLand Commercial Trust (REIT)		771,291
	2,913,200	CapitaLand Ltd		7,280,414
	410,600	CapitaLand Mall Trust (REIT)		783,606
	3,410,800	ComfortDelGro Corp Ltd		6,016,523
	533,600	DBS Group Holdings Ltd		9,409,016
	1,492,900	Frasers Logistics & Industrial Trust (REIT)		1,311,626
	740,800	Hi-P International Ltd		589,384
	108,000	Jardine Cycle & Carriage Ltd		2,398,968
	518,600	Mapletree Commercial Trust (REIT)		851,750
	2,871,800	Mapletree Greater China Commercial Trust (REIT)		2,728,722
	860,400	Mapletree Industrial Trust (REIT)		1,431,246
	2,819,000	Mapletree Logistics Trust (REIT)		3,188,886
	180,700	SATS Ltd		624,738
	530,300	Singapore Exchange Ltd		3,130,543
	901,000	Singapore Technologies Engineering Ltd		2,553,723
	86,400	Venture Corp Ltd		941,579
	873,000	Wilmar International Ltd		2,392,949
	11,101,700	Yangzijiang Shipbuilding Holdings Ltd		7,258,612
	81,474	Yanlord Land Group Ltd		64,464
		Total Singapore		53,728,040
		Spain — 6.9%
	468,608	ACS Actividades de Construccion y Servicios SA		17,732,864
	159,656	Aena SME SA		28,827,073
	88,189	Almirall SA		1,681,012
	4,858,883	Banco Santander SA		18,401,465
	98,454	Cia de Distribucion Integral Logista Holdings SA		1,933,890
	394,444	Ebro Foods SA		8,224,274
	200,165	Enagas SA		4,358,208
	1,375,895	Endesa SA		35,361,696
	7,133,363	Iberdrola SA		73,430,887
	6,696,025	International Consolidated Airlines Group SA		34,350,137
	1,754,495	Mapfre SA		4,572,292
	115,077	Mediaset Espana Comunicacion SA		728,225
	65,599	Red Electrica Corp SA		1,302,701
		Total Spain		230,904,724
		Sweden — 4.1%
	536,207	Betsson AB *		2,592,667
	52,970	Klovern AB – B Shares		95,750
	235,564	Resurs Holding AB		1,338,833
	1,176,916	Sandvik AB		16,904,221
	1,222,160	Svenska Cellulosa AB SCA – Class B		10,560,012
	857,162	Swedish Match AB		33,631,253
	5,118,145	Volvo AB – B Shares		70,830,073
	94,381	Wihlborgs Fastigheter AB		1,520,172
		Total Sweden		137,472,981

20 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, 2019 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 5.8%
	51,443	Ascom Holding AG (Registered)		525,254
	6,111	Autoneum Holding AG		672,485
	1,566	Banque Cantonale Vaudoise (Registered)		1,205,557
	3,009	Emmi AG (Registered)		2,433,492
	5,033	Georg Fischer AG (Registered)		4,136,848
	8,453	Kardex AG (Registered)		1,186,240
	4,802	Komax Holding AG (Registered)		912,131
	471,288	Nestle SA (Registered)		52,960,703
	106,780	Novartis AG (Registered)		9,626,714
	41,399	Roche Holding AG		11,278,856
	390,265	Roche Holding AG – Genusschein		106,643,894
	53,896	Vontobel Holding AG (Registered)		2,824,179
	4,556	Zehnder Group AG – Class RG		166,910
		Total Switzerland		194,573,263
		United Kingdom — 18.0%
	2,947,306	3i Group Plc		39,401,076
	105,700	Ashmore Group Plc		582,324
	536,500	Ashtead Group Plc		14,894,440
	377,230	AstraZeneca Plc		33,694,726
	209,298	Auto Trader Group Plc		1,356,812
	136,082	AVEVA Group Plc		6,139,444
	3,771,834	Barratt Developments Plc		29,117,204
	476,819	Bellway Plc		16,872,910
	714,206	Berkeley Group Holdings Plc (The)		34,110,435
	312,684	Bovis Homes Group Plc		3,916,922
	1,314,640	British American Tobacco Plc		46,115,352
	383,000	British American Tobacco Plc Sponsored ADR		13,443,300
	315,639	Britvic Plc		3,338,825
	367,269	Coca-Cola HBC AG *		12,219,791
	70,699	Diageo Plc Sponsored ADR		12,109,325
	197,598	Dunelm Group Plc		2,108,565
	1,404,694	Electrocomponents Plc		9,956,432
	1,120,780	Evraz Plc		6,769,630
	2,415,980	Ferrexpo Plc		5,940,518
	6,564,594	Firstgroup Plc *		10,392,449
	267,268	Galliford Try Plc		1,908,785
	4,902,203	GlaxoSmithKline Plc		102,158,788
	72,633	Grafton Group Plc		666,038
	579,923	Greene King Plc		5,947,651
	150,078	Greggs Plc		3,864,466
	117,113	Halfords Group Plc		257,568
	78,002	Halma Plc		1,870,824
	294,196	Hunting Plc		1,638,228
	1,702,031	IG Group Holdings Plc		11,209,406
	47,002	Imperial Brands Plc		1,217,964
	1,022,656	Inchcape Plc		7,208,144
	144,742	Intermediate Capital Group Plc		2,363,489
	809,120	JD Sports Fashion Plc		6,098,368
	145,711	Jupiter Fund Management Plc		607,374
	6,390,902	Legal & General Group Plc		17,122,500

Shares		Description	Value ($)
		United Kingdom — continued
	18,145	Meggitt Plc		136,946
	570,091	Mondi Plc		11,118,720
	137,622	Moneysupermarket.com Group Plc		626,617
	356,328	National Express Group Plc		1,842,184
	412,989	Next Plc		29,895,829
	15,348	Nomad Foods Ltd *		309,262
	215,905	Pagegroup Plc		1,102,299
	2,227,743	Persimmon Plc		51,727,287
	553,156	Phoenix Group Holdings Plc		4,359,308
	708,202	Plus500 Ltd		5,878,535
	442,484	QinetiQ Group Plc		1,560,015
	204,910	Redrow Plc		1,380,422
	61,871	Savills Plc		624,521
	36,400	Smith & Nephew Plc Sponsored ADR		1,745,744
	235,105	Spectris Plc		6,639,683
	75,705	SSP Group Plc		652,734
	1,528,817	Tate & Lyle Plc		13,399,319
	674,795	Taylor Wimpey Plc		1,200,986
	313,257	Vesuvius Plc		1,777,126
		Total United Kingdom		602,597,610
		TOTAL COMMON STOCKS (COST $3,542,146,229)		3,277,258,198
		PREFERRED STOCKS (b) — 0.0%
		Germany — 0.0%
	47,778	Jungheinrich AG		1,016,915
		TOTAL PREFERRED STOCKS (COST $1,413,591)		1,016,915
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	9,881,034	GMO U.S. Treasury Fund		49,405,168
		TOTAL MUTUAL FUNDS (COST $49,405,168)		49,405,168
		SHORT-TERM INVESTMENTS — 0.3%
		United States — 0.3%
	8,429,648	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (c)		8,429,648
		TOTAL SHORT-TERM INVESTMENTS (COST $8,429,648)		8,429,648
		TOTAL INVESTMENTS — 99.7% (Cost $3,601,394,636)		3,336,109,929
		Other Assets and Liabilities (net) — 0.3%		10,086,796
		TOTAL NET ASSETS — 100.0%		$3,346,196,725

See accompanying notes to the financial statements. 21

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
364	Mini MSCI EAFE	September 2019	$	33,558,980	$	(311,141	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. 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, 2019.

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 50.

22 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Debt Obligations		1.8
Short-Term Investments		0.4
Mutual Funds		0.2
Other		0.5
		100.0	%
Country Summary¤	% of Investments
United States		84.4	%
Switzerland		5.8
United Kingdom		4.6
Germany		2.7
Taiwan		2.5
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		21.3	%
Health Care Equipment & Services		13.0
Pharmaceuticals, Biotechnology & Life Sciences		11.9
Media & Entertainment		8.7
Technology Hardware & Equipment		7.9
Banks		6.3
Capital Goods		6.3
Food, Beverage & Tobacco		6.2
Semiconductors & Semiconductor Equipment		5.1
Retailing		3.7
Household & Personal Products		3.5
Diversified Financials		3.2
Food & Staples Retailing		1.8
Consumer Services		1.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

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

23

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Banks — 6.2%
	3,793,427	US Bancorp		199,875,669
	4,363,700	Wells Fargo & Co.		203,217,509
		Total Banks		403,093,178
		Capital Goods — 6.1%
	1,172,411	3M Co.		189,602,307
	514,294	Honeywell International, Inc.		84,663,078
	597,828	Knorr-Bremse AG		55,926,600
	519,244	United Technologies Corp.		67,626,338
		Total Capital Goods		397,818,323
		Consumer Services — 1.1%
	2,816,604	Compass Group Plc		71,435,654
		Diversified Financials — 3.1%
	1,665,740	American Express Co.		200,505,124
		Food & Staples Retailing — 1.7%
	378,287	Costco Wholesale Corp.		111,503,876
		Food, Beverage & Tobacco — 6.0%
	2,439,355	Coca-Cola Co. (The)		134,262,099
	1,331,791	Nestle SA (Registered)		149,659,204
	278,567	PepsiCo, Inc.		38,088,466
	975,007	Philip Morris International, Inc.		70,288,255
		Total Food, Beverage & Tobacco		392,298,024
		Health Care Equipment & Services — 12.7%
	1,194,556	Abbott Laboratories		101,919,518
	298,627	Alcon, Inc. *		18,159,853
	588,084	Anthem, Inc.		153,795,728
	274,667	Becton Dickinson and Co.		69,743,444
	2,202,848	Medtronic Plc		237,665,271
	1,047,262	UnitedHealth Group, Inc.		245,059,308
		Total Health Care Equipment & Services		826,343,122
		Household & Personal Products — 3.4%
	1,014,866	Reckitt Benckiser Group Plc		79,312,658
	2,224,255	Unilever Plc		140,524,393
		Total Household & Personal Products		219,837,051
		Media & Entertainment — 8.4%
	152,106	Alphabet, Inc. – Class A *		181,086,756
	180,552	Alphabet, Inc. – Class C *		214,513,831
	827,919	Facebook, Inc. – Class A *		153,719,721
		Total Media & Entertainment		549,320,308

Shares / Par Value†		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 11.5%
	1,223,996	Eli Lilly & Co.		138,274,828
	1,530,992	Johnson & Johnson		196,518,133
	2,497,227	Merck & Co., Inc.		215,935,219
	739,154	Roche Holding AG – Genusschein		201,981,374
		Total Pharmaceuticals, Biotechnology & Life Sciences		752,709,554
		Retailing — 3.6%
	50,700	Booking Holdings, Inc. *		99,696,987
	2,508,129	TJX Cos, Inc. (The)		137,871,851
		Total Retailing		237,568,838
		Semiconductors & Semiconductor Equipment — 5.0%
	19,361,790	Taiwan Semiconductor Manufacturing Co Ltd		159,088,558
	1,355,360	Texas Instruments, Inc.		167,725,800
		Total Semiconductors & Semiconductor Equipment		326,814,358
		Software & Services — 20.7%
	1,179,578	Accenture Plc – Class A		233,756,972
	2,601,863	Cognizant Technology Solutions Corp. – Class A		159,728,370
	265,051	Mastercard, Inc. – Class A		74,577,400
	2,939,216	Microsoft Corp.		405,200,318
	5,723,950	Oracle Corp.		297,988,837
	962,220	SAP SE		114,867,246
	363,592	Visa, Inc. – Class A		65,744,705
		Total Software & Services		1,351,863,848
		Technology Hardware & Equipment — 7.6%
	528,265	Amphenol Corp. – Class A		46,244,318
	1,554,003	Apple, Inc.		324,382,587
	2,748,416	Cisco Systems, Inc.		128,653,352
		Total Technology Hardware & Equipment		499,280,257
		TOTAL COMMON STOCKS (COST $4,098,110,335)		6,340,391,515
		DEBT OBLIGATIONS — 1.8%
		U.S. Government — 1.8%
	25,000,000	U.S. Treasury Note, 1.38%, due 03/31/20		24,925,781
	40,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		39,800,000
	20,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		20,064,063
	5,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20		5,493,604
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.08%, due 01/31/21		29,961,713
		Total U.S. Government		120,245,161
		TOTAL DEBT OBLIGATIONS (COST $120,177,791)		120,245,161

24 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	3,141,064	GMO U.S. Treasury Fund		15,705,319
		TOTAL MUTUAL FUNDS (COST $15,705,282)		15,705,319
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.1%
	5,413,701	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		5,413,701
		U.S. Government — 0.3%
	18,000,000	U.S. Treasury Bill, 1.83%, due 10/01/19 (b)		17,971,230
	2,000,000	U.S. Treasury Bill, 1.79%, due 10/03/19 (b)		1,996,678
		Total U.S. Government		19,967,908
		TOTAL SHORT-TERM INVESTMENTS (COST $25,379,174)		25,381,609
		TOTAL INVESTMENTS — 99.5% (Cost $4,259,372,582)		6,501,723,604
		Other Assets and Liabilities (net) — 0.5%		30,213,745
		TOTAL NET ASSETS — 100.0%		$6,531,937,349

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, 2019.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 50.

See accompanying notes to the financial statements. 25

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.2	%
Preferred Stocks		8.6
Mutual Funds		4.1
Short-Term Investments		0.4
Rights/Warrants		0.0	^
Other		(2.3	)
		100.0	%
Country Summary¤	% of Investments
United States		21.2	%
Russia		15.9
United Kingdom		13.7
Brazil		6.7
Other Emerging		5.4	†
France		4.3
Norway		3.8
Australia		3.8
Japan		3.1
Chile		2.6
Israel		2.5
Canada		2.3
Thailand		2.2
Other Developed		1.8	‡
Sweden		1.8
China		1.7
Poland		1.6
Spain		1.6
Denmark		1.6
Mexico		1.3
South Africa		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Industrial Metals		46.6	%
Energy		35.0
Agriculture		15.2
Water		3.2
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

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

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

# 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%.

26

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.2%
		Argentina — 0.8%
	723,200	Adecoagro SA *		4,035,456
		Australia — 3.9%
	206,285	Aurizon Holdings Ltd		820,133
	233,874	Beach Energy Ltd		384,708
	1,927,203	Jupiter Mines Ltd		486,303
	483,297	Mineral Resources Ltd		4,302,278
	946,257	Sandfire Resources NL		3,970,928
	3,323,101	South32 Ltd		5,872,086
	589,067	Tassal Group Ltd		1,711,285
	43,316	Woodside Petroleum Ltd		935,595
		Total Australia		18,483,316
		Austria — 1.0%
	92,797	OMV AG		4,739,251
		Brazil — 2.1%
	409,800	Cosan SA		4,947,091
	357,100	Duratex SA		1,142,616
	174,100	Enauta Participacoes SA		466,257
	824,857	Sao Martinho SA		3,553,598
		Total Brazil		10,109,562
		Canada — 2.4%
	169,500	Canadian Solar Inc *		3,964,605
	104,600	Enerflex Ltd		958,480
	4,234,900	Largo Resources Ltd * (a)		4,357,678
	142,800	Lundin Mining Corp		681,073
	309,900	Peyto Exploration & Development Corp (a)		744,840
	112,100	Seven Generations Energy Ltd – Class A *		606,219
		Total Canada		11,312,895
		China — 1.7%
	575,000	China Everbright International Ltd		450,499
	775,000	China High Speed Transmission Equipment Group Co Ltd		422,222
	3,870,983	Inner Mongolia Eerduosi Resources Co Ltd – Class A		4,316,919
	2,509,398	Xinjiang Goldwind Science & Technology Co Ltd – Class H		2,947,964
		Total China		8,137,604
		Colombia — 0.6%
	3,768,757	Ecopetrol SA		2,999,548
		Denmark — 1.6%
	104,912	Vestas Wind Systems A/S		7,714,687

Shares		Description	Value ($)
		Finland — 0.1%
	41,307	Kemira Oyj		582,188
		France — 4.4%
	11,256	Eramet		558,826
	299,456	Suez		4,649,363
	176,314	TOTAL SA		8,804,882
	179,550	Veolia Environnement SA		4,293,761
	48,070	Vilmorin & Cie SA (a)		2,580,239
		Total France		20,887,071
		Germany — 0.3%
	102,129	K+S AG (Registered)		1,617,244
		Hungary — 0.8%
	389,925	MOL Hungarian Oil & Gas Plc		3,813,160
		India — 0.8%
	1,636,504	Oil & Natural Gas Corp Ltd		2,778,459
	278,819	Oil India Ltd		578,058
	631,289	Rashtriya Chemicals & Fertilizers Ltd		362,555
		Total India		3,719,072
		Israel — 2.5%
	23,640	Equital Ltd *		709,646
	1,682,635	Israel Chemicals Ltd		7,599,053
	20,026	Israel Corp Ltd (The)		3,865,674
		Total Israel		12,174,373
		Italy — 0.2%
	154,603	Saipem SPA *		738,016
		Japan — 3.2%
	93,200	Ebara Corp		2,207,592
	329,400	Hitachi Zosen Corp		1,052,917
	178,500	Kubota Corp		2,557,455
	21,200	Kurita Water Industries Ltd		550,563
	245,500	Mitsubishi Materials Corp		5,943,982
	41,500	Nittetsu Mining Co Ltd		1,524,187
	39,900	Raiznext Corp		432,805
	96,400	Takuma Co Ltd		1,111,482
		Total Japan		15,380,983
		Mexico — 1.3%
	2,729,100	Grupo Mexico SAB de CV		6,284,358
		Norway — 3.9%
	651,404	Austevoll Seafood ASA		6,684,909
	116,753	BW Offshore Ltd *		754,942
	933,711	DNO ASA		1,230,173
	314,100	Equinor ASA		5,356,376

See accompanying notes to the financial statements. 27

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	111,753	Grieg Seafood ASA		1,370,595
	70,661	Subsea 7 SA		680,704
	28,566	TGS NOPEC Geophysical Co ASA		686,857
	41,074	Yara International ASA		1,779,927
		Total Norway		18,544,483
		Pakistan — 0.4%
	1,572,000	Fauji Fertilizer Co Ltd		917,896
	46,120	Millat Tractors Ltd		197,040
	1,396,600	Oil & Gas Development Co Ltd		932,885
		Total Pakistan		2,047,821
		Poland — 1.7%
	297,662	KGHM Polska Miedz SA *		5,846,403
	1,827,691	Polskie Gornictwo Naftowe i Gazownictwo SA		2,177,431
		Total Poland		8,023,834
		Russia — 15.0%
	1,636,830	Gazprom Neft PJSC		10,123,068
	699,380	Gazprom PJSC		2,432,994
	152,287	LUKOIL PJSC Sponsored ADR		12,275,247
	527,897	MMC Norilsk Nickel PJSC ADR		12,816,621
	98,957	Novatek PJSC Sponsered GDR (Registered)		19,215,853
	465,338	PhosAgro PJSC GDR (Registered)		6,027,642
	575,419	Ros Agro Plc GDR (Registered)		6,282,369
	411,269	Rosneft PJSC GDR (Registered)		2,512,699
		Total Russia		71,686,493
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (b)		—
		South Africa — 1.2%
	223,045	African Rainbow Minerals Ltd		2,435,385
	2,263,400	Sibanye Gold Ltd *		3,134,262
		Total South Africa		5,569,647
		South Korea — 0.9%
	10,337	Korea Zinc Co Ltd		3,716,231
	1,358	Young Poong Corp		631,956
		Total South Korea		4,348,187
		Spain — 1.6%
	532,129	Repsol SA		7,742,196
		Sweden — 1.8%
	391,520	Boliden AB		8,673,276
		Switzerland — 0.2%
	960	Gurit Holding AG		1,101,581

Shares		Description	Value ($)
		Thailand — 2.2%
	2,153,900	Esso Thailand Pcl (Foreign Registered)		603,290
	838,764	PTT Exploration & Production Pcl (Foreign Registered)		3,401,862
	4,509,610	PTT Pcl (Foreign Registered)		6,507,595
		Total Thailand		10,512,747
		Turkey — 0.5%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,309,395
		Ukraine — 0.6%
	267,341	Kernel Holding SA		3,035,288
		United Kingdom — 13.9%
	644,386	Anglo American Plc		13,963,523
	314,633	Antofagasta Plc		3,325,847
	658,578	BHP Group Plc		14,247,410
	272,007	BP Plc		1,656,592
	339,132	Central Asia Metals Plc		781,874
	883,087	Ferrexpo Plc		2,171,373
	3,647,700	Glencore Plc *		10,466,452
	98,031	KAZ Minerals Plc		481,052
	196,203	Petrofac Ltd		1,000,446
	240,435	Polypipe Group Plc		1,102,997
	292,707	Rio Tinto Plc		14,836,086
	79,332	Royal Dutch Shell Plc – A Shares		2,204,096
	167,964	Tullow Oil Plc		419,709
		Total United Kingdom		66,657,457
		United States — 17.6%
	42,200	AGCO Corp.		2,916,864
	211,200	Albemarle Corp.		13,037,376
	1,045,302	Chesapeake Energy Corp. * (a)		1,505,235
	525,808	Denbury Resources, Inc. *		567,873
	58,400	First Solar, Inc. *		3,624,888
	3,040,354	Freeport-McMoRan, Inc.		27,940,853
	36,900	FutureFuel Corp.		397,782
	177,300	Gulfport Energy Corp. *		425,520
	213,900	Laredo Petroleum, Inc. *		530,472
	648,500	Livent Corp. *		3,988,275
	90,900	Magnolia Oil & Gas Corp. – Class A *		928,089
	435,500	Mosaic Co. (The)		8,008,845
	287,800	Renewable Energy Group, Inc. *		3,502,526
	15,100	REX American Resources Corp. *		1,037,068
	21,400	Rexnord Corp. *		560,252
	150,155	SolarEdge Technologies, Inc. *		12,300,697
	943,100	Southwestern Energy Co. *		1,490,098
	37,400	TPI Composites, Inc. *		659,736
	172,300	W&T Offshore, Inc. *		754,674
		Total United States		84,177,123
		TOTAL COMMON STOCKS (COST $429,995,312)		427,158,312

28 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (c) — 8.6%
		Brazil — 4.7%
	3,305,099	Bradespar SA		22,691,129
		Chile — 2.7%
	518,712	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		12,781,064
		Russia — 1.2%
	55,697	Bashneft PJSC		1,310,170
	5,091,084	Surgutneftegas PJSC		2,461,231
	230,971	Tatneft PJSC		2,199,504
		Total Russia		5,970,905
		TOTAL PREFERRED STOCKS (COST $42,579,959)		41,443,098
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 * (d)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 4.1%
		United States — 4.1%
		Affiliated Issuers — 4.1%
	3,906,949	GMO U.S. Treasury Fund (e)		19,534,746
		TOTAL MUTUAL FUNDS (COST $19,534,746)		19,534,746
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	1,723,243	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (f)		1,723,243
		TOTAL SHORT-TERM INVESTMENTS (COST $1,723,243)		1,723,243
		TOTAL INVESTMENTS — 102.3% (Cost $493,833,260)		489,859,399
		Other Assets and Liabilities (net) — (2.3%)		(11,018,569	)
		TOTAL NET ASSETS — 100.0%		$478,840,830

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

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

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

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

(e) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(f) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

See accompanying notes to the financial statements. 29

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		76.7	%
Short-Term Investments		23.4
Written Options		(1.0	)
Other		0.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

30

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 76.7%
		U.S. Government — 62.0%
	76,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (a)		76,437,919
	31,500,000	U.S. Treasury Note, 2.25%, due 03/31/20		31,561,523
	92,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (a)		91,893,013
	27,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20		26,952,072
		Total U.S. Government		226,844,527
		U.S. Government Agency — 14.7%
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.16%, due 02/21/20		20,000,412
	14,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.17%, due 04/03/20		13,993,535
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.06%, due 04/13/20		19,981,089
		Total U.S. Government Agency		53,975,036
		TOTAL DEBT OBLIGATIONS (COST $280,938,378)		280,819,563

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 23.4%
		Money Market Funds — 0.4%
	1,421,694	State Street Institutional Treasury Money Market Fund-Premier Class, 2.03% (b)		1,421,694
		U.S. Government — 23.0%
	36,150,000	U.S. Treasury Note, 1.38%, due 03/31/20		36,042,680
	48,500,000	U.S. Treasury Note, 1.13%, due 04/30/20		48,257,500
		Total U.S. Government		84,300,180
		TOTAL SHORT-TERM INVESTMENTS (COST $85,471,859)		85,721,874
		TOTAL INVESTMENTS — 100.1% (Cost $366,410,237)		366,541,437
		Other Assets and Liabilities (net) —(0.1%)		(526,435	)
		TOTAL NET ASSETS — 100.0%		$366,015,002

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Written Options — Puts

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
S&P 500 Index	2,890.00		09/20/19		948		USD	277,428,408		(3,313,260	)
Euro STOXX 50	3,300.00		09/20/19		2,489		EUR	85,292,056		(524,207	)
	TOTAL WRITTEN INDEX OPTIONS — PUTS (Premiums $7,612,191)									$(3,837,467)

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

See accompanying notes to the financial statements. 31

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.0	%
Mutual Funds		1.8
Preferred Stocks		0.7
Short-Term Investments		0.4
Futures Contracts		0.0	^
Other		0.1
		100.0	%
Country Summary¤	% of Investments
Japan		20.7	%
United Kingdom		14.0
France		10.4
Spain		6.3
Netherlands		5.8
Switzerland		5.4
Germany		5.4
Italy		4.8
Australia		3.7
Other Developed		3.4	‡
Sweden		2.7
Canada		2.3
United States		2.2
Brazil		2.0
China		1.9
South Korea		1.9
Hong Kong		1.3
Other Emerging		1.2	†
Russia		1.2
Taiwan		1.2
Singapore		1.1
European Union		1.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		11.5	%
Capital Goods		11.0
Food, Beverage & Tobacco		7.4
Materials		7.1
Utilities		7.1
Consumer Durables & Apparel		6.8
Banks		5.7
Automobiles & Components		5.4
Technology Hardware & Equipment		4.9
Diversified Financials		4.8
Insurance		4.4
Telecommunication Services		4.2
Transportation		4.0
Household & Personal Products		3.1
Energy		2.2
Real Estate		1.6
Software & Services		1.6
Commercial & Professional Services		1.5
Retailing		1.4
Food & Staples Retailing		1.4
Semiconductors & Semiconductor Equipment		1.1
Health Care Equipment & Services		1.0
Consumer Services		0.5
Media & Entertainment		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

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

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

# 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%.

32

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.0%
		Australia — 3.7%
	18,037	Accent Group Ltd		19,407
	8,938	Adairs Ltd		10,458
	846	Appen Ltd		14,737
	27,727	Australian Pharmaceutical Industries Ltd		24,675
	9,707	CSR Ltd		25,509
	6,118	Dexus (REIT)		53,137
	70,057	Fortescue Metals Group Ltd		377,971
	5,489	IDP Education Ltd		61,356
	6,298	Macquarie Group Ltd		525,049
	24,772	Mirvac Group (REIT)		53,171
	13,160	New Hope Corp Ltd		20,189
	7,828	OFX Group Ltd		7,200
	12,076	OZ Minerals Ltd		74,476
	4,002	Rio Tinto Ltd		236,009
	29,463	Southern Cross Media Group Ltd		24,167
	4,335	Super Retail Group Ltd		27,325
	21,281	Telstra Corp Ltd		53,276
		Total Australia		1,608,112
		Austria — 0.1%
	1,297	Vienna Insurance Group AG Wiener Versicherung Gruppe		31,936
		Belgium — 0.3%
	1,593	AGFA-Gevaert NV *		6,344
	1,831	UCB SA		136,848
		Total Belgium		143,192
		Brazil — 2.0%
	7,800	Banco do Brasil SA		87,098
	8,000	Cia de Saneamento Basico do Estado de Sao Paulo		99,879
	67,400	JBS SA		482,428
	11,000	Kroton Educacional SA		26,776
	1,500	Mahle-Metal Leve SA		8,578
	18,600	MRV Engenharia e Participacoes SA		88,486
	9,900	Petrobras Distribuidora SA		68,853
		Total Brazil		862,098
		Canada — 2.3%
	4,400	Bank of Montreal		301,972
	4,000	Canaccord Genuity Group Inc		15,052
	2,100	Canadian National Railway Co (a)		193,376
	2,400	Canadian National Railway Co (a)		221,136
	900	Canadian Pacific Railway Ltd		216,675
	900	TFI International Inc		26,194
	1,100	Wajax Corp		13,029
		Total Canada		987,434

Shares		Description	Value ($)
		China — 2.0%
	12,000	Agile Group Holdings Ltd		15,276
	13,000	BAIC Motor Corp Ltd – Class H		7,308
	130,000	Bank of Communications Co Ltd – Class H		84,910
	160,000	China Communications Services Corp Ltd – Class H		89,367
	31,000	China Lesso Group Holdings Ltd		29,715
	28,500	China Minsheng Banking Corp Ltd – Class H		18,726
	80,000	China Railway Construction Corp Ltd – Class H		86,218
	29,500	China Resources Pharmaceutical Group Ltd		30,407
	44,000	China SCE Group Holdings Ltd		21,326
	9,000	China Shineway Pharmaceutical Group Ltd		8,366
	166,000	China Telecom Corp Ltd – Class H		74,177
	6,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		22,391
	42,400	Guangzhou R&F Properties Co Ltd – Class H		68,059
	10,000	Huabao International Holdings Ltd		3,792
	15,000	Kingboard Holdings Ltd		35,027
	37,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		71,249
	6,000	Shenzhen Expressway Co Ltd – Class H		7,341
	41,500	Shimao Property Holdings Ltd		117,059
	2,000	Sinopec Engineering Group Co Ltd – Class H		1,304
	14,000	Times China Holdings Ltd		21,282
	23,000	Weichai Power Co Ltd – Class H		35,098
		Total China		848,398
		Denmark — 0.2%
	555	Royal Unibrew A/S		48,102
	2,720	Scandinavian Tobacco Group A/S		31,319
		Total Denmark		79,421
		Finland — 0.4%
	5,334	Neste Oyj		168,252
	936	UPM-Kymmene Oyj		25,295
		Total Finland		193,547
		France — 10.5%
	751	Alten SA		89,675
	38	Christian Dior SE		18,721
	849	Cie Generale des Etablissements Michelin SCA		89,382
	3,654	CNP Assurances		66,379
	1,433	Dassault Systemes SE		202,058
	667	Gaztransport Et Technigaz SA		62,437
	218	Hermes International		148,870
	260	Jacquet Metal Service SA		4,702
	705	Kaufman & Broad SA		26,879
	4,436	L’Oreal SA		1,211,276
	518	LVMH Moet Hennessy Louis Vuitton SE		206,571
	1,207	Neopost SA		24,528
	34,889	Peugeot SA		780,019
	3,000	Safran SA		435,725

See accompanying notes to the financial statements. 33

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		France — continued
	13,385	Sanofi		1,149,874
	1,200	Sanofi ADR		51,540
		Total France		4,568,636
		Germany — 4.8%
	645	adidas AG		191,121
	4,453	Allianz SE (Registered)		982,794
	2,177	Bayer AG (Registered)		161,803
	471	Bayerische Motoren Werke AG		31,501
	268	Bechtle AG		26,674
	2,425	Borussia Dortmund GmbH & Co KGaA		26,150
	508	Carl Zeiss Meditec AG		58,707
	13,746	Deutsche Lufthansa AG (Registered)		211,871
	3,510	Deutsche Pfandbriefbank AG		41,678
	3,210	Deutz AG		18,742
	2,250	Dialog Semiconductor Plc *		106,589
	160	Eckert & Ziegler Strahlen- und Medizintechnik AG		27,906
	806	Elmos Semiconductor AG		21,971
	1,919	Evonik Industries AG		49,059
	100	Siemens AG (Registered)		10,000
	679	Volkswagen AG		111,041
	964	Wacker Neuson SE		17,113
		Total Germany		2,094,720
		Hong Kong — 1.3%
	11,200	Dah Sing Banking Group Ltd		15,297
	485,000	WH Group Ltd		388,661
	14,000	Wharf Holdings Ltd (The)		30,575
	8,000	Wharf Real Estate Investment Co Ltd		43,221
	18,000	Wheelock & Co Ltd		104,406
		Total Hong Kong		582,160
		Hungary — 0.2%
	12,105	Magyar Telekom Telecommunications Plc		16,993
	1,137	MOL Hungarian Oil & Gas Plc		11,119
	2,515	Richter Gedeon Nyrt		41,940
		Total Hungary		70,052
		India — 0.4%
	14,067	Firstsource Solutions Ltd		9,513
	1,149	Mahindra & Mahindra Ltd GDR		8,655
	107	NIIT Technologies Ltd		2,234
	21,019	Power Finance Corp Ltd *		31,022
	2,716	Rajesh Exports Ltd		26,674
	56,156	REC Ltd		114,047
		Total India		192,145
		Ireland — 0.6%
	1,300	CRH Plc Sponsored ADR		43,706
	122	Flutter Entertainment Plc		10,052

Shares		Description	Value ($)
		Ireland — continued
	6,190	Smurfit Kappa Group Plc		191,038
		Total Ireland		244,796
		Italy — 4.8%
	11,005	Arnoldo Mondadori Editore SPA *		16,978
	1,439	Banca Mediolanum SPA		10,467
	150,741	Enel SPA		1,093,594
	9,318	EXOR NV		633,064
	15,200	Fiat Chrysler Automobiles NV		199,728
	1,067	Mediobanca Banca di Credito Finanziario SPA		10,604
	4,096	Saras SPA		6,376
	8,872	Societa Cattolica di Assicurazioni SC		72,365
	901	Societa Iniziative Autostradali e Servizi SPA		15,146
	18,656	UnipolSai Assicurazioni SPA		47,435
		Total Italy		2,105,757
		Japan — 20.9%
	500	Adastria Co Ltd		9,671
	900	Arakawa Chemical Industries Ltd		11,481
	37,700	Asahi Kasei Corp		340,585
	57,100	Astellas Pharma Inc		788,178
	3,700	Bandai Namco Holdings Inc		217,403
	11,100	Brother Industries Ltd		191,898
	1,900	Fancl Corp		46,057
	2,800	Fuji Electric Co Ltd		79,674
	1,300	Fuji Media Holdings Inc		16,841
	14,000	FUJIFILM Holdings Corp		598,785
	500	Fujitsu Ltd		38,559
	500	Fujiya Co Ltd		9,305
	1,000	Furuno Electric Co Ltd		8,319
	1,300	Hanwa Co Ltd		34,998
	17,100	Haseko Corp		183,409
	15,800	Hitachi Ltd		538,975
	1,000	Hokuetsu Industries Co Ltd		11,453
	26,100	Honda Motor Co Ltd		618,434
	46,900	ITOCHU Corp		934,369
	800	Kajima Corp		9,724
	1,400	Kamei Corp		13,898
	16,300	KDDI Corp		434,164
	30,600	Konica Minolta Inc		217,307
	300	Makino Milling Machine Co Ltd		12,130
	31,200	Marubeni Corp		199,128
	87,200	Mitsubishi Chemical Holdings Corp		597,706
	3,200	NEC Corp		136,967
	6,600	NET One Systems Co Ltd		176,406
	1,000	Nichias Corp		16,597
	400	Nihon Unisys Ltd		12,907
	22,700	Nippon Telegraph & Telephone Corp		1,088,189
	2,600	Obayashi Corp		23,928
	1,800	Rohto Pharmaceutical Co Ltd		44,592

34 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,000	Shionogi & Co Ltd		214,102
	1,100	Showa Corp		14,056
	112,400	Sojitz Corp		342,399
	64,000	Sumitomo Chemical Co Ltd		279,656
	2,600	Teijin Ltd		46,686
	400	Tokyo Electron Ltd		71,325
	14,200	Tosoh Corp		181,982
	8,400	Toyota Tsusho Corp		260,155
		Total Japan		9,072,398
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (b)		—
		Mexico — 0.0%
	6,300	ALEATICA SAB de CV		5,878
		Netherlands — 5.8%
	12,044	ABN AMRO Group NV CVA		213,603
	5,206	ASR Nederland NV		182,043
	869	Heineken Holding NV		86,002
	56,215	ING Groep NV		537,060
	23,070	Koninklijke Ahold Delhaize NV		540,424
	3,635	Koninklijke Philips NV		171,333
	1,671	Randstad NV		78,023
	5,893	Signify NV		172,439
	7,638	Wolters Kluwer NV		549,826
		Total Netherlands		2,530,753
		Norway — 0.9%
	219	Aker ASA – A Shares		11,207
	3,775	Austevoll Seafood ASA		38,740
	6,490	DNB ASA		104,556
	2,568	Grieg Seafood ASA		31,495
	6,175	Leroy Seafood Group ASA		40,465
	890	Mowi ASA		21,289
	1,859	Salmar ASA		88,194
	2,884	SpareBank 1 Nord Norge		21,487
	2,652	SpareBank 1 SR-Bank ASA		27,490
		Total Norway		384,923
		Philippines — 0.0%
	305	Globe Telecom Inc		11,894
		Poland — 0.0%
	807	Asseco Poland SA		11,333
		Portugal — 1.0%
	1,570	Altri SGPS SA		9,927
	58,132	EDP – Energias de Portugal SA		219,727
	11,012	Galp Energia SGPS SA		158,261
	2,795	Navigator Co SA (The)		9,440

Shares		Description	Value ($)
		Portugal — continued
	3,531	NOS SGPS SA		20,734
		Total Portugal		418,089
		Russia — 1.2%
	71,374	Gazprom PJSC Sponsored ADR		494,169
	72,000	Inter RAO UES PJSC		4,632
	1,025	Novolipetsk Steel PJSC GDR		22,826
		Total Russia		521,627
		Singapore — 1.1%
	10,000	CapitaLand Ltd		24,991
	51,700	ComfortDelGro Corp Ltd		91,197
	5,000	DBS Group Holdings Ltd		88,165
	1,100	Jardine Cycle & Carriage Ltd		24,434
	9,300	Mapletree Greater China Commercial Trust (REIT)		8,837
	30,400	Mapletree Logistics Trust (REIT)		34,389
	1,900	Singapore Airlines Ltd		12,091
	2,900	Singapore Exchange Ltd		17,120
	10,400	Singapore Technologies Engineering Ltd		29,477
	1,300	Venture Corp Ltd		14,167
	7,500	Wilmar International Ltd		20,558
	134,900	Yangzijiang Shipbuilding Holdings Ltd		88,201
	26,400	Yanlord Land Group Ltd		20,888
		Total Singapore		474,515
		South Africa — 0.4%
	13,827	Absa Group Ltd		139,999
	27,765	Blue Label Telecoms Ltd *		5,072
	2,040	Reunert Ltd		8,650
	4,338	Telkom SA SOC Ltd		22,807
		Total South Africa		176,528
		South Korea — 1.9%
	195	DongKook Pharmaceutical Co Ltd		10,535
	11,112	Hana Financial Group Inc		298,485
	149	Hyundai Home Shopping Network Corp		11,464
	11,063	Industrial Bank of Korea		113,334
	5,130	Kia Motors Corp		185,172
	293	Sebang Global Battery Co Ltd		9,280
	2,374	Shinhan Financial Group Co Ltd		79,910
	3,000	SK Telecom Co Ltd Sponsored ADR		65,700
	8	Taekwang Industrial Co Ltd		7,091
	4,762	Woori Financial Group Inc		46,860
		Total South Korea		827,831
		Spain — 6.4%
	7,877	ACS Actividades de Construccion y Servicios SA		298,078
	2,279	Aena SME SA		411,490
	2,802	Almirall SA		53,410
	3,919	Banco Bilbao Vizcaya Argentaria SA		18,592

See accompanying notes to the financial statements. 35

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	22,613	Banco Santander SA		85,640
	1,265	Cia de Distribucion Integral Logista Holdings SA		24,848
	1,044	Enagas SA		22,731
	20,342	Endesa SA		522,807
	92,849	Iberdrola SA		955,788
	43,615	International Consolidated Airlines Group SA		223,742
	22,201	Mapfre SA		57,857
	1,950	Mediaset Espana Comunicacion SA		12,340
	173	Naturgy Energy Group SA		4,534
	4,010	Red Electrica Corp SA		79,633
		Total Spain		2,771,490
		Sweden — 2.7%
	779	Atrium Ljungberg AB – B Shares		16,034
	2,177	Axfood AB		45,674
	5,355	Betsson AB *		25,893
	1,647	Bufab AB		16,705
	1,400	Lindab International AB		13,525
	3,682	Resurs Holding AB		20,927
	27,185	Sandvik AB		390,462
	2,108	SKF AB – B Shares		34,032
	367	Svenska Cellulosa AB SCA – Class B		3,171
	5,922	Swedish Match AB		232,353
	2,991	Volvo AB – A Shares		41,339
	23,898	Volvo AB – B Shares		330,725
		Total Sweden		1,170,840
		Switzerland — 5.5%
	522	ALSO Holding AG (Registered) *		74,516
	350	Bobst Group SA (Registered)		17,041
	379	Galenica AG *		21,265
	16	Georg Fischer AG (Registered)		13,151
	467	Huber + Suhner AG (Registered)		30,016
	5,608	Nestle SA (Registered)		630,196
	399	Novartis AG (Registered)		35,972
	255	Orior AG *		21,864
	492	Roche Holding AG		134,042
	5,053	Roche Holding AG – Genusschein		1,380,784
	7	Vetropack Holding AG		17,299
		Total Switzerland		2,376,146
		Taiwan — 1.2%
	9,900	Feng TAY Enterprise Co Ltd		64,465
	62,000	Inventec Corp		42,421
	19,000	Novatek Microelectronics Corp		112,540
	1,000	Phison Electronics Corp		9,194
	72,000	Pou Chen Corp		89,803
	44,000	Radiant Opto-Electronics Corp		158,909
	7,000	Ruentex Industries Ltd *		15,524
	11,000	Sunplus Technology Co Ltd *		4,793

Shares		Description	Value ($)
		Taiwan — continued
	4,000	TOPBI International Holdings Ltd		12,427
	2,000	Uni-President Enterprises Corp		4,877
		Total Taiwan		514,953
		Thailand — 0.1%
	52,700	AP Thailand Pcl NVDR		12,549
	17,900	GFPT Pcl NVDR		10,511
		Total Thailand		23,060
		Turkey — 0.1%
	7,481	KOC Holding AS		22,509
	11,846	Turkiye Garanti Bankasi AS *		18,146
	6,170	Turkiye Sise ve Cam Fabrikalari AS		4,594
		Total Turkey		45,249
		United Kingdom — 14.2%
	46,440	3i Group Plc		620,833
	3,999	Ashtead Group Plc		111,021
	1,356	Auto Trader Group Plc		8,791
	668	AVEVA Group Plc		30,137
	27,858	BAE Systems Plc		185,259
	59,554	Barratt Developments Plc		459,736
	5,262	Bellway Plc		186,203
	7,937	Berkeley Group Holdings Plc (The)		379,071
	3,100	British American Tobacco Plc Sponsored ADR		108,810
	537	Britvic Plc		5,680
	2,566	Coca-Cola HBC AG *		85,376
	1,582	Computacenter Plc		25,706
	12,763	Diageo Plc		546,431
	100	Diageo Plc Sponsored ADR		17,128
	2,530	Dunelm Group Plc		26,998
	11,484	Electrocomponents Plc		81,398
	25,901	Evraz Plc		156,445
	28,936	Ferrexpo Plc		71,149
	22,796	GlaxoSmithKline Plc		475,054
	3,900	GlaxoSmithKline Plc Sponsored ADR		162,162
	8,045	Greene King Plc		82,509
	843	Greggs Plc		21,707
	2,459	Halma Plc		58,977
	5,824	HSBC Holdings Plc		41,931
	1,455	IG Group Holdings Plc		9,583
	407	Imperial Brands Plc		10,547
	17,981	Inchcape Plc		126,738
	741	Intermediate Capital Group Plc		12,100
	3,923	International Personal Finance Plc		4,212
	9,135	JD Sports Fashion Plc		68,851
	6,108	John Laing Group Plc		26,363
	2,329	Jupiter Fund Management Plc		9,708
	136,420	Legal & General Group Plc		365,496
	8,616	Lookers Plc		4,877

36 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	4,509	Meggitt Plc		34,031
	1,958	Mondi Plc (a)		38,192
	9,861	Mondi Plc (a)		192,323
	3,284	Morgan Advanced Materials Plc		10,233
	1,218	Morgan Sindall Group Plc		17,619
	4,354	National Express Group Plc		22,510
	2,830	Next Plc		204,861
	900	Nomad Foods Ltd *		18,135
	2,347	OneSavings Bank Plc		9,206
	24,346	Persimmon Plc		565,304
	6,980	Phoenix Group Holdings Plc		55,008
	14,587	QinetiQ Group Plc		51,428
	1,632	Redrow Plc		10,994
	1,076	Sage Group Plc (The)		9,204
	800	Smith & Nephew Plc Sponsored ADR		38,368
	937	Softcat Plc		11,899
	671	Spectris Plc		18,950
	218	Spirax-Sarco Engineering Plc		21,364
	10,383	Spirent Communications Plc		23,351
	20,782	Tate & Lyle Plc		182,144
	1,700	WPP Plc		20,112
		Total United Kingdom		6,142,223
		TOTAL COMMON STOCKS (COST $36,730,860)		42,092,134
		PREFERRED STOCKS (c) — 0.7%
		Brazil — 0.0%
	2,300	Banco do Estado do Rio Grande do Sul SA – Class B		12,569
		Germany — 0.6%
	910	Bayerische Motoren Werke AG		48,999
	292	Sixt SE		20,010
	1,189	Volkswagen AG		191,355
		Total Germany		260,364
		South Korea — 0.0%
	28	Samsung Electronics Co Ltd		853
		Sweden — 0.1%
	466	Akelius Residential Property AB		16,550
		TOTAL PREFERRED STOCKS (COST $295,416)		290,336

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	156,340	GMO U.S. Treasury Fund		781,700
		TOTAL MUTUAL FUNDS (COST $781,690)		781,700
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	178,352	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (d)		178,352
		TOTAL SHORT-TERM INVESTMENTS (COST $178,352)		178,352
		TOTAL INVESTMENTS — 99.9% (Cost $37,986,318)		43,342,522
		Other Assets and Liabilities (net) — 0.1%		39,059
		TOTAL NET ASSETS — 100.0%		$43,381,581

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
5	Mini MSCI EAFE	September 2019	$	460,975	$	1,840

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, 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.

See accompanying notes to the financial statements. 37

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

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

(d) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

38 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.4	%
Mutual Funds		1.7
Short-Term Investments		0.2
Futures Contracts		0.0	^
Other		(0.3	)
		100.0	%
Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		11.1	%
Capital Goods		10.7
Software & Services		9.5
Technology Hardware & Equipment		8.8
Retailing		7.4
Health Care Equipment & Services		6.2
Semiconductors & Semiconductor Equipment		6.1
Food, Beverage & Tobacco		6.0
Media & Entertainment		5.4
Insurance		4.2
Household & Personal Products		4.2
Consumer Durables & Apparel		3.9
Diversified Financials		3.7
Real Estate		2.2
Banks		2.1
Materials		2.1
Commercial & Professional Services		1.8
Consumer Services		1.8
Energy		1.4
Telecommunication Services		0.6
Automobiles & Components		0.6
Utilities		0.2
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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%.

39

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Automobiles & Components — 0.6%
	67,600	Dana, Inc.		860,548
	56,200	Gentex Corp.		1,494,920
	26,821	Modine Manufacturing Co. *		273,843
	4,700	Standard Motor Products, Inc.		208,257
	10,030	Stoneridge, Inc. *		308,021
	13,083	Tower International, Inc.		404,657
		Total Automobiles & Components		3,550,246
		Banks — 2.1%
	3,519	American National Bankshares, Inc.		120,350
	85,200	Citigroup, Inc.		5,482,620
	55,554	Citizens Financial Group, Inc.		1,874,392
	3,744	CNB Financial Corp.		98,991
	2,561	Federal Agricultural Mortgage Corp. – Class C		210,898
	80,400	Fifth Third Bancorp		2,126,580
	2,723	First Bancorp, Inc.		69,164
	4,637	German American Bancorp, Inc.		141,568
	9,200	OFG Bancorp		188,784
	23,361	Popular, Inc.		1,228,088
	100,467	Regions Financial Corp.		1,468,828
	4,084	Territorial Bancorp, Inc.		111,697
		Total Banks		13,121,960
		Capital Goods — 10.6%
	31,300	Ametek, Inc.		2,689,609
	17,900	Atkore International Group, Inc. *		519,279
	26,826	Cummins, Inc.		4,004,317
	10,700	Curtiss-Wright Corp.		1,312,248
	24,300	Dover Corp.		2,277,882
	66,600	Eaton Corp Plc		5,375,952
	46,930	Emerson Electric Co.		2,796,559
	29,694	Federal Signal Corp.		882,209
	41,664	Ingersoll-Rand Plc		5,045,094
	19,224	ITT, Inc.		1,094,230
	27,000	Lockheed Martin Corp.		10,370,970
	29,340	Meritor, Inc. *		493,499
	12,696	Moog, Inc. – Class A		1,031,550
	17,000	Mueller Industries, Inc.		448,120
	19,331	Oshkosh Corp.		1,358,389
	41,400	PACCAR, Inc.		2,714,184
	8,000	Rockwell Automation, Inc.		1,222,320
	12,704	SPX Corp. *		482,117
	9,423	Teledyne Technologies, Inc. *		2,907,843
	66,391	Textron, Inc.		2,987,595
	26,479	Timken Co. (The)		1,063,926
	111,500	United Technologies Corp.		14,521,760
	19,796	Universal Forest Products, Inc.		774,023
		Total Capital Goods		66,373,675

Shares		Description	Value ($)
		Commercial & Professional Services — 1.8%
	22,699	ACCO Brands Corp.		210,420
	24,009	Brady Corp. – Class A		1,133,465
	2,100	CoStar Group, Inc. *		1,291,227
	6,900	Ennis, Inc.		138,759
	8,746	FTI Consulting, Inc. *		945,792
	40,104	Herman Miller, Inc.		1,695,597
	9,200	HNI Corp.		286,948
	5,807	ICF International, Inc.		491,621
	11,400	Kelly Services, Inc. – Class A		275,994
	9,168	Kforce, Inc.		298,327
	21,204	Knoll, Inc.		488,964
	14,600	Resources Connection, Inc.		241,630
	36,600	Steelcase, Inc. – Class A		568,398
	25,500	Waste Management, Inc.		3,043,425
		Total Commercial & Professional Services		11,110,567
		Consumer Durables & Apparel — 3.9%
	20,245	Acushnet Holdings Corp.		525,763
	5,360	Bassett Furniture Industries, Inc.		65,285
	26,499	Callaway Golf Co.		470,622
	13,296	Columbia Sportswear Co.		1,247,032
	5,530	Culp, Inc.		77,641
	6,300	Deckers Outdoor Corp. *		928,935
	10,900	Ethan Allen Interiors, Inc.		187,480
	3,569	Flexsteel Industries, Inc.		54,035
	19,800	G-III Apparel Group Ltd. *		406,098
	52,887	Garmin Ltd.		4,313,992
	80,500	Hanesbrands, Inc.		1,099,630
	5,800	Helen of Troy Ltd. *		890,358
	3,260	Johnson Outdoors, Inc. – Class A		182,560
	24,490	La-Z-Boy, Inc.		780,496
	127,900	NIKE, Inc. – Class B		10,807,550
	26,874	VF Corp.		2,202,324
		Total Consumer Durables & Apparel		24,239,801
		Consumer Services — 1.7%
	49,800	Aramark		2,034,828
	46,684	Bloomin’ Brands, Inc.		842,179
	33,400	Career Education Corp. *		685,034
	9,900	Darden Restaurants, Inc.		1,197,702
	1,848	Graham Holdings Co. – Class B		1,301,103
	20,900	K12, Inc. *		550,715
	25,700	Laureate Education, Inc. – Class A *		470,310
	36,200	Norwegian Cruise Line Holdings Ltd. *		1,837,150
	13,839	Regis Corp. *		223,777
	17,100	Royal Caribbean Cruises Ltd.		1,783,188
		Total Consumer Services		10,925,986
		Diversified Financials — 3.7%
	81,400	Ally Financial, Inc.		2,551,890

40 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — continued
	59,500	American Express Co.		7,162,015
	36,214	Ameriprise Financial, Inc.		4,670,882
	46,200	Capital One Financial Corp.		4,001,844
	16,030	Enova International, Inc. *		383,117
	23,300	Federated Investors, Inc. – Class B		746,532
	20,500	LPL Financial Holdings, Inc.		1,536,475
	45,100	Navient Corp.		574,574
	16,300	PennyMac Mortgage Investment Trust (REIT)		354,688
	18,600	SEI Investments Co.		1,069,686
		Total Diversified Financials		23,051,703
		Energy — 1.3%
	37,100	Archrock, Inc.		360,241
	158,800	Marathon Oil Corp.		1,880,192
	7,000	Matrix Service Co. *		139,090
	42,827	Murphy Oil Corp.		780,736
	36,304	Phillips 66		3,580,664
	43,200	World Fuel Services Corp.		1,658,880
		Total Energy		8,399,803
		Food, Beverage & Tobacco — 5.9%
	98,900	General Mills, Inc.		5,320,820
	19,400	Hershey Co. (The)		3,074,512
	110,600	Mondelez International, Inc. – Class A		6,107,332
	109,800	PepsiCo, Inc.		15,012,954
	76,200	Tyson Foods, Inc. – Class A		7,089,648
	9,000	Universal Corp.		450,540
		Total Food, Beverage & Tobacco		37,055,806
		Health Care Equipment & Services — 6.1%
	25,370	Anthem, Inc.		6,634,762
	39,900	Baxter International, Inc.		3,509,205
	13,400	HCA Healthcare, Inc.		1,610,680
	34,800	Hologic, Inc. *		1,718,076
	6,300	Masimo Corp. *		965,475
	14,478	McKesson Corp.		2,001,873
	118,200	Medtronic Plc		12,752,598
	34,200	Stryker Corp.		7,546,572
	14,100	Varian Medical Systems, Inc. *		1,493,613
		Total Health Care Equipment & Services		38,232,854
		Household & Personal Products — 4.1%
	94,500	Colgate-Palmolive Co.		7,007,175
	58,147	Estee Lauder Cos, Inc. (The) – Class A		11,512,524
	6,864	Inter Parfums, Inc.		441,287
	48,000	Kimberly-Clark Corp.		6,773,280
		Total Household & Personal Products		25,734,266
		Insurance — 4.1%
	154,888	Aflac, Inc.		7,772,280

Shares		Description	Value ($)
		Insurance — continued
	43,202	Allstate Corp. (The)		4,423,453
	23,804	First American Financial Corp.		1,391,344
	27,300	Lincoln National Corp.		1,443,624
	68,380	Old Republic International Corp.		1,597,357
	125,007	Progressive Corp. (The)		9,475,530
		Total Insurance		26,103,588
		Materials — 2.1%
	13,449	Avery Dennison Corp.		1,554,301
	20,300	Berry Global Group, Inc. *		794,542
	14,500	Celanese Corp.		1,643,865
	14,900	Domtar Corp.		490,955
	10,300	Innospec, Inc.		856,754
	42,179	LyondellBasell Industries NV – Class A		3,263,811
	10,951	Materion Corp.		644,357
	45,800	Owens-Illinois, Inc.		465,786
	17,400	PolyOne Corp.		556,974
	12,900	Reliance Steel & Aluminum Co.		1,254,267
	23,700	Silgan Holdings, Inc.		705,312
	8,200	Stepan Co.		782,198
		Total Materials		13,013,122
		Media & Entertainment — 5.3%
	1,600	Alphabet, Inc. – Class C *		1,900,960
	388,500	Comcast Corp. – Class A		17,195,010
	44,160	Gannett Co., Inc.		464,563
	111,300	Interpublic Group of Cos., Inc. (The)		2,212,644
	37,600	Liberty TripAdvisor Holdings, Inc. – Class A *		328,624
	38,700	National CineMedia, Inc.		317,340
	114,052	News Corp. – Class A		1,568,215
	47,850	News Corp. – Class B		677,556
	41,589	Omnicom Group, Inc.		3,163,259
	10,682	Scholastic Corp.		374,618
	66,385	TEGNA, Inc.		949,969
	125,300	Viacom, Inc. – Class B		3,129,994
	215,500	Zynga Inc-Class A *		1,230,505
		Total Media & Entertainment		33,513,257
		Pharmaceuticals, Biotechnology & Life Sciences — 10.9%
	29,600	Agilent Technologies, Inc.		2,104,856
	56,800	Amgen, Inc.		11,849,616
	31,100	Biogen, Inc. *		6,834,225
	86,900	Bristol-Myers Squibb Co.		4,177,283
	34,397	Bruker Corp.		1,484,918
	158,900	Gilead Sciences, Inc.		10,096,506
	202,731	Merck & Co., Inc.		17,530,150
	412,838	Pfizer, Inc.		14,676,391
		Total Pharmaceuticals, Biotechnology & Life Sciences		68,753,945

See accompanying notes to the financial statements. 41

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Real Estate — 2.1%
	32,949	CBRE Group, Inc. – Class A *		1,722,244
	41,493	CoreCivic, Inc. (REIT)		703,306
	27,700	Hospitality Properties Trust (REIT)		668,678
	195,981	Host Hotels & Resorts, Inc. (REIT)		3,143,535
	6,588	Jones Lang LaSalle, Inc.		883,122
	10,700	Lamar Advertising Co. – Class A (REIT)		820,155
	56,400	Outfront Media, Inc. (REIT)		1,549,872
	32,100	Park Hotels & Resorts, Inc. (REIT)		755,955
	53,700	Retail Properties of America, Inc. – Class A (REIT)		610,032
	28,300	Spirit Realty Capital, Inc. (REIT)		1,356,702
	57,800	Sunstone Hotel Investors, Inc. (REIT)		759,492
	27,060	Xenia Hotels & Resorts, Inc. (REIT)		546,883
		Total Real Estate		13,519,976
		Retailing — 7.3%
	800	Amazon.com, Inc. *		1,421,032
	8,900	Asbury Automotive Group, Inc. *		839,270
	3,100	AutoZone, Inc. *		3,415,239
	60,640	Best Buy Co., Inc.		3,859,736
	24,600	Core-Mark Holding Co., Inc.		796,794
	39,400	Designer Brands, Inc. – Class A		649,706
	23,600	Dick’s Sporting Goods, Inc.		803,344
	242,755	eBay, Inc.		9,780,599
	7,200	Expedia Group, Inc.		936,720
	10,189	Group 1 Automotive, Inc.		761,322
	8,100	Haverty Furniture Cos, Inc.		155,115
	40,463	Kohl’s Corp.		1,912,282
	249,400	Office Depot, Inc.		324,220
	12,800	Penske Automotive Group, Inc.		547,584
	84,068	Qurate Retail, Inc. – Series A *		900,368
	13,600	Sonic Automotive, Inc. – Class A		365,976
	118,500	Target Corp.		12,684,240
	70,900	TJX Cos., Inc. (The)		3,897,373
	17,600	Tractor Supply Co.		1,793,088
		Total Retailing		45,844,008
		Semiconductors & Semiconductor Equipment — 6.0%
	106,400	Applied Materials, Inc.		5,109,328
	364,500	Intel Corp.		17,280,945
	31,142	KLA Corp.		4,605,902
	24,300	Maxim Integrated Products, Inc.		1,325,322
	84,400	ON Semiconductor Corp. *		1,502,320
	13,300	Rudolph Technologies, Inc. *		292,467
	21,800	Skyworks Solutions, Inc.		1,640,886
	26,900	Teradyne, Inc.		1,424,893
	42,900	Xilinx, Inc.		4,464,174
		Total Semiconductors & Semiconductor Equipment		37,646,237
		Software & Services — 9.3%
	33,700	Accenture Plc – Class A		6,678,329

Shares		Description	Value ($)
		Software & Services — continued
	4,800	Agilysys, Inc. *		130,800
	34,220	Amdocs Ltd.		2,215,403
	13,500	Aspen Technology, Inc. *		1,798,200
	40,900	Automatic Data Processing, Inc.		6,946,456
	29,400	Booz Allen Hamilton Holding Corp.		2,219,994
	6,100	CACI International, Inc. – Class A*		1,355,969
	79,605	Cadence Design Systems, Inc. *		5,451,350
	11,700	CDK Global, Inc.		504,972
	14,027	Citrix Systems, Inc.		1,304,231
	16,530	CSG Systems International, Inc.		890,636
	22,500	Genpact Ltd.		921,600
	41,695	Intuit, Inc.		12,023,170
	46,953	Microsoft Corp.		6,472,941
	15,800	NIC, Inc.		328,956
	12,648	Progress Software Corp.		477,842
	14,310	Sykes Enterprises, Inc. *		414,990
	49,219	Synopsys, Inc. *		6,979,746
	60,400	Western Union Co. (The)		1,336,048
		Total Software & Services		58,451,633
		Technology Hardware & Equipment — 8.7%
	30,155	Apple, Inc.		6,294,555
	15,833	Arrow Electronics, Inc. *		1,095,644
	31,100	CDW Corp.		3,592,050
	52,900	Ciena Corp. *		2,165,197
	126,300	Cisco Systems, Inc.		5,912,103
	33,200	CommScope Holding Co., Inc. *		356,568
	10,600	Digi International, Inc. *		135,468
	482,414	Hewlett Packard Enterprise Co.		6,666,961
	442,940	HP, Inc.		8,101,373
	18,620	Insight Enterprises, Inc. *		894,877
	147,700	Juniper Networks, Inc.		3,420,732
	14,600	Keysight Technologies, Inc. *		1,414,156
	50,507	Motorola Solutions, Inc.		9,137,221
	26,700	Sanmina Corp. *		771,630
	23,800	TE Connectivity Ltd.		2,171,036
	11,900	Tech Data Corp. *		1,103,487
	6,900	Zebra Technologies Corp – Class A *		1,414,707
		Total Technology Hardware & Equipment		54,647,765
		Telecommunication Services — 0.6%
	33,700	T-Mobile US, Inc. *		2,630,285
	41,271	Telephone & Data Systems, Inc.		1,040,029
		Total Telecommunication Services		3,670,314
		Utilities — 0.2%
	38,900	NRG Energy, Inc.		1,415,960
		TOTAL COMMON STOCKS (COST $581,417,739)		618,376,472

42 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		Affiliated Security — 1.7%
	2,172,668	GMO U.S. Treasury Fund		10,863,340
		TOTAL MUTUAL FUNDS (COST $10,863,340)		10,863,340
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	1,094,247	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		1,094,247
		TOTAL SHORT-TERM INVESTMENTS (COST $1,094,247)		1,094,247
		TOTAL INVESTMENTS — 100.3% (Cost $593,375,326)		630,334,059
		Other Assets and Liabilities (net) — (0.3%)		(1,806,339	)
		TOTAL NET ASSETS — 100.0%		$628,527,720

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 63	S&P 500 E-mini	September 2019	$	9,213,120	$	11,384

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

See accompanying notes to the financial statements. 43

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Mutual Funds		2.0
Short-Term Investments		0.3
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		18.9	%
Capital Goods		9.4
Real Estate		8.0
Technology Hardware & Equipment		8.0
Materials		6.7
Commercial & Professional Services		6.4
Diversified Financials		5.8
Retailing		5.1
Software & Services		4.4
Media & Entertainment		4.2
Energy		4.2
Utilities		3.4
Consumer Durables & Apparel		3.2
Consumer Services		3.2
Insurance		1.5
Automobiles & Components		1.4
Semiconductors & Semiconductor Equipment		1.3
Telecommunication Services		1.1
Health Care Equipment & Services		1.0
Pharmaceuticals, Biotechnology & Life Sciences		1.0
Food, Beverage & Tobacco		0.7
Household & Personal Products		0.6
Food & Staples Retailing		0.5
Transportation		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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%.

44

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Automobiles & Components — 1.3%
	260,000	Dana, Inc.		3,309,800
	14,300	Modine Manufacturing Co. *		146,003
	18,000	Standard Motor Products, Inc.		797,580
	33,900	Tower International, Inc. *		1,048,527
		Total Automobiles & Components		5,301,910
		Banks — 18.4%
	6,300	1st Source Corp.		279,531
	98,800	Associated Banc-Corp.		1,900,912
	11,200	BancFirst Corp.		602,224
	46,200	BancorpSouth Bank		1,274,658
	23,700	Banner Corp.		1,277,667
	81,200	Brookline Bancorp, Inc.		1,140,048
	11,700	Camden National Corp.		485,082
	2,600	Century Bancorp, Inc. – Class A		210,600
	9,100	Civista Bancshares, Inc.		185,913
	1,200	CNB Financial Corp.		31,728
	4,900	Community Trust Bancorp, Inc.		190,610
	28,500	CVB Financial Corp.		586,245
	57,800	Dime Community Bancshares, Inc.		1,146,174
	1,200	ESSA Bancorp, Inc.		18,360
	135,500	Essent Group Ltd. *		6,571,750
	3,400	Farmers National Banc Corp.		45,900
	9,200	FB Financial Corp.		330,004
	8,500	Federal Agricultural Mortgage Corp. – Class C		699,975
	8,900	Financial Institutions, Inc.		258,634
	21,000	First Bancorp		739,620
	70,600	First Commonwealth Financial Corp.		873,322
	7,776	First Community Bankshares, Inc.		247,355
	22,300	First Defiance Financial Corp.		583,145
	9,100	First Financial Corp.		369,460
	1,000	First Financial Northwest, Inc.		13,720
	14,000	First of Long Island Corp. (The)		304,640
	94,700	Flagstar Bancorp, Inc.		3,442,345
	17,600	Flushing Financial Corp.		339,504
	321,500	Fulton Financial Corp.		5,127,925
	9,400	Great Southern Bancorp, Inc.		529,596
	17,900	Hancock Whitney Corp.		628,469
	101,400	Hilltop Holdings, Inc.		2,408,250
	12,600	HomeTrust Bancshares, Inc.		317,772
	31,015	Independent Bank Corp.		602,621
	44,800	International Bancshares Corp.		1,594,432
	280,600	Investors Bancorp, Inc.		3,114,660
	1,700	LCNB Corp.		28,509
	4,400	Macatawa Bank Corp.		43,516
	7,500	Mercantile Bank Corp.		230,775
	46,700	Meridian Bancorp, Inc.		816,316
	13,100	MGIC Investment Corp.		165,715
	1,400	MutualFirst Financial, Inc.		42,238

Shares		Description	Value ($)
		Banks — continued
	22,000	National Bank Holdings Corp. – Class A		718,080
	15,000	NBT Bancorp, Inc.		524,550
	1,500	Nicolet Bankshares, Inc. *		95,070
	4,100	Northrim BanCorp, Inc.		148,420
	181,400	Northwest Bancshares, Inc.		2,867,934
	110,200	OFG Bancorp		2,261,304
	16,100	Old National Bancorp		270,480
	5,900	Park National Corp.		531,472
	87,100	PennyMac Financial Services, Inc. *		2,577,289
	15,900	Peoples Bancorp, Inc.		488,289
	22,200	Popular, Inc.		1,167,054
	1,800	Premier Financial Bancorp, Inc.		27,900
	73,700	Provident Financial Services, Inc.		1,754,797
	240,600	Radian Group, Inc.		5,425,530
	10,700	Renasant Corp.		350,853
	1,639	Republic Bancorp, Inc. – Class A		69,575
	43,800	Sandy Spring Bancorp, Inc.		1,466,424
	5,200	Sierra Bancorp		128,128
	2,700	Territorial Bancorp, Inc.		73,845
	600	Timberland Bancorp, Inc.		15,342
	26,600	TriCo Bancshares		940,576
	34,900	TrustCo Bank Corp.		267,683
	41,700	Trustmark Corp.		1,362,756
	27,900	UMB Financial Corp.		1,738,728
	57,500	United Community Banks, Inc.		1,518,575
	26,100	United Community Financial Corp.		251,865
	32,300	United Financial Bancorp, Inc.		403,750
	20,900	Univest Financial Corp.		528,979
	50,400	Walker & Dunlop, Inc.		2,815,344
	81,200	Washington Federal, Inc.		2,890,720
	22,703	Waterstone Financial, Inc.		376,643
		Total Banks		73,857,875
		Capital Goods — 9.2%
	26,000	AAR Corp.		1,116,960
	9,800	Alamo Group, Inc.		1,118,964
	300	Allied Motion Technologies, Inc.		9,663
	51,000	Atkore International Group, Inc. *		1,479,510
	83,500	Builders FirstSource, Inc. *		1,624,075
	3,800	Columbus McKinnon Corp.		123,006
	22,900	Ducommun, Inc. *		943,022
	27,800	EMCOR Group, Inc.		2,430,832
	10,100	EnPro Industries, Inc.		629,028
	82,100	Federal Signal Corp.		2,439,191
	17,625	Gorman-Rupp Co. (The)		526,459
	55,100	Griffon Corp.		961,495
	18,300	Hillenbrand, Inc.		502,152
	4,900	Hurco Cos, Inc.		156,359
	17,500	Hyster-Yale Materials Handling, Inc.		954,625
	44,075	JELD-WEN Holding, Inc. *		760,734
	39,100	Kennametal, Inc.		1,168,699

See accompanying notes to the financial statements. 45

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	12,800	Masonite International Corp *		683,392
	198,000	Meritor, Inc. *		3,330,360
	3,000	Miller Industries, Inc.		93,870
	46,800	Moog, Inc. – Class A		3,802,500
	24,500	MRC Global, Inc. *		307,965
	77,200	Mueller Industries, Inc.		2,034,992
	5,500	National Presto Industries, Inc.		471,405
	14,300	Navistar International Corp. *		328,900
	6,600	Park-Ohio Holdings Corp.		179,454
	2,800	Preformed Line Products Co.		143,500
	4,400	Quanex Building Products Corp.		75,768
	37,543	SPX Corp. *		1,424,757
	3,900	Systemax, Inc.		78,273
	40,500	Timken Co. (The)		1,627,290
	15,600	Triumph Group, Inc.		324,168
	1,200	Twin Disc, Inc. *		12,132
	55,000	Universal Forest Products, Inc.		2,150,500
	22,900	Vectrus, Inc. *		926,534
	19,100	Watts Water Technologies, Inc. – Class A		1,750,133
	14,200	Wesco Aircraft Holdings, Inc. *		156,200
		Total Capital Goods		36,846,867
		Commercial & Professional Services — 6.2%
	164,929	ACCO Brands Corp.		1,528,892
	114,800	Brady Corp. – Class A		5,419,708
	12,212	CBIZ, Inc. *		272,816
	32,600	Deluxe Corp.		1,502,208
	31,300	Ennis, Inc.		629,443
	9,500	FTI Consulting, Inc. *		1,027,330
	99,400	Herman Miller, Inc.		4,202,632
	26,600	HNI Corp.		829,654
	17,900	ICF International, Inc.		1,515,414
	31,200	Kelly Services, Inc. – Class A		755,352
	34,900	Kimball International, Inc. – Class B		612,495
	67,400	Knoll, Inc.		1,554,244
	14,400	McGrath RentCorp		922,032
	25,200	Navigant Consulting, Inc.		702,324
	164,700	Pitney Bowes, Inc.		586,332
	18,700	SP Plus Corp. *		645,337
	135,583	Steelcase, Inc. – Class A		2,105,604
		Total Commercial & Professional Services		24,811,817
		Consumer Durables & Apparel — 3.2%
	48,700	Acushnet Holdings Corp.		1,264,739
	2,900	Bassett Furniture Industries, Inc.		35,322
	96,000	Callaway Golf Co.		1,704,960
	5,400	Clarus Corp.		59,454
	1,200	Escalade, Inc.		12,396
	87,700	Ethan Allen Interiors, Inc.		1,508,440
	57,900	G-III Apparel Group Ltd. *		1,187,529

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	14,100	Hooker Furniture Corp.		251,826
	16,500	Johnson Outdoors, Inc. – Class A		924,000
	69,300	La-Z-Boy, Inc.		2,208,591
	48,200	M/I Homes, Inc. *		1,741,948
	45,000	Movado Group, Inc.		968,400
	10,300	Rocky Brands, Inc.		300,142
	12,000	Vera Bradley, Inc. *		127,080
	56,000	ZAGG, Inc. *		358,960
		Total Consumer Durables & Apparel		12,653,787
		Consumer Services — 3.1%
	1,300	American Public Education, Inc. *		31,499
	158,600	Bloomin’ Brands, Inc.		2,861,144
	85,700	Brinker International, Inc.		3,256,600
	17,700	Carriage Services, Inc.		376,479
	85,124	K12, Inc. *		2,243,017
	139,500	Laureate Education, Inc. – Class A *		2,552,850
	68,300	Regis Corp. *		1,104,411
		Total Consumer Services		12,426,000
		Diversified Financials — 5.7%
	72,600	AG Mortgage Investment Trust, Inc. (REIT)		1,088,274
	37,300	Ares Commercial Real Estate Corp. (REIT)		559,127
	42,100	Artisan Partners Asset Management, Inc. – Class A		1,121,544
	39,800	Donnelley Financial Solutions, Inc. *		423,074
	41,566	Dynex Capital, Inc. (REIT)		586,912
	42,600	Ellington Financial, Inc.		744,222
	97,117	Enova International, Inc. *		2,321,096
	23,800	Federated Investors, Inc. – Class B		762,552
	21,600	INTL. FCStone, Inc. *		846,936
	323,500	Invesco Mortgage Capital, Inc. (REIT)		4,862,205
	29,900	Legg Mason, Inc.		1,100,021
	12,600	Oppenheimer Holdings, Inc. – Class A		349,776
	248,700	PennyMac Mortgage Investment Trust (REIT)		5,411,712
	16,400	Piper Jaffray Cos.		1,193,264
	8,200	Regional Management Corp. *		211,150
	86,600	Western Asset Mortgage Capital Corp. (REIT)		814,040
	9,600	Westwood Holdings Group, Inc.		263,520
		Total Diversified Financials		22,659,425
		Energy — 4.1%
	212,879	Archrock, Inc.		2,067,055
	20,800	Bonanza Creek Energy, Inc. *		469,248
	84,500	California Resources Corp. *		827,255
	22,900	Contura Energy, Inc. *		659,520
	2,000	Dril-Quip, Inc. *		91,700
	37,700	Evolution Petroleum Corp.		223,184
	16,900	Geospace Technologies Corp. *		206,856
	77,700	Helix Energy Solutions Group, Inc. *		562,548
	331,200	Laredo Petroleum, Inc. *		821,376

46 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	28,380	Matrix Service Co. *		563,911
	8,300	Par Pacific Holdings, Inc. *		180,442
	85,700	ProPetro Holding Corp. *		912,705
	43,147	Renewable Energy Group, Inc. *		525,099
	8,100	REX American Resources Corp. *		556,308
	2,600	SEACOR Holdings, Inc. *		122,122
	547,600	W&T Offshore, Inc. *		2,398,488
	136,300	World Fuel Services Corp.		5,233,920
		Total Energy		16,421,737
		Food & Staples Retailing — 0.5%
	19,200	Ingles Markets, Inc. – Class A		746,496
	8,000	Village Super Market, Inc. – Class A		199,760
	25,900	Weis Markets, Inc.		990,157
		Total Food & Staples Retailing		1,936,413
		Food, Beverage & Tobacco — 0.7%
	5,416	Seneca Foods Corp. – Class A *		148,832
	4,400	Simply Good Foods Co. (The) *		130,372
	50,200	Universal Corp.		2,513,012
		Total Food, Beverage & Tobacco		2,792,216
		Health Care Equipment & Services — 1.0%
	37,000	Computer Programs & Systems, Inc.		782,550
	8,900	FONAR Corp. *		214,490
	12,600	HealthStream, Inc. *		318,402
	9,300	Integer Holdings Corp. *		673,320
	47,000	Lantheus Holdings, Inc. *		1,022,720
	47,800	RTI Surgical Holdings, Inc. *		152,004
	2,943	Triple-S Management Corp. – Class B *		60,390
	26,800	Varex Imaging Corp. *		706,180
		Total Health Care Equipment & Services		3,930,056
		Household & Personal Products — 0.6%
	6,900	Central Garden & Pet Co. *		182,298
	32,700	Inter Parfums, Inc.		2,102,283
		Total Household & Personal Products		2,284,581
		Insurance — 1.4%
	28,900	Argo Group International Holdings Ltd.		1,899,308
	27,800	Employers Holdings, Inc.		1,199,014
	11,600	FedNat Holding Co.		141,868
	77,200	National General Holdings Corp.		1,820,376
	2,700	Safety Insurance Group, Inc.		260,388
	14,700	State Auto Financial Corp.		469,959
		Total Insurance		5,790,913
		Materials — 6.6%
	28,600	American Vanguard Corp.		405,262
	24,600	Boise Cascade Co.		772,440

Shares		Description	Value ($)
		Materials — continued
	49,800	Carpenter Technology Corp.		2,422,272
	31,100	FutureFuel Corp.		335,258
	32,100	Greif, Inc. – Class A		1,129,599
	4,200	Innophos Holdings, Inc.		117,978
	35,400	Innospec, Inc.		2,944,572
	11,900	Kaiser Aluminum Corp.		1,052,317
	10,000	Koppers Holdings, Inc. *		265,100
	24,100	Kraton Corp. *		661,304
	38,300	Materion Corp.		2,253,572
	23,500	Minerals Technologies, Inc.		1,132,700
	95,300	Owens-Illinois, Inc.		969,201
	9,100	PolyOne Corp.		291,291
	10,700	Ryerson Holding Corp. *		73,509
	34,200	Schweitzer-Mauduit International, Inc.		1,147,068
	86,300	Silgan Holdings, Inc.		2,568,288
	22,329	Stepan Co.		2,129,963
	34,400	Tredegar Corp.		594,776
	47,200	Verso Corp. – Class A *		481,912
	146,800	Warrior Met Coal, Inc.		3,068,120
	44,300	Worthington Industries, Inc.		1,537,210
		Total Materials		26,353,712
		Media & Entertainment — 4.1%
	22,500	AMC Networks, Inc. – Class A *		1,091,250
	102,700	DHI Group, Inc. *		372,801
	349,200	Gannett Co., Inc.		3,673,584
	51,200	Liberty TripAdvisor Holdings, Inc. – Class A *		447,488
	71,900	Marchex, Inc. – Class B *		244,460
	80,200	Marcus Corp. (The)		2,691,512
	103,300	National CineMedia, Inc.		847,060
	38,600	Scholastic Corp.		1,353,702
	382,900	TEGNA, Inc.		5,479,299
	44,100	Tribune Publishing Co.		337,365
		Total Media & Entertainment		16,538,521
		Pharmaceuticals, Biotechnology & Life Sciences — 0.9%
	72,700	Achillion Pharmaceuticals, Inc. *		316,245
	54,700	BioDelivery Sciences International, Inc. *		234,663
	111,900	Mallinckrodt Plc *		289,821
	34,000	Myriad Genetics, Inc. *		800,020
	65,100	Prestige Consumer Healthcare, Inc. *		2,075,388
	7,800	Protagonist Therapeutics, Inc. *		101,634
		Total Pharmaceuticals, Biotechnology & Life Sciences		3,817,771
		Real Estate — 7.8%
	87,200	Apple Hospitality REIT, Inc.		1,389,096
	54,900	CareTrust REIT, Inc.		1,306,071
	57,200	Chatham Lodging Trust (REIT)		948,948
	249,200	CoreCivic, Inc. (REIT)		4,223,940

See accompanying notes to the financial statements. 47

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Real Estate — continued
	137,900	CorePoint Lodging, Inc. (REIT)		1,254,890
	51,900	Cushman & Wakefield Plc *		873,996
	116,900	DiamondRock Hospitality Co. (REIT)		1,107,043
	29,500	GEO Group, Inc. (The) (REIT)		506,220
	39,400	Hersha Hospitality Trust (REIT)		547,660
	138,600	iStar, Inc. (REIT)		1,774,080
	245,900	Newmark Group, Inc. – Class A		2,134,412
	25,200	Office Properties Income Trust (REIT)		683,172
	35,600	Piedmont Office Realty Trust, Inc. – Class A (REIT)		702,744
	41,800	Realogy Holdings Corp.		199,804
	107,800	Retail Properties of America, Inc. – Class A (REIT)		1,224,608
	207,000	Summit Hotel Properties, Inc. (REIT)		2,310,120
	551,400	Sunstone Hotel Investors, Inc. (REIT)		7,245,396
	145,800	Xenia Hotels & Resorts, Inc. (REIT)		2,946,618
		Total Real Estate		31,378,818
		Retailing — 5.0%
	24,200	1-800-Flowers.com, Inc. – Class A *		356,224
	217,400	Abercrombie & Fitch Co. – Class A		3,178,388
	126,200	American Eagle Outfitters, Inc.		2,122,684
	5,700	Asbury Automotive Group, Inc. *		537,510
	23,800	Container Store Group, Inc. (The) *		106,624
	58,500	Core-Mark Holding Co., Inc.		1,894,815
	27,000	Designer Brands, Inc. – Class A		445,230
	47,200	Group 1 Automotive, Inc.		3,526,784
	58,513	Haverty Furniture Cos, Inc.		1,120,524
	69,900	Michaels Cos., Inc. (The) *		396,333
	23,100	Rent-A-Center, Inc. *		589,743
	15,800	Sally Beauty Holdings, Inc. *		193,234
	66,900	Shoe Carnival, Inc.		2,056,506
	2,600	Sleep Number Corp. *		108,784
	67,000	Sonic Automotive, Inc. – Class A		1,802,970
	2,400	Weyco Group, Inc.		58,872
	53,100	Zumiez, Inc. *		1,379,538
		Total Retailing		19,874,763
		Semiconductors & Semiconductor Equipment — 1.3%
	22,300	Alpha & Omega Semiconductor Ltd. *		262,694
	41,000	Cirrus Logic, Inc. *		2,199,240
	44,800	DSP Group, Inc. *		620,032
	23,500	Nanometrics, Inc. *		641,315
	83,600	Rambus, Inc. *		1,048,344
	5,100	Rudolph Technologies, Inc. *		112,149
	8,200	Xperi Corp.		150,224
		Total Semiconductors & Semiconductor Equipment		5,033,998
		Software & Services — 4.3%
	183,100	Avaya Holdings Corp. *		2,585,372
	9,200	ChannelAdvisor Corp. *		79,120
	13,300	Conduent, Inc. *		86,583

Shares		Description	Value ($)
		Software & Services — continued
	49,600	CSG Systems International, Inc.		2,672,448
	34,400	Hackett Group, Inc. (The)		554,872
	12,800	ManTech International Corp. – Class A		899,584
	1,900	MicroStrategy, Inc. – Class A *		272,251
	50,800	Monotype Imaging Holdings, Inc. *		1,003,300
	43,600	NIC, Inc.		907,752
	93,600	Perspecta, Inc.		2,428,920
	49,400	Sykes Enterprises, Inc. *		1,432,600
	39,500	Telenav, Inc. *		447,140
	183,500	Unisys Corp. *		1,200,090
	52,500	Verint Systems, Inc. *		2,797,725
		Total Software & Services		17,367,757
		Technology Hardware & Equipment — 7.8%
	119,046	ADTRAN, Inc.		1,222,602
	88,700	AVX Corp.		1,201,885
	23,600	Belden, Inc.		1,076,396
	118,100	Benchmark Electronics, Inc.		3,127,288
	38,200	Ciena Corp. *		1,563,526
	45,700	Comtech Telecommunications Corp.		1,222,475
	30,600	CTS Corp.		873,018
	47,800	Digi International, Inc. *		610,884
	16,500	Fabrinet *		833,085
	72,000	Insight Enterprises, Inc. *		3,460,320
	22,600	Kimball Electronics, Inc. *		298,546
	13,800	Knowles Corp. *		279,864
	54,600	Methode Electronics, Inc.		1,733,004
	28,900	MTS Systems Corp.		1,643,543
	14,800	NetScout Systems, Inc. *		327,820
	21,200	PC Connection, Inc.		746,876
	27,800	Plexus Corp. *		1,590,438
	160,200	Sanmina Corp. *		4,629,780
	47,000	Tech Data Corp. *		4,358,310
	6,100	Vishay Intertechnology, Inc.		96,563
	9,626	Vishay Precision Group, Inc. *		300,813
		Total Technology Hardware & Equipment		31,197,036
		Telecommunication Services — 1.1%
	8,600	IDT Corp. – Class B *		75,852
	101,388	Spok Holdings, Inc.		1,191,309
	123,000	Telephone & Data Systems, Inc.		3,099,600
		Total Telecommunication Services		4,366,761
		Transportation — 0.0%
	6,100	Radiant Logistics, Inc. *		29,768
		Utilities — 3.3%
	10,900	Avista Corp.		511,210
	56,100	Genie Energy Ltd. – Class B		401,676
	2,300	New Jersey Resources Corp.		105,202

48 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Utilities — continued
	21,800	NorthWestern Corp.		1,579,192
	14,900	Otter Tail Corp.		754,238
	108,800	PNM Resources, Inc.		5,549,888
	70,900	Portland General Electric Co.		4,033,501
	3,700	Unitil Corp.		223,369
		Total Utilities		13,158,276
		TOTAL COMMON STOCKS (COST $407,415,498)		390,830,778
		MUTUAL FUNDS — 2.0%
		Affiliated Issuers — 2.0%
	1,617,598	GMO U.S. Treasury Fund		8,087,993
		TOTAL MUTUAL FUNDS (COST $8,087,993)		8,087,993
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	1,069,490	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		1,069,490
		TOTAL SHORT-TERM INVESTMENTS (COST $1,069,490)		1,069,490
		TOTAL INVESTMENTS — 99.9% (Cost $416,572,981)		399,988,261
		Other Assets and Liabilities (net) — 0.1%		219,489
		TOTAL NET ASSETS — 100.0%		$400,207,750

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 50.

See accompanying notes to the financial statements. 49

GMO Trust Funds

August 31, 2019 (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

CVA - Certificaaten van aandelen (Share Certificates)

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose financial Company)

SOFR - Secured Overnight Financing Rate

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

USD LIBOR - London Interbank Offered Rate denominated in United States

Dollar.

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

2019, which are subject to change based on the terms of the security.

Counterparty Abbreviations:    

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

50 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited)

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		International Equity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	4,368,402	$	55,464,804	$	135,352,160	$	49,405,168
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		108,470,794		967,477,262		2,993,652,442		3,286,704,761
Foreign currency, at value (Note 2)(d)		37,908		494,589		8,573,894		1,379,732
Cash		—		13,834		2,110,831		9
Receivable for investments sold		—		26,965,119		4,372,919		—
Receivable for Fund shares sold		84,512		500,000		203,519		178,961
Dividends and interest receivable		90,384		7,417,580		5,350,665		6,066,598
Dividend withholding tax receivable		21,100		195,840		209,402		2,808,902
Foreign capital gains tax refund receivable (Note 2)		—		—		2,722,627		—
Receivable for variation margin on open futures contracts (Note 4)		—		58,000		—		152,883
Due from broker (Note 2)		—		—		10,000		1,806,354
Receivable for open OTC swap contracts (Note 4)		—		—		2,730,601		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,686		22,816		393,179		71,395
Total assets		113,083,786		1,058,609,844		3,155,682,239		3,348,574,763
Liabilities:
Due to broker (Note 2)		—		5,706		—		—
Payable for cash collateral from securities loaned (Note 2)		2,798,261		—		—		—
Payable for investments purchased		6,540		18,098,004		11,892,953		—
Payable for Fund shares repurchased		—		8,407,185		—		—
Accrued foreign capital gains tax payable (Note 2)		—		16,592		—		—
Payable to affiliate for (Note 5):
Management fee		56,117		681,739		1,997,352		1,408,308
Shareholder service fee		14,029		134,160		234,186		279,667
Payable to agents unaffiliated with GMO		36		327		745		834
Payable for variation margin on open futures contracts (Note 4)		—		52,359		—		—
Payable to Trustees and related expenses		83		3,793		6,272		5,580
Accrued expenses		80,804		578,352		1,741,870		683,639
Miscellaneous payable		—		—		920,071		10
Total liabilities		2,955,870		27,978,217		16,793,449		2,378,038
Net assets	$	110,127,916	$	1,030,631,627	$	3,138,888,790	$	3,346,196,725
(a)  Cost of investments – affiliated issuers:	$	4,368,402	$	50,932,734	$	127,841,733	$	49,405,168
(b)  Cost of investments – unaffiliated issuers:	$	116,451,416	$	956,015,591	$	2,993,995,479	$	3,551,989,468
(c)  Includes securities on loan at value (Note 2):	$	2,804,594	$	—	$	—	$	—
(d)  Cost of foreign currency:	$	38,261	$	493,321	$	8,612,488	$	1,385,804

See accompanying notes to the financial statements. 51

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			International Equity Fund
Net assets consist of:
Paid-in capital	$	119,338,881		$	1,118,621,696		$	4,554,572,077		$	4,631,586,235
Distributable earnings (accumulated loss)		(9,210,965	)		(87,990,069	)		(1,415,683,287	)		(1,285,389,510	)
	$	110,127,916		$	1,030,631,627		$	3,138,888,790		$	3,346,196,725
Net assets attributable to:
Class II	$	—		$	379,275,380		$	490,500,577		$	15,904,387
Class III	$	110,127,916		$	171,883,138		$	241,479,579		$	484,193,154
Class IV	$	—		$	—		$	—		$	2,846,099,184
Class V	$	—		$	479,473,109		$	—		$	—
Class VI	$	—		$	—		$	2,406,908,634		$	—
Shares outstanding:
Class II		—			17,699,044			15,794,706			821,556
Class III		5,226,049			8,022,820			7,753,132			24,698,431
Class IV		—			—			—			145,427,656
Class V		—			22,381,736			—			—
Class VI		—			—			78,049,610			—
Net asset value per share:
Class II	$	—		$	21.43		$	31.05		$	19.36
Class III	$	21.07		$	21.42		$	31.15		$	19.60
Class IV	$	—		$	—		$	—		$	19.57
Class V	$	—		$	21.42		$	—		$	—
Class VI	$	—		$	—		$	30.84		$	—

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Quality Fund		Resources Fund		Risk Premium Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	15,705,319	$	19,534,746	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		6,486,018,285		470,324,653		366,541,437
Foreign currency, at value (Note 2)(d)		16		198,021		137
Cash		42		—		87
Receivable for investments sold		15,973,800		—		—
Receivable for Fund shares sold		21,839,771		—		—
Dividends and interest receivable		11,686,943		1,354,837		1,165,716
Dividend withholding tax receivable		3,686,805		66,229		—
Due from broker (Note 2)		—		—		2,314,539
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		83,600		2,608		13,293
Total assets		6,554,994,581		491,481,094		370,035,209
Liabilities:
Payable for cash collateral from securities loaned (Note 2)		—		12,201,045		—
Payable for investments purchased		17,971,300		37		—
Payable for Fund shares repurchased		1,970,562		—		—
Payable to affiliate for (Note 5):
Management fee		1,816,066		204,580		78,058
Shareholder service fee		606,350		48,356		17,317
Payable to agents unaffiliated with GMO		1,584		146		121
Written options outstanding, at value (Note 4)(e)		—		—		3,837,467
Payable to Trustees and related expenses		4,388		233		129
Accrued expenses		686,982		185,867		87,115
Total liabilities		23,057,232		12,640,264		4,020,207
Net assets	$	6,531,937,349	$	478,840,830	$	366,015,002
(a)  Cost of investments – affiliated issuers:	$	15,705,282	$	19,534,746	$	—
(b)  Cost of investments – unaffiliated issuers:	$	4,243,667,300	$	474,298,514	$	366,410,237
(c)  Includes securities on loan at value (Note 2):	$	—	$	11,820,537	$	—
(d)  Cost of foreign currency:	$	16	$	199,080	$	138
(e)  Premiums on written options:	$	—	$	—	$	7,612,191

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Quality Fund		Resources Fund			Risk Premium Fund
Net assets consist of:
Paid-in capital	$	3,970,898,667	$	506,240,306		$	362,717,384
Distributable earnings (accumulated loss)		2,561,038,682		(27,399,476	)		3,297,618
	$	6,531,937,349	$	478,840,830		$	366,015,002
Net assets attributable to:
Class III	$	3,221,990,291	$	175,204,874		$	106,989
Class IV	$	1,098,750,049	$	303,635,956		$	—
Class VI	$	2,211,197,009	$	—		$	365,908,013
Shares outstanding:
Class III		135,506,667		9,578,168			3,909
Class IV		46,125,977		16,647,938			—
Class VI		92,978,383		—			13,292,126
Net asset value per share:
Class III	$	23.78	$	18.29		$	27.37
Class IV	$	23.82	$	18.24		$	—
Class VI	$	23.78	$	—		$	27.53

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	781,700	$	10,863,340	$	8,087,993
Investments in unaffiliated issuers, at value (Note 2)(b)		42,560,822		619,470,719		391,900,268
Foreign currency, at value (Note 2)(c)		62,098		—		—
Cash		—		7		—
Dividends and interest receivable		80,886		1,176,155		425,266
Dividend withholding tax receivable		33,251		—		—
Receivable for variation margin on open futures contracts (Note 4)		2,100		—		—
Due from broker (Note 2)		30,987		445,965		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		17,465		15,820		315
Total assets		43,569,309		631,972,006		400,413,842
Liabilities:
Payable for investments purchased		—		—		10,993
Payable for Fund shares repurchased		—		3,075,480		—
Accrued foreign capital gains tax payable (Note 2)		981		—		—
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		—		—		16,328
Payable to affiliate for (Note 5):
Management fee		18,248		164,672		104,051
Shareholder service fee		5,474		37,214		18,461
Payable to agents unaffiliated with GMO		13		185		24
Payable for variation margin on open futures contracts (Note 4)		—		5,985		—
Payable to Trustees and related expenses		101		2,403		100
Accrued expenses		162,911		158,347		56,135
Total liabilities		187,728		3,444,286		206,092
Net assets	$	43,381,581	$	628,527,720	$	400,207,750
(a)  Cost of investments – affiliated issuers:	$	781,690	$	10,863,340	$	8,087,993
(b)  Cost of investments – unaffiliated issuers:	$	37,204,628	$	582,511,986	$	408,484,988
(c)  Cost of foreign currency:	$	62,691	$	—	$	—

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	44,406,159		$	556,698,535	$	417,724,799
Distributable earnings (accumulated loss)		(1,024,578	)		71,829,185		(17,517,049	)
	$	43,381,581		$	628,527,720	$	400,207,750
Net assets attributable to:
Class III	$	43,381,581		$	96,869,433	$	—
Class VI	$	—		$	531,658,287	$	400,207,750
Shares outstanding:
Class III		3,222,965			7,383,717		—
Class VI		—			40,855,188		20,900,375
Net asset value per share:
Class III	$	13.46		$	13.12	$	—
Class VI	$	—		$	13.01	$	19.15

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			International Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,770,094		$	22,187,899		$	111,277,121		$	102,981,094
Dividends from affiliated issuers (Note 10)		45,759			498,078			465,323			566,135
Interest		345			223,470			519,928			14,667
Securities lending income from affiliated issuers (net)		104,737			—			—			—
Total investment income		1,920,935			22,909,447			112,262,372			103,561,896
Expenses:
Management fee (Note 5)		341,867			5,290,468			12,504,418			8,996,140
Shareholder service fee – Class II (Note 5)		—			506,478			512,759			19,375
Shareholder service fee – Class III (Note 5)		85,467			135,374			209,833			380,806
Shareholder service fee – Class IV (Note 5)		—			34,765	*		—			1,382,895
Shareholder service fee – Class V (Note 5)		—			299,047			—			—
Shareholder service fee – Class VI (Note 5)		—			—			711,862			—
Audit and tax fees		40,353			66,555			172,074			90,790
Custodian, fund accounting agent and transfer agent fees		28,250			378,221			1,292,831			335,724
Legal fees		4,782			28,288			55,456			58,656
Registration fees		692			4,756			22,268			13,567
Trustees’ fees and related expenses (Note 5)		1,665			19,910			44,318			47,005
Miscellaneous		6,639			13,106			33,303			60,794
Total expenses		509,715			6,776,968			15,559,122			11,385,752
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(69,231	)		(105,996	)		(2,367,775	)		(509,647	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(1,313	)		(5,133	)		(5,609	)		(8,469	)
Net expenses		439,171			6,665,839			13,185,738			10,867,636
Net investment income (loss)		1,481,764			16,243,608			99,076,634			92,694,260
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(734,396	)		38,532,387			(28,317,637	)		(50,396,680	)
Investments in affiliated issuers		(5	)		(917,557	)		(52,686	)		—
Futures contracts		—			(825,954	)		1,844,511			3,755,822
Swap contracts		—			—			(1,078,986	)		—
Forward currency contracts		—			(640,131	)		—			—
Foreign currency and foreign currency related transactions		(4,186	)		(862,689	)		(2,339,822	)		(28,344	)
Net realized gain (loss)		(738,587	)		35,286,056			(29,944,620	)		(46,669,202	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(5,845,584	)		(27,070,621	)		(149,901,684	)		(158,405,695	)
Investments in affiliated issuers		5			(6,905,013	)		(10,395,129	)		—
Futures contracts		—			(922,336	)		(9,085,668	)		(2,348,309	)
Swap contracts		—			—			3,630,333			—
Forward currency contracts		—			555,803			—			—
Foreign currency and foreign currency related transactions		(1,529	)		(42,448	)		(140,919	)		(284,980	)
Net change in unrealized appreciation (depreciation)		(5,847,108	)		(34,384,615	)		(165,893,067	)		(161,038,984	)
Net realized and unrealized gain (loss)		(6,585,695	)		901,441			(195,837,687	)		(207,708,186	)
Net increase (decrease) in net assets resulting from operations	$	(5,103,931	)	$	17,145,049		$	(96,761,053	)	$	(115,013,926	)
(a)  Withholding tax:	$	224,566		$	2,586,747		$	15,368,165		$	11,053,456
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	(18,505	)	$	248,425		$	—
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	16,592		$	—		$	—

* For the period June 25, 2019 to August 31, 2019, class IV had no shareholders.

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	Quality Fund			Resources Fund			Risk Premium Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	69,865,456		$	12,946,350		$	26,346
Dividends from affiliated issuers (Note 10)		187,755			134,716			—
Interest		1,612,760			372			4,914,784
Securities lending income from affiliated issuers (net)		—			254,637			—
Total investment income		71,665,971			13,336,075			4,941,130
Expenses:
Management fee (Note 5)		10,898,651			1,283,738			512,594
Shareholder service fee – Class III (Note 5)		2,388,841			135,826			6,741
Shareholder service fee – Class IV (Note 5)		591,354			166,197			—
Shareholder service fee – Class VI (Note 5)		630,777			—			110,299
Audit and tax fees		57,774			46,338			26,808
Custodian, fund accounting agent and transfer agent fees		426,534			124,259			36,157
Legal fees		100,044			9,682			5,936
Registration fees		13,567			1,615			1,306
Trustees’ fees and related expenses (Note 5)		82,074			7,225			5,885
Miscellaneous		24,801			7,438			8,888
Total expenses		15,214,417			1,782,318			714,614
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(594,420	)		—			(78,180	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(2,128	)		(3,647	)		—
Net expenses		14,617,869			1,778,671			636,434
Net investment income (loss)		57,048,102			11,557,404			4,304,696
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		269,678,761			10,737,645			133,562
Written options		—			—			4,903,173
Foreign currency and foreign currency related transactions		(173,704	)		(73,942	)		(2,360	)
Net realized gain (loss)		269,505,057			10,663,703			5,034,375
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		178,568,010			(73,658,110	)		242,821
Written options		—			—			2,227,986
Foreign currency and foreign currency related transactions		4,653			221			(3	)
Net change in unrealized appreciation (depreciation)		178,572,663			(73,657,889	)		2,470,804
Net realized and unrealized gain (loss)		448,077,720			(62,994,186	)		7,505,179
Net increase (decrease) in net assets resulting from operations	$	505,125,822		$	(51,436,782	)	$	11,809,875
(a)  Withholding tax:	$	3,627,184		$	1,089,187		$	—

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund*
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,314,830		$	8,561,324		$	1,015,125
Dividends from affiliated issuers (Note 10)		6,970			120,032			9,107
Interest		478			3,302			4,959
Total investment income		1,322,278			8,684,658			1,029,191
Expenses:
Management fee (Note 5)		115,885			1,261,503			169,311
Shareholder service fee – Class III (Note 5)		34,766			93,072			—
Shareholder service fee – Class VI (Note 5)		—			189,689			30,039
Organizational expenses		—			—			33,074
Audit and tax fees		65,851			32,924			14,752
Custodian, fund accounting agent and transfer agent fees		57,017			65,997			11,014
Legal fees		3,674			16,998			1,694
Registration fees		2,013			10,466			3,266
Trustees’ fees and related expenses (Note 5)		576			11,755			476
Miscellaneous		18,002	**		7,033			2,045
Total expenses		297,784			1,689,437			265,671
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(119,035	)		(128,999	)		(10,299	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(93	)		(1,134	)		(315	)
Net expenses		178,656			1,559,304			255,057
Net investment income (loss)		1,143,622			7,125,354			774,134
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		1,104,035			38,015,762			(1,327,937	)
Investments in affiliated issuers		25			—			—
Futures contracts		53,020			921,352			—
Foreign currency and foreign currency related transactions		(4,043	)		—			—
Net realized gain (loss)		1,153,037			38,937,114			(1,327,937	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(3,087,902	)		(14,014,940	)		(16,584,720	)
Investments in affiliated issuers		(25	)		—			—
Futures contracts		(18,682	)		(270,793	)		—
Foreign currency and foreign currency related transactions		(4,873	)		—			—
Net change in unrealized appreciation (depreciation)		(3,111,482	)		(14,285,733	)		(16,584,720	)
Net realized and unrealized gain (loss)		(1,958,445	)		24,651,381			(17,912,657	)
Net increase (decrease) in net assets resulting from operations	$	(814,823	)	$	31,776,735		$	(17,138,523	)
(a)  Withholding tax:	$	138,935		$	3,832		$	—
(b)  Foreign capital gains tax on net realized gain (loss):	$	(1,738	)	$	—		$	—
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	981		$	—		$	—

* Period from July 2, 2019 (commencement of operations) through August 31, 2019.

** Includes $13,984 of pricing related fees.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,481,764		$	1,346,161		$	16,243,608		$	20,044,450
Net realized gain (loss)		(738,587	)		(1,431,314	)		35,286,056			(127,744,286	)
Change in net unrealized appreciation (depreciation)		(5,847,108	)		(3,616,090	)		(34,384,615	)		(244,700,095	)
Net increase (decrease) in net assets from operations		(5,103,931	)		(3,701,243	)		17,145,049			(352,399,931	)
Distributions to shareholders:
Class II		—			—			(4,668,199	)		(58,173,249	)
Class III		(233,976	)		(2,281,150	)		(1,946,222	)		(16,664,610	)
Class IV		—			—			—	*		(30,066,257	)
Class V		—			—			(8,439,865	)		(110,722,387	)
Total distributions		(233,976	)		(2,281,150	)		(15,054,286	)		(215,626,503	)
Net share transactions (Note 9):
Class II		—			—			(84,573,672	)		(74,397,372	)
Class III		2,466,092			92,288,039			(3,452,940	)		95,093,123
Class IV		—			—			(114,489,235	)*		(116,279,994	)
Class V		—			—			(281,644,522	)		(232,636,815	)
Increase (decrease) in net assets resulting from net share transactions		2,466,092			92,288,039			(484,160,369	)		(328,221,058	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			730,963			1,071,821
Class III		—			—			296,677			288,278
Class IV		—			—			9,845	*		521,236
Class V		—			—			929,440			1,798,611
Increase in net assets resulting from purchase premiums and redemption fees		—			—			1,966,925			3,679,946
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		2,466,092			92,288,039			(482,193,444	)		(324,541,112	)
Total increase (decrease) in net assets		(2,871,815	)		86,305,646			(480,102,681	)		(892,567,546	)
Net assets:
Beginning of period		112,999,731			26,694,085			1,510,734,308			2,403,301,854
End of period	$	110,127,916		$	112,999,731		$	1,030,631,627		$	1,510,734,308

* For the period June 25, 2019 to August 31, 2019, Class IV had no shareholders.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						International Equity Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	99,076,634		$	127,751,642		$	92,694,260		$	117,777,794
Net realized gain (loss)		(29,944,620	)		24,002,542			(46,669,202	)		212,193,225
Change in net unrealized appreciation (depreciation)		(165,893,067	)		(592,502,767	)		(161,038,984	)		(855,916,408	)
Net increase (decrease) in net assets from operations		(96,761,053	)		(440,748,583	)		(115,013,926	)		(525,945,389	)
Distributions to shareholders:
Class II		(2,390,553	)		(10,504,612	)		(23,643	)		(599,500	)
Class III		(1,527,596	)		(9,094,066	)		(840,905	)		(14,500,679	)
Class IV		—			(2,729,727	)*		(5,449,031	)		(110,761,371	)
Class V		—			(1,128,252	)**		—			—
Class VI		(14,905,221	)		(91,069,785	)		—			—
Total distributions		(18,823,370	)		(114,526,442	)		(6,313,579	)		(125,861,550	)
Net share transactions (Note 9):
Class II		57,192,814			23,280,305			(1,726,880	)		(2,297,231	)
Class III		(26,809,899	)		(72,497,701	)		(5,259,644	)		95,774,741
Class IV		—			(454,910,684	)*		(207,645,986	)		(827,198,795	)
Class V		—			(140,260,973	)**		—			—
Class VI		(192,526,394	)		(497,156,348	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(162,143,479	)		(1,141,545,401	)		(214,632,510	)		(733,721,285	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		175,163			946,045			—			—
Class III		108,125			779,646			—			—
Class IV		—			335,561	*		—			—
Class V		—			341,514	**		—			—
Class VI		991,343			7,722,684			—			—
Increase in net assets resulting from purchase premiums and redemption fees		1,274,631			10,125,450			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(160,868,848	)		(1,131,419,951	)		(214,632,510	)		(733,721,285	)
Total increase (decrease) in net assets		(276,453,271	)		(1,686,694,976	)		(335,960,015	)		(1,385,528,224	)
Net assets:
Beginning of period		3,415,342,061			5,102,037,037			3,682,156,740			5,067,684,964
End of period	$	3,138,888,790		$	3,415,342,061		$	3,346,196,725		$	3,682,156,740

* For the period February 27, 2019 to February 28, 2019, Class IV had no shareholders.

** For the period February 27, 2019 to February 28, 2019, Class V had no shareholders.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Fund						Resources Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	57,048,102		$	103,643,153		$	11,557,404		$	12,729,959
Net realized gain (loss)		269,505,057			930,959,502			10,663,703			13,387,616
Change in net unrealized appreciation (depreciation)		178,572,663			(562,001,027	)		(73,657,889	)		(20,698,398	)
Net increase (decrease) in net assets from operations		505,125,822			472,601,628			(51,436,782	)		5,419,177
Distributions to shareholders:
Class III		(39,611,285	)		(530,443,143	)		(222,687	)		(4,879,976	)
Class IV		(13,713,630	)		(184,871,739	)		(432,337	)		(11,890,739	)
Class V		—			(19,533,549	)*		—			—
Class VI		(29,537,723	)		(418,506,416	)		—			—
Total distributions		(82,862,638	)		(1,153,354,847	)		(655,024	)		(16,770,715	)
Net share transactions (Note 9):
Class III		(44,189,325	)		(140,991,013	)		24,310,421			116,726,107
Class IV		(112,389,014	)		306,012,923			71,045			50,370,121
Class V		—			(146,462,078	)*		—			—
Class VI		(165,520,012	)		(1,106,099,682	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(322,098,351	)		(1,087,539,850	)		24,381,466			167,096,228
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			25,912			117,010
Class IV		—			—			47,823			382,165
Increase in net assets resulting from purchase premiums and redemption fees		—			—			73,735			499,175
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(322,098,351	)		(1,087,539,850	)		24,455,201			167,595,403
Total increase (decrease) in net assets		100,164,833			(1,768,293,069	)		(27,636,605	)		156,243,865
Net assets:
Beginning of period		6,431,772,516			8,200,065,585			506,477,435			350,233,570
End of period	$	6,531,937,349		$	6,431,772,516		$	478,840,830		$	506,477,435

* For the period February 27, 2019 to February 28, 2019, Class V had no shareholders.

62 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, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,304,696		$	6,686,064		$	1,143,622		$	1,254,251
Net realized gain (loss)		5,034,375			(5,493,380	)		1,153,037			7,665,771
Change in net unrealized appreciation (depreciation)		2,470,804			1,178,150			(3,111,482	)		(15,716,656	)
Net increase (decrease) in net assets from operations		11,809,875			2,370,834			(814,823	)		(6,796,634	)
Distributions to shareholders:
Class III		(48,105	)		(206,499	)		(295,833	)		(2,943,415	)
Class VI		(1,757,403	)		(5,195,070	)		—			—
Total distributions		(1,805,508	)		(5,401,569	)		(295,833	)		(2,943,415	)
Net share transactions (Note 9):
Class III		(11,162,170	)		8,376,914			(4,246,959	)		(10,302,487	)
Class VI		(93,362,340	)		309,502,515			—			—
Increase (decrease) in net assets resulting from net share transactions		(104,524,510	)		317,879,429			(4,246,959	)		(10,302,487	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			365			—			—
Class VI		—			14,488			—			—
Increase in net assets resulting from purchase premiums and redemption fees		—			14,853			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(104,524,510	)		317,894,282			(4,246,959	)		(10,302,487	)
Total increase (decrease) in net assets		(94,520,143	)		314,863,547			(5,357,615	)		(20,042,536	)
Net assets:
Beginning of period		460,535,145			145,671,598			48,739,196			68,781,732
End of period	$	366,015,002		$	460,535,145		$	43,381,581		$	48,739,196

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Fund						U.S. Small Cap Value Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Period from July 2, 2019 (commencement of operations) through August 31, 2019 (Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,125,354		$	17,688,297		$	774,134
Net realized gain (loss)		38,937,114			117,016,371			(1,327,937	)
Change in net unrealized appreciation (depreciation)		(14,285,733	)		(106,845,488	)		(16,584,720	)
Net increase (decrease) in net assets from operations		31,776,735			27,859,180			(17,138,523	)
Distributions to shareholders:
Class III		(3,653,354	)		(13,063,087	)		—
Class IV		—			(6,281,717	)*		—
Class V		—			(6,695,554	)**		—
Class VI		(19,784,022	)		(143,083,400	)		—
Total distributions		(23,437,376	)		(169,123,758	)		—
Net share transactions (Note 9):
Class III		(34,939,072	)		65,735,804			—
Class IV		—			(30,951,432	)*		—
Class V		—			(52,152,440	)**		—
Class VI		(234,784,449	)		(325,171,818	)		417,346,273
Increase (decrease) in net assets resulting from net share transactions		(269,723,521	)		(342,539,886	)		417,346,273
Total increase (decrease) in net assets		(261,384,162	)		(483,804,464	)		400,207,750
Net assets:
Beginning of period		889,911,882			1,373,716,346			—
End of period	$	628,527,720		$	889,911,882		$	400,207,750

* For the period February 27, 2019 to February 28, 2019, Class IV had no shareholders.

** For the period February 27, 2019 to February 28, 2019, Class V had no shareholders.

64 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, 2019 (Unaudited)				Year Ended February 28, 2019				Period from April 5, 2017 (commencement of operations) through February 28, 2018
Net asset value, beginning of period		$	22.04			$	23.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28				0.36				0.23
Net realized and unrealized gain (loss)			(1.20	)			(1.61	)			4.41
Total from investment operations			(0.92	)			(1.25	)			4.64
Less distributions to shareholders:
From net investment income			(0.05	)			(0.26	)			(0.22	)
From net realized gains			—				(0.26	)			(0.61	)
Total distributions			(0.05	)			(0.52	)			(0.83	)
Net asset value, end of period		$	21.07			$	22.04			$	23.81
Total Return(b)			(4.21	)%**			(5.22	)%			23.28	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	110,128			$	113,000			$	26,694
Net expenses to average daily net assets(c)			0.77	%*			0.75	%			0.78	%*
Net investment income (loss) to average daily net assets(a)			2.60	%*			1.61	%			1.09	%*
Portfolio turnover rate(d)			40	%**			29	%			44	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%(e)*			0.26	%			0.73	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, February 28, 2019 and February 28, 2018, including transactions in USTF, was 111%, 121% and 174%, respectively, of the average value of its portfolio.

^(e)  Ratio includes 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. 65

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	21.61			$	28.86			$	22.64			$	19.36			$	23.99			$	22.55			$	21.60			$	28.86			$	22.64			$	19.35			$	23.98			$	22.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.24				0.25				0.25				0.34				0.28				0.25				0.26				0.27				0.27				0.36				0.29
Net realized and unrealized gain (loss)			(0.19	)(b)			(4.58	)			6.33				3.68				(4.60	)			1.55				(0.19	)(b)			(4.59	)			6.32				3.68				(4.60	)			1.55
Total from investment operations			0.05				(4.34	)			6.58				3.93				(4.26	)			1.83				0.06				(4.33	)			6.59				3.95				(4.24	)			1.84
Less distributions to shareholders:
From net investment income			(0.23	)			(0.17	)			(0.36	)			(0.65	)			(0.37	)			(0.23	)			(0.24	)			(0.19	)			(0.37	)			(0.66	)			(0.39	)			(0.24	)
From net realized gains			—				(2.74	)			—				—				—				(0.16	)			—				(2.74	)			—				—				—				(0.16	)
Total distributions			(0.23	)			(2.91	)			(0.36	)			(0.65	)			(0.37	)			(0.39	)			(0.24	)			(2.93	)			(0.37	)			(0.66	)			(0.39	)			(0.40	)
Net asset value, end of period		$	21.43			$	21.61			$	28.86			$	22.64			$	19.36			$	23.99			$	21.42			$	21.60			$	28.86			$	22.64			$	19.35			$	23.98
Total Return(c)			0.19	%**			(15.48	)%			29.10	%			20.62	%			(17.91	)%			8.18	%			0.22	%**			(15.43	)%			29.17	%			20.73	%			(17.86	)%			8.23	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	379,275			$	467,336			$	700,211			$	603,565			$	556,539			$	738,035			$	171,883			$	176,770			$	121,511			$	129,068			$	242,740			$	336,488
Net expenses to average daily net assets(d)			1.03	%*			1.04	%			1.06	%			1.06	%			1.07	%			1.07	%			0.96	% *			0.97	%			0.99	%			0.99	%			1.00	%			1.00	%
Net investment income (loss) to average daily net assets(a)			2.21	%*			1.00	%			0.96	%			1.12	%			1.51	%			1.21	%			2.31	% *			1.11	%			1.05	%			1.26	%			1.61	%			1.26	%
Portfolio turnover rate			93	%(e)**			238	%(e)			201	%(e)			227	%(e)			250	%			204	%			93	%(e)**			238	%(e)			201	%(e)			227	%(e)			250	%			204	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(f)*			0.01	%			0.02	%			0.04	%			0.04	%			0.03	%			0.02	%(f)*			0.01	%			0.02	%			0.05	%			0.04	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.05			$	0.03			$	0.02			$	0.04			$	0.03			$	0.04			$	0.05			$	0.02			$	0.02			$	0.03			$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 254%, 254% and 271%, respectively, of the average value of its portfolio.

^(f) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

66 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 V Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	21.60			$	28.85			$	22.62			$	19.35			$	23.98			$	22.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.26				0.28				0.29				0.23				0.37				0.31
Net realized and unrealized gain (loss)			(0.20	)(b)			(4.60	)			6.33				3.73				(4.59	)			1.55
Total from investment operations			0.06				(4.32	)			6.62				3.96				(4.22	)			1.86
Less distributions to shareholders:
From net investment income			(0.24	)			(0.19	)			(0.39	)			(0.69	)			(0.41	)			(0.26	)
From net realized gains			—				(2.74	)			—				—				—				(0.16	)
Total distributions			(0.24	)			(2.93	)			(0.39	)			(0.69	)			(0.41	)			(0.42	)
Net asset value, end of period		$	21.42			$	21.60			$	28.85			$	22.62			$	19.35			$	23.98
Total Return(c)			0.24	%**			(15.37	)%			29.31	%			20.78	%			(17.79	)%			8.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	479,473			$	755,613			$	1,280,851			$	948,052			$	322,379			$	255,379
Net expenses to average daily net assets(d)			0.89	%*			0.90	%			0.92	%			0.93	%			0.94	%			0.93	%
Net investment income (loss) to average daily net assets(a)			2.37	%*			1.19	%			1.09	%			1.04	%			1.65	%			1.32	%
Portfolio turnover rate			93	%(e)**			238	%(e)			201	%(e)			227	%(e)			250	%			204	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(f)*			0.01	%			0.02	%			0.05	%			0.04	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.05			$	0.03			$	0.03			$	0.04			$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 254%, 254% and 271%, respectively, of the average value of its portfolio.

^(f)  Ratio includes 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. 67

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)								2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	32.23			$	36.42			$	29.98			$	22.80			$	30.48			$	30.60			$	32.32			$	36.51			$	30.05			$	22.83			$	30.57			$	30.69
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.94				1.01				0.75				0.57				0.72				0.84				0.98				1.01				0.72				0.57				0.66				0.81
Net realized and unrealized gain (loss)			(1.95	)			(4.22	)			6.58				7.22				(7.59	)			0.00	(c)			(1.98	)			(4.21	)			6.64				7.27				(7.56	)			0.06
Total from investment operations			(1.01	)			(3.21	)			7.33				7.79				(6.87	)			0.84				(1.00	)			(3.20	)			7.36				7.84				(6.90	)			0.87
Less distributions to shareholders:
From net investment income			(0.17	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.17	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)
Total distributions			(0.17	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.17	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)
Net asset value, end of period		$	31.05			$	32.23			$	36.42			$	29.98			$	22.80			$	30.48			$	31.15			$	32.32			$	36.51			$	30.05			$	22.83			$	30.57
Total Return(d)			(3.17	)%**			(8.57	)%			24.66	%			34.47	%			(22.76	)%			2.84	%			(3.12	)%**			(8.51	)%			24.71	%			34.67	%			(22.80	)%			2.91	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	490,501			$	451,720			$	479,640			$	498,564			$	532,366			$	1,000,299			$	241,480			$	277,824			$	390,827			$	301,786			$	189,907			$	283,712
Net expenses to average daily net assets(e)			0.93	%*			0.93	%			0.96	%			1.07	%			1.09	%			1.07	%			0.88	%*			0.88	%			0.91	%			1.01	%			1.04	%			1.02	%
Net investment income (loss) to average daily net assets(b)			5.78	%*			3.09	%			2.25	%			2.08	%			2.57	%			2.66	%			5.99	%*			3.08	%			2.14	%			2.07	%			2.45	%			2.55	%
Portfolio turnover rate			42	%(f)**			98	%(f)			87	%(f)			62	%(f)			104	%			94	%			42	%(f)**			98	%(f)			87	%(f)			62	%(f)			104	%			94	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%(g)*			0.13	%			0.13	%			0.04	%			0.03	%			0.03	%			0.11	%(g)*			0.11	%			0.11	%			0.03	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.08			$	0.11			$	0.09	(a)		$	0.10	(a)		$	0.11	(a)		$	0.01			$	0.08			$	0.11			$	0.09	(a)		$	0.10	(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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(e)  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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 128%, 117% and 80%, respectively, of the average value of its portfolio.

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	32.00			$	36.16			$	29.77			$	22.62			$	30.30			$	30.45
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.96				1.06				0.78				0.63				0.69				0.90
Net realized and unrealized gain (loss)			(1.93	)			(4.19	)			6.56				7.17				(7.50	)			(0.03	)
Total from investment operations			(0.97	)			(3.13	)			7.34				7.80				(6.81	)			0.87
Less distributions to shareholders:
From net investment income			(0.19	)			(1.03	)			(0.95	)			(0.65	)			(0.87	)			(1.02	)
Total distributions			(0.19	)			(1.03	)			(0.95	)			(0.65	)			(0.87	)			(1.02	)
Net asset value, end of period		$	30.84			$	32.00			$	36.16			$	29.77			$	22.62			$	30.30
Total Return(c)			(3.07	)%**			(8.39	)%			24.90	%			34.83	%			(22.71	)%			2.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,406,909			$	2,685,798			$	3,575,505			$	3,524,022			$	3,661,271			$	5,194,557
Net expenses to average daily net assets(d)			0.75	%*			0.75	%			0.78	%			0.89	%			0.91	%			0.89	%
Net investment income (loss) to average daily net assets(b)			5.97	%*			3.25	%			2.36	%			2.32	%			2.61	%			2.79	%
Portfolio turnover rate			42	%(e)**			98	%(e)			87	%(e)			62	%(e)			104	%			94	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.15	%(f)*			0.14	%			0.14	%			0.06	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.08			$	0.11			$	0.08	(a)		$	0.09	(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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(e)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 128%, 117% and 80%, respectively, of the average value of its portfolio.

^(f) Ratio includes 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. 69

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	20.08			$	23.63			$	20.18			$	18.17			$	23.43			$	26.16			$	20.33			$	23.92			$	20.41			$	18.38			$	23.70			$	26.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.51				0.57				0.41				0.70				0.57				0.66				0.52				0.57				0.61				0.63				0.59				0.69
Net realized and unrealized gain (loss)			(1.20	)			(3.45	)			3.78				2.07				(5.19	)			(1.42	)			(1.22	)			(3.47	)			3.64				2.19				(5.25	)			(1.45	)
Total from investment operations			(0.69	)			(2.88	)			4.19				2.77				(4.62	)			(0.76	)			(0.70	)			(2.90	)			4.25				2.82				(4.66	)			(0.76	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(1.07	)			(0.03	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)			(1.08	)
From net realized gains			—				—				—				—				—				(0.90	)			—				—				—				—				—				(0.90	)
Total distributions			(0.03	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(1.97	)			(0.03	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)			(1.98	)
Net asset value, end of period		$	19.36			$	20.08			$	23.63			$	20.18			$	18.17			$	23.43			$	19.60			$	20.33			$	23.92			$	20.41			$	18.38			$	23.70
Total Return(b)			(3.45	)%**			(12.07	)%			20.85	%			15.45	%			(19.99	)%			(2.55	)%			(3.43	)%**			(12.02	)%			20.96	%			15.53	%			(19.95	)%			(2.50	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	15,904			$	18,202			$	23,736			$	10,302			$	81,206			$	118,737			$	484,193			$	507,195			$	485,782			$	731,060			$	1,043,305			$	1,523,128
Net expenses to average daily net assets(c)			0.73	%*			0.73	%			0.72	%			0.72	%			0.72	%			0.72	%			0.66	%*			0.66	%			0.65	%			0.65	%			0.65	%			0.65	%
Net investment income (loss) to average daily net assets(a)			5.09	%*			2.64	%			1.77	%			3.62	%			2.65	%			2.63	%			5.05	%*			2.64	%			2.68	%			3.16	%			2.70	%			2.73	%
Portfolio turnover rate			26	%(d)**			41	%(d)			45	%(d)			27	%(d)			75	%			70	%			26	%(d)**			41	%(d)			45	%(d)			27	%(d)			75	%			70	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(e)*			0.02	%			0.04	%			0.04	%			0.04	%			0.04	%			0.03	%(e)*			0.02	%			0.04	%			0.04	%			0.04	%			0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 32%, 54%, 61% and 50%, respectively, of the average value of its portfolio.

^(e) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

70 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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	20.29			$	23.87			$	20.38			$	18.36			$	23.66			$	26.41
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.53				0.63				0.56				0.63				0.62				0.67
Net realized and unrealized gain (loss)			(1.21	)			(3.51	)			3.69				2.19				(5.25	)			(1.42	)
Total from investment operations			(0.68	)			(2.88	)			4.25				2.82				(4.63	)			(0.75	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)			(1.10	)
From net realized gains			—				—				—				—				—				(0.90	)
Total distributions			(0.04	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)			(2.00	)
Net asset value, end of period		$	19.57			$	20.29			$	23.87			$	20.38			$	18.36			$	23.66
Total Return(b)			(3.38	)%**			(11.95	)%			20.98	%			15.57	%			(19.85	)%			(2.47	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,846,099			$	3,156,760			$	4,558,167			$	5,072,024			$	7,051,400			$	11,374,017
Net expenses to average daily net assets(c)			0.59	%*			0.60	%			0.59	%			0.59	%			0.59	%			0.59	%
Net investment income (loss) to average daily net assets(a)			5.17	%*			2.89	%			2.45	%			3.19	%			2.80	%			2.66	%
Portfolio turnover rate			26	%(d)**			41	%(d)			45	%(d)			27	%(d)			75	%			70	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(e)*			0.02	%			0.04	%			0.04	%			0.04	%			0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 32%, 54%, 61% and 50%, respectively, of the average value of its portfolio.

^(e) Ratio includes 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. 71

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	22.28			$	25.13			$	22.05			$	18.99			$	22.98			$	25.08			$	22.32			$	25.17			$	22.08			$	19.01			$	23.01			$	25.10
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.35				0.36				0.35				0.38				0.42				0.21				0.36				0.37				0.36				0.39				0.43
Net realized and unrealized gain (loss)			1.59				1.21				4.70				3.44				(1.04	)			2.91				1.59				1.22				4.70				3.45				(1.05	)			2.92
Total from investment operations			1.79				1.56				5.06				3.79				(0.66	)			3.33				1.80				1.58				5.07				3.81				(0.66	)			3.35
Less distributions to shareholders:
From net investment income			(0.05	)			(0.39	)			(0.41	)			(0.35	)			(0.42	)			(0.49	)			(0.06	)			(0.41	)			(0.41	)			(0.36	)			(0.43	)			(0.50	)
From net realized gains			(0.24	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(0.24	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)
Total distributions			(0.29	)			(4.41	)			(1.98	)			(0.73	)			(3.33	)			(5.43	)			(0.30	)			(4.43	)			(1.98	)			(0.74	)			(3.34	)			(5.44	)
Net asset value, end of period		$	23.78			$	22.28			$	25.13			$	22.05			$	18.99			$	22.98			$	23.82			$	22.32			$	25.17			$	22.08			$	19.01			$	23.01
Total Return(b)			8.05	%**			6.86	%			23.32	%			20.25	%			(2.89	)%			14.73	%			8.05	%**			6.91	%			23.37	%			20.33	%			(2.88	)%			14.81	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,221,990			$	3,065,461			$	3,524,103			$	3,587,627			$	3,968,156			$	5,336,063			$	1,098,750			$	1,139,024			$	957,900			$	1,222,874			$	1,294,033			$	2,201,876
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.68	%*			1.42	%			1.48	%			1.72	%			1.79	%			1.71	%			1.74	%*			1.46	%			1.53	%			1.76	%			1.83	%			1.77	%
Portfolio turnover rate			8	%(d)**			18	%(d)			10	%(d)			29	%(d)			37	%			60	%			8	%(d)**			18	%(d)			10	%(d)			29	%(d)			37	%			60	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%(e)*			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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 8%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

† 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)

QUALITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	22.28			$	25.13			$	22.05			$	18.99			$	22.99			$	25.09
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.38				0.38				0.36				0.40				0.45
Net realized and unrealized gain (loss)			1.59				1.21				4.70				3.46				(1.04	)			2.90
Total from investment operations			1.80				1.59				5.08				3.82				(0.64	)			3.35
Less distributions to shareholders:
From net investment income			(0.06	)			(0.42	)			(0.43	)			(0.38	)			(0.45	)			(0.51	)
From net realized gains			(0.24	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)
Total distributions			(0.30	)			(4.44	)			(2.00	)			(0.76	)			(3.36	)			(5.45	)
Net asset value, end of period		$	23.78			$	22.28			$	25.13			$	22.05			$	18.99			$	22.99
Total Return(b)			8.08	%**			6.96	%			23.43	%			20.39	%			(2.83	)%			14.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,211,197			$	2,227,287			$	3,561,976			$	3,359,025			$	1,732,420			$	2,496,930
Net expenses to average daily net assets(c)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(a)			1.78	%*			1.54	%			1.57	%			1.73	%			1.88	%			1.83	%
Portfolio turnover rate			8	%(d)**			18	%(d)			10	%(d)			29	%(d)			37	%			60	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*			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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 8%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

^(e)  Ratio includes 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. 73

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	20.31			$	20.88			$	17.31			$	11.74			$	16.33			$	21.88			$	20.24			$	20.81			$	17.25			$	11.71			$	16.28			$	21.86
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.44				0.54				0.33				0.30				0.47				0.87				0.45				0.62				0.38				0.34				0.46				0.75
Net realized and unrealized gain (loss)			(2.44	)			(0.37	)			4.02				5.75				(4.67	)			(3.77	)			(2.42	)			(0.46	)			3.97				5.68				(4.63	)			(3.65	)
Total from investment operations			(2.00	)			0.17				4.35				6.05				(4.20	)			(2.90	)			(1.97	)			0.16				4.35				6.02				(4.17	)			(2.90	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(1.03	)			(0.03	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)			(1.06	)
From net realized gains			—				—				—				—				—				(1.62	)			—				—				—				—				—				(1.62	)
Total distributions			(0.02	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(2.65	)			(0.03	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)			(2.68	)
Net asset value, end of period		$	18.29			$	20.31			$	20.88			$	17.31			$	11.74			$	16.33			$	18.24			$	20.24			$	20.81			$	17.25			$	11.71			$	16.28
Total Return(b)			(9.84	)%**			0.99	%			26.00	%			51.75	%			(25.76	)%			(12.81	)%			(9.77	)%**			0.98	%			26.12	%			51.72	%			(25.68	)%			(12.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	175,205			$	169,523			$	54,037			$	22,562			$	13,864			$	23,734			$	303,636			$	336,954			$	296,196			$	190,260			$	170,919			$	119,308
Net expenses to average daily net assets(c)			0.73	%*			0.74	%(d)			0.76	%(d)			0.77	%			0.77	%			0.76	%			0.68	%*			0.70	%(d)			0.71	%(d)			0.72	%			0.72	%			0.71	%
Net investment income (loss) to average daily net assets(a)			4.44	%*			2.68	%			1.77	%			1.99	%			3.36	%			4.01	%			4.54	%*			3.06	%			2.04	%			2.26	%			3.31	%			3.58	%
Portfolio turnover rate			18	%(e)**			35	%(e)			48	%(e)			29	%(e)			130	%			126	%			18	%(e)**			35	%(e)			48	%(e)			29	%(e)			130	%			126	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(f)(g)*			—				0.06	%			0.10	%			0.10	%			0.08	%			0.00	%(f)(g)*			—				0.06	%			0.10	%			0.11	%			0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)*		$	0.02			$	0.05			$	0.02			$	0.03			$	0.07			$	0.00	(h)*		$	0.02			$	0.04			$	0.02			$	0.02			$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Includes recoupment of past reimbursed and/or waived fees (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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 53%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

^(f)  Ratio is less than 0.01%.

^(g) Ratio includes indirect fees waived or borne by GMO.

^(h)  Ratio is less than $0.01.

† 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)

RISK PREMIUM FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)								2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	26.79			$	26.74			$	29.93			$	26.91			$	29.73			$	31.74			$	26.94			$	26.88			$	30.07			$	27.00			$	29.82			$	31.80
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.28				0.46				0.10				(0.05	)			(0.12	)			(0.18	)			0.29				0.49				0.14				(0.02	)			(0.12	)			(0.15	)
Net realized and unrealized gain (loss)			0.42				(0.05	)			1.78				5.22				(0.30	)			1.02				0.43				(0.04	)			1.78				5.24				(0.30	)			1.02
Total from investment operations			0.70				0.41				1.88				5.17				(0.42	)			0.84				0.72				0.45				1.92				5.22				(0.42	)			0.87
Less distributions to shareholders:
From net investment income			(0.12	)			(0.36	)			(0.06	)			—				—				—				(0.13	)			(0.39	)			(0.10	)			—				—				—
From net realized gains			—				—				(5.01	)			(2.15	)			(2.40	)			(2.85	)			—				—				(5.01	)			(2.15	)			(2.40	)			(2.85	)
Total distributions			(0.12	)			(0.36	)			(5.07	)			(2.15	)			(2.40	)			(2.85	)			(0.13	)			(0.39	)			(5.11	)			(2.15	)			(2.40	)			(2.85	)
Net asset value, end of period		$	27.37			$	26.79			$	26.74			$	29.93			$	26.91			$	29.73			$	27.53			$	26.94			$	26.88			$	30.07			$	27.00			$	29.82
Total Return(c)			2.60	%**			1.57	%			6.09	%			19.50	%			(1.66	)%			3.19	%			2.66	%**			1.69	%			6.17	%			19.62	%			(1.65	)%			3.29	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	107			$	10,922			$	3,434			$	5,049			$	6,807			$	4,832			$	365,908			$	449,614			$	142,238			$	155,375			$	223,854			$	432,465
Net expenses to average daily net assets			0.40	%*			0.50	%			0.60	%			0.61	%			0.60	%			0.61	%(d)			0.31	%*			0.40	%			0.51	%			0.51	%			0.51	%			0.51	%(d)
Net investment income (loss) to average daily net assets(b)			2.04	%*			1.70	%			0.34	%			(0.16	)%			(0.45	)%			(0.58	)%			2.10	%*			1.80	%			0.47	%			(0.07	)%			(0.37	)%			(0.49	)%
Portfolio turnover rate			17	%**			16	%			0	%			0	%			0	%			112	%			17	%**			16	%			0	%			0	%			0	%			112	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.08	%			0.06	%			0.05	%			0.04	%			0.04	%*			0.04	%			0.08	%			0.06	%			0.05	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(e)		$	0.01			$	0.02	(a)		$	0.08	(a)		$	0.14	(a)		$	—			$	0.00	(e)		$	0.01			$	0.02	(a)		$	0.07	(a)		$	0.13	(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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(e)  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. 75

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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	13.82			$	17.00			$	14.28			$	12.92			$	16.80			$	18.03
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.34				0.37				0.38				0.41				0.40				0.47
Net realized and unrealized gain (loss)			(0.61	)			(2.63	)			2.84				1.50				(3.82	)			(1.05	)
Total from investment operations			(0.27	)			(2.26	)			3.22				1.91				(3.42	)			(0.58	)
Less distributions to shareholders:
From net investment income			(0.09	)			(0.39	)			(0.50	)			(0.55	)			(0.46	)			(0.65	)
From net realized gains			—				(0.53	)			—				—				—				—
Total distributions			(0.09	)			(0.92	)			(0.50	)			(0.55	)			(0.46	)			(0.65	)
Net asset value, end of period		$	13.46			$	13.82			$	17.00			$	14.28			$	12.92			$	16.80
Total Return(b)			(1.98	)%**			(13.50	)%			22.70	%			15.05	%			(20.63	)%			(3.10	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	43,382			$	48,739			$	68,782			$	115,733			$	215,977			$	427,048
Net expenses to average daily net assets(c)			0.77	%*			0.79	%			0.70	%			0.68	%			0.66	%			0.66	%
Net investment income (loss) to average daily net assets(a)			4.93	%*			2.47	%			2.35	%			2.95	%			2.59	%			2.71	%
Portfolio turnover rate			31	%(d)**			63	%(d)			43	%(d)			47	%(d)			79	%			69	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.51	%(e)*			0.54	%			0.34	%			0.23	%			0.14	%			0.12	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 39%, 117%, 80% and 54%, respectively, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

† 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)

U.S. EQUITY FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	13.07			$	15.41			$	15.14			$	13.79			$	16.61			$	17.27			$	12.97			$	15.31			$	15.06			$	13.73			$	16.54			$	17.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11				0.23				0.27				0.27				0.24				0.28				0.12				0.24				0.29				0.27				0.26				0.30
Net realized and unrealized gain (loss)			0.33				(0.04	) (b)			1.73				2.89				(1.20	)			1.66				0.32				(0.04	) (b)			1.71				2.89				(1.19	)			1.65
Total from investment operations			0.44				0.19				2.00				3.16				(0.96	)			1.94				0.44				0.20				2.00				3.16				(0.93	)			1.95
Less distributions to shareholders:
From net investment income			(0.06	)			(0.26	)			(0.28	)			(0.34	)			(0.26	)			(0.31	)			(0.07	)			(0.27	)			(0.30	)			(0.36	)			(0.28	)			(0.33	)
From net realized gains			(0.33	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)			(2.29	)			(0.33	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)			(2.29	)
Total distributions			(0.39	)			(2.53	)			(1.73	)			(1.81	)			(1.86	)			(2.60	)			(0.40	)			(2.54	)			(1.75	)			(1.83	)			(1.88	)			(2.62	)
Net asset value, end of period		$	13.12			$	13.07			$	15.41			$	15.14			$	13.79			$	16.61			$	13.01			$	12.97			$	15.31			$	15.06			$	13.73			$	16.54
Total Return(c)			3.35	%**			1.94	%			13.76	%			23.59	%			(6.17	)%			12.18	%			3.33	%**			2.05	%			13.84	%			23.68	%			(6.02	)%			12.28	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	96,869			$	131,198			$	77,297			$	109,726			$	194,615			$	286,934			$	531,658			$	758,714			$	1,200,008			$	1,469,935			$	3,838,628			$	6,031,361
Net expenses to average daily net assets(d)			0.46	%*			0.46	%			0.46	%			0.46	%			0.46	%			0.46	%			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.65	%*			1.62	%			1.78	%			1.80	%			1.57	%			1.59	%			1.77	%*			1.68	%			1.88	%			1.87	%			1.68	%			1.70	%
Portfolio turnover rate			36	%(e)**			89	%(e)			79	%(e)			66	%(e)			89	%			67	%			36	%(e)**			89	%(e)			79	%(e)			66	%(e)			89	%			67	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(f)*			0.03	%			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%(f)*			0.03	%			0.02	%			0.02	%			0.02	%			0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 44%, 105%, 100% and 91%, respectively, of the average value of its portfolio.

^(f) Ratio includes 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. 77

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Period from July 2, 2019 (commencement of operations) through August 31, 2019
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.05
Net realized and unrealized gain (loss)			(0.90	)
Total from investment operations			(0.85	)
Net asset value, end of period		$	19.15
Total Return(b)			(4.25	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	400,208
Net expenses to average daily net assets(c)			0.47	%*
Net investment income (loss) to average daily net assets(a)			1.42	%*
Portfolio turnover rate(d)			15	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, including transactions in USTF, was 20%, of the average value of its portfolio.

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

78 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2019 (Unaudited)

1. Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value Fund (commenced operations on July 2, 2019) (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	MSCI Emerging Markets Index	Total return in excess of benchmark
International 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	Not Applicable	High total return
U.S. Small Cap Value Fund	Russell 2000 Value Index	Total return in excess of its benchmark

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within 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,

79

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2019, 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. 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).

“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.

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.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

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

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

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

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted

80

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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, 2019:

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	904,256	$	—	$	—		$	904,256
Australia		—		1,815,301		0	§		1,815,301
Brazil		—		2,437,687		—			2,437,687
Canada		3,361,813		—		—			3,361,813
China		291,090		3,044,838		—			3,335,928
Denmark		—		3,425,988		—			3,425,988
Finland		—		250,242		—			250,242
France		—		9,549,635		—			9,549,635
Germany		—		4,112,596		—			4,112,596
India		—		145,745		—			145,745
Israel		—		1,616,773		—			1,616,773
Italy		—		3,221,169		—			3,221,169
Japan		—		10,883,827		—			10,883,827
Malaysia		—		180,398		—			180,398
Mexico		1,128,103		—		—			1,128,103
Netherlands		—		889,054		—			889,054
Norway		—		2,698,616		—			2,698,616
Pakistan		—		482,888		—			482,888
Poland		—		1,516,036		—			1,516,036
Portugal		—		1,419,400		—			1,419,400
Russia		—		5,474,053		—			5,474,053
South Africa		—		—		8,588			8,588
South Korea		—		805,696		—			805,696
Spain		—		4,155,412		—			4,155,412
Sweden		—		326,237		—			326,237
Switzerland		—		1,006,340		—			1,006,340
Taiwan		—		699,180		—			699,180
Thailand		—		271,202		—			271,202
Ukraine		—		771,638		—			771,638
United Kingdom		—		4,504,037		—			4,504,037
United States		33,752,075		—		—			33,752,075
TOTAL COMMON STOCKS		39,437,337		65,703,988		8,588			105,149,913
Preferred Stocks
Chile		3,102,176		—		—			3,102,176
TOTAL PREFERRED STOCKS		3,102,176		—		—			3,102,176
Mutual Funds
United States		4,368,402		—		—			4,368,402
TOTAL MUTUAL FUNDS		4,368,402		—		—			4,368,402
Short-Term Investments		218,705		—		—			218,705
Total Investments		47,126,620		65,703,988		8,588			112,839,196
Total	$	47,126,620	$	65,703,988	$	8,588		$	112,839,196

81

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	7,939,246	$	—	$	7,939,246
Brazil		—		27,387,282		—		27,387,282
China		88,444,049		189,072,263		—		277,516,312
France		—		7,298,513		—		7,298,513
Greece		—		4,123,556		—		4,123,556
Hong Kong		—		14,776,793		—		14,776,793
India		—		43,961,169		—		43,961,169
Indonesia		—		32,771,964		—		32,771,964
Japan		—		4,203,951		—		4,203,951
Mexico		18,835,632		—		—		18,835,632
Peru		5,919,904		—		—		5,919,904
Philippines		—		25,793,338		—		25,793,338
Russia		10,989,280		19,864,789		—		30,854,069
South Africa		—		16,216,257		—		16,216,257
South Korea		—		74,667,386		—		74,667,386
Switzerland		—		43,792,301		—		43,792,301
Taiwan		—		122,380,031		—		122,380,031
Thailand		—		65,112,415		—		65,112,415
Turkey		—		15,819,269		—		15,819,269
United Arab Emirates		—		3,411,514		—		3,411,514
United Kingdom		—		13,286,372		—		13,286,372
Vietnam		—		10,581,447		—		10,581,447
TOTAL COMMON STOCKS		124,188,865		742,459,856		—		866,648,721
Preferred Stocks
Brazil		—		31,159,460		—		31,159,460
TOTAL PREFERRED STOCKS		—		31,159,460		—		31,159,460
Investment Funds
China		—		10,548,337		—		10,548,337
Russia		4,204,914		—		—		4,204,914
Thailand		—		44,420,146		—		44,420,146
United States		15,564,275		—		—		15,564,275
TOTAL INVESTMENT FUNDS		19,769,189		54,968,483		—		74,737,672
Debt Obligations
United States		9,988,371		—		—		9,988,371
TOTAL DEBT OBLIGATIONS		9,988,371		—		—		9,988,371
Mutual Funds
United States		38,328,536		—		—		38,328,536
TOTAL MUTUAL FUNDS		38,328,536		—		—		38,328,536
Short-Term Investments		2,079,306		—		—		2,079,306
Total Investments		194,354,267		828,587,799		—		1,022,942,066
Derivatives^
Futures Contracts
Equity Risk		33,040		35,336		—		68,376
Total	$	194,387,307	$	828,623,135	$	—	$	1,023,010,442

82

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,685,247	$	—	$	—	$	1,685,247
Brazil		—		905,715		—		905,715
Chile		—		662,324		—		662,324
China		109,707,876		975,459,765		679,680		1,085,847,321
Czech Republic		—		2,240,869		—		2,240,869
India		5,219,907		90,049,140		—		95,269,047
Indonesia		—		13,465,532		—		13,465,532
Malaysia		—		414,058		—		414,058
Mexico		13,701,532		—		—		13,701,532
Pakistan		—		9,549,211		—		9,549,211
Peru		2,796,120		—		—		2,796,120
Philippines		—		12,671,121		—		12,671,121
Poland		—		101,351,336		—		101,351,336
Qatar		—		43,928,321		—		43,928,321
Russia		8,009,644		434,767,801		—		442,777,445
South Africa		—		132,726,037		—		132,726,037
South Korea		916,368		63,810,866		—		64,727,234
Sri Lanka		—		581,795		—		581,795
Taiwan		37,403,988		464,840,955		—		502,244,943
Thailand		—		9,631,595		—		9,631,595
Turkey		—		181,193,042		—		181,193,042
United Arab Emirates		—		14,241,467		—		14,241,467
United Kingdom		—		24,428,793		—		24,428,793
TOTAL COMMON STOCKS		179,440,682		2,576,919,743		679,680		2,757,040,105
Preferred Stocks
Brazil		—		506,433		—		506,433
Colombia		1,327,877		—		—		1,327,877
Russia		—		45,648,876		—		45,648,876
South Korea		—		53,244,758		—		53,244,758
Taiwan		—		1,248,915		—		1,248,915
TOTAL PREFERRED STOCKS		1,327,877		100,648,982		—		101,976,859
Investment Funds
Thailand		—		12,452,279		—		12,452,279
United States		132,461,126		—		—		132,461,126
TOTAL INVESTMENT FUNDS		132,461,126		12,452,279		—		144,913,405
Mutual Funds
United States		109,752,820		—		—		109,752,820
TOTAL MUTUAL FUNDS		109,752,820		—		—		109,752,820
Short-Term Investments		15,321,413		—		—		15,321,413
Total Investments		438,303,918		2,690,021,004		679,680		3,129,004,602
Derivatives^
Swap Contracts
Equity Risk		—		2,730,601		—		2,730,601
Total	$	438,303,918	$	2,692,751,605	$	679,680	$	3,131,735,203

83

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2		Level 3			Total
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	125,861,236	$	—		$	125,861,236
Austria		—			2,468,574		—			2,468,574
Belgium		—			8,075,698		—			8,075,698
Denmark		—			8,173,924		—			8,173,924
Finland		—			22,608,578		—			22,608,578
France		35,327,457			282,130,007		—			317,457,464
Germany		—			193,099,790		—			193,099,790
Hong Kong		—			58,642,185		—			58,642,185
Ireland		3,116,574			13,595		—			3,130,169
Italy		27,426,123			156,761,327		—			184,187,450
Japan		—			795,977,303		—			795,977,303
Malta		—			—		0	§		0	§
Netherlands		—			214,166,471		—			214,166,471
New Zealand		—			1,530,515		—			1,530,515
Norway		—			80,989,505		—			80,989,505
Portugal		—			41,612,718		—			41,612,718
Singapore		—			53,728,040		—			53,728,040
Spain		—			230,904,724		—			230,904,724
Sweden		—			137,472,981		—			137,472,981
Switzerland		—			194,573,263		—			194,573,263
United Kingdom		27,607,631			574,989,979		—			602,597,610
TOTAL COMMON STOCKS		93,477,785			3,183,780,413		0	§		3,277,258,198
Preferred Stocks
Germany		—			1,016,915		—			1,016,915
TOTAL PREFERRED STOCKS		—			1,016,915		—			1,016,915
Mutual Funds
United States		49,405,168			—		—			49,405,168
TOTAL MUTUAL FUNDS		49,405,168			—		—			49,405,168
Short-Term Investments		8,429,648			—		—			8,429,648
Total Investments		151,312,601			3,184,797,328		—			3,336,109,929
Total	$	151,312,601		$	3,184,797,328	$	0	§	$	3,336,109,929
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(311,141	)	$	—	$	—		$	(311,141	)
Quality Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—		$	170,793,846	$	—		$	170,793,846
Switzerland		—			369,800,431		—			369,800,431
Taiwan		—			159,088,558		—			159,088,558
United Kingdom		—			291,272,705		—			291,272,705
United States		5,349,435,975			—		—			5,349,435,975
TOTAL COMMON STOCKS		5,349,435,975			990,955,540		—			6,340,391,515

84

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	120,245,161	$	—	$	—		$	120,245,161
TOTAL DEBT OBLIGATIONS		120,245,161		—		—			120,245,161
Mutual Funds
United States		15,705,319		—		—			15,705,319
TOTAL MUTUAL FUNDS		15,705,319		—		—			15,705,319
Short-Term Investments		25,381,609		—		—			25,381,609
Total Investments		5,510,768,064		990,955,540		—			6,501,723,604
Total	$	5,510,768,064	$	990,955,540	$	—		$	6,501,723,604
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,035,456	$	—	$	—		$	4,035,456
Australia		—		18,483,316		—			18,483,316
Austria		—		4,739,251		—			4,739,251
Brazil		—		10,109,562		—			10,109,562
Canada		11,312,895		—		—			11,312,895
China		—		8,137,604		—			8,137,604
Colombia		2,999,548		—		—			2,999,548
Denmark		—		7,714,687		—			7,714,687
Finland		—		582,188		—			582,188
France		—		20,887,071		—			20,887,071
Germany		—		1,617,244		—			1,617,244
Hungary		—		3,813,160		—			3,813,160
India		—		3,719,072		—			3,719,072
Israel		—		12,174,373		—			12,174,373
Italy		—		738,016		—			738,016
Japan		—		15,380,983		—			15,380,983
Mexico		6,284,358		—		—			6,284,358
Norway		—		18,544,483		—			18,544,483
Pakistan		—		2,047,821		—			2,047,821
Poland		—		8,023,834		—			8,023,834
Russia		—		71,686,493		—			71,686,493
Singapore		—		—		0	§		0	§
South Africa		—		5,569,647		—			5,569,647
South Korea		—		4,348,187		—			4,348,187
Spain		—		7,742,196		—			7,742,196
Sweden		—		8,673,276		—			8,673,276
Switzerland		—		1,101,581		—			1,101,581
Thailand		—		10,512,747		—			10,512,747
Turkey		—		2,309,395		—			2,309,395
Ukraine		—		3,035,288		—			3,035,288
United Kingdom		—		66,657,457		—			66,657,457
United States		84,177,123		—		—			84,177,123
TOTAL COMMON STOCKS		108,809,380		318,348,932		0	§		427,158,312

85

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—		$	22,691,129		$	—		$	22,691,129
Chile		12,781,064			—			—			12,781,064
Russia		—			5,970,905			—			5,970,905
TOTAL PREFERRED STOCKS		12,781,064			28,662,034			—			41,443,098
Rights/Warrants
Singapore		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Mutual Funds
United States		19,534,746			—			—			19,534,746
TOTAL MUTUAL FUNDS		19,534,746			—			—			19,534,746
Short-Term Investments		1,723,243			—			—			1,723,243
Total Investments		142,848,433			347,010,966			—			489,859,399
Total	$	142,848,433		$	347,010,966		$	0	§	$	489,859,399
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	280,819,563		$	—		$	—		$	280,819,563
TOTAL DEBT OBLIGATIONS		280,819,563			—			—			280,819,563
Short-Term Investments		85,721,874			—			—			85,721,874
Total Investments		366,541,437			—			—			366,541,437
Total	$	366,541,437		$	—		$	—		$	366,541,437
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(3,313,260	)	$	(524,207	)	$	—		$	(3,837,467	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,608,112		$	—		$	1,608,112
Austria		—			31,936			—			31,936
Belgium		—			143,192			—			143,192
Brazil		—			862,098			—			862,098
Canada		987,434			—			—			987,434
China		—			848,398			—			848,398
Denmark		—			79,421			—			79,421
Finland		—			193,547			—			193,547
France		51,540			4,517,096			—			4,568,636
Germany		—			2,094,720			—			2,094,720
Hong Kong		—			582,160			—			582,160
Hungary		—			70,052			—			70,052
India		—			192,145			—			192,145
Ireland		43,706			201,090			—			244,796
Italy		199,728			1,906,029			—			2,105,757

86

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Japan	$	—	$	9,072,398	$	—		$	9,072,398
Malta		—		—		0	§		0	§
Mexico		5,878		—		—			5,878
Netherlands		—		2,530,753		—			2,530,753
Norway		—		384,923		—			384,923
Philippines		—		11,894		—			11,894
Poland		—		11,333		—			11,333
Portugal		—		418,089		—			418,089
Russia		—		521,627		—			521,627
Singapore		—		474,515		—			474,515
South Africa		—		176,528		—			176,528
South Korea		65,700		762,131		—			827,831
Spain		—		2,771,490		—			2,771,490
Sweden		—		1,170,840		—			1,170,840
Switzerland		—		2,376,146		—			2,376,146
Taiwan		—		514,953		—			514,953
Thailand		—		23,060		—			23,060
Turkey		—		45,249		—			45,249
United Kingdom		344,603		5,797,620		—			6,142,223
TOTAL COMMON STOCKS		1,698,589		40,393,545		0	§		42,092,134
Preferred Stocks
Brazil		—		12,569		—			12,569
Germany		—		260,364		—			260,364
South Korea		—		853		—			853
Sweden		—		16,550		—			16,550
TOTAL PREFERRED STOCKS		—		290,336		—			290,336
Mutual Funds
United States		781,700		—		—			781,700
TOTAL MUTUAL FUNDS		781,700		—		—			781,700
Short-Term Investments		178,352		—		—			178,352
Total Investments		2,658,641		40,683,881		0	§		43,342,522
Derivatives^
Futures Contracts
Equity Risk		1,840		—		—			1,840
Total	$	2,660,481	$	40,683,881	$	0	§	$	43,344,362
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	618,376,472	$	—	$	—		$	618,376,472
Mutual Funds		10,863,340		—		—			10,863,340
Short-Term Investments		1,094,247		—		—			1,094,247
Total Investments		630,334,059		—		—			630,334,059
Derivatives^
Futures Contracts
Equity Risk		11,384		—		—			11,384
Total	$	630,345,443	$	—	$	—		$	630,345,443

87

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	390,830,778	$	—	$	—	$	390,830,778
Mutual Funds		8,087,993		—		—		8,087,993
Short-Term Investments		1,069,490		—		—		1,069,490
Total Investments		399,988,261		—		—		399,988,261
Total	$	399,988,261	$	—	$	—	$	399,988,261

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2019.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). At August 31, 2019, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The following is a reconciliation of material securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019		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, 2019		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2019
Emerging Markets Fund
Common Stocks
China		$678,870	$	—	$	—		$	—	$	—		$	810	$	—	$	—	$	679,680	$	810
Investment Funds
Russia		103,243		—		(99,504	)		—		(3,115,188	)		3,111,449		—		—		—		—
Total Investments	$	782,113	$	—	$	(99,504	)	$	—	$	(3,115,188	)	$	3,112,259	$	—	$	—	$	679,680	$	810

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.

88

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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.

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” in Note 4 “Derivative financial instruments”. 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.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities from any net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.

At August 31, 2019, securities on loan at value and cash collateral from securities on loan are listed below:

Fund Name	Value of securities on loan		Cash collateral
Climate Change Fund	$	2,804,594	$	2,798,261	*
Resources Fund	$	11,820,537	$	12,201,045

* While collateral for securities loans is marked to market daily, there may be instances where, as a result of market movement or other factors, the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day. In such cases, the borrower is required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day.

Information regarding the value of the securities loaned and the value of the collateral at period end is included in the Statements of Assets and Liabilities.

Taxes and distributions

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

89

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Notes to Financial Statements — (Continued)

August 31, 2019 (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. 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.

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, 2019, 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.

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

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

Distributions in excess of 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, 2019, certain Funds elected to defer to March 1, 2019, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Loss Deferral ($)
Climate Change Fund		—		(1,460,363)
Emerging Domestic Opportunities Fund		—		(80,575,286)
Emerging Markets Fund		—		(56,518,273)
International Equity Fund		—		(35,457,172)
Quality Fund		—		—
Resources Fund		(1,257,027)		(1,233,437)
Risk Premium Fund		—		(3,545,447)
Tax-Managed International Equities Fund		—		—
U.S. Equity Fund		—		(9,521,958)
U.S. Small Cap Value Fund		N/A		N/A

90

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

As of February 28, 2019, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2019, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Climate Change Fund		—		—
Emerging Domestic Opportunities Fund		(41,196,254)		—
Emerging Markets Fund		(170,411,797)		(1,215,496,916)
International Equity Fund		(733,732,091)		(267,807,873)
Quality Fund		—		—
Resources Fund		(21,563,172)		(11,836,321)
Risk Premium Fund		(1,426,330)		(3,095,485)
Tax-Managed International Equities Fund		(7,785,637)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		N/A		N/A

As of August 31, 2019, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments										Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		123,394,915		7,691,466		(18,247,185	)		(10,555,719	)		—
Emerging Domestic Opportunities Fund		1,027,305,350		44,018,036		(48,381,320	)		(4,363,284	)		68,376
Emerging Markets Fund		3,157,986,679		258,674,318		(287,656,395	)		(28,982,077	)		2,730,601
International Equity Fund		3,609,262,683		201,181,329		(474,334,083	)		(273,152,754	)		(311,141	)
Quality Fund		4,261,233,694		2,302,103,474		(61,613,564	)		2,240,489,910			—
Resources Fund		502,505,253		57,766,254		(70,412,108	)		(12,645,854	)		—
Risk Premium Fund		366,410,237		362,128		(230,928	)		131,200			3,774,724
Tax-Managed International Equities Fund		38,316,150		6,764,622		(1,738,250	)		5,026,372			1,840
U.S. Equity Fund		593,767,400		62,897,890		(26,331,231	)		36,566,659			11,384
U.S. Small Cap Value Fund		416,918,945		9,886,779		(26,817,463	)		(16,930,684	)		—

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

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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 underlying funds, if any, 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).

Custodian, Fund Accounting Agent and Transfer agent

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 Fund and Risk Premium Fund. State Street serves as the transfer agent for all Funds. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of 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.

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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).

As of August 31, 2019, the premium on cash purchases and the fee on cash redemptions were as follows:

	Climate Change Fund	Emerging Domestic Opportunities Fund(a)	Emerging Markets Fund(a)	International Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund(b)	Tax-Managed International Equities Fund	U.S. Equity Fund	U.S. Small Cap Value Fund
Purchase Premium	—	0.40%	0.40%	—	—	0.30%	—	—	—	—
Redemption Fee	—	0.40%	0.40%	—	—	0.30%	—	—	—	—

^(a)  Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.

^(b)  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.

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 0.12% of the Fund’s total net assets as of August 31, 2019 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.

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3. Investment and other risks

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

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

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

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

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

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• 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. In addition, 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 can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

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• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their 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 obligors’ failure to meet their 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 will 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 can be expected to 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 will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

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

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

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

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “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 instruments generally are considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments,

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

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates or inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being 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 and exposes the Funds to the risk that the pricing models used do not produce

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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, there is a risk that inaccurate valuations will 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 will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”

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

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 GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative 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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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 derivative 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 derivative 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

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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 are likely to 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 for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post 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 evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e. the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights at 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.)

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.

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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.

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

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

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.

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

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

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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 cutbacks 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 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 have more limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.

Because Risk Premium Fund may hold a limited number of options contracts relating to relatively few stock indices, the Fund is subject to focused investment risk.

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

Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

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

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will 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 bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher 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.

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• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often 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.

The SEC has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.

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

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• 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 is the business day prior to actual receipt by the Fund of the redemption request) 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 determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. 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.

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

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models 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.

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 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 operational 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 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 have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or

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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 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.

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 shutdowns 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”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. 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. For example, the U.S. has imposed economic

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sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as a failure to keep up with technological advances 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 “high yield” or “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 greater for Funds investing in fixed income investments with longer durations. In addition, in managing some Funds, GMO may

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seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments would likely be significantly reduced if GMO’s assessment proves incorrect.

The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or variable-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.

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 investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. 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.

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 a relatively small number of issuers. As a result, they are likely to be subject

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to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to 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 list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. 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 a Fund, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); 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 reliable information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers and depend on fewer key employees than larger companies. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for the securities of these companies.

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

4. Derivative financial instruments

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

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

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

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

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

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Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e. it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

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

For Funds that held derivatives during the period ended August 31, 2019, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

Forward currency contracts

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

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

Options (Written)

Substitute for direct equity investment

X

Swap contracts

Substitute for direct equity investment

X

Achieve returns comparable to holding and lending a direct equity position

X

Forward currency contracts

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

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

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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

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

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

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

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

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

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

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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.

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019 and the Statements of Operations for the period ended August 31, 2019^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	68,376		$	—		$	—	$	—	$	68,376
Total	$	—	$	68,376		$	—		$	—	$	—	$	68,376
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	(640,131	)	$	—	$	—	$	(640,131	)
Futures Contracts		—		(825,954	)		—			—		—		(825,954	)
Total	$	—	$	(825,954	)	$	(640,131	)	$	—	$	—	$	(1,466,085	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	555,803		$	—	$	—	$	555,803
Futures Contracts		—		(922,336	)		—			—		—		(922,336	)
Total	$	—	$	(922,336	)	$	555,803		$	—	$	—	$	(366,533	)

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Markets Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	2,730,601		$	—	$	—	$	—	$	2,730,601
Total	$	—	$	2,730,601		$	—	$	—	$	—	$	2,730,601
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	1,844,511		$	—	$	—	$	—	$	1,844,511
Swap Contracts		—		(1,078,986	)		—		—		—		(1,078,986	)
Total	$	—	$	765,525		$	—	$	—	$	—	$	765,525
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(9,085,668	)	$	—	$	—	$	—	$	(9,085,668	)
Swap Contracts		—		3,630,333			—		—		—		3,630,333
Total	$	—	$	(5,455,335	)	$	—	$	—	$	—	$	(5,455,335	)
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(311,141	)	$	—	$	—	$	—	$	(311,141	)
Total	$	—	$	(311,141	)	$	—	$	—	$	—	$	(311,141	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	3,755,822		$	—	$	—	$	—	$	3,755,822
Total	$	—	$	3,755,822		$	—	$	—	$	—	$	3,755,822
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(2,348,309	)	$	—	$	—	$	—	$	(2,348,309	)
Total	$	—	$	(2,348,309	)	$	—	$	—	$	—	$	(2,348,309	)
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(3,837,467	)	$	—	$	—	$	—	$	(3,837,467	)
Total	$	—	$	(3,837,467	)	$	—	$	—	$	—	$	(3,837,467	)
Net Realized Gain (Loss) on
Written Options	$	—	$	4,903,173		$	—	$	—	$	—	$	4,903,173
Total	$	—	$	4,903,173		$	—	$	—	$	—	$	4,903,173
Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	2,227,986		$	—	$	—	$	—	$	2,227,986
Total	$	—	$	2,227,986		$	—	$	—	$	—	$	2,227,986
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	1,840		$	—	$	—	$	—	$	1,840
Total	$	—	$	1,840		$	—	$	—	$	—	$	1,840
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	53,020		$	—	$	—	$	—	$	53,020
Total	$	—	$	53,020		$	—	$	—	$	—	$	53,020
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(18,682	)	$	—	$	—	$	—	$	(18,682	)
Total	$	—	$	(18,682	)	$	—	$	—	$	—	$	(18,682	)

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August 31, 2019 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	11,384		$	—	$	—	$	—	$	11,384
Total	$	—	$	11,384		$	—	$	—	$	—	$	11,384
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	921,352		$	—	$	—	$	—	$	921,352
Total	$	—	$	921,352		$	—	$	—	$	—	$	921,352
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(270,793	)	$	—	$	—	$	—	$	(270,793	)
Total	$	—	$	(270,793	)	$	—	$	—	$	—	$	(270,793	)

^ 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.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2019, if any.

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August 31, 2019 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2019:

Emerging Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Goldman Sachs International	$	2,505,086	$	(1,042,950	)	$	—	$	1,462,136
Morgan Stanley & Co. International PLC		225,515		—			—		225,515
Total	$	2,730,601	$	(1,042,950	)	$	—	$	1,687,651

Risk Premium Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	524,207	$	(524,207	)	$	—	$	—	*
Morgan Stanley & Co. LLC		3,313,260		(3,313,260	)		—		—	*
Total	$	3,837,467	$	(3,837,467	)	$	—	$	—

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

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2019:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Contracts)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		14,747,841		40,588,934		—		—
Emerging Markets Fund		—		83,932,490		—		26,816,850
International Equity Fund		—		28,630,322		—		—
Risk Premium Fund		—		—		1,948		—
Tax-Managed International Equities Fund		—		342,095		—		—
U.S. Equity Fund		—		6,487,308		—		—

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:

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Management Fee

0.60%(a)

0.75%

0.75%(b)

0.50%

0.33%

0.50%

0.25%(c)

0.50%

0.31%

0.31%

^(a)  Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%.

^(b)  GMO has contractually agreed to reduce, through at least June 30, 2020, its annual management fee to an annual rate of 0.65% of the fund’s average daily net asset value.

^(c)  Prior to October 1, 2018, the management fee was 0.45%.

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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			Class R6		Class I
Climate Change Fund				0.15%			0.10%	*		0.085%	*		0.055%	*		0.15%*		0.15%*
Emerging Domestic Opportunities Fund		0.22%		0.15%			0.105%	*		0.085%			0.055%	*
Emerging Markets Fund		0.22%		0.15%			0.105%	*		0.085%	*		0.055%
International Equity Fund		0.22%		0.15%			0.09%									0.22%*		0.22%*
Quality Fund				0.15%			0.105%			0.085%	*		0.055%			0.15%*		0.15%*
Resources Fund				0.15%			0.10%			0.085%	*		0.055%	*
Risk Premium Fund				0.15%			0.10%	*		0.085%	*		0.055%			0.15%*		0.15%*
Tax-Managed International Equities Fund				0.15%												0.15%*		0.15%*
U.S. Equity Fund				0.15%			0.10%	*		0.085%	*		0.055%			0.15%*		0.15%*
U.S. Small Cap Value Fund				0.15%	*		0.10%	*		0.085%	*		0.055%			0.15%*		0.15%*

* Class is offered but has no shareholders as of August 31, 2019.

For each Fund, other than Climate Change Fund, for the period prior to September 25, 2018, Resources Fund, and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund, for the period prior to September 25, 2018, Resources Fund and U.S. Small Cap Value 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 (excluding, in the case of Class I shares, any amounts paid to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided in respect of Class I shareholders), 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, for the period prior to September 25, 2018, Resources Fund and U.S Small Cap Value 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 starting September 25, 2018, 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; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I 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),

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August 31, 2019 (Unaudited)

taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services, 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.

For the period ended August 31, 2019, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2019, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2020		Expiring the year ending February 28, 2021		Expiring the year ending February 28, 2022
U.S. Small Cap Value Fund, Class VI		$        —		$        —		$ 10,299

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.

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.

These contractual waivers and reimbursements will continue through at least June 30, 2020 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.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments to financial intermediaries that provide sub-transfer agent/recordkeeping services in respect of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments to third parties for sub-transfer agency, recordkeeping and other administrative services provided with respect to investors invested in Class I shares through an account maintained by a third party intermediary. These services are not primarily intended to result in the sale of Fund shares but are intended to provide ongoing services with respect to shareholders investing in Class I shares through a third-party platform or intermediary. The payments are, however, made pursuant to a service plan adopted pursuant to the provisions of Rule 12b-1 under the 1940 Act so as to ensure compliance with relevant regulations in the event payment for those services is nonetheless deemed to constitute the direct or indirect financing of distribution of a Fund’s shares by holders of its Class I shares. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares and may cost holders of those shares more than other types of sales charges.

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August 31, 2019 (Unaudited)

The Funds’ portion of the 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, 2019 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Climate Change Fund		1,665		88
Emerging Domestic Opportunities Fund		19,910		2,256
Emerging Markets Fund		44,318		4,806
International Equity Fund		47,005		5,083
Quality Fund		82,074		8,588
Resources Fund		7,225		521
Risk Premium Fund		5,885		432
Tax-Managed International Equities Fund		576		49
U.S. Equity Fund		11,755		1,310
U.S. Small Cap Value Fund		476		46

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2019, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

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, 2019, 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, 2019 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Climate Change Fund		—		135,744,071		—		129,317,641
Emerging Domestic Opportunities Fund		—		1,666,950,629		—		2,124,516,175
Emerging Markets Fund		—		1,797,464,884		—		1,871,486,966
International Equity Fund		—		1,125,700,667		—		1,257,931,447
Quality Fund		29,977,000		478,309,223		10,496,260		929,740,967
Resources Fund		—		318,831,546		—		272,615,047
Risk Premium Fund		62,597,207		—		105,704,716		—
Tax-Managed International Equities Fund		—		17,861,969		—		21,303,186
U.S. Equity Fund		—		352,444,381		—		633,199,515
U.S. Small Cap Value Fund		—		475,197,907		—		58,364,050

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August 31, 2019 (Unaudited)

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the period ended August 31, 2019. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)		In-Kind Sales ($)		Net realized gains/(losses) attributed to redemption in-kind transactions ($)
U.S. Small Cap Value Fund		62,548,093*		—		—

* Amount represents the value of a contribution of assets by its sole shareholder to launch U.S. Small Cap Value Fund on July 2, 2019.

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, 2019

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		1			15.23%		15.67%		8.60%
Emerging Domestic Opportunities Fund		1			35.43%		1.79%		0.41%
Emerging Markets Fund		3	¥		34.42%		0.84%		70.00%
International Equity Fund		4	§		58.65%		0.02%		89.67%
Quality Fund		—			—		0.32%		10.68%
Resources Fund		2	‡		84.91%		4.12%		25.87%
Risk Premium Fund		2	#		94.25%		< 0.01%		99.73%
Tax-Managed International Equities Fund		3			69.58%		0.16%		—
U.S. Equity Fund		4	¥		71.01%		< 0.01%		96.08%
U.S. Small Cap Value Fund		4	§		89.59%		—		100.00%

‡ One of the shareholders is another fund managed by GMO.

# 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.

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August 31, 2019 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		1,153,726		$	25,391,851			3,903,360		$	90,089,432
Shares issued to shareholders in reinvestment of distributions		10,064			223,211			103,496			2,222,541
Shares repurchased		(1,064,740	)		(23,148,970	)		(1,218	)		(23,934	)
Net increase (decrease)		99,050		$	2,466,092			4,005,638		$	92,288,039
Emerging Domestic Opportunities Fund
Class II :
Shares sold		359		$	8,018			3,204,901		$	79,061,263
Shares issued to shareholders in reinvestment of distributions		192,642			4,286,284			2,490,941			56,567,432
Shares repurchased		(4,120,219	)		(88,867,974	)		(8,330,784	)		(210,026,067	)
Purchase premiums		—			867			—			38,384
Redemption fees		—			730,096			—			1,033,437
Net increase (decrease)		(3,927,218	)	$	(83,842,709	)		(2,634,942	)	$	(73,325,551	)
Class III:
Shares sold		33,438		$	697,184			5,850,770		$	140,285,180
Shares issued to shareholders in reinvestment of distributions		61,689			1,371,964			453,611			10,280,699
Shares repurchased		(254,241	)		(5,522,088	)		(2,332,378	)		(55,472,756	)
Purchase premiums		—			332			—			10,174
Redemption fees		—			296,345			—			278,104
Net increase (decrease)		(159,114	)	$	(3,156,263	)		3,972,003		$	95,381,401
Class IV:‡
Shares issued to shareholders in reinvestment of distributions		—		$	—			1,321,813		$	30,066,258
Shares repurchased		(5,133,511	)		(114,489,235	)		(6,601,782	)		(146,346,252	)
Purchase premiums		—			189			—			16,918
Redemption fees		—			9,656			—			504,318
Net increase (decrease)		(5,133,511	)	$	(114,479,390	)		(5,279,969	)	$	(115,758,758	)
Class V:
Shares sold		471,237		$	10,515,020			1,849,860		$	42,178,952
Shares issued to shareholders in reinvestment of distributions		379,322			8,436,120			4,876,381			110,661,725
Shares repurchased		(13,446,859	)		(300,595,662	)		(16,151,988	)(a)		(385,477,492	)(a)
Purchase premiums		—			1,412			—			67,764
Redemption fees		—			928,028			—			1,730,847
Net increase (decrease)		(12,596,300	)	$	(280,715,082	)		(9,425,747	)	$	(230,838,204	)

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August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Emerging Markets Fund
Class II:
Shares sold		2,148,886		$	69,300,772			4,401,593		$	143,683,129
Shares issued to shareholders in reinvestment of distributions		62,776			2,081,031			291,349			8,605,697
Shares repurchased		(431,499	)		(14,188,989	)		(3,849,640	)		(129,008,521	)
Purchase premiums		—			38,748			—			57,830
Redemption fees		—			136,415			—			888,215
Net increase (decrease)		1,780,163		$	57,367,977			843,302		$	24,226,350
Class III:
Shares sold		256,932		$	8,290,998			2,787,118		$	91,244,415
Shares issued to shareholders in reinvestment of distributions		15,440			513,369			203,100			6,015,118
Shares repurchased		(1,114,717	)		(35,614,266	)		(5,098,345	)		(169,757,234	)
Purchase premiums		—			23,753			—			48,070
Redemption fees		—			84,372			—			731,576
Net increase (decrease)		(842,345	)	$	(26,701,774	)		(2,108,127	)	$	(71,718,055	)
Class IV:‡‡
Shares sold								—		$	—
Shares issued to shareholders in reinvestment of distributions								—			—
Shares repurchased								(13,413,860	)		(454,910,684	)
Purchase premiums								—			29,880
Redemption fees								—			305,681
Net increase (decrease)								(13,413,860	)	$	(454,575,123	)
Class V:‡‡‡
Shares sold								546,340		$	18,389,796
Shares issued to shareholders in reinvestment of distributions								37,522			1,128,252
Shares repurchased								(5,323,979	)		(159,779,021	)
Purchase premiums								—			20,982
Redemption fees								—			320,532
Net increase (decrease)								(4,740,117	)	$	(139,919,459	)
Class VI:
Shares sold		1,333,990		$	43,191,378			18,836,288		$	615,708,595
Shares issued to shareholders in reinvestment of distributions		448,276			14,752,750			3,073,538			90,223,106
Shares repurchased		(7,670,887	)		(250,470,522	)		(36,862,271	)		(1,203,088,049	)
Purchase premiums		—			215,981			—			466,824
Redemption fees		—			775,362			—			7,255,860
Net increase (decrease)		(5,888,621	)	$	(191,535,051	)		(14,952,445	)	$	(489,433,664	)
International Equity Fund
Class II :
Shares sold		—		$	—			11,917		$	233,788
Shares issued to shareholders in reinvestment of distributions		635			12,948			18,106			351,230
Shares repurchased		(85,648	)		(1,739,828	)		(128,051	)		(2,882,249	)
Net increase (decrease)		(85,013	)	$	(1,726,880	)		(98,028	)	$	(2,297,231	)

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
International Equity Fund (continued)
Class III:
Shares sold		1,102,265		$	22,275,946			6,170,386		$	129,662,149
Shares issued to shareholders in reinvestment of distributions		40,502			835,954			735,871			14,422,969
Shares repurchased		(1,392,625	)		(28,371,544	)		(2,267,308	)		(48,310,377	)
Net increase (decrease)		(249,858	)	$	(5,259,644	)		4,638,949		$	95,774,741
Class IV:
Shares sold		3,090,148		$	62,733,893			13,045,053		$	273,347,845
Shares issued to shareholders in reinvestment of distributions		264,514			5,448,995			5,654,415			110,749,922
Shares repurchased		(13,494,432	)		(275,828,874	)		(54,064,238	)(b)		(1,211,296,562	)(b)
Net increase (decrease)		(10,139,770	)	$	(207,645,986	)		(35,364,770	)	$	(827,198,795	)
Quality Fund
Class III:
Shares sold		7,843,417		$	186,006,948			16,255,202		$	379,498,126
Shares issued to shareholders in reinvestment of distributions		1,441,630			34,873,019			21,144,460			470,866,346
Shares repurchased		(11,352,856	)		(265,069,292	)		(40,046,730	)		(991,355,485	)
Net increase (decrease)		(2,067,809	)	$	(44,189,325	)		(2,647,068	)	$	(140,991,013	)
Class IV:
Shares sold		—		$	—			16,246,296		$	396,671,448
Shares issued to shareholders in reinvestment of distributions		565,744			13,713,630			8,375,289			184,871,739
Shares repurchased		(5,470,483	)		(126,102,644	)		(11,645,987	)		(275,530,264	)
Net increase (decrease)		(4,904,739	)	$	(112,389,014	)		12,975,598		$	306,012,923
Class V: ‡‡‡
Shares sold								239,817		$	5,820,347
Shares issued to shareholders in reinvestment of distributions								863,594			19,533,549
Shares repurchased								(7,303,762	)		(171,815,974	)
Net increase (decrease)								(6,200,351	)	$	(146,462,078	)
Class VI:
Shares sold		2,778,317		$	65,247,527			7,869,954		$	186,506,908
Shares issued to shareholders in reinvestment of distributions		1,216,900			29,448,984			18,758,196			417,401,151
Shares repurchased		(10,969,504	)		(260,216,523	)		(68,400,304	)(c)		(1,710,007,741	)(c)
Net increase (decrease)		(6,974,287	)	$	(165,520,012	)		(41,772,154	)	$	(1,106,099,682	)
Resources Fund
Class III:
Shares sold		1,219,142		$	24,091,527			5,913,886		$	119,547,649
Shares issued to shareholders in reinvestment of distributions		10,751			218,894			247,853			4,777,428
Shares repurchased		—			—			(400,869	)		(7,598,970	)
Purchase premiums		—			25,494			—			110,295
Redemption fees		—			418			—			6,715
Net increase (decrease)		1,229,893		$	24,336,333			5,760,870		$	116,843,117

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class IV:
Shares sold		2,800		$	57,314			1,874,792		$	40,017,125
Shares issued to shareholders in reinvestment of distributions		21,294			432,259			613,109			11,888,579
Shares repurchased		(20,598	)		(418,528	)		(74,786	)		(1,535,583	)
Purchase premiums		—			47,078			—			365,656
Redemption fees		—			745			—			16,509
Net increase (decrease)		3,496		$	118,868			2,413,115		$	50,752,286
Risk Premium Fund
Class III:
Shares sold		—		$	—			594,623		$	16,138,183
Shares issued to shareholders in reinvestment of distributions		1,727			48,105			7,902			206,499
Shares repurchased		(405,480	)		(11,210,275	)		(323,281	)		(7,967,768	)
Purchase premiums		—			—			—			1
Redemption fees		—			—			—			364
Net increase (decrease)		(403,753	)	$	(11,162,170	)		279,244		$	8,377,279
Class VI:
Shares sold		23,290		$	631,365			16,071,145		$	438,504,961
Shares issued to shareholders in reinvestment of distributions		62,720			1,757,403			197,404			5,195,070
Shares repurchased		(3,481,533	)		(95,751,108	)		(4,871,506	)		(134,197,516	)
Purchase premiums		—			—			—			27
Redemption fees		—			—			—			14,461
Net increase (decrease)		(3,395,523	)	$	(93,362,340	)		11,397,043		$	309,517,003
Tax-Managed International Equities Fund
Class III:
Shares sold		722		$	10,000			1,260,151		$	15,804,345
Shares issued to shareholders in reinvestment of distributions		10,907			154,451			139,568			2,039,645
Shares repurchased		(314,782	)		(4,411,410	)		(1,918,780	)		(28,146,477	)
Net increase (decrease)		(303,153	)	$	(4,246,959	)		(519,061	)	$	(10,302,487	)
U.S. Equity Fund
Class III:
Shares sold		117,928		$	1,548,981			4,165,849		$	54,818,037
Shares issued to shareholders in reinvestment of distributions		273,271			3,645,440			995,861			13,029,413
Shares repurchased		(3,044,776	)		(40,133,493	)		(140,451	)		(2,111,646	)
Net increase (decrease)		(2,653,577	)	$	(34,939,072	)		5,021,259		$	65,735,804
Class IV:‡‡
Shares sold								189,947		$	2,270,787
Shares issued to shareholders in reinvestment of distributions								480,081			6,281,718
Shares repurchased								(3,005,796	)		(39,503,937	)
Net increase (decrease)								(2,335,768	)	$	(30,951,432	)

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
U.S. Equity Fund (continued)
Class V:‡‡‡
Shares sold								292,730		$	4,423,147
Shares issued to shareholders in reinvestment of distributions								484,000			6,695,554
Shares repurchased								(4,711,578	)		(63,271,141	)
Net increase (decrease)								(3,934,848	)	$	(52,152,440	)
Class VI:
Shares sold		85,615		$	1,135,872			4,491,218		$	59,093,282
Shares issued to shareholders in reinvestment of distributions		1,494,462			19,771,726			10,974,139			143,034,255
Shares repurchased		(19,239,111	)		(255,692,047	)		(35,344,226	)(d)		(527,299,355	)(d)
Net increase (decrease)		(17,659,034	)	$	(234,784,449	)		(19,878,869	)	$	(325,171,818	)
U.S. Small Cap Value Fund
Class VI:*
Shares sold		21,183,249	(e)	$	423,025,578	(e)
Shares repurchased		(282,874	)		(5,679,305	)
Net increase (decrease)		20,900,375		$	417,346,273

* The period under the heading “Six Months Ended August 31, 2019 (Unaudited)” represents the period from July 2, 2019 (commencement of operations) through August 31, 2019.

‡ For the period June 25, 2019 to August 31, 2019, Class IV had no shareholders.

‡‡ For the period February 27, 2019 to February 28, 2019, Class IV had no shareholders.

‡‡‡ For the period February 27, 2019 to February 28, 2019, Class V had no shareholders.

^(a)  2,739,717 shares and $69,588,804 were redeemed in-kind by affiliates.

^(b)  24,923,605 shares and $580,193,344 were redeemed in-kind by affiliates.

^(c)  7,279,373 shares and $186,934,301 were redeemed in-kind by affiliates.

^(d)  14,819,129 shares and $232,339,705 were redeemed in-kind by affiliates.

^(e)  3,127,405 shares and $62,548,093 represented a contribution of assets by its sole shareholder to launch U.S. Small Cap Value Fund on July 2, 2019.

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, 2019 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	4,595,622		$	85,216,167	$	85,443,387	$	45,759	**	$	(5	)	$	5		$	4,368,402
Emerging Domestic Opportunities Fund
CMI Ltd	$	2,100,445		$	—	$	474,113	$	—		$	(903,416	)	$	(26,673	)	$	696,243
Gayatri Projects Ltd		23,320,306			—		—		—			—			(6,880,281	)		16,440,025
GMO U.S. Treasury Fund		26,772,924			442,995,612		431,440,000		498,078			(1,941	)		1,941			38,328,536
iShares MSCI Saudi Arabia ETF		—	#		29,021,458		31,136,038		—			(12,200	)		—			—	##
Totals	$	52,193,675		$	472,017,070	$	463,050,151	$	498,078		$	(917,557	)	$	(6,905,013	)	$	55,464,804

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (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 Markets Fund
Anilana Hotels & Properties Ltd	$	520,683	$	—	$	—	$	—		$	—		$	61,112		$	581,795
Gayatri Highways Ltd		143,172		—		6,843		—			(52,686	)		(14,949	)		68,694
Gayatri Projects Ltd		35,390,143		—		—		—			—			(10,441,292	)		24,948,851
GMO U.S. Treasury Fund		65,931,221		434,971,599		391,150,000		465,323			—			—			109,752,820
Totals	$	101,985,219	$	434,971,599	$	391,156,843	$	465,323		$	(52,686	)	$	(10,395,129	)	$	135,352,160
International Equity Fund
GMO U.S. Treasury Fund	$	64,555,168	$	206,850,000	$	222,000,000	$	566,135		$	—		$	—		$	49,405,168
Quality Fund
GMO U.S. Treasury Fund	$	15,705,319	$	—	$	—	$	187,755		$	—		$	—		$	15,705,319
Resources Fund
GMO U.S. Treasury Fund	$	5,233,701	$	195,489,373	$	181,188,328	$	134,716	**	$	—		$	—		$	19,534,746
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	846,701	$	3,890,000	$	3,955,001	$	6,970		$	25		$	(25	)	$	781,700
U.S. Equity Fund
GMO U.S. Treasury Fund	$	21,833,340	$	65,840,000	$	76,810,000	$	120,032		$	—		$	—		$	10,863,340
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	—	$	22,398,993	$	14,311,000	$	9,107		$	—		$	—		$	8,087,993

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through August 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund (see Note 2 and the Statement of Operations). Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $104,737 and $254,637 in Climate Change Fund and Resources Fund, respectively, during the period.

# Security was not an affiliate at the beginning of the period.

## No longer an affiliate at period end.

125

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2019 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that fee. The Trustees also considered possible alternative fee arrangements.

126

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement and sub-advisory agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged

127

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

by the Manager to different share classes of the Fund in light of the services provided to each class by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee and not directly by the Fund.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements 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 and sub-advisory agreement for another year.

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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement and sub-advisory agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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.

128

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager. In addition, the Trustees reviewed the fee payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by the Manager out of the Manager’s management fee and not directly by the Fund.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements 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 and sub-advisory agreement for another year.

129

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that fee. The Trustees also considered possible alternative fee arrangements.

130

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager.

131

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by a

132

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Risk Premium Fund

Approval of renewal of management agreement for GMO Risk Premium Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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.

133

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

134

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

At a meeting on May 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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.

135

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. The Trustees also considered the resources the

136

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 U.S. Small Cap Value Fund

Approval of initial management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing June 6, 2019 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund. 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 March 7, 2019 and June 6, 2019, 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 a member 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.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds managed by the investment division that would manage the Fund.

The Trustees considered the Fund’s estimated expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of funds managed by other managers in a peer group determined by the Manager 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 fees to be paid to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by the Manager comparing the management fee to be paid by the Fund to the management fees of two GMO U.S. equity funds that had been liquidated and 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 to each class by the Manager.

The Trustees also considered that the non-investment management services to be provided by the Manager to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services, were the same as the services provided by the Manager under its current management agreements with other GMO funds.

Since the Fund had not yet commenced operations, no information regarding the Manager’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, review information provided to them by the Manager regarding its profits from managing the Trust overall. The Trustees also considered how the proposed fees compared to fees paid by other GMO funds and took note of “fallout benefits” to the Manager that would result from its management of the Fund and the other GMO funds. The Trustees also considered possible alternative fee arrangements. 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 also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel, and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. The Trustees also considered the resources the

137

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

Manager would employ in managing the Fund, the Manager’s organization, its reputation, and other matters concerning the business and organization of the Manager 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee to be charged under that agreement was 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 Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

138

GMO Trust Funds

Fund Expenses

August 31, 2019 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2019.

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, 2019 through August 31, 2019.

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, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III	$	1,000.00	$	957.90	$	3.79	$	1,000.00	$	1,021.27	$	3.91		0.77%
Emerging Domestic Opportunities Fund
Class II	$	1,000.00	$	1,001.90	$	5.18	$	1,000.00	$	1,019.96	$	5.23		1.03%
Class III	$	1,000.00	$	1,002.20	$	4.83	$	1,000.00	$	1,020.31	$	4.88		0.96%
Class V	$	1,000.00	$	1,002.40	$	4.48	$	1,000.00	$	1,020.66	$	4.52		0.89%
Emerging Markets Fund
Class II	$	1,000.00	$	968.30	$	4.60	$	1,000.00	$	1,020.46	$	4.72		0.93%
Class III	$	1,000.00	$	968.80	$	4.36	$	1,000.00	$	1,020.71	$	4.47		0.88%
Class VI	$	1,000.00	$	969.30	$	3.71	$	1,000.00	$	1,021.37	$	3.81		0.75%
International Equity Fund
Class II	$	1,000.00	$	965.50	$	3.61	$	1,000.00	$	1,021.47	$	3.71		0.73%
Class III	$	1,000.00	$	965.70	$	3.26	$	1,000.00	$	1,021.82	$	3.35		0.66%
Class IV	$	1,000.00	$	966.20	$	2.92	$	1,000.00	$	1,022.17	$	3.00		0.59%
Quality Fund
Class III	$	1,000.00	$	1,080.50	$	2.51	$	1,000.00	$	1,022.72	$	2.44		0.48%
Class IV	$	1,000.00	$	1,080.50	$	2.30	$	1,000.00	$	1,022.92	$	2.24		0.44%
Class VI	$	1,000.00	$	1,080.80	$	2.04	$	1,000.00	$	1,023.18	$	1.98		0.39%
Resources Fund
Class III	$	1,000.00	$	901.60	$	3.49	$	1,000.00	$	1,021.47	$	3.71		0.73%
Class IV	$	1,000.00	$	902.30	$	3.25	$	1,000.00	$	1,021.72	$	3.46		0.68%

139

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2019 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
Risk Premium Fund
Class III	$	1,000.00	$	1,026.00	$	2.04	$	1,000.00	$	1,023.13	$	2.03		0.40%
Class VI	$	1,000.00	$	1,026.60	$	1.58	$	1,000.00	$	1,023.58	$	1.58		0.31%
Tax-Managed International Equities Fund
Class III	$	1,000.00	$	980.20	$	3.83	$	1,000.00	$	1,021.27	$	3.91		0.77%
U.S. Equity Fund
Class III	$	1,000.00	$	1,033.50	$	2.35	$	1,000.00	$	1,022.82	$	2.34		0.46%
Class VI	$	1,000.00	$	1,033.30	$	1.89	$	1,000.00	$	1,023.28	$	1.88		0.37%
U.S. Small Cap Value Fund
Class VI(a)	$	1,000.00	$	957.50	$	0.75	$	1,000.00	$	1,022.77	$	2.39		0.47%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2019, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

^(a)  For the period July 2, 2019 (commencement of operations) through August 31, 2019, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2019, multiplied by the average account value over the period, multiplied by 60 days in the period, divided by 366 days in the year.

140

GMO Trust

Semiannual Report

August 31, 2019

Alpha Only Fund

Alternative Allocation 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

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary.

Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust.

Shareholder Services at

Grantham, Mayo, Van Otterloo & Co. LLC

40 Rowes Wharf, Boston, Massachusetts 02110

1-617-346-7646 (collect)

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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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 or Form N-PORT (available for filings after March 31, 2019), which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q or Form N-PORT may be reviewed and copied, after paying a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov. 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-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
Alternative Allocation Fund
Investment Concentration Summary	12
Schedule of Investments	13
Benchmark-Free Allocation Fund
Investment Concentration Summary	20
Schedule of Investments	21
Benchmark-Free Fund
Investment Concentration Summary	22
Schedule of Investments	23
Global Asset Allocation Fund
Investment Concentration Summary	46
Schedule of Investments	47
Global Developed Equity Allocation Fund
Investment Concentration Summary	48
Schedule of Investments	49
Global Equity Allocation Fund
Investment Concentration Summary	50
Schedule of Investments	51
Implementation Fund
Investment Concentration Summary	52
Schedule of Investments	53
International Developed Equity Allocation Fund
Investment Concentration Summary	84
Schedule of Investments	85
International Equity Allocation Fund
Investment Concentration Summary	86
Schedule of Investments	87
SGM Major Markets Fund
Investment Concentration Summary	88
Schedule of Investments	89
Special Opportunities Fund
Investment Concentration Summary	92
Schedule of Investments	93
Strategic Opportunities Allocation Fund
Investment Concentration Summary	94
Schedule of Investments	95
Portfolio, Counterparty and Currency Abbreviations	102
Fund Financial Statements:
Statements of Assets and Liabilities	103
Statements of Operations	111
Statements of Changes in Net Assets	115
Financial Highlights	122
Notes to Financial Statements	136
Board Review of Investment Management Agreements	200
Fund Expenses	216

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.4	%
Debt Obligations		4.5
Mutual Funds		2.8
Preferred Stocks		0.9
Short-Term Investments		0.3
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.8	)
Other		0.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The Fund’s investment program involves having both long and short investment exposures. The exposure the Fund has to future contracts based on notional amounts are (88.0)% of net assets.

^ Rounds to 0.0%.

1

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.4%
		Australia — 1.1%
	18,315	Australian Pharmaceutical Industries Ltd		16,300
	1,752	Brickworks Ltd		18,904
	3,606	Caltex Australia Ltd		58,135
	5,988	Charter Hall Retail (REIT)		17,574
	6,861	Dexus (REIT)		59,590
	16,888	Fortescue Metals Group Ltd		91,114
	3,903	GPT Group (The) (REIT)		16,783
	6,743	Mineral Resources Ltd		60,026
	72,170	Mirvac Group (REIT)		154,908
	321	Rio Tinto Ltd		18,930
	6,065	Sandfire Resources NL		25,452
	66,702	Scentre Group (REIT)		181,303
	16,555	Stockland (REIT)		50,330
	10,437	Viva Energy (REIT)		20,734
	305	Viva Energy Group Ltd		403
	30,915	Whitehaven Coal Ltd		71,398
		Total Australia		861,884
		Austria — 0.0%
	351	OMV AG		17,926
	121	Vienna Insurance Group AG Wiener Versicherung Gruppe		2,979
		Total Austria		20,905
		Belgium — 0.1%
	3,147	AGFA-Gevaert NV *		12,532
	143	Barco NV		30,432
		Total Belgium		42,964
		Brazil — 3.1%
	24,126	Banco Bradesco SA		176,532
	10,500	Banco do Brasil SA		117,247
	45,500	Banco Santander Brasil SA		468,075
	44,800	Cia de Saneamento Basico do Estado de Sao Paulo		559,324
	5,800	Cia de Saneamento de Minas Gerais-COPASA		97,148
	85,100	JBS SA		609,120
	3,800	Mahle-Metal Leve SA		21,730
	32,600	MRV Engenharia e Participacoes SA		155,088
	1,500	Porto Seguro SA		20,285
	3,500	Qualicorp Consultoria e Corretora de Seguros SA		24,164
	7,654	Sul America SA		89,552
	1,500	Tupy SA		6,390
		Total Brazil		2,344,655
		Chile — 0.1%
	235,503	Enel Americas SA		38,576
	1,200	Enel Americas SA ADR		9,816
		Total Chile		48,392

Shares		Description	Value ($)
		China — 10.5%
	254,000	Agile Group Holdings Ltd		323,350
	1,457,000	Agricultural Bank of China Ltd – Class H		560,146
	55,500	Anhui Conch Cement Co Ltd – Class H		311,539
	287,000	BAIC Motor Corp Ltd – Class H		161,326
	473,000	Bank of China Ltd – Class H		180,862
	789,000	Bank of Communications Co Ltd – Class H		515,339
	11,000	China Aoyuan Group Ltd		12,908
	12,000	China Cinda Asset Management Co Ltd – Class H		2,489
	988,000	China CITIC Bank Corp Ltd – Class H		515,873
	368,000	China Communications Services Corp Ltd – Class H		205,545
	264,000	China Construction Bank Corp – Class H		196,182
	141,000	China Everbright Bank Co Ltd – Class H		58,720
	44,000	China Lesso Group Holdings Ltd		42,176
	26,000	China Lilang Ltd		21,193
	260,500	China Minsheng Banking Corp Ltd – Class H		171,163
	56,000	China National Building Material Co Ltd – Class H		47,810
	658,000	China Petroleum & Chemical Corp – Class H		383,835
	62,000	China Pioneer Pharma Holdings Ltd *		4,335
	355,000	China Railway Construction Corp Ltd – Class H		382,592
	160,000	China Railway Group Ltd – Class H		104,472
	195,000	China Resources Pharmaceutical Group Ltd		200,997
	86,000	China SCE Group Holdings Ltd		41,682
	221,500	China Shenhua Energy Co Ltd – Class H		434,658
	49,000	China Shineway Pharmaceutical Group Ltd		45,550
	1,208,000	China Telecom Corp Ltd – Class H		539,794
	800	China Yuchai International Ltd		10,368
	68,000	Dah Chong Hong Holdings Ltd		18,976
	146,000	Dongfeng Motor Group Co Ltd – Class H		135,284
	172,800	Guangzhou R&F Properties Co Ltd – Class H		277,372
	108,000	Haier Electronics Group Co Ltd		281,204
	68,000	Kingboard Holdings Ltd		158,787
	122,000	Lonking Holdings Ltd		28,991
	155,000	People’s Insurance Co Group of China Ltd (The) – Class H		60,559
	4,000	Ping An Insurance Group Co of China Ltd – Class H		45,892
	50,000	Poly Property Group Co Ltd		17,493
	613,000	Postal Savings Bank of China Co Ltd – Class H		368,621
	14,000	Powerlong Real Estate Holdings Ltd		8,189
	17,000	Road King Infrastructure Ltd		29,826
	97,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		184,154
	191,500	Shimao Property Holdings Ltd		540,163
	220,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		63,356
	84,000	Tianneng Power International Ltd		66,189
	178,000	Weichai Power Co Ltd – Class H		271,629
		Total China		8,031,589

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.0%
	1,581	Scandinavian Tobacco Group A/S		18,204
		Finland — 0.2%
	4,774	Neste Oyj		150,587
		France — 1.9%
	41	BNP Paribas SA		1,848
	984	Cie Generale des Etablissements Michelin SCA		103,595
	2,360	CNP Assurances		42,872
	1,809	Coface SA *		21,365
	317	Kaufman & Broad SA		12,086
	1,052	Lagardere SCA		22,407
	1,173	Metropole Television SA		20,155
	1,221	Neopost SA		24,812
	755	Nexity SA		35,071
	17,477	Peugeot SA		390,736
	8,493	Sanofi		729,614
	2,268	Television Francaise 1		20,644
		Total France		1,425,205
		Germany — 1.7%
	2,301	Allianz SE (Registered)		507,839
	511	Bayer AG (Registered)		37,979
	4,555	Bayerische Motoren Werke AG		304,640
	11,797	Deutsche Lufthansa AG (Registered)		181,831
	4,685	Deutsche Pfandbriefbank AG		55,630
	1	Deutsche Telekom AG (Registered)		17
	1,200	Evonik Industries AG		30,678
	20	Hannover Rueck SE		3,186
	7	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		1,676
	974	Software AG		26,271
	930	Volkswagen AG		152,088
		Total Germany		1,301,835
		Greece — 0.0%
	6,562	FF Group * (a)		—
		Hong Kong — 0.3%
	12,500	CK Asset Holdings Ltd		84,654
	1,000	HKT Trust & HKT Ltd – Class SS		1,562
	8,500	Kerry Properties Ltd		28,607
	16,000	NWS Holdings Ltd		27,505
	4,000	PCCW Ltd		2,166
	32,000	SJM Holdings Ltd		30,161
	11,000	Wharf Real Estate Investment Co Ltd		59,429
		Total Hong Kong		234,084
		Hungary — 0.0%
	26,274	Magyar Telekom Telecommunications Plc		36,884

Shares		Description	Value ($)
		India — 1.8%
	4,433	Balrampur Chini Mills Ltd		8,262
	25,382	HCL Technologies Ltd		391,428
	58,608	Indian Oil Corp Ltd		100,426
	24,861	ITC Ltd		85,559
	2,167	Karnataka Bank Ltd (The)		2,286
	3,129	Larsen & Toubro Infotech Ltd		71,165
	11,088	Mphasis Ltd		151,362
	1,927	NIIT Technologies Ltd		40,227
	4,051	Oil & Natural Gas Corp Ltd		6,878
	27,901	PC Jeweller Ltd		13,057
	118,408	Power Finance Corp Ltd *		174,759
	29,334	PTC India Ltd *		23,144
	129,067	REC Ltd		262,121
	16,694	Reliance Capital Ltd		8,095
	5,060	Reliance Infrastructure Ltd		2,728
	3,740	Tech Mahindra Ltd		36,442
	2,893	Wipro Ltd		10,301
		Total India		1,388,240
		Indonesia — 0.0%
	16,200	Indo Tambangraya Megah Tbk PT		14,813
		Ireland — 0.0%
	820	Bank of Ireland Group Plc		3,118
		Israel — 0.2%
	1,201	Bank Hapoalim BM *		8,811
	9,994	Bank Leumi Le-Israel BM		68,098
	912	First International Bank of Israel Ltd *		23,610
	2,324	Harel Insurance Investments & Financial Services Ltd		18,084
	5,500	Israel Discount Bank Ltd – Class A		22,889
	35,794	Oil Refineries Ltd *		17,740
		Total Israel		159,232
		Italy — 1.7%
	48,749	A2A SPA		85,948
	672	ASTM SPA		20,739
	5,347	Enav SPA		30,230
	56,941	Enel SPA		413,095
	4,467	EXOR NV		303,487
	35	Fiat Chrysler Automobiles NV		460
	25,328	Iren SPA		68,857
	10,300	Mediobanca Banca di Credito Finanziario SPA		102,365
	11,363	Poste Italiane SPA		122,536
	7,414	Snam SPA		37,600
	5,116	Societa Cattolica di Assicurazioni SC		41,729
	2,296	Societa Iniziative Autostradali e Servizi SPA		38,596
	4,038	Unipol Gruppo SPA		20,388
		Total Italy		1,286,030

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — 7.0%
	2,500	Aisin Seiki Co Ltd		73,977
	1,100	Alfresa Holdings Corp		24,880
	2,000	Amada Holdings Co Ltd		20,790
	25,000	Asahi Kasei Corp		225,852
	800	Bandai Namco Holdings Inc		47,006
	500	Bridgestone Corp		18,936
	500	Dai Nippon Printing Co Ltd		10,808
	5,200	Fuji Electric Co Ltd		147,967
	3,900	FUJIFILM Holdings Corp		166,804
	5,200	Hachijuni Bank Ltd (The)		18,670
	400	Hakuhodo DY Holdings Inc		5,898
	200	Haseko Corp		2,145
	3,600	Hiroshima Bank Ltd (The)		16,409
	6,900	Hitachi Ltd		235,375
	19,800	Honda Motor Co Ltd		469,157
	2,700	Isuzu Motors Ltd		28,997
	27,200	ITOCHU Corp		541,894
	100	Kaneka Corp		2,993
	15,400	KDDI Corp		410,192
	500	Kitz Corp		3,228
	18,800	Konica Minolta Inc		133,509
	1,200	Kurita Water Industries Ltd		31,164
	7,800	Marubeni Corp		49,782
	8,480	Mebuki Financial Group Inc		18,893
	52,200	Mitsubishi Chemical Holdings Corp		357,801
	5,600	Mitsubishi Corp		136,198
	6,700	Mitsubishi Electric Corp		80,644
	5,500	Mitsubishi Tanabe Pharma Corp		60,637
	27,200	Mitsubishi UFJ Financial Group Inc		130,920
	3,200	Mitsubishi UFJ Lease & Finance Co Ltd		17,260
	1,600	Mitsui Chemicals Inc		34,135
	6,000	NEC Corp		256,814
	1,800	NET One Systems Co Ltd		48,111
	800	Nichiha Corp		20,282
	1,000	Nippon Flour Mills Co Ltd		15,583
	12,100	Nippon Telegraph & Telephone Corp		580,048
	2,000	Nisshin Seifun Group Inc		37,592
	1,800	Nomura Real Estate Holdings Inc		38,115
	100	Ricoh Co Ltd		924
	1,700	Shinmaywa Industries Ltd		19,840
	59,500	Sojitz Corp		181,252
	68,900	Sumitomo Chemical Co Ltd		301,067
	1,200	Sumitomo Dainippon Pharma Co Ltd		20,917
	1,050	Suzuken Co Ltd		56,375
	100	Taisho Pharmaceutical Holdings Co Ltd		6,953
	4,000	Teijin Ltd		71,824
	800	Tocalo Co Ltd		5,990
	1,400	Tosoh Corp		17,942
	3,600	Toyota Tsusho Corp		111,495
		Total Japan		5,314,045

Shares		Description	Value ($)
		Malaysia — 0.0%
	12,300	RHB Capital Berhad * (b)		—
	99,000	Supermax Corp Berhad		34,993
		Total Malaysia		34,993
		Mexico — 0.8%
	9,800	Gentera SAB de CV		7,296
	206,500	Wal-Mart de Mexico SAB de CV		585,864
		Total Mexico		593,160
		Netherlands — 1.1%
	10,083	ABN AMRO Group NV CVA		178,824
	2,576	ASR Nederland NV		90,077
	46,560	ING Groep NV		444,819
	1,750	Koninklijke Ahold Delhaize NV		40,995
	3,838	Signify NV		112,306
		Total Netherlands		867,021
		New Zealand — 0.0%
	5,816	Meridian Energy Ltd		18,241
		Norway — 0.9%
	817	Aker ASA – A Shares		41,809
	3,492	Aker Solutions ASA *		10,404
	2,110	Austevoll Seafood ASA		21,653
	17,185	DNB ASA		276,855
	13,656	Equinor ASA		232,877
	3,396	Leroy Seafood Group ASA		22,254
	553	Salmar ASA		26,235
	2,110	SpareBank 1 SR-Bank ASA		21,872
	3,193	Storebrand ASA		18,353
		Total Norway		672,312
		Poland — 0.2%
	3,523	Asseco Poland SA		49,473
	21,652	Energa SA *		35,968
	6,300	Powszechny Zaklad Ubezpieczen SA		59,120
		Total Poland		144,561
		Portugal — 0.2%
	2,392	Altri SGPS SA		15,124
	71,879	Banco Comercial Portugues SA – Class R		15,256
	18,550	EDP – Energias de Portugal SA		70,116
	2,441	Galp Energia SGPS SA		35,081
	3,051	NOS SGPS SA		17,915
	35,375	Sonae SGPS SA		32,104
		Total Portugal		185,596
		Russia — 1.8%
	1,525,000	ENEL RUSSIA PJSC		21,017
	132,520	Gazprom PJSC Sponsored ADR		917,523

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	4,320	LUKOIL PJSC Sponsored ADR		348,218
	37,300	Magnitogorsk Iron & Steel Works PJSC		23,404
	3,946	Novolipetsk Steel PJSC GDR		87,873
	2	Sberbank of Russia PJSC Sponsored ADR		28
	4,439	VTB Bank PJSC GDR (Registered)		5,159
		Total Russia		1,403,222
		Singapore — 0.3%
	5,700	DBS Group Holdings Ltd		100,509
	18,700	Golden Agri-Resources Ltd		3,565
	17,700	Keppel DC REIT		23,314
	2,800	Singapore Airlines Ltd		17,818
	900	United Overseas Bank Ltd		16,161
	51,200	Yangzijiang Shipbuilding Holdings Ltd		33,476
		Total Singapore		194,843
		South Africa — 2.1%
	55,243	Absa Group Ltd		559,336
	492	Astral Foods Ltd		5,155
	2,853	Barloworld Ltd		20,897
	2,458	Kumba Iron Ore Ltd		63,766
	23,803	Liberty Holdings Ltd		172,190
	21,583	Metair Investments Ltd		31,381
	150,292	Momentum Metropolitan Holdings *		163,327
	23,845	Nedbank Group Ltd		355,527
	10,647	Reunert Ltd		45,146
	33,052	Telkom SA SOC Ltd		173,773
	5,606	Wilson Bayly Holmes-Ovcon Ltd		37,018
		Total South Africa		1,627,516
		South Korea — 4.1%
	90	GS Home Shopping Inc		11,876
	20,678	Hana Financial Group Inc		555,442
	178	Hyundai Home Shopping Network Corp		13,696
	4,637	Hyundai Marine & Fire Insurance Co Ltd		91,630
	1,512	Hyundai Motor Co		160,717
	43,782	Industrial Bank of Korea		448,521
	14,301	Kia Motors Corp		516,208
	929	Korea United Pharm Inc		15,167
	4,781	Korean Reinsurance Co		32,058
	1,828	LF Corp		29,131
	2,593	LG Corp		152,538
	572	LOTTE Himart Co Ltd		14,796
	899	Samjin Pharmaceutical Co Ltd		20,010
	18,177	Shinhan Financial Group Co Ltd		611,842
	16,800	SK Telecom Co Ltd Sponsored ADR		367,920
	9,650	Woori Financial Group Inc		94,959
		Total South Korea		3,136,511

Shares		Description	Value ($)
		Spain — 2.1%
	5,357	ACS Actividades de Construccion y Servicios SA		202,717
	1,581	Almirall SA		30,136
	4,032	Banco Bilbao Vizcaya Argentaria SA		19,129
	30,717	Banco Santander SA		116,331
	916	Cia de Distribucion Integral Logista Holdings SA		17,993
	4,956	Enagas SA		107,907
	530	Ence Energia y Celulosa SA		2,082
	14,405	Endesa SA		370,221
	37,524	Iberdrola SA		386,272
	30,871	International Consolidated Airlines Group SA		158,366
	934	Naturgy Energy Group SA		24,477
	3,471	Red Electrica Corp SA		68,929
	3,836	Repsol SA		55,812
	3,400	Telefonica SA		23,621
		Total Spain		1,583,993
		Sweden — 0.8%
	1,279	Alfa Laval AB		23,581
	3,180	Betsson AB *		15,376
	225	Fabege AB		3,770
	3,667	Hemfosa Fastigheter AB		37,017
	780	Investor AB – A Shares		36,153
	152	Kindred Group Plc SDR		852
	2,064	Peab AB		16,935
	5,673	Resurs Holding AB		32,243
	5,226	Skandinaviska Enskilda Banken AB – Class A		44,973
	3,612	SSAB AB – Series A		10,020
	21,636	Svenska Cellulosa AB SCA – Class B		186,945
	3,931	Swedbank AB – A Shares		50,575
	1,959	Telefonaktiebolaget LM Ericsson – B Shares		15,329
	9,631	Volvo AB – B Shares		133,284
		Total Sweden		607,053
		Switzerland — 0.5%
	387	BKW AG		25,279
	243	Huber + Suhner AG (Registered)		15,618
	3,394	Novartis AG (Registered)		305,985
		Total Switzerland		346,882
		Taiwan — 3.9%
	10,000	AcBel Polytech Inc		7,046
	28,000	Asustek Computer Inc		181,698
	9,000	Chicony Electronics Co Ltd		25,267
	71,000	Coretronic Corp		86,917
	66,000	Gigabyte Technology Co Ltd		110,920
	160,000	Grand Pacific Petrochemical *		94,422
	31,000	Holtek Semiconductor Inc		65,998
	47,000	Inventec Corp		32,158

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	34,000	Lite-On Semiconductor Corp		44,405
	139,391	Mitac Holdings Corp		122,452
	202,000	Nan Ya Plastics Corp		442,337
	94,000	Novatek Microelectronics Corp		556,778
	23,000	Phison Electronics Corp		211,461
	376,000	Pou Chen Corp		468,974
	11,000	Qisda Corp		7,022
	82,000	Radiant Opto-Electronics Corp		296,148
	1,000	Sitronix Technology Corp		5,151
	29,350	Synnex Technology International Corp		34,560
	7,000	Tripod Technology Corp		25,280
	211,000	Walsin Lihwa Corp		92,548
	151,000	Yuanta Financial Holding Co Ltd		86,747
		Total Taiwan		2,998,289
		Thailand — 0.7%
	170,900	PTT Global Chemical Pcl (Foreign Registered)		296,441
	75,000	PTT Pcl (Foreign Registered)		108,229
	53,200	Thanachart Capital Pcl (Foreign Registered)		98,073
		Total Thailand		502,743
		Turkey — 0.8%
	6,458	Enerjisa Enerji AS		6,536
	141,166	KOC Holding AS		424,749
	154,886	Turkiye Is Bankasi – Class C *		146,967
		Total Turkey		578,252
		United Arab Emirates — 0.0%
	20,688	Emaar Properties PJSC		27,933
		United Kingdom — 5.6%
	20,753	3i Group Plc		277,437
	825	Admiral Group Plc		21,620
	575	AVEVA Group Plc		25,942
	7,315	BAE Systems Plc		48,646
	29,347	Barratt Developments Plc		226,548
	3,480	Bellway Plc		123,145
	2,176	Berkeley Group Holdings Plc (The)		103,926
	3,000	British American Tobacco Plc Sponsored ADR		105,300
	3,632	Britvic Plc		38,419
	23,320	BT Group Plc		46,981
	9,711	Direct Line Insurance Group Plc		33,509
	3,552	Electrocomponents Plc		25,176
	2,429	Evraz Plc		14,671
	10,448	Ferrexpo Plc		25,690
	14,800	GlaxoSmithKline Plc Sponsored ADR		615,384
	4,243	Grainger Plc		12,619
	33,674	HSBC Holdings Plc		242,442
	2,900	HSBC Holdings Plc Sponsored ADR		104,110
	9,671	IG Group Holdings Plc		63,692

Shares		Description	Value ($)
		United Kingdom — continued
	8,970	Imperial Brands Plc		232,440
	1,222	Investec Plc		6,306
	144,898	Legal & General Group Plc		388,211
	627,897	Lloyds Banking Group Plc		382,023
	5,436	Meggitt Plc		41,027
	1,538	Mondi Plc (c)		29,996
	6,090	Mondi Plc (c)		118,788
	3,561	National Express Group Plc		18,410
	575	Next Plc		41,624
	2,538	Northgate Plc		9,971
	101	Pearson Plc		1,024
	12,611	Persimmon Plc		292,822
	3,577	Plus500 Ltd		29,691
	13,438	QinetiQ Group Plc		47,377
	788	Royal Dutch Shell Plc – A Shares		21,893
	206	Royal Dutch Shell Plc – B Shares		5,704
	7,428	Royal Dutch Shell Plc – Class A		206,254
	1,000	Royal Dutch Shell Plc – Class B Sponsored ADR		55,760
	1,515	Savills Plc		15,292
	1,970	Spectris Plc		55,635
	7,981	Tate & Lyle Plc		69,950
	19,729	Taylor Wimpey Plc		35,113
	4,554	Vesuvius Plc		25,835
	1,627	WPP Plc		19,248
		Total United Kingdom		4,305,651
		United States — 35.8%
	300	AAR Corp.		12,888
	8,600	Abercrombie & Fitch Co. – Class A		125,732
	17,400	ACCO Brands Corp.		161,298
	3,800	Achillion Pharmaceuticals, Inc. *		16,530
	4,300	Acushnet Holdings Corp.		111,671
	8,100	ADTRAN, Inc.		83,187
	7,900	AG Mortgage Investment Trust, Inc. (REIT)		118,421
	600	Alamo Group, Inc.		68,508
	1,700	Alpha & Omega Semiconductor Ltd. *		20,026
	1,900	Ameresco, Inc. – Class A *		27,360
	100	American National Bankshares, Inc.		3,420
	1,013	American Public Education, Inc. *		24,545
	1,000	American Vanguard Corp.		14,170
	1,400	Amkor Technology, Inc. *		12,250
	16,900	Archrock, Inc.		164,099
	4,400	Ares Commercial Real Estate Corp. (REIT)		65,956
	2,200	Armstrong Flooring, Inc. *		14,894
	500	Artisan Partners Asset Management, Inc. – Class A		13,320
	7,500	Assertio Therapeutics, Inc. *		10,800
	600	Associated Banc-Corp.		11,544
	13,600	Avaya Holdings Corp. *		192,032
	8,000	AVX Corp.		108,400

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	100	Axcelis Technologies, Inc. *		1,531
	400	BancFirst Corp.		21,508
	1,600	BankFinancial Corp.		18,656
	5,600	Banner Corp.		301,896
	1,700	Bassett Furniture Industries, Inc.		20,706
	420	BCB Bancorp, Inc.		5,191
	700	Bel Fuse, Inc. – Class B		7,700
	4,500	Benchmark Electronics, Inc.		119,160
	11,800	Bloomin’ Brands, Inc.		212,872
	900	Bonanza Creek Energy, Inc. *		20,304
	10,400	Brady Corp. – Class A		490,984
	9,000	Braemar Hotels & Resorts, Inc. (REIT)		82,530
	600	Briggs & Stratton Corp.		2,592
	1,400	Brightsphere Investment Group, Inc.		12,726
	1,200	Brookline Bancorp, Inc.		16,848
	2,800	Builders FirstSource, Inc. *		54,460
	200	California Resources Corp. *		1,958
	3,600	Camden National Corp.		149,256
	1,900	Carpenter Technology Corp.		92,416
	500	Carriage Services, Inc.		10,635
	4,800	Carrols Restaurant Group, Inc. *		35,040
	300	Cedar Realty Trust, Inc. (REIT)		711
	4,400	Central Garden & Pet Co. *		116,248
	700	Century Bancorp, Inc. – Class A		56,700
	200	Chemung Financial Corp.		8,038
	1,100	Cirrus Logic, Inc. *		59,004
	1,100	Civista Bancshares, Inc.		22,473
	3,200	Clarus Corp.		35,232
	700	CNB Financial Corp.		18,508
	15,000	CNO Financial Group, Inc.		217,200
	1,000	Community Trust Bancorp, Inc.		38,900
	1,500	Computer Programs & Systems, Inc.		31,725
	6,500	Comtech Telecommunications Corp.		173,875
	600	Consolidated Water Co. Ltd.		8,796
	1,300	Container Store Group, Inc. (The) *		5,824
	2,700	Core-Mark Holding Co., Inc.		87,453
	22,600	CoreCivic, Inc. (REIT)		383,070
	10,100	CorePoint Lodging, Inc. (REIT)		91,910
	300	CRA International, Inc.		11,667
	3,049	CSG Systems International, Inc.		164,280
	9,300	Dana, Inc.		118,389
	37,500	Denbury Resources, Inc. *		40,500
	15,400	Designer Brands, Inc. – Class A		253,946
	2,000	Digi International, Inc. *		25,560
	1,700	Dime Community Bancshares, Inc.		33,711
	400	Donegal Group, Inc. – Class A		5,772
	700	Donnelley Financial Solutions, Inc. *		7,441
	900	Dril-Quip, Inc. *		41,265
	1,753	DSP Group, Inc. *		24,262
	1,500	Ducommun, Inc. *		61,770

Shares		Description	Value ($)
		United States — continued
	9,900	Dynex Capital, Inc. (REIT)		139,788
	600	El Paso Electric Co.		40,020
	800	EMCOR Group, Inc.		69,952
	1,200	Employers Holdings, Inc.		51,756
	200	Encore Wire Corp.		10,798
	5,700	Ennis, Inc.		114,627
	14,400	Enova International, Inc. *		344,160
	700	Escalade, Inc.		7,231
	700	ESSA Bancorp, Inc.		10,710
	6,700	Essent Group Ltd. *		324,950
	4,100	Ethan Allen Interiors, Inc.		70,520
	2,300	Evolution Petroleum Corp.		13,616
	800	Exterran Corp. *		8,440
	1,100	Farmers National Banc Corp.		14,850
	9,960	Federal Signal Corp.		295,912
	6,800	Federated Investors, Inc. – Class B		217,872
	2,800	FedNat Holding Co.		34,244
	1,600	Financial Institutions, Inc.		46,496
	1,922	First Community Bankshares, Inc.		61,139
	5,100	First Defiance Financial Corp.		133,365
	1,100	First Financial Corp.		44,660
	700	First Financial Northwest, Inc.		9,604
	13,000	Flagstar Bancorp, Inc.		472,550
	200	Flexsteel Industries, Inc.		3,028
	100	Flushing Financial Corp.		1,929
	2,000	FTS International, Inc. *		5,020
	38,700	Fulton Financial Corp.		617,265
	2,400	FutureFuel Corp.		25,872
	3,400	G-III Apparel Group Ltd. *		69,734
	36,700	Gannett Co., Inc.		386,084
	4,200	Genie Energy Ltd. – Class B		30,072
	7,600	GEO Group, Inc. (The) (REIT)		130,416
	1,300	Gorman-Rupp Co. (The)		38,831
	600	Great Southern Bancorp, Inc.		33,804
	6,600	Griffon Corp.		115,170
	3,700	Group 1 Automotive, Inc.		276,464
	800	Hackett Group, Inc. (The)		12,904
	300	Hallmark Financial Services, Inc. *		5,274
	7,300	Haverty Furniture Cos, Inc.		139,795
	400	HealthStream, Inc. *		10,108
	300	Heidrick & Struggles International, Inc.		7,965
	11,963	Herman Miller, Inc.		505,796
	9,000	Hersha Hospitality Trust (REIT)		125,100
	1,800	Hilltop Holdings, Inc.		42,750
	800	HomeTrust Bancshares, Inc.		20,176
	200	Hurco Cos, Inc.		6,382
	2,700	Hyster-Yale Materials Handling, Inc.		147,285
	800	ICF International, Inc.		67,728
	100	Independence Holding Co.		3,702
	5,666	Independent Bank Corp.		110,090

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	4,300	Information Services Group, Inc. *		11,438
	1,600	Ingles Markets, Inc. – Class A		62,208
	400	Innophos Holdings, Inc.		11,236
	3,400	Innospec, Inc.		282,812
	6,700	Insight Enterprises, Inc. *		322,002
	3,316	Inter Parfums, Inc.		213,186
	7,000	International Bancshares Corp.		249,130
	1,600	INTL. FCStone, Inc. *		62,736
	12,800	Invesco Mortgage Capital, Inc. (REIT)		192,384
	16,400	Investors Bancorp, Inc.		182,040
	3,800	iStar, Inc. (REIT)		48,640
	1,923	Johnson Outdoors, Inc. – Class A		107,688
	11,097	K12, Inc. *		292,406
	700	Kelly Services, Inc. – Class A		16,947
	1,700	Kimball Electronics, Inc. *		22,457
	2,300	Kimball International, Inc. – Class B		40,365
	4,600	Knoll, Inc.		106,076
	300	Kraton Corp. *		8,232
	1,500	La-Z-Boy, Inc.		47,805
	1,600	Lantheus Holdings, Inc. *		34,816
	4,000	Laredo Petroleum, Inc. *		9,920
	11,400	Laureate Education, Inc. – Class A *		208,620
	1,100	LCNB Corp.		18,447
	900	Leaf Group Ltd. *		3,762
	1,800	Legg Mason, Inc.		66,222
	11,200	Liberty TripAdvisor Holdings, Inc. – Class A *		97,888
	2,000	Macatawa Bank Corp.		19,780
	17,300	Mallinckrodt Plc *		44,807
	5,800	Marcus Corp. (The)		194,648
	300	Marlin Business Services Corp.		6,489
	4,900	Materion Corp.		288,316
	3,000	Matrix Service Co. *		59,610
	1,500	Meridian Bancorp, Inc.		26,220
	13,182	Meritor, Inc. *		221,721
	100	MidWestOne Financial Group, Inc.		2,897
	800	Miller Industries, Inc.		25,032
	3,300	Modine Manufacturing Co. *		33,693
	300	Monarch Casino & Resort, Inc. *		13,314
	6,200	Monotype Imaging Holdings, Inc.		122,450
	6,400	Moog, Inc. – Class A		520,000
	6,000	Movado Group, Inc.		129,120
	300	MTS Systems Corp.		17,061
	3,000	Mueller Industries, Inc.		79,080
	800	MutualFirst Financial, Inc.		24,136
	800	Myriad Genetics, Inc. *		18,824
	1,800	National CineMedia, Inc.		14,760
	6,500	National General Holdings Corp.		153,270
	3,000	Natural Grocers by Vitamin Cottage, Inc. – Class C *		28,320
	10,100	Newmark Group, Inc. – Class A		87,668

Shares		Description	Value ($)
		United States — continued
	600	Northrim BanCorp, Inc.		21,720
	21,200	Northwest Bancshares, Inc.		335,172
	300	NorthWestern Corp.		21,732
	77,100	Office Depot, Inc.		100,230
	9,200	OFG Bancorp		188,784
	100	Oil-Dri Corp. of America		3,076
	800	Old Second Bancorp, Inc.		9,432
	2,300	Olympic Steel, Inc.		24,725
	3,700	Oppenheimer Holdings, Inc. – Class A		102,712
	300	Orrstown Financial Services, Inc.		6,402
	3,900	Owens-Illinois, Inc.		39,663
	300	Park-Ohio Holdings Corp.		8,157
	2,600	PC Connection, Inc.		91,598
	1,000	PCM, Inc. *		35,010
	46,600	PDL BioPharma, Inc. *		109,044
	11,700	PennyMac Financial Services, Inc. *		346,203
	11,700	PennyMac Mortgage Investment Trust (REIT)		254,592
	400	Peoples Bancorp, Inc.		12,284
	100	Perspecta, Inc.		2,595
	10,800	Piedmont Office Realty Trust, Inc. – Class A (REIT)		213,192
	200	Piper Jaffray Cos.		14,552
	1,700	Pitney Bowes, Inc.		6,052
	7,000	PNM Resources, Inc.		357,070
	400	PolyOne Corp.		12,804
	3,300	Popular, Inc.		173,481
	7,900	Portland General Electric Co.		449,431
	200	Preformed Line Products Co.		10,250
	1,000	Premier Financial Bancorp, Inc.		15,500
	2,300	Presidio, Inc.		36,846
	600	Prestige Consumer Healthcare, Inc. *		19,128
	3,200	ProPetro Holding Corp. *		34,080
	700	Protagonist Therapeutics, Inc. *		9,121
	1,300	Protective Insurance Corp. – Class B		21,060
	3,800	Provident Financial Services, Inc.		90,478
	200	QAD, Inc. – Class A		8,104
	100	Quanex Building Products Corp.		1,722
	1,800	Radian Group, Inc.		40,590
	5,500	Rambus, Inc. *		68,970
	900	Regis Corp. *		14,553
	1,000	Republic Bancorp, Inc. – Class A		42,450
	600	Resources Connection, Inc.		9,930
	300	REX American Resources Corp. *		20,604
	4,700	Ribbon Communications, Inc. *		24,299
	1,200	Riverview Bancorp, Inc.		8,460
	900	Rocky Brands, Inc.		26,226
	1,100	Rosetta Stone, Inc. *		20,075
	1,200	RTI Surgical Holdings, Inc. *		3,816
	1,600	Rudolph Technologies, Inc. *		35,184
	1,100	Rush Enterprises, Inc. – Class A		39,721

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	3,400	SandRidge Energy, Inc. *		15,912
	1,500	Sandy Spring Bancorp, Inc.		50,220
	15,900	Sanmina Corp. *		459,510
	1,200	Scholastic Corp.		42,084
	1,400	Schweitzer-Mauduit International, Inc.		46,956
	300	SEACOR Holdings, Inc. *		14,091
	1,300	Seneca Foods Corp. – Class A *		35,724
	5,200	Shoe Carnival, Inc.		159,848
	3,000	Sierra Bancorp		73,920
	2,800	Silgan Holdings, Inc.		83,328
	900	SilverBow Resources, Inc. *		7,812
	4,700	Sonic Automotive, Inc. – Class A		126,477
	1,000	SpartanNash Co.		10,770
	728	Speedway Motorsports, Inc.		14,378
	7,500	Spok Holdings, Inc.		88,125
	2,700	SPX Corp. *		102,465
	300	Standard Motor Products, Inc.		13,293
	1,200	Star Group LP		11,040
	18,700	Steelcase, Inc. – Class A		290,411
	2,700	Stepan Co.		257,553
	8,400	Summit Hotel Properties, Inc. (REIT)		93,744
	39,000	Sunstone Hotel Investors, Inc. (REIT)		512,460
	3,800	Sykes Enterprises, Inc. *		110,200
	6,000	Tech Data Corp. *		556,380
	32,100	TEGNA, Inc.		459,351
	1,300	Telenav, Inc. *		14,716
	12,900	Telephone & Data Systems, Inc.		325,080
	1,600	Territorial Bancorp, Inc.		43,760
	300	Timberland Bancorp, Inc.		7,671
	9,100	Timken Co. (The)		365,638
	7,800	Tower International, Inc.		241,254
	3,400	Tredegar Corp.		58,786
	3,400	Tribune Publishing Co.		26,010
	4,000	TriCo Bancshares		141,440
	630	Triple-S Management Corp. – Class B *		12,928
	1,400	TrustCo Bank Corp. NY		10,738
	600	Twin Disc, Inc. *		6,066
	700	UMB Financial Corp.		43,624
	17,900	Unisys Corp. *		117,066
	700	United Security Bancshares		7,266
	300	Unitil Corp.		18,111
	6,600	Universal Corp.		330,396
	3,300	Universal Forest Products, Inc.		129,030
	1,800	Varex Imaging Corp. *		47,430
	3,361	Vectrus, Inc. *		135,986
	6,400	Vera Bradley, Inc. *		67,776
	2,500	Veritiv Corp. *		41,400
	9,000	Verso Corp. – Class A *		91,890
	731	Village Super Market, Inc. – Class A		18,253
	8,200	Vishay Intertechnology, Inc.		129,806

Shares		Description	Value ($)
		United States — continued
	2,278	Vishay Precision Group, Inc. *		71,187
	39,900	W&T Offshore, Inc. *		174,762
	2,300	Walker & Dunlop, Inc.		128,478
	8,200	Warrior Met Coal, Inc.		171,380
	3,800	Washington Federal, Inc.		135,280
	3,146	Waterstone Financial, Inc.		52,192
	1,000	Watts Water Technologies, Inc. – Class A		91,630
	1,900	Weis Markets, Inc.		72,637
	700	West Bancorporation, Inc.		14,588
	700	Westwood Holdings Group, Inc.		19,215
	1,400	Weyco Group, Inc.		34,342
	11,200	World Fuel Services Corp.		430,080
	500	Worthington Industries, Inc.		17,350
	26,977	Xenia Hotels & Resorts, Inc. (REIT)		545,205
	1,800	Xperi Corp.		32,976
	8,700	Zumiez, Inc. *		226,026
		Total United States		27,357,314
		TOTAL COMMON STOCKS (COST $77,352,898)		69,868,752
		PREFERRED STOCKS (d) — 0.9%
		Brazil — 0.3%
	22,500	Banco do Estado do Rio Grande do Sul SA – Class B		122,959
	3,100	Cia Paranaense de Energia – Class B		39,003
	4,300	Telefonica Brasil SA		55,731
		Total Brazil		217,693
		Colombia — 0.0%
	1,939	Grupo Aval Acciones y Valores SA		723
		Germany — 0.1%
	206	Sixt SE		14,117
	485	Volkswagen AG		78,055
		Total Germany		92,172
		South Korea — 0.5%
	9,272	Samsung Electronics Co Ltd		282,495
	115	Samsung Electronics Co Ltd GDR (Registered)		87,342
		Total South Korea		369,837
		TOTAL PREFERRED STOCKS (COST $665,769)		680,425

See accompanying notes to the financial statements. 9

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 4.5%
		United States — 4.5%
	3,452,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 2.10%, due 04/30/21(e)		3,447,449
		TOTAL DEBT OBLIGATIONS (COST $3,451,655)		3,447,449
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	3,633	BTS Group Holdings Pcl (Foreign Registered), Expires 12/31/19 *		356
		TOTAL RIGHTS/WARRANTS (COST $0)		356
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	431,115	GMO U.S. Treasury Fund		2,155,573
		TOTAL MUTUAL FUNDS (COST $2,155,573)		2,155,573

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	206,574	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (f)		206,574
		TOTAL SHORT-TERM INVESTMENTS (COST $206,574)		206,574
		TOTAL INVESTMENTS — 99.9% (Cost $83,832,469)		76,359,129
		Other Assets and Liabilities (net) — 0.1%		72,032
		TOTAL NET ASSETS — 100.0%		$76,431,161

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depre-ciation) ($)
09/18/2019	BOA	AUD	1,368,865		USD	923,497		1,220
09/18/2019	JPM	CHF	412,092		USD	425,265		8,377
10/21/2019	JPM	EUR	6,333,351		USD	7,069,540		83,183
10/21/2019	MSCI	GBP	3,326,692		USD	4,040,683		(15,279	)
10/21/2019	MSCI	JPY	661,198,254		USD	6,151,225		(93,823	)
09/18/2019	BOA	NOK	6,923,852		USD	775,085		14,950
09/18/2019	BCLY	SEK	9,926,248		USD	1,036,683		24,353
10/21/2019	CITI	USD	454,857		JPY	47,972,400		(1,756	)
10/21/2019	JPM	USD	593,047		JPY	63,472,700		6,456
09/18/2019	MSCI	USD	394,731		SEK	3,791,600		(8,044	)
							$	19,637

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
460	S&P 500 E-Mini	September 2019	$	67,270,400	$	(634,383	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, 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.

10 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

(c) Securities are traded on separate exchanges for the same entity.

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

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

(f) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 11

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		43.8	%
Short-Term Investments		36.8
Debt Obligations		26.2
Investment Funds		3.4
Swap Contracts		0.5
Purchased Options		0.2
Forward Currency Contracts		0.2
Preferred Stocks		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.3	)
Written Options		(0.9	)
Securities Sold Short		(10.7	)
Other		0.7
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Canada		29.3	%
United States		4.4
Other Developed		0.0	^‡
Euro Region		0.0	^#
Japan		(1.0	)
United Kingdom		(17.7	)
		15.0	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		30.3	%
China		1.1
Other Developed		2.3	‡
Other Emerging		2.1	†
		35.8	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 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.

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

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

^ Rounds to 0.0%.

12

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 34.5%
		United States — 34.5%
	31,400	Acacia Communications, Inc. * (a)		1,979,770
	56,387	Advanced Disposal Services, Inc. *		1,828,067
	19,800	Allergan Plc (a) (b)		3,162,456
	17,033	Altria Group, Inc. (c)		745,024
	30,963	C&J Energy Services, Inc. *		296,006
	151,501	Caesars Entertainment Corp. * (b)		1,743,777
	50,308	Celgene Corp. * (a) (b)		4,869,814
	52,039	Centene Corp. * (b) (c)		2,426,058
	81,909	Cypress Semiconductor Corp. (a)		1,884,726
	35,025	DaVita, Inc. * (b) (c)		1,974,359
	99,432	Discovery, Inc. – Class C *		2,588,215
	28,512	Finisar Corp. *		644,656
	33,207	Genesee & Wyoming, Inc. – Class A * (a) (b)		3,681,992
	9,211	LegacyTexas Financial Group, Inc.		372,124
	89,200	Liberty Global Plc – Series C * (b) (c)		2,329,904
	54,481	Liberty Media Corp.-Liberty SiriusXM – Class C * (a)		2,223,370
	40,085	Medidata Solutions, Inc. * (a)		3,670,984
	28,700	Mellanox Technologies Ltd *		3,072,335
	118,579	Nielsen Holdings Plc (b) (c)		2,461,700
	97,487	Pacific Biosciences of California, Inc. *		541,053
	10,333	Philip Morris International, Inc. (c)		744,906
	111,189	SunTrust Banks, Inc. (a) (b)		6,839,235
	13,321	Total System Services, Inc. (a)		1,787,945
	72,880	Versum Materials, Inc. (b)		3,789,760
	105,900	Viacom, Inc. – Class B		2,645,382
	26,469	WABCO Holdings, Inc. * (a)		3,533,876
	2,900	WellCare Health Plans, Inc. *		785,146
	82,694	Zayo Group Holdings, Inc. * (a) (b)		2,783,480
		Total United States		65,406,120
		TOTAL COMMON STOCKS (COST $66,063,773)		65,406,120
		INVESTMENT FUNDS — 3.4%
		United States — 3.4%
	92,000	Altaba, Inc.*		6,393,080
		TOTAL INVESTMENT FUNDS (COST $6,435,341)		6,393,080
		DEBT OBLIGATIONS — 25.8%
		United States — 25.8%
		U.S. Government — 25.8%
	14,000,000	U.S. Treasury Note, 1.63%, due 06/30/20		13,974,844
	10,000,000	U.S. Treasury Note, 1.38%, due 09/30/20		9,956,641

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 2.10%, due 04/30/21(a)		24,967,038
		TOTAL DEBT OBLIGATIONS (COST $48,894,000)		48,898,523
		MUTUAL FUNDS — 10.2%
		United States — 10.2%
		Affiliated Issuers — 10.2%
	1,100,382	GMO Alpha Only Fund, Class IV		19,443,745
		TOTAL MUTUAL FUNDS (COST $20,949,918)		19,443,745
		SHORT-TERM INVESTMENTS — 36.4%
		Foreign Government Obligations — 33.8%
CAD	14,000,000	Canadian Treasury Discount Bill, Zero Coupon, due 09/05/19		10,512,513
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/30/19		11,767,290
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/07/19		11,767,583
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/05/19		10,356,780
JPY	540,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/18/19		5,084,585
GBP	8,000,000	United Kingdom Treasury Bill, Zero Coupon, due 09/16/19		9,731,797
GBP	4,100,000	United Kingdom Treasury Bill, Zero Coupon, due 10/28/19		4,983,247
		Total Foreign Government Obligations		64,203,795
		Money Market Funds — 2.6%
	3,034,759	SSgA USD Liquidity Fund – D Class shares, 2.12% (d)		3,034,759
	1,932,737	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (e)		1,932,737
		Total Money Market Funds		4,967,496
		TOTAL SHORT-TERM INVESTMENTS (COST $69,204,482)		69,171,291

See accompanying notes to the financial statements. 13

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

PURCHASED OPTIONS — 0.2%

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls — 0.0%
Davita, Inc. (c)	60.00		01/17/20		USD	114		USD	642,618		35,340
TOTAL EQUITY OPTIONS – CALLS											35,340
Equity Options – Puts — 0.0%
Abbvie, Inc.	60.00		01/17/20		USD	149		USD	979,526		34,568
TOTAL EQUITY OPTIONS – PUTS											34,568
Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount			Value ($)
Index Options – Puts — 0.2%
S&P 500 Index	2,850.00		03/20/20		USD	9		USD	2,633,814		111,780
S&P 500 Index	2,825.00		10/18/19		USD	15		USD	4,389,690		63,600
S&P 500 Index	2,825.00		03/20/20		USD	7		USD	2,048,522		79,940

TOTAL INDEX OPTIONS – PUTS	255,320
TOTAL PURCHASED OPTIONS (COST $379,464)	325,228
TOTAL INVESTMENTS — 110.5% (Cost $211,926,978)	209,637,987

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (10.7)%
			Common Stocks — (10.7)%
			United States — (10.7)%
	(143,919	)	BB&T Corp.		(6,857,740	)
	(50,309	)	Bristol-Myers Squibb Co.		(2,418,354	)
	(63,095	)	CBS Corp.		(2,653,776	)
	(9,867	)	Centene Corp. * (c)		(460,000	)
	(92,367	)	Discovery, Inc. – Class A *		(2,549,329	)
	(13,623	)	Eldorado Resorts, Inc. *		(524,622	)
	(10,878	)	Global Payments, Inc.		(1,805,530	)
	(6,426	)	II-VI, Inc. *		(241,039	)
	(50,061	)	Keane Group, Inc. *		(265,323	)
	(1	)	Occidental Petroleum Corp.		(43	)
	(4,917	)	Prosperity Bancshares, Inc.		(319,212	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(362,669	)	Sirius XM Holdings, Inc.		(2,237,668	)
			Total United States		(20,332,636	)
			TOTAL COMMON STOCKS (PROCEEDS $20,756,142)		(20,332,636	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $20,756,142)		(20,332,636	)
			Other Assets and Liabilities (net) — 0.2%		477,644
			TOTAL NET ASSETS — 100.0%		$189,782,995

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
11/06/2019	BOA		AUD	2,090,000		USD	1,444,441		34,308
11/06/2019	GS		AUD	21,239,000		USD	14,550,971		220,917
11/04/2019	BCLY		BRL	1,783,640		USD	430,000		1,086
11/04/2019	MSCI		BRL	2,534,220		USD	630,000		20,593
09/05/2019	BOA		CAD	14,000,000		USD	10,682,717		167,132
09/04/2019	JPM		CHF	9,336,853		USD	9,360,000		(73,547	)
09/17/2019	BOA		CHF	14,526,524		USD	14,738,331		44,134
09/17/2019	JPM		CHF	7,217,335		USD	7,390,000		89,358
09/19/2019	BCLY		CHF	1,150,000		USD	1,158,527		(4,967	)
09/19/2019	BOA		CHF	1,780,054		USD	1,826,508		25,566

14 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/19/2019	MSCI		CHF	358,577		USD	368,789		6,005
09/19/2019	UBS		CHF	10,417,901		USD	10,598,597		58,453
10/04/2019	JPM		CHF	9,336,853		USD	9,476,633		16,803
10/11/2019	JPM		CLP	261,445,700		USD	370,000		7,547
10/11/2019	MSCI		CLP	1,188,396,000		USD	1,720,792		73,271
10/11/2019	BOA		COP	7,917,814,000		USD	2,402,129		105,787
09/13/2019	BOA		CZK	6,672,018		USD	290,000		7,336
09/13/2019	CITI		CZK	8,129,730		USD	350,000		5,579
09/13/2019	MSCI		CZK	27,515,999		USD	1,212,390		46,658
10/22/2019	BCLY		EUR	274,321		USD	305,902		3,273
10/22/2019	BOA		EUR	7,741,791		USD	8,731,186		190,511
10/22/2019	MSCI		EUR	2,039,688		USD	2,270,890		20,724
10/22/2019	UBS		EUR	8,457,480		USD	9,420,288		90,072
09/16/2019	BOA		GBP	8,000,000		USD	10,108,424		368,923
09/17/2019	BCLY		GBP	2,360,000		USD	2,982,622		109,338
09/17/2019	JPM		GBP	1,959,000		USD	2,476,966		91,896
09/19/2019	BCLY		GBP	3,038,201		USD	3,721,348		22,021
09/19/2019	BOA		GBP	523,516		USD	637,776		340
09/19/2019	JPM		GBP	957,693		USD	1,191,128		25,036
09/19/2019	MSCI		GBP	2,492,055		USD	3,037,083		2,745
09/19/2019	UBS		GBP	421,730		USD	513,491		(9	)
10/28/2019	BOA		GBP	4,100,000		USD	4,996,268		(3,840	)
09/13/2019	BCLY		HUF	60,735,318		USD	210,000		8,379
09/13/2019	BOA		HUF	386,400,000		USD	1,370,650		87,931
09/13/2019	JPM		HUF	88,178,202		USD	300,000		7,278
09/12/2019	BCLY		INR	10,032,400		USD	140,000		132
09/09/2019	BOA		JPY	101,936,160		USD	960,000		145
09/30/2019	MSCI		JPY	1,250,000,000		USD	11,637,679		(151,504	)
10/07/2019	BOA		JPY	1,250,000,000		USD	11,637,260		(157,952	)
11/05/2019	BOA		JPY	1,100,000,000		USD	10,360,771		(39,261	)
11/18/2019	BOA		JPY	540,000,000		USD	5,111,270		1,622
09/10/2019	BCLY		KRW	1,980,303,000		USD	1,669,592		32,918
09/10/2019	MSCI		KRW	46,587,680		USD	40,000		1,496
11/21/2019	BCLY		MXN	5,877,995		USD	290,000		508
09/04/2019	JPM		NOK	84,283,529		USD	9,358,573		109,048
10/08/2019	MSCI		NOK	4,488,850		USD	500,000		6,968
09/05/2019	GS		NZD	870,000		USD	567,362		19,155
09/05/2019	JPM		NZD	5,710,000		USD	3,764,337		166,336
09/05/2019	MSCI		NZD	5,610,000		USD	3,600,414		65,426
10/11/2019	BCLY		PEN	493,000		USD	149,313		4,315
10/11/2019	BOA		PEN	826,200		USD	250,000		7,003
09/09/2019	JPM		PHP	26,845,480		USD	515,342		201
09/13/2019	BOA		PLN	3,193,485		USD	820,000		17,655
09/13/2019	MSCI		PLN	4,547,402		USD	1,198,827		56,318
10/30/2019	BOA		RON	7,043,996		USD	1,658,816		22,271
10/24/2019	BCLY		RUB	17,399,200		USD	260,000		929
10/24/2019	BOA		RUB	22,500,900		USD	340,000		4,966
10/03/2019	BCLY		SEK	16,652,426		USD	1,770,000		69,938
11/06/2019	BCLY		SEK	759,381		USD	80,000		2,306
09/17/2019	BCLY		SGD	900,000		USD	659,283		10,657
09/17/2019	JPM		SGD	704,174		USD	520,000		12,505
09/13/2019	BCLY		THB	8,656,760		USD	280,000		(3,226	)
09/11/2019	BCLY		TWD	55,154,160		USD	1,753,809		(8,304	)
10/21/2019	BCLY		USD	127,154		AUD	187,145		(942	)
10/21/2019	BOA		USD	405,205		AUD	596,363		(3,016	)
10/21/2019	MSCI		USD	4,695,922		AUD	6,901,330		(41,641	)

See accompanying notes to the financial statements. 15

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
11/06/2019	GS		USD	1,791,802		AUD	2,640,000		(10,582	)
11/04/2019	JPM		USD	573,633		BRL	2,186,733		(47,786	)
09/04/2019	BOA		USD	7,930,000		CAD	10,629,827		54,076
09/04/2019	JPM		USD	6,677,486		CAD	8,942,457		39,204
10/07/2019	BCLY		USD	6,684,215		CAD	8,826,673		(51,048	)
11/06/2019	BOA		USD	3,295,806		CAD	4,371,504		(9,508	)
11/06/2019	MSCI		USD	536,620		CAD	710,104		(2,795	)
11/06/2019	UBS		USD	8,970,145		CAD	11,845,997		(64,863	)
09/17/2019	BOA		USD	3,100,000		CHF	3,048,588		(16,224	)
09/19/2019	BOA		USD	64,934		CHF	64,119		(63	)
10/11/2019	BOA		USD	310,000		COP	993,705,000		(21,804	)
09/13/2019	BCLY		USD	440,000		CZK	9,881,304		(21,373	)
09/13/2019	BOA		USD	150,000		CZK	3,374,742		(7,027	)
11/25/2019	CITI		USD	447,079		EUR	400,000		(4,707	)
09/17/2019	BCLY		USD	6,083,301		GBP	5,000,000		4,166
09/17/2019	GS		USD	1,152,823		GBP	950,000		3,795
09/17/2019	MSCI		USD	6,067,989		GBP	4,840,000		(175,322	)
11/26/2019	BCLY		USD	1,134,115		IDR	16,389,502,000		5,972
11/26/2019	JPM		USD	310,000		IDR	4,483,530,000		1,883
11/29/2019	BOA		USD	470,000		ILS	1,643,608		(2,595	)
11/29/2019	MSCI		USD	693,917		ILS	2,428,014		(3,444	)
09/12/2019	BCLY		USD	220,000		INR	15,194,080		(8,170	)
09/12/2019	JPM		USD	1,492,317		INR	104,602,600		(33,990	)
09/09/2019	GS		USD	2,880,000		JPY	310,218,674		41,092
09/09/2019	JPM		USD	595,958		JPY	64,021,994		6,888
10/08/2019	MSCI		USD	303,950		JPY	32,233,000		226
10/08/2019	UBS		USD	199,832		JPY	21,152,847		(217	)
09/10/2019	BCLY		USD	170,000		KRW	205,989,000		245
11/21/2019	BCLY		USD	523,958		MXN	10,526,890		(5,507	)
09/04/2019	JPM		USD	9,630,000		NOK	84,283,529		(380,474	)
10/08/2019	MSCI		USD	6,582,257		NOK	56,210,498		(408,381	)
12/04/2019	JPM		USD	6,438,950		NOK	58,459,515		(12,885	)
09/05/2019	BOA		USD	354,129		NZD	550,000		(7,561	)
09/05/2019	GS		USD	905,225		NZD	1,396,000		(25,574	)
09/05/2019	JPM		USD	1,693,628		NZD	2,570,000		(74,212	)
09/05/2019	MSCI		USD	2,070,366		NZD	3,160,000		(79,179	)
09/09/2019	BCLY		USD	240,000		PHP	12,526,560		374
09/13/2019	MSCI		USD	397,246		PLN	1,500,000		(20,379	)
10/24/2019	BOA		USD	1,723,178		RUB	110,139,530		(83,223	)
10/03/2019	BCLY		USD	1,020,000		SEK	9,701,883		(29,526	)
10/03/2019	MSCI		USD	2,020,000		SEK	18,679,139		(113,029	)
11/06/2019	BCLY		USD	13,106,244		SEK	125,803,555		(235,066	)
09/13/2019	BCLY		USD	1,726,482		THB	53,496,400		23,778
09/13/2019	JPM		USD	580,000		THB	17,718,420		(301	)
09/20/2019	BCLY		USD	1,626,889		TRY	10,000,000		77,369
09/11/2019	BCLY		USD	240,000		TWD	7,550,400		1,227
09/11/2019	JPM		USD	270,000		TWD	8,360,010		(2,907	)
09/11/2019	MSCI		USD	300,000		TWD	9,288,390		(3,246	)
10/30/2019	BCLY		USD	990,851		ZAR	14,108,146		(67,487	)
10/30/2019	BCLY		ZAR	12,672,782		USD	820,000		(9,421	)
10/30/2019	BOA		ZAR	8,319,915		USD	540,000		(4,530	)
								$	299,498

16 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	Australian Government Bond 10 Yr.	September 2019		801,612		31,091
119	CAC40 10 Euro	September 2019		7,167,734		193,167
32	DAX Index	September 2019		10,487,154		(171,574	)
117	FTSE 100 Index	September 2019		10,245,150		(197,015	)
32	Hang Seng Index	September 2019		5,212,277		12,393
134	Mini MSCI Emerging Markets	September 2019		6,592,800		(149,487	)
64	MSCI Singapore	September 2019		1,641,699		22,581
1	SPI 200	September 2019		110,585		1,670
188	U.S. Treasury Note 10 Yr. (CBT)	December 2019		24,763,125		45,536
			$	67,022,136	$	(211,638	)
Sales
58	Canadian Government Bond 10 Yr.	December 2019		6,320,144		(31,285	)
23	Euro Bund	September 2019		4,527,315		(122,889	)
7	FTSE/JSE TOP 40	September 2019		225,456		18,656
48	Gilt Long Bond	December 2019		7,842,809		(91,343	)
2	Japanese Government Bond 10 Yr. (OSE)	September 2019		2,921,824		(31,518	)
116	S&P 500 E-Mini	September 2019		16,963,840		(101,157	)
61	TOPIX Index	September 2019		8,658,404		181,182
			$	47,459,792	$	(178,354	)

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Liberty Global Plc (c)	25.00		10/18/19		(1,018	)		USD	(2,659,016	)		(213,780	)
Nielsen Holdings Plc (c)	23.00		11/15/19		(901	)		USD	(1,870,476	)		(36,040	)
Centene Corp. (c)	55.00		12/20/19		(167	)		USD	(778,554	)		(15,865	)
Centene Corp. (c)	50.00		12/20/19		(207	)		USD	(965,034	)		(50,094	)
Davita, Inc. (c)	52.50		01/17/20		(83	)		USD	(467,871	)		(63,910	)
Davita, Inc. (c)	50.00		01/17/20		(247	)		USD	(1,392,339	)		(237,120	)
Nielsen Holdings Plc (c)	23.00		02/21/20		(341	)		USD	(707,916	)		(23,870	)
Centene Corp. (c)	50.00		03/20/20		(205	)		USD	(955,710	)		(82,000	)
Philip Morris International, Inc. (c)	77.50		03/20/20		(159	)		USD	(1,146,231	)		(44,043	)
Altria Group, Inc. (c)	47.50		03/20/20		(262	)		USD	(1,145,988	)		(41,134	)
Liberty Global Plc (c)	30.00		04/17/20		(228	)		USD	(595,536	)		(39,900	)
Davita, Inc. (c)	60.00		04/17/20		(205	)		USD	(1,155,585	)		(110,700	)
			TOTAL WRITTEN EQUITY OPTIONS – CALLS									$(958,456)
Equity Options – Puts
Liberty Global Plc (c)	25.00		10/18/19		(341	)		USD	(890,692	)		(30,690	)
Davita, Inc. (c)	47.50		01/17/20		(83	)		USD	(467,871	)		(12,450	)
Nielsen Holdings Plc (c)	20.00		02/21/20		(341	)		USD	(707,916	)		(52,855	)
Altria Group, Inc. (c)	45.00		03/20/20		(262	)		USD	(1,145,988	)		(133,620	)
Philip Morris International, Inc. (c)	72.50		03/20/20		(159	)		USD	(1,146,231	)		(107,325	)
Centene Corp. (c)	40.00		03/20/20		(205	)		USD	(955,710	)		(45,100	)
Davita, Inc. (c)	50.00		04/17/20		(205	)		USD	(1,155,585	)		(67,650	)
Liberty Global Plc (c)	25.00		04/17/20		(228	)		USD	(595,536	)		(57,000	)
			TOTAL WRITTEN EQUITY OPTIONS – PUTS									$(506,690)

See accompanying notes to the financial statements. 17

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Written Options — continued

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts				Notional Amount			Value ($)
Index Options – Puts
S&P 500 Index	2,890.00		09/20/19		USD	(65	)		USD	(19,021,990)		(227,175	)
Euro STOXX 50	3,300.00		09/20/19		EUR	(171	)		EUR	(5,859,760)		(36,014	)
	TOTAL INDEX OPTIONS – PUTS											(263,189	)
					TOTAL WRITTEN OPTIONS (Premiums $2,068,410)						$	(1,728,335	)

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) ($)
1.63%	3 Month CAD LIBOR	CAD	13,920,000		09/17/2029	Semi-Annually		(8,427	)		(59,177	)		(50,750	)
3 Month CAD LIBOR	1.68%	CAD	62,537,000		09/17/2029	Semi-Annually		285,898			486,515			200,617
3 Month CAD LIBOR	1.62%	CAD	3,880,000		09/17/2029	Semi-Annually		—			15,126			15,126
3 Month CAD LIBOR	1.67%	CAD	4,870,000		09/17/2029	Semi-Annually		—			36,169			36,169
3 Month CAD LIBOR	1.58%	CAD	6,835,000		09/17/2029	Semi-Annually		—			6,388			6,388
3 Month CAD LIBOR	1.57%	CAD	6,835,000		09/17/2029	Semi-Annually		—			600			600
3 Month CAD LIBOR	1.53%	CAD	5,500,000		09/17/2029	Semi-Annually		—			(12,326	)		(12,326	)
3 Month NZD Bank Bill Rate	1.30%	NZD	63,350,000		09/18/2029	Quarterly		64,490			357,261			292,771
3 Month NZD Bank Bill Rate	1.23%	NZD	7,710,000		09/18/2029	Quarterly		—			13,121			13,121
3 Month SEK STIBOR	0.27%	SEK	90,100,000		09/18/2029	Quarterly		(4,019	)		112,675			116,694
3 Month SEK STIBOR	0.30%	SEK	138,777,000		09/18/2029	Quarterly		30,511			210,709			180,198
3 Month SEK STIBOR	0.27%	SEK	51,500,000		09/18/2029	Quarterly		—			61,120			61,120
3 Month SEK STIBOR	0.16%	SEK	51,700,000		09/18/2029	Quarterly		—			2,026			2,026
3 Month SEK STIBOR	0.21%	SEK	34,000,000		09/18/2029	Quarterly		—			19,714			19,714
3 Month SEK STIBOR	0.25%	SEK	19,600,000		09/18/2029	Quarterly		—			20,262			20,262
3 Month SEK STIBOR	0.19%	SEK	64,800,000		09/18/2029	Quarterly		—			25,675			25,675
1.38%	3 Month USD LIBOR	USD	1,970,000		12/19/2029	Quarterly		—			(629	)		(629	)
1.38%	3 Month USD LIBOR	USD	1,970,000		12/19/2029	Quarterly		—			(536	)		(536	)
1.39%	3 Month USD LIBOR	USD	1,970,000		12/19/2029	Quarterly		—			(1,648	)		(1,648	)
1.41%	3 Month USD LIBOR	USD	5,050,000		12/19/2029	Quarterly		—			(18,245	)		(18,245	)
1.42%	3 Month USD LIBOR	USD	5,050,000		12/19/2029	Quarterly		—			(19,909	)		(19,909	)
1.43%	3 Month USD LIBOR	USD	3,350,000		12/19/2029	Quarterly		—			(16,990	)		(16,990	)
1.48%	3 Month USD LIBOR	USD	3,040,000		12/19/2029	Quarterly		—			(30,294	)		(30,294	)
3 Month USD LIBOR	1.56%	USD	11,248,000		12/19/2029	Quarterly		(17,601	)		194,655			212,256
(0.60)%	6 Month CHF LIBOR	CHF	640,000		09/18/2029	Semi-Annually		—			21			21
(0.61)%	6 Month CHF LIBOR	CHF	3,240,000		09/18/2029	Semi-Annually		—			4,406			4,406
(0.68)%	6 Month CHF LIBOR	CHF	2,752,000		09/18/2029	Semi-Annually		—			24,185			24,185
1.09%	6 Month AUD BBSW	AUD	9,990,000		09/18/2029	Semi-Annually		(1,495	)		(1,904	)		(409	)
1.10%	6 Month AUD BBSW	AUD	37,983,000		09/18/2029	Semi-Annually		80,901			(36,970	)		(117,871	)
1.14%	6 Month AUD BBSW	AUD	2,725,000		09/18/2029	Semi-Annually		—			(10,118	)		(10,118	)
1.14%	6 Month AUD BBSW	AUD	28,129,000		09/18/2029	Semi-Annually		(66,698	)		(102,610	)		(35,912	)
6 Month AUD BBSW	1.11%	AUD	2,230,000		09/18/2029	Semi-Annually		—			3,625			3,625
6 Month AUD BBSW	1.05%	AUD	4,810,000		09/18/2029	Semi-Annually		—			(10,065	)		(10,065	)
6 Month AUD BBSW	1.08%	AUD	2,090,000		09/18/2029	Semi-Annually		—			(692	)		(692	)
6 Month CHF LIBOR	(0.64)%	CHF	9,840,000		09/18/2029	Semi-Annually		3,400			(42,099	)		(45,499	)
6 Month CHF LIBOR	(0.61)%	CHF	7,380,000		09/18/2029	Semi-Annually		—			(10,689	)		(10,689	)
(0.22)%	6 Month EURIBOR	EUR	29,830,000		09/19/2029	Semi-Annually		(111,918	)		(192,531	)		(80,613	)
(0.24)%	6 Month EURIBOR	EUR	2,760,000		09/19/2029	Semi-Annually		—			(12,476	)		(12,476	)
(0.25)%	6 Month EURIBOR	EUR	2,860,000		09/19/2029	Semi-Annually		—			(8,698	)		(8,698	)
(0.27)%	6 Month EURIBOR	EUR	2,860,000		09/19/2029	Semi-Annually		—			(1,866	)		(1,866	)
(0.29)%	6 Month EURIBOR	EUR	3,590,000		09/19/2029	Semi-Annually		—			5,418			5,418
(0.30)%	6 Month EURIBOR	EUR	975,000		09/19/2029	Semi-Annually		—			2,525			2,525
(0.31)%	6 Month EURIBOR	EUR	1,457,000		09/19/2029	Semi-Annually		—			5,017			5,017

18 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Swap Contracts — continued

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) ($)
(0.31)%	6 Month EURIBOR	EUR	975,000		09/19/2029	Semi-Annually		—			3,135			3,135
(0.31)%	6 Month EURIBOR	EUR	763,000		09/19/2029	Semi-Annually		—			3,018			3,018
0.58%	6 Month GBP LIBOR	GBP	760,000		09/19/2029	Semi-Annually		—			3,157			3,157
0.59%	6 Month GBP LIBOR	GBP	1,477,000		09/19/2029	Semi-Annually		—			4,019			4,019
0.59%	6 Month GBP LIBOR	GBP	760,000		09/19/2029	Semi-Annually		—			2,567			2,567
0.59%	6 Month GBP LIBOR	GBP	760,000		09/19/2029	Semi-Annually		—			2,476			2,476
0.60%	6 Month GBP LIBOR	GBP	988,000		09/19/2029	Semi-Annually		—			1,981			1,981
0.60%	6 Month GBP LIBOR	GBP	988,000		09/19/2029	Semi-Annually		—			2,453			2,453
0.65%	6 Month GBP LIBOR	GBP	19,870,000		09/19/2029	Semi-Annually		(89,845	)		(79,955	)		9,890
6 Month GBP LIBOR	0.66%	GBP	1,680,000		09/19/2029	Semi-Annually		—			8,966			8,966
6 Month GBP LIBOR	0.64%	GBP	1,680,000		09/19/2029	Semi-Annually		—			4,755			4,755
6 Month GBP LIBOR	0.61%	GBP	2,703,000		09/19/2029	Semi-Annually		—			(2,354	)		(2,354	)
							$	165,197		$	970,959		$	805,762

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 Bloomberg Commodity Index (d)

1 Month Fed Funds Rate minus 1.50%

MSCI

USD

1,510,610

01/10/2020

Monthly

$

—

$

(3,635

)

$

(3,635

)

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) 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) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(e) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		57.8	%
Debt Obligations		35.0
Short-Term Investments		5.5
Investment Funds		1.1
Preferred Stocks		0.9
Mutual Funds		0.2
Swap Contracts		0.2
Loan Participations		0.1
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Futures Contracts		(0.2	)
Written/Credit Linked Options		(0.2	)
Securities Sold Short		(3.2	)
Other		2.9
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		10.3	%
Canada		4.3
Other Emerging		3.1	†
Other Developed		(0.8	)‡
Euro Region		0.0	^#
		16.9	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		12.4	%
China		8.9
Other Developed		6.3	‡
Taiwan		4.2
Japan		3.9
Russia		3.5
United Kingdom		3.1
South Korea		2.6
Other Emerging		2.1	†
France		1.8
Brazil		1.7
South Africa		1.5
Spain		1.3
India		1.2
Netherlands		1.2
Turkey		1.1
		56.8	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

20

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	14,452,959	GMO Emerging Country Debt Fund, Class IV		400,346,958
	7,550,485	GMO High Yield Fund, Class VI		157,050,097
	597,360,259	GMO Implementation Fund		7,759,709,758
	18,685,701	GMO Opportunistic Income Fund, Class VI		499,655,647
	9,146,168	GMO Risk Premium Fund, Class VI		251,794,001
	24,148,491	GMO SGM Major Markets Fund, Class VI		752,708,478
	13,034,477	GMO Special Opportunities Fund, Class VI		251,826,095
		TOTAL MUTUAL FUNDS (COST $10,154,678,638)		10,073,091,034
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	5,851,764	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		5,851,764
		TOTAL SHORT-TERM INVESTMENTS (COST $5,851,764)		5,851,764
		TOTAL INVESTMENTS — 100.1% (Cost $10,160,530,402)		10,078,942,798
		Other Assets and Liabilities (net) — (0.1%)		(5,492,056	)
		TOTAL NET ASSETS — 100.0%		$10,073,450,742

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		60.6	%
Debt Obligations		27.4
Short-Term Investments		6.5
Preferred Stocks		1.2
Investment Funds		0.7
Swap Contracts		0.1
Loan Participations		0.1
Mutual Funds		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(1.2	)
Other		4.7
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.2	%
Other Emerging		3.3	†
Euro Region		0.0	^#
Other Developed		(0.2	)‡
		16.3	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		11.1
United States		8.9
Taiwan		4.9
Other Developed		4.8	‡
Japan		4.1
Russia		4.1
United Kingdom		3.5
South Korea		3.3
Other Emerging		2.4	†
Brazil		2.1
France		2.1
India		1.7
South Africa		1.7
Netherlands		1.4
Spain		1.4
Turkey		1.4
Canada		1.1
Germany		1.0
		61.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# “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%.

22

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 47.0%
		Argentina — 0.0%
	4,300	Banco BBVA Argentina SA ADR		18,146
	2,600	Banco Macro SA ADR		60,606
	3,100	Grupo Financiero Galicia SA ADR		33,604
	3,000	Transportadora de Gas del Sur SA ADR		22,500
		Total Argentina		134,856
		Australia — 0.7%
	186,179	Accent Group Ltd		200,324
	38,235	Adairs Ltd		44,737
	57,491	Alliance Aviation Services Ltd		98,415
	15,825	Altium Ltd		390,713
	63,997	Appen Ltd		1,114,820
	59,542	Austal Ltd		168,826
	291,360	Australian Pharmaceutical Industries Ltd		259,295
	50,822	Aventus Group (REIT)		89,709
	43,242	Bravura Solutions Ltd		141,812
	55,263	Brickworks Ltd		596,276
	48,441	Caltex Australia Ltd		780,960
	3,928	Charter Hall Group (REIT)		33,432
	86,293	Charter Hall Retail (REIT)		253,253
	40,010	Codan Ltd		127,718
	174,990	Downer EDI Ltd		907,871
	32,529	ERM Power Ltd		53,439
	372,165	Fortescue Metals Group Ltd		2,007,900
	79,760	GDI Property Group (REIT)		83,777
	37,950	Genworth Mortgage Insurance Australia Ltd		78,630
	29,061	Harvey Norman Holdings Ltd (a)		85,692
	72,161	Macquarie Group Ltd		6,015,891
	146,532	Mount Gibson Iron Ltd *		70,665
	227,251	New Hope Corp Ltd		348,628
	61,221	OZ Minerals Ltd		377,564
	27,916	Rio Tinto Ltd		1,646,281
	237,543	Sandfire Resources NL		996,839
	166	Scentre Group (REIT)		451
	45,958	Service Stream Ltd		88,715
	305,855	Southern Cross Media Group Ltd		250,873
	72,078	Super Retail Group Ltd		454,338
	379,504	Telstra Corp Ltd		950,066
	295,709	Viva Energy (REIT)		587,462
	3,785	Viva Energy Group Ltd		5,003
		Total Australia		19,310,375
		Austria — 0.0%
	11,646	Vienna Insurance Group AG Wiener Versicherung Gruppe		286,760
		Belgium — 0.1%
	3,921	Barco NV		834,426

Shares		Description	Value ($)
		Belgium — continued
	484	D’ieteren SA		24,436
	35,035	UCB SA		2,618,508
		Total Belgium		3,477,370
		Brazil — 2.1%
	285,600	Atacadao SA		1,538,005
	225,100	Banco BTG Pactual SA		3,184,341
	142,000	Banco do Brasil SA		1,585,627
	739,800	Banco Santander Brasil SA		7,610,596
	870,200	Cia de Saneamento Basico do Estado de Sao Paulo		10,864,366
	65,500	Cia de Saneamento Basico do Estado de Sao Paulo ADR		810,890
	25,300	Cia Hering		202,534
	12,300	Cia Paranaense de Energia		167,347
	337,600	Cia Siderurgica Nacional SA		1,170,716
	26,400	Construtora Tenda SA		161,549
	2,700	Grendene SA		5,249
	2,410,900	JBS SA		17,256,478
	73,200	Kroton Educacional SA		178,183
	73,800	Mahle-Metal Leve SA		422,020
	49,500	Marfrig Global Foods SA *		99,813
	502,600	MRV Engenharia e Participacoes SA		2,391,022
	1,480,440	Petrobras Distribuidora SA		10,296,226
	36,500	Qualicorp Consultoria e Corretora de Seguros SA		252,001
	109,400	Tupy SA		466,027
	79,900	YDUQS Part		607,016
		Total Brazil		59,270,006
		Canada — 1.3%
	12,800	Absolute Software Corp		75,758
	18,300	AGF Management Ltd – Class B		76,972
	9,000	Bank of Montreal		617,670
	14,737	BRP Inc Sub Voting		528,425
	28,400	Canaccord Genuity Group Inc		106,868
	47,700	Canadian National Railway Co (b) (c)		4,395,078
	4,000	Canadian National Railway Co (c)		368,334
	29,800	Canfor Pulp Products Inc		203,233
	1,900	Centerra Gold Inc *		17,282
	700	CGI Inc *		54,900
	3,800	Cogeco Inc		267,832
	23,900	Dundee Precious Metals Inc *		94,243
	3,900	Eldorado Gold Corp *		35,841
	38,900	Enerflex Ltd		356,452
	4,000	Enghouse Systems Ltd		114,586
	7,700	Labrador Iron Ore Royalty Corp		150,599
	10,700	Manulife Financial Corp		177,530
	9,900	Martinrea International Inc		75,919
	4,500	Morguard North American Residential Real Estate Investment Trust		66,009

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	10,300	Rogers Sugar Inc		41,544
	199,600	Royal Bank of Canada		14,928,773
	54,000	Russel Metals Inc		811,582
	6,900	Suncor Energy Inc		201,687
	64,900	Sun Life Financial Inc (b)		2,661,549
	15,100	TFI International Inc		439,481
	149,300	Toronto-Dominion Bank (The)		8,096,335
	19,200	Transcontinental Inc – Class A		203,046
	11,200	Wajax Corp		132,660
	20,400	Westshore Terminals Investment Corp (a)		334,790
		Total Canada		35,634,978
		Chile — 0.1%
	4,130,390	Enel Americas SA		676,569
	71,800	Enel Americas SA ADR		587,324
	1,606	Inversiones La Construccion SA		23,235
		Total Chile		1,287,128
		China — 7.0%
	88,000	361 Degrees International Ltd		18,621
	586,000	7Road Holdings Ltd		170,199
	41,000	AAC Technologies Holdings Inc		176,090
	2,749,668	Agile Group Holdings Ltd		3,500,409
	922,500	Agricultural Bank of China Ltd – Class A		438,969
	36,171,000	Agricultural Bank of China Ltd – Class H		13,905,988
	20,100	Alibaba Group Holding Ltd Sponsored ADR * (a)		3,518,103
	103,400	Anhui Conch Cement Co Ltd – Class A		570,857
	984,000	Anhui Conch Cement Co Ltd – Class H		5,523,500
	34,300	Anhui Expressway Co Ltd – Class A		26,295
	78,000	ANTA Sports Products Ltd		647,013
	67,500	Asia Cement China Holdings Corp.		78,906
	6,470,500	BAIC Motor Corp Ltd – Class H		3,637,145
	8,014,000	Bank of China Ltd – Class H		3,064,330
	17,416,000	Bank of Communications Co Ltd – Class H		11,375,335
	11,000	Baoye Group Co Ltd – Class H *		6,094
	328,600	Beijing North Star Co Ltd – Class A		156,278
	65,000	BYD Electronic International Co Ltd		77,804
	175,000	Cabbeen Fashion Ltd		36,846
	199,000	CGN Power Co Ltd – Class H		52,463
	139,000	China Aoyuan Group Ltd		163,116
	1,734,000	China Cinda Asset Management Co Ltd – Class H		359,593
	7,496,000	China CITIC Bank Corp Ltd – Class H		3,913,955
	94,000	China Communications Construction Co Ltd – Class A		131,353
	50,000	China Communications Construction Co Ltd – Class H		38,701
	7,006,000	China Communications Services Corp Ltd – Class H		3,913,168

Shares		Description	Value ($)
		China — continued
	658,900	China Construction Bank Corp – Class A		636,268
	5,024,000	China Construction Bank Corp – Class H		3,733,407
	2,526,000	China Everbright Bank Co Ltd – Class H		1,051,969
	58,000	China Evergrande Group		119,728
	1,058,000	China Greenfresh Group Co Ltd *		79,560
	646,000	China Huarong Asset Management Co Ltd – Class H		101,089
	618,000	China Jinmao Holdings Group Ltd		344,053
	3,492,000	China Lesso Group Holdings Ltd		3,347,223
	538,000	China Lilang Ltd		438,524
	2,517,000	China Machinery Engineering Corp – Class H		984,260
	160,000	China Medical System Holdings Ltd.		198,962
	138,700	China Merchants Bank Co Ltd – Class A		665,487
	3,222,500	China Minsheng Banking Corp Ltd – Class H		2,117,366
	148,000	China Mobile Ltd		1,224,638
	20,800	China Mobile Ltd Sponsored ADR		859,248
	968,000	China National Building Material Co Ltd – Class H		826,424
	119,500	China National Chemical Engineering Co Ltd – Class A		92,512
	64,000	China Oriental Group Co Ltd		25,255
	31,000	China Overseas Grand Oceans Group Ltd		14,657
	594,000	China Overseas Land & Investment Ltd		1,873,788
	65,000	China Overseas Property Holdings Ltd		33,060
	79,900	China Pacific Insurance Group Co Ltd – Class A		422,813
	9,500	China Petroleum & Chemical Corp ADR		552,615
	209,198	China Petroleum & Chemical Corp – Class A		145,728
	9,760,000	China Petroleum & Chemical Corp – Class H		5,693,351
	162,000	China Pioneer Pharma Holdings Ltd *		11,326
	111,700	China Railway Construction Corp Ltd – Class A		142,359
	7,944,000	China Railway Construction Corp Ltd – Class H		8,561,432
	93,499	China Railway Group Ltd – Class A		78,660
	4,284,042	China Railway Group Ltd – Class H		2,797,269
	438,000	China Railway Signal & Communication Corp Ltd – Class H		262,032
	287,000	China Reinsurance Group Corp – Class H		46,798
	182,000	China Resources Cement Holdings Ltd		160,812
	18,000	China Resources Gas Group Ltd		88,824
	376,000	China Resources Land Ltd		1,524,368
	2,691,500	China Resources Pharmaceutical Group Ltd		2,774,280
	1,716,000	China SCE Group Holdings Ltd		831,692
	218,579	China Shenhua Energy Co Ltd – Class A		571,802
	2,385,000	China Shenhua Energy Co Ltd – Class H		4,680,183
	807,000	China Shineway Pharmaceutical Group Ltd		750,175

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, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	128,054	China South Publishing & Media Group Co Ltd – Class A		220,218
	252,299	China State Construction Engineering Corp Ltd – Class A		193,203
	38,000	China State Construction International Holdings Ltd		34,199
	24,232,000	China Telecom Corp Ltd – Class H		10,828,055
	207,589	China Vanke Co Ltd – Class A		749,369
	272,300	China Vanke Co Ltd – Class H		938,433
	333,396	China Yangtze Power Co Ltd – Class A		868,648
	28,100	China Yuchai International Ltd		364,176
	66,300	Chinese Universe Publishing and Media Group Co Ltd – Class A		116,365
	49,200	Chongqing Changan Automobile Co Ltd – Class A		55,126
	16,500	Chongqing Department Store Co Ltd – Class A		64,270
	264,000	Chongqing Rural Commercial Bank Co Ltd – Class H		127,386
	148,000	CIFI Holdings Group Co Ltd		79,321
	419,000	CNOOC Ltd		620,713
	400	CNOOC Ltd Sponsored ADR		59,296
	637,000	Country Garden Holdings Co Ltd		788,917
	112,000	CRRC Corp Ltd – Class A		114,163
	74,000	CRRC Corp Ltd – Class H		50,796
	100,000	Dah Chong Hong Holdings Ltd		27,905
	727,599	Daqin Railway Co Ltd – Class A		788,282
	27,000	Dongfang Electric Corp Ltd – Class A		35,476
	2,236,000	Dongfeng Motor Group Co Ltd – Class H		2,071,888
	303,000	Dongyue Group Ltd		142,585
	78,225	Fangda Carbon New Material Co Ltd – Class A*		112,312
	127,460	Fangda Special Steel Technology Co Ltd – Class A		147,890
	500	Fanhua Inc (a)		13,625
	236,000	Future Land Development Holdings Ltd		185,904
	108,000	Geely Automobile Holdings Ltd		166,370
	27,300	Gemdale Corp – Class A		42,896
	168,000	Gemdale Properties & Investment Corp Ltd		18,596
	105,000	Genertec Universal Medical Group Co Ltd		73,834
	1,013,500	Great Wall Motor Co Ltd – Class H		641,636
	50,100	Gree Electric Appliances Inc of Zhuhai – Class A		390,123
	94,099	GRG Banking Equipment Co Ltd – Class A		89,629
	546,000	Guangdong Investment Ltd		1,149,408
	21,085	Guangdong Provincial Expressway Development Co Ltd – Class A		22,098
	850,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		3,172,081
	4,276,679	Guangzhou R&F Properties Co Ltd – Class H		6,864,766

Shares		Description	Value ($)
		China — continued
	1,430,000	Haier Electronics Group Co Ltd		3,723,352
	18,000	Haitian International Holdings Ltd		33,794
	43,500	Hebei Construction Group Corp Ltd – Class H		29,742
	349,089	Hisense Home Appliances Group Co Ltd – Class A		576,581
	411,000	Hisense Home Appliances Group Co Ltd – Class H		431,123
	103,183	HLA Corp Ltd – Class A		121,626
	3,900	Hollysys Automation Technologies Ltd		61,035
	2,394,000	Huabao International Holdings Ltd		907,907
	119,598	Huaxin Cement Co Ltd – Class A		311,177
	1,007,000	IGG Inc		680,778
	942,900	Industrial & Commercial Bank of China Ltd – Class A		711,307
	3,527,000	Industrial & Commercial Bank of China Ltd – Class H		2,224,325
	626,500	Kingboard Holdings Ltd		1,462,946
	188,500	Kingboard Laminates Holdings Ltd		148,375
	344,000	Kunlun Energy Co Ltd		299,044
	368,000	Lenovo Group Ltd		241,399
	492,384	Livzon Pharmaceutical Group Inc – Class H		1,349,735
	334,400	Logan Property Holdings Co Ltd		469,826
	102,000	Longfor Group Holdings Ltd		362,709
	1,852,000	Lonking Holdings Ltd		440,096
	91,300	Metallurgical Corp of China Ltd – Class A		35,150
	30,000	Midea Group Co Ltd – Class A		221,976
	1,100	NetEase Inc ADR (a)		280,500
	27,800	New China Life Insurance Co Ltd – Class H		109,359
	237,000	People’s Insurance Co Group of China Ltd (The) – Class H		92,597
	612,000	PICC Property & Casualty Co Ltd – Class H		699,817
	200,400	Ping An Insurance Group Co of China Ltd – Class A		2,452,012
	36,000	Ping An Insurance Group Co of China Ltd – Class H		413,028
	17,800	Poly Developments and Holdings Group Co Ltd – Class A		33,500
	605,000	Poly Property Group Co Ltd		211,667
	10,350,000	Postal Savings Bank of China Co Ltd – Class H		6,223,862
	723,000	Powerlong Real Estate Holdings Ltd		422,891
	102,000	Qingling Motors Co Ltd – Class H		24,307
	86,000	Red Star Macalline Group Corp Ltd – Class H		67,866
	232,100	RiseSun Real Estate Development Co Ltd – Class A		263,416
	175,000	Road King Infrastructure Ltd		307,038
	103,200	Shanghai Construction Group Co Ltd – Class A		51,995

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, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	316,000	Shanghai Jin Jiang Capital Co Ltd – Class H		47,460
	5,000	Shanghai Jinqiao Export Processing Zone Development Co Ltd – Class A		9,557
	60,980	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		118,099
	39,600	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		98,027
	43,099	Shanghai Oriental Pearl Group Co Ltd – Class A		56,325
	2,678,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		5,049,262
	138,025	Shanghai SMI Holding Co Ltd – Class A		110,117
	27,400	Shanxi Lu’an Environmental Energy Development Co Ltd – Class A		28,418
	31,735	Shenzhen Expressway Co Ltd – Class A		42,564
	4,000	Shenzhen Expressway Co Ltd – Class H		4,894
	114,260	Shenzhen Investment Ltd		43,220
	4,405,500	Shimao Property Holdings Ltd		12,426,570
	731,000	Sihuan Pharmaceutical Holdings Group Ltd		130,136
	30,000	Sinopec Engineering Group Co Ltd – Class H		19,562
	126,973	Sinopec Shanghai Petrochemical Co Ltd – Class A		74,982
	6,614,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		1,904,709
	270,000	Sinopharm Group Co Ltd – Class H		974,434
	1,257,000	Sinotruk Hong Kong Ltd		1,934,078
	82,000	SSY Group Ltd		72,311
	22,000	Sunac China Holdings Ltd.		87,715
	282,721	Suning Universal Co Ltd – Class A		148,762
	76,698	Suzhou Gold Mantis Construction Decoration Co Ltd – Class A		103,632
	69,500	Tencent Holdings Ltd		2,869,344
	5,000	Tencent Holdings Ltd ADR		206,350
	245,000	Texhong Textile Group Ltd		206,012
	646,000	Tianjin Port Development Holdings Ltd		55,927
	2,312,000	Tianneng Power International Ltd		1,821,766
	978,000	Times China Holdings Ltd		1,486,687
	132,999	Weichai Power Co Ltd – Class A		215,708
	1,993,000	Weichai Power Co Ltd – Class H		3,041,335
	143,199	Weifu High-Technology Group Co Ltd – Class A		338,872
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		365,209
	2,048,000	Xtep International Holdings Ltd		1,167,264
	32,400	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		154,414
	86,220	Youngor Group Co Ltd – Class A		74,663
	238,000	Yuexiu Property Co Ltd		51,190
	112,000	Yuexiu Transport Infrastructure Ltd		86,950
	1,700	Yum China Holdings Inc (a)		77,231

Shares		Description	Value ($)
		China — continued
	520,358	Yuzhou Properties Co Ltd		218,390
	356,000	Zhejiang Expressway Co Ltd – Class H		297,362
	67,502	Zhejiang Weixing New Building Materials Co Ltd – Class A		138,437
	43,599	Zhengzhou Yutong Bus Co Ltd – Class A		88,663
	24,000	Zhenro Properties Group Ltd.		14,682
		Total China		199,754,234
		Colombia — 0.0%
	129,114	Almacenes Exito SA		659,325
		Czech Republic — 0.0%
	47	Philip Morris CR AS		27,002
		Denmark — 0.1%
	10,818	Matas A/S		85,314
	12,157	Royal Unibrew A/S		1,053,651
	25,422	Scandinavian Tobacco Group A/S		292,721
		Total Denmark		1,431,686
		Finland — 0.2%
	3,573	Aktia Bank Oyj		32,414
	183,071	Neste Oyj (b)		5,774,650
	9,960	Tokmanni Group Corp		112,064
		Total Finland		5,919,128
		France — 2.1%
	3,147	AKWEL		56,566
	15,076	Alten SA		1,800,175
	16,660	BNP Paribas SA		750,964
	1,005	Bonduelle SCA		25,793
	1,384	Christian Dior SE		681,839
	6,434	Cie Generale des Etablissements Michelin SCA		677,367
	61,053	CNP Assurances		1,109,102
	21,078	Coface SA		248,946
	7,418	Dassault Systemes SE		1,045,966
	14,115	Gaztransport Et Technigaz SA		1,321,292
	1,517	Hermes International		1,035,944
	3,802	Interparfums SA		166,413
	1,258	Ipsen SA		132,229
	15,854	IPSOS(b)		427,248
	4,094	Kaufman & Broad SA		156,089
	62,569	L’Oreal SA(b)		17,084,840
	20,008	Lagardere SCA		426,162
	32,810	Metropole Television SA		563,748
	18,648	Neopost SA		378,948
	288,412	Peugeot SA		6,448,071
	6,283	Rothschild & Co		178,956
	22,858	Safran SA		3,319,936

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, 2019 (Unaudited)

Shares		Description	Value ($)
		France — continued
	167,261	Sanofi		14,368,998
	37,400	Sanofi ADR (b)		1,606,330
	223,800	STMicroelectronics NV – NY Shares		3,961,260
	76,016	Television Francaise 1		691,928
	675	Vilmorin & Cie SA		36,232
		Total France		58,701,342
		Germany — 1.1%
	1,668	adidas AG		494,248
	53,180	Allianz SE (Registered)		11,737,032
	1,083	Amadeus Fire AG		126,635
	45,036	Bayer AG (Registered)		3,347,244
	40,978	Bayerische Motoren Werke AG		2,740,622
	34,813	Borussia Dortmund GmbH & Co KGaA		375,413
	12,303	Carl Zeiss Meditec AG		1,421,797
	3,324	Cewe Stiftung & Co KGaA		300,212
	189,631	Deutsche Lufthansa AG (Registered)		2,922,842
	44,294	Deutsche Pfandbriefbank AG (b)		525,948
	738	Deutsche Telekom AG (Registered) (b)		12,321
	120,489	Deutz AG		703,506
	25,288	Dialog Semiconductor Plc *		1,197,971
	2,330	DWS Group GmbH & Co KGaA		67,464
	2,227	Eckert & Ziegler Strahlen- und Medizintechnik AG		388,418
	3,649	Elmos Semiconductor AG		99,467
	11,056	Hamburger Hafen und Logistik AG		267,447
	902	Henkel AG & Co KGaA		83,495
	14,910	Software AG (b)		402,155
	5,758	Takkt AG		72,969
	7,333	Talanx AG *		304,220
	18,413	Volkswagen AG		3,011,183
	1,599	Wacker Neuson SE		28,385
	654	Washtec AG		34,988
		Total Germany		30,665,982
		Greece — 0.0%
	12,055	FF Group * (d)		—
	4,273	Motor Oil Hellas Corinth Refineries SA		104,422
		Total Greece		104,422
		Hong Kong — 0.2%
	550,400	Champion (REIT)		370,298
	30,100	Dah Sing Banking Group Ltd		41,112
	24,000	Dah Sing Financial Holdings Ltd		88,045
	30,000	Kerry Logistics Network Ltd		46,381
	54,800	Luk Fook Holdings International Ltd		136,542

Shares		Description	Value ($)
		Hong Kong — continued
	968,900	SJM Holdings Ltd		913,204
	5,426,000	WH Group Ltd		4,348,195
	123,500	Wheelock & Co Ltd		716,338
	39,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		5,788
	26,500	Yue Yuen Industrial Holdings Ltd		67,738
		Total Hong Kong		6,733,641
		Hungary — 0.0%
	733,294	Magyar Telekom Telecommunications Plc		1,029,399
	8,578	MOL Hungarian Oil & Gas Plc		83,886
		Total Hungary		1,113,285
		India — 1.3%
	8,637	Asian Paints Ltd		196,011
	534,021	Aurobindo Pharma Ltd		4,509,603
	364,498	Balrampur Chini Mills Ltd		679,308
	29,418	Divi’s Laboratories Ltd		677,219
	6,655	Dr Reddy’s Laboratories Ltd		238,968
	27,900	Dr Reddy’s Laboratories Ltd ADR		997,425
	783,724	HCL Technologies Ltd		12,086,190
	7,968	HDFC Bank Ltd		249,541
	6,653	Hindustan Unilever Ltd		175,441
	8,484	Housing Development Finance Corp Ltd		257,583
	44,960	ICICI Bank Ltd		258,201
	36,519	Indiabulls Housing Finance Ltd		231,648
	253,096	Indian Oil Corp Ltd		433,685
	212,200	Infosys Ltd Sponsored ADR (a)		2,438,178
	8,954	ITC Ltd		30,815
	97,185	Just Dial Ltd *		977,255
	12,917	Kotak Mahindra Bank Ltd		259,713
	11,327	Larsen & Toubro Infotech Ltd		257,618
	94,176	Mphasis Ltd		1,285,595
	51,338	NIIT Technologies Ltd		1,071,706
	46,457	Oil & Natural Gas Corp Ltd		78,875
	400,540	PC Jeweller Ltd		187,439
	1,918,447	Power Finance Corp Ltd *		2,831,448
	725,397	PTC India Ltd		572,338
	2,443,816	REC Ltd		4,963,120
	39,108	Sonata Software Ltd		169,396
	74,511	Tech Mahindra Ltd		726,020
	10,508	Titan Co Ltd		162,461
	22,302	Wipro Ltd		79,407
		Total India		37,082,207
		Indonesia — 0.0%
	1,018,300	Bukit Asam Persero Tbk PT		176,943
	497,700	Indo Tambangraya Megah Tbk PT		455,096
	1,112,400	Mitra Pinasthika Mustika Tbk PT		49,725
	999,700	Panin Financial Tbk PT *		21,413

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	794,000	Ramayana Lestari Sentosa Tbk PT		67,693
		Total Indonesia		770,870
		Ireland — 0.0%
	26,300	CRH Plc Sponsored ADR		884,206
		Israel — 0.0%
	5,581	AudioCodes Ltd		97,278
	8,692	Discount Investment Corp Ltd (Registered)		12,890
	2,045	Fox Wizel Ltd		62,108
	1,340	Israel Corp Ltd (The)		258,664
	794,563	Oil Refineries Ltd *		393,796
		Total Israel		824,736
		Italy — 1.0%
	31,247	ACEA SPA		608,217
	4,657	ASTM SPA		143,723
	33,876	Banca Mediolanum SPA		246,411
	93,324	Cofide SPA		46,382
	4,091	El.En. SPA		81,340
	48,170	Enav SPA		272,335
	1,436,257	Enel SPA		10,419,737
	136,791	EXOR NV		9,293,560
	115,200	Fiat Chrysler Automobiles NV (b)		1,513,728
	8,732	Fiera Milano SPA		39,859
	32,319	Hera SPA		129,036
	442,429	Iren SPA		1,202,793
	6,421	La Doria SPA		55,140
	10,418	Leonardo SPA		128,011
	7,006	MARR SPA		152,407
	54,867	Mediobanca Banca di Credito Finanziario SPA		545,285
	320,815	Saras SPA		499,428
	46,870	Snam SPA		237,698
	63,704	Societa Cattolica di Assicurazioni SC		519,602
	3,642	Unieuro SPA		46,657
	128,603	Unipol Gruppo SPA		649,335
	369,551	UnipolSai Assicurazioni SPA (a)		939,622
		Total Italy		27,770,306
		Japan — 4.4%
	16,000	AOKI Holdings Inc (a) (b)		156,412
	767,600	Asahi Kasei Corp (b)		6,934,557
	5,800	Asahi Yukizai Corp		67,300
	946,100	Astellas Pharma Inc (b)		13,059,469
	45,200	Bandai Namco Holdings Inc		2,655,843
	199,200	Brother Industries Ltd		3,443,797
	6,000	Cawachi Ltd		113,924
	5,500	Central Glass Co Ltd		113,932
	52,600	Daicel Corp		405,863

Shares		Description	Value ($)
		Japan — continued
	10,500	Daiwabo Holdings Co Ltd		408,051
	1,560	Denka Co Ltd		40,619
	26,000	DTS Corp		542,133
	8,200	Ehime Bank Ltd (The)		85,276
	15,300	Elecom Co Ltd		600,829
	87,700	Fancl Corp		2,125,891
	55,600	Fuji Electric Co Ltd		1,582,107
	17,300	Fuji Media Holdings Inc		224,114
	1,800	Fujicco Co Ltd		32,274
	114,500	FUJIFILM Holdings Corp (b)		4,897,207
	11,700	Fujitsu Ltd		902,285
	200	Fukuyama Transporting Co Ltd		6,927
	8,700	Furuno Electric Co Ltd		72,374
	2,200	G-7 Holdings Inc		61,498
	55,500	Hakuhodo DY Holdings Inc		818,374
	5,260	Hanwa Co Ltd (b)		141,608
	2,600	Heiwado Co Ltd		48,115
	320,500	Hitachi Ltd		10,933,001
	360,300	Honda Motor Co Ltd		8,537,234
	500	Hosokawa Micron Corp		17,453
	31,600	House Foods Group Inc		1,203,571
	5,400	Infocom Corp		129,044
	91,600	Isuzu Motors Ltd		983,739
	431,600	ITOCHU Corp		8,598,583
	5,400	Itochu Enex Co Ltd		41,211
	3,600	Itochu Techno-Solutions Corp		99,075
	7,900	Jeol Ltd		173,538
	7,300	Kajima Corp		88,735
	58,700	Kanematsu Corp		666,568
	144,000	KDDI Corp		3,835,558
	13,500	Keihin Corp		184,022
	410,574	Konica Minolta Inc		2,915,710
	48,200	MCJ Co Ltd		306,256
	1,339,700	Mitsubishi Chemical Holdings Corp		9,182,882
	28,700	Mitsubishi Electric Corp (b)		345,445
	44,700	Mitsubishi Gas Chemical Co Inc		536,716
	9,300	Mitsui Chemicals Inc (b)		198,407
	6,000	Mitsui Sugar Co Ltd		122,870
	23,200	NEC Corp		993,014
	9,700	Nichias Corp		160,989
	10,700	Nichiha Corp		271,274
	12,300	Nippo Corp		218,412
	4,500	Nippon Flour Mills Co Ltd		70,123
	3,200	Nippon Soda Co Ltd		73,448
	318,900	Nippon Telegraph & Telephone Corp		15,287,380
	3,900	Nissin Electric Co Ltd		46,030
	8,300	Obayashi Corp		76,384
	7,300	Osaki Electric Co Ltd		45,362
	9,900	Prima Meat Packers Ltd		195,609
	1,900	Rion Co Ltd		40,026
	24,500	Rohto Pharmaceutical Co Ltd		606,946

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	6,600	Roland DG Corp		121,406
	1,900	Ryobi Ltd		28,506
	7,200	Seiko Holdings Corp		151,072
	68,700	Sekisui Chemical Co Ltd (b)		988,347
	46,500	Shionogi & Co Ltd (b)		2,488,931
	28,800	Showa Corp		368,003
	1,563,600	Sojitz Corp		4,763,130
	1,534,900	Sumitomo Chemical Co Ltd		6,706,938
	28,200	T-Gaia Corp		565,935
	9,600	Teijin Ltd		172,377
	12,100	Tokyu Construction Co Ltd		83,393
	2,700	Tomy Co Ltd		28,117
	1,100	Toshiba TEC Corp		31,889
	18,600	Tosoh Corp		238,371
	3,300	Towa Pharmaceutical Co Ltd		75,534
	6,400	TPR Co Ltd		98,981
	32,100	TS Tech Co Ltd (b)		879,940
	7,500	UKC Holdings Corp		118,629
	9,900	Wacoal Holdings Corp		230,691
	4,900	YAMABIKO Corp		47,466
	2,200	Yamaya Corp		46,575
	12,300	Yuasa Trading Co Ltd		338,538
		Total Japan		125,298,163
		Luxembourg — 0.0%
	1,700	Ternium SA Sponsored ADR		30,022
		Malaysia — 0.1%
	113,200	AMMB Holdings Berhad		112,913
	77,400	Bermaz Auto Berhad		41,937
	832,600	DRB-Hicom Berhad		497,758
	51,400	IOI Properties Group Berhad		14,520
	314,600	Magnum Berhad		212,266
	50,200	MISC Bhd		86,593
	19,400	PPB Group Bhd		85,992
	2,470,600	Supermax Corp Berhad		873,271
	92,500	Syarikat Takaful Malaysia Keluarga Berhad		126,583
		Total Malaysia		2,051,833
		Mexico — 0.6%
	10,400	Banco del Bajio SA		17,306
	18,400	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		23,384
	5,500	Bolsa Mexicana de Valores SAB de CV		10,173
	10,200	Corp Inmobiliaria Vesta SAB de CV		15,879
	75,100	El Puerto de Liverpool SAB de CV – Class C1		389,562
	59,400	Fibra Uno Administracion SA de CV (REIT)		82,247

Shares		Description	Value ($)
		Mexico — continued
	202,100	Gentera SAB de CV		150,454
	8,000	Grupo Aeroportuario del Centro Norte SAB de CV		47,042
	400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		18,712
	5,800	Grupo Aeroportuario del Pacifico SAB de CV – Class B		55,136
	500	Grupo Aeroportuario del Sureste SAB de CV ADR		73,695
	50,000	Grupo Financiero Banorte SAB de CV – Class O		269,790
	26,800	Grupo Financiero Inbursa SAB de CV – Class O		33,030
	127,942	Grupo Herdez SAB de CV		266,909
	94,100	Megacable Holdings SAB de CV CPO		385,011
	210,800	Nemak SAB de CV		98,240
	5,220	Promotora y Operadora de Infraestructura SAB de CV		43,570
	13,700	Qualitas Controladora SAB de CV		46,026
	4,600	Regional SAB de CV		20,799
	12,000	Unifin Financiera SAB de CV SOFOM ENR		21,100
	5,183,038	Wal-Mart de Mexico SAB de CV		14,704,864
		Total Mexico		16,772,929
		Netherlands — 1.3%
	123,927	ABN AMRO Group NV CVA		2,197,872
	68,022	ASR Nederland NV		2,378,587
	4,500	Coca-Cola European Partners Plc (a)		253,530
	6,372	Flow Traders		171,071
	34,666	Heineken Holding NV		3,430,775
	581,863	ING Groep NV		5,558,929
	7,679	Intertrust NV		159,503
	386,693	Koninklijke Ahold Delhaize NV		9,058,435
	3,718	Koninklijke Philips NV		175,245
	9,693	Randstad NV		452,591
	99,049	Signify NV (b)		2,898,334
	138,966	Wolters Kluwer NV		10,003,562
		Total Netherlands		36,738,434
		New Zealand — 0.0%
	573,546	Air New Zealand Ltd		1,035,379
	16,081	Synlait Milk Ltd *		95,200
		Total New Zealand		1,130,579
		Norway — 0.5%
	2,074	Aker ASA – A Shares		106,134
	37,309	Aker Solutions ASA *		111,158
	108,436	Austevoll Seafood ASA		1,112,804
	3,484	Bakkafrost P/F (b)		204,745
	288,861	DNB ASA		4,653,627
	54,070	Elkem ASA		136,248

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	153,792	Equinor ASA		2,622,629
	19,719	Grieg Seafood ASA		241,844
	50,979	Kvaerner ASA		66,069
	125,509	Leroy Seafood Group ASA		822,464
	31,328	Salmar ASA		1,486,244
	19,399	SpareBank 1 Nord Norge		144,534
	81,076	SpareBank 1 SR-Bank ASA		840,405
		Total Norway		12,548,905
		Pakistan — 0.0%
	14,410	Engro Corp Ltd		23,455
	58,500	Engro Fertilizers Ltd		24,606
	14,250	Lucky Cement Ltd		31,871
	44,200	Nishat Mills Ltd		20,430
	168,500	Oil & Gas Development Co Ltd		112,553
	12,520	Pakistan Oilfields Ltd		29,503
	10,800	United Bank Ltd		8,938
		Total Pakistan		251,356
		Peru — 0.0%
	800	Credicorp Ltd		165,696
		Philippines — 0.0%
	15,825	Globe Telecom Inc		617,119
	26,710	Manila Electric Co		187,258
	433,000	Megaworld Corp		42,656
	1,228,185	Nickel Asia Corp		64,608
	38,285	Pilipinas Shell Petroleum Corp		23,092
	95,250	Semirara Mining & Power Corp		42,443
		Total Philippines		977,176
		Poland — 0.3%
	2,358	Alior Bank SA *		23,937
	108,611	Asseco Poland SA		1,525,224
	23,456	Bank Polska Kasa Opieki SA		574,154
	2,441	Budimex SA *		80,368
	3,910	Ciech SA		35,349
	161,572	Energa SA *		268,400
	12,043	Grupa Lotos SA *		260,071
	389	KRUK SA		16,212
	1,456	Lubelski Wegiel Bogdanka SA		14,085
	60,052	Orange Polska SA *		96,165
	40,592	PLAY Communications SA		350,663
	48,056	Polski Koncern Naftowy ORLEN SA		1,093,366
	428,637	Polskie Gornictwo Naftowe i Gazownictwo SA		510,659
	131,660	Powszechna Kasa Oszczednosci Bank Polski SA		1,295,463
	243,824	Powszechny Zaklad Ubezpieczen SA		2,288,077
	1,033	Santander Bank Polska SA		79,105
	684	Stalprodukt SA		35,198

Shares		Description	Value ($)
		Poland — continued
	4,357	Warsaw Stock Exchange		43,041
		Total Poland		8,589,537
		Portugal — 0.3%
	93,028	Altri SGPS SA		588,192
	3,276	EDP Renovaveis SA		36,103
	843,479	EDP – Energias de Portugal SA		3,188,186
	309,387	Galp Energia SGPS SA		4,446,418
	31,099	Navigator Co SA (The)		105,035
	94,847	NOS SGPS SA		556,932
	31,671	REN – Redes Energeticas Nacionais SGPS SA		88,783
	2,970	Semapa-Sociedade de Investimento e Gestao		39,357
	715,572	Sonae SGPS SA		649,402
		Total Portugal		9,698,408
		Qatar — 0.1%
	165,390	Barwa Real Estate Co		154,412
	80,410	Doha Bank QPSC		57,418
	46,860	Ezdan Holding Group QSC *		7,810
	56,233	Gulf International Services QSC *		24,115
	6,837	Industries Qatar QSC		20,415
	10,360	Qatar Electricity & Water Co QSC		42,928
	162,751	Qatar Gas Transport Co Ltd		106,364
	38,200	Qatar Insurance Co SAQ		32,840
	32,570	Qatar International Islamic Bank QSC		69,238
	6,770	Qatar Islamic Bank SAQ		29,349
	135,394	Qatar National Bank QPSC		712,076
	32,000	Qatar National Cement Co QSC		50,160
	7,382	Qatar Navigation QSC		12,269
		Total Qatar		1,319,394
		Russia — 2.2%
	949,170	Alrosa PJSC		1,056,743
	5,186,000	ENEL RUSSIA PJSC		71,473
	18,270,000	Federal Grid Co Unified Energy System PJSC		48,617
	188,080	Gazprom Neft PJSC		1,163,191
	1,941	Gazprom Neft PJSC Sponsored ADR		60,219
	2,932,908	Gazprom PJSC Sponsored ADR		20,306,458
	18,080	Globaltrans Investment Plc Sponsored GDR (Registered)		158,793
	22,269,000	Inter RAO UES PJSC		1,432,535
	1,047	LSR Group PJSC		11,987
	117,814	LUKOIL PJSC Sponsored ADR		9,496,516
	22,990	M.Video PJSC *		159,689
	8,513	Magnit PJSC Sponsored GDR (Registered)		112,871
	1,475,300	Magnitogorsk Iron & Steel Works PJSC		925,678

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	14,100	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		115,162
	83,959	MMC Norilsk Nickel PJSC ADR		2,038,410
	7,200	Mobile TeleSystems PJSC Sponsored ADR		57,816
	415,720	Moscow Exchange MICEX-RTS PJSC		589,669
	3,410	Novatek PJSC		65,853
	8,685	Novatek PJSC Sponsered GDR (Registered)		1,686,487
	61,350	Novolipetsk Steel PJSC		136,885
	158,368	Novolipetsk Steel PJSC GDR		3,526,672
	5,058	PhosAgro PJSC GDR (Registered)		65,518
	9,698	Polymetal International Plc		139,414
	4,607	Polyus PJSC GDR (Registered)		262,935
	13,600	QIWI Plc Sponsored ADR		330,480
	13,680	Raspadskaya OJSC *		25,788
	33,442,000	ROSSETI PJSC		587,999
	164,200	Rostelecom PJSC		199,435
	3,772	Rostelecom PJSC Sponsored ADR		27,502
	11,054,000	RusHydro PJSC		90,956
	5,210	Safmar Financial Investment		38,190
	1,012,180	Sberbank of Russia PJSC Sponsored ADR		13,892,207
	1,890	Severstal PJSC		28,417
	39,772	Severstal PJSC GDR (Registered)		595,062
	568,000	Surgutneftegas PJSC		233,614
	8,454	Surgutneftegas PJSC Sponsored ADR		34,835
	37,760	Tatneft PJSC		420,899
	32,439	Tatneft PJSC Sponsored ADR		2,162,294
	9,996	TCS Group Holding Plc GDR (Registered)		186,070
	420,000	Unipro PJSC		17,127
	7,200	Yandex NV – Class A * (a)		267,120
		Total Russia		62,827,586
		Singapore — 0.4%
	94,000	Accordia Golf Trust		35,863
	528,900	CapitaLand Ltd		1,321,780
	58,200	China Sunsine Chemical Holdings Ltd		43,117
	508,900	ComfortDelGro Corp Ltd		897,681
	165,100	DBS Group Holdings Ltd		2,911,223
	41,100	Frasers Centrepoint Trust (REIT)		81,402
	286,300	Frasers Logistics & Industrial Trust (REIT)		251,536
	284,400	Japfa Ltd		95,131
	20,500	Jardine Cycle & Carriage Ltd		455,360
	473,800	Mapletree Greater China Commercial Trust (REIT)		450,194
	75,400	Mapletree Industrial Trust (REIT)		125,425
	375,700	Mapletree Logistics Trust (REIT)		424,996
	29,000	Parkway Life Real Estate Investment Trust (REIT)		64,564
	17,800	Singapore Airlines Ltd		113,274

Shares		Description	Value ($)
		Singapore — continued
	72,600	Singapore Exchange Ltd		428,583
	194,100	Singapore Technologies Engineering Ltd		550,142
	44,600	Venture Corp Ltd		486,046
	3,229,099	Yangzijiang Shipbuilding Holdings Ltd		2,111,278
	311,200	Yanlord Land Group Ltd		246,228
		Total Singapore		11,093,823
		South Africa — 1.2%
	1,035,888	Absa Group Ltd		10,488,370
	5,264	Anglo American Platinum Ltd		322,447
	63,248	Astral Foods Ltd		662,707
	59,314	Barloworld Ltd		434,454
	2,431	BID Corp Ltd		52,011
	1,088,248	Blue Label Telecoms Ltd *		198,807
	7,112	Capitec Bank Holdings Ltd		513,228
	2,500	Clicks Group Ltd		32,812
	11,889	Coronation Fund Managers Ltd		33,363
	81,255	Delta Property Fund Ltd (REIT)		5,904
	11,202	Discovery Ltd		84,987
	70,955	Emira Property Fund Ltd (REIT)		59,855
	14,137	Fortress REIT Ltd – Class B		10,073
	15,845	Foschini Group Ltd (The)		157,162
	306,821	Growthpoint Properties Ltd (REIT)		464,757
	12,695	Hyprop Investments Ltd (REIT)		55,079
	16,939	Investec Ltd		89,594
	37,200	Invicta Holdings Ltd		46,717
	1,647	JSE Ltd		14,033
	147,896	Kumba Iron Ore Ltd		3,836,719
	13,918	Lewis Group Ltd		28,867
	320,878	Liberty Holdings Ltd		2,321,225
	1,434,339	Merafe Resources Ltd		85,105
	33,464	Metair Investments Ltd		48,655
	219,427	Momentum Metropolitan Holdings		238,458
	110,105	Motus Holdings Ltd		543,126
	57,167	Mr Price Group Ltd		646,527
	9,689	MultiChoice Group Ltd *		85,237
	373,979	Murray & Roberts Holdings Ltd		308,460
	338,250	Nedbank Group Ltd		5,043,273
	4,247	NEPI Rockcastle Plc		37,672
	150,602	Old Mutual Ltd		180,331
	78,980	Pepkor Holdings Ltd		86,696
	2,904	PSG Group Ltd		38,360
	19,313	Rand Merchant Investment Holdings Ltd		37,775
	99,539	Raubex Group Ltd		119,152
	194,589	Redefine Properties Ltd (REIT)		100,779
	243,187	Reunert Ltd		1,031,171
	89,270	RMB Holdings Ltd		420,474
	63,788	Sanlam Ltd		305,991
	1,864	Santam Ltd		34,972
	30,427	Sappi Ltd		90,717

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, 2019 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	64,409	Standard Bank Group Ltd		753,610
	739,203	Telkom SA SOC Ltd		3,886,407
	220,758	Truworths International Ltd		767,989
	90,743	Tsogo Sun Gaming Ltd		82,674
	33,277	Wilson Bayly Holmes-Ovcon Ltd		219,740
	26,502	Woolworths Holdings Ltd		96,421
		Total South Africa		35,202,943
		South Korea — 2.4%
	27,827	Aekyung Petrochemical Co Ltd		165,086
	22,583	Aju Capital Co Ltd		194,969
	24,373	Cheil Worldwide Inc		531,765
	332	Cuckoo Holdings Co Ltd		28,750
	769	Daelim Industrial Co Ltd		62,076
	7,682	DB Insurance Co Ltd		304,142
	3,636	DGB Financial Group Inc		20,697
	21,573	Dongwha Pharm Co Ltd		146,685
	24,043	Dongwon Development Co Ltd		82,592
	1,937	GOLFZON Co Ltd		106,390
	5,443	GS Home Shopping Inc		718,211
	357,046	Hana Financial Group Inc		9,590,797
	2,492	Hankook Technology Group Co Ltd		30,379
	6,813	Hansae Yes24 Holdings Co Ltd		40,080
	11,932	Huons Co Ltd		448,608
	10,879	Hyundai Home Shopping Network Corp		837,056
	5,321	Hyundai Hy Communications & Network Co Ltd		16,414
	2,092	Hyundai Marine & Fire Insurance Co Ltd		41,339
	31,501	Hyundai Motor Co		3,348,385
	4,270	Il Dong Pharmaceutical Co Ltd		56,665
	589,811	Industrial Bank of Korea		6,042,267
	7,828	JB Financial Group Co Ltd		35,504
	64,126	KB Financial Group Inc		2,095,192
	200	KB Financial Group Inc ADR		6,502
	389,268	Kia Motors Corp		14,051,004
	11,280	Korea Asset In Trust Co Ltd		31,655
	25,988	Korea Autoglass Corp		377,896
	7,637	KT Hitel Co Ltd *		38,821
	5,621	KT Skylife Co Ltd		43,243
	3,224	Kyobo Securities Co Ltd		25,396
	42,469	LF Corp		676,781
	3,619	LG Corp		212,894
	22,463	LG Electronics Inc		1,137,814
	10,988	LOTTE Himart Co Ltd		284,221
	4,095	Meritz Fire & Marine Insurance Co Ltd		60,690
	22,873	Mirae Asset Life Insurance Co Ltd		77,953
	2,709	Orange Life Insurance Ltd		60,318
	2,043	POSCO		356,310
	28,512	Samjin Pharmaceutical Co Ltd		634,614
	59,193	Samsung Electronics Co Ltd		2,155,156
	6,418	Sebang Global Battery Co Ltd		203,274

Shares		Description	Value ($)
		South Korea — continued
	298,802	Shinhan Financial Group Co Ltd		10,057,752
	10,940	SK Holdings Co Ltd		1,809,009
	41,652	SK Hynix Inc		2,667,422
	271,900	SK Telecom Co Ltd Sponsored ADR		5,954,610
	16,122	SL Corp		286,952
	164,775	Woori Financial Group Inc		1,621,445
		Total South Korea		67,775,781
		Spain — 1.4%
	103,698	ACS Actividades de Construccion y Servicios SA		3,924,095
	32,844	Aena SME SA (b)		5,930,227
	38,878	Almirall SA		741,072
	26,856	Cia de Distribucion Integral Logista Holdings SA		527,521
	20,030	Enagas SA		436,115
	402,379	Endesa SA		10,341,490
	1,043,391	Iberdrola SA		10,740,674
	1,295,400	International Consolidated Airlines Group SA		6,645,311
	157,766	Mapfre SA		411,145
	13,831	Mediaset Espana Comunicacion SA		87,525
	6,476	Red Electrica Corp SA		128,604
		Total Spain		39,913,779
		Sweden — 0.8%
	105,331	Betsson AB *		509,296
	4,831	Bravida Holding AB		40,472
	11,765	Bufab AB		119,332
	5,973	Instalco Intressenter AB		56,548
	55,198	Klovern AB – B Shares		99,777
	4,438	KNOW IT AB		81,001
	39,146	Nobina AB		221,039
	42,407	Peab AB		347,945
	71,479	Resurs Holding AB		406,253
	242,256	Sandvik AB		3,479,559
	3,392	SkiStar AB		40,122
	345,445	Svenska Cellulosa AB SCA – Class B (a)		2,984,800
	54,990	Swedish Match AB		2,157,565
	5,157	Tethys Oil AB		41,270
	24,788	Volvo AB – A Shares		342,597
	855,141	Volvo AB – B Shares		11,834,307
		Total Sweden		22,761,883
		Switzerland — 0.9%
	3,840	ALSO Holding AG (Registered) *		548,162
	92	Bell Food Group AG (Registered) *		23,105
	7,645	BKW AG		499,371
	2,877	Bobst Group SA (Registered) (a)		140,078
	467	Coltene Holding AG (Registered) *		35,301

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	1,080	Feintool International Holding AG (Registered) *		59,597
	270	Georg Fischer AG (Registered)		221,925
	30	Gurit Holding AG		34,425
	5,637	Huber + Suhner AG (Registered)		362,315
	158	Inficon Holding AG (Registered)		99,347
	66	Interroll Holding AG (Registered)		122,550
	3,116	Kardex AG (Registered)		437,280
	739	Komax Holding AG (Registered) (a)		140,372
	1,932	Liechtensteinische Landesbank AG		120,678
	16,123	Mobilezone Holding AG (Registered) *		160,788
	13,767	Nestle SA (Registered)		1,547,058
	23,403	Novartis AG (Registered)		2,109,889
	2,116	Orior AG *		181,429
	12,593	Roche Holding AG		3,430,871
	53,661	Roche Holding AG – Genusschein		14,663,416
	14	Schweizerische Nationalbank (Registered)		75,806
		Total Switzerland		25,013,763
		Taiwan — 3.0%
	160,000	AcBel Polytech Inc		112,739
	32,000	Actron Technology Corp		96,630
	32,000	Advanced Wireless Semiconductor Co		68,292
	34,000	Advantech Co Ltd		288,932
	8,000	Amazing Microelectronic Corp		28,685
	28,000	Arcadyan Technology Corp		93,065
	1,000	ASPEED Technology Inc		24,481
	268,000	Asustek Computer Inc		1,739,106
	13,000	Aten International Co Ltd		34,595
	8,400	Aurora Corp		25,574
	226,000	Catcher Technology Co Ltd		1,583,980
	157,000	Cathay Financial Holding Co Ltd		200,605
	186,606	Chailease Holding Co Ltd		739,367
	6,000	Chaun-Choung Technology Corp		48,186
	269,000	Chicony Electronics Co Ltd		755,200
	110,000	Chin-Poon Industrial Co Ltd		111,795
	1,021,000	China Development Financial Holding Corp		295,318
	306,000	China Motor Corp		243,423
	61,000	Chipbond Technology Corp		121,560
	20,000	Chong Hong Construction Co Ltd		50,913
	7,000	Cleanaway Co Ltd		33,988
	243,000	Compal Electronics Inc		138,804
	1,608,000	Coretronic Corp		1,968,498
	1,352,000	CTBC Financial Holding Co Ltd		875,727
	18,000	CTCI Corp		25,093
	96,000	Cyberlink Corp		283,303
	52,700	Elan Microelectronics Corp		142,850
	12,000	Elite Advanced Laser Corp		21,830
	44,000	Elite Material Co Ltd		184,967
	172,000	Far Eastern Department Stores Ltd		129,533

Shares		Description	Value ($)
		Taiwan — continued
	97,000	Farglory Land Development Co Ltd		116,235
	454,500	Feng TAY Enterprise Co Ltd		2,959,538
	111,000	FLEXium Interconnect Inc		331,208
	56,000	Formosa Advanced Technologies Co Ltd		59,447
	76,000	Formosa Chemicals & Fibre Corp		213,052
	106,000	Formosa Petrochemical Corp		327,779
	103,000	Formosa Plastics Corp		308,436
	735,000	Formosa Taffeta Co Ltd		796,469
	396,000	Foxconn Technology Co Ltd		799,163
	56,000	Fubon Financial Holding Co Ltd		77,786
	22,000	Fusheng Precision Co Ltd		114,861
	10,000	Getac Technology Corp		15,071
	15,000	Giant Manufacturing Co Ltd		104,443
	1,382,000	Gigabyte Technology Co Ltd		2,322,591
	61,000	Global Mixed Mode Technology Inc		233,064
	73,000	Globalwafers Co Ltd		670,223
	2,647,000	Grand Pacific Petrochemical		1,562,102
	1,595,370	Great Wall Enterprise Co Ltd		1,873,180
	28,000	Hannstar Board Corp		34,990
	75,000	HannStar Display Corp		15,989
	152,000	Highwealth Construction Corp		239,453
	17,000	Hiroca Holdings Ltd		36,747
	70,000	Holiday Entertainment Co Ltd		153,962
	692,000	Holtek Semiconductor Inc		1,473,243
	12,000	Holy Stone Enterprise Co Ltd		34,799
	705,000	Hon Hai Precision Industry Co Ltd		1,664,186
	5,000	Hotai Motor Co Ltd		70,431
	56,000	Huaku Development Co Ltd		143,461
	100,000	IBF Financial Holdings Co Ltd		33,254
	74,700	IEI Integration Corp		86,098
	4,080	Innodisk Corp		16,518
	90,000	International Games System Co Ltd		1,084,678
	1,848,000	Inventec Corp		1,264,421
	23,000	Kindom Construction Corp		21,509
	6,000	Kingpak Technology Inc		24,829
	113,000	Kinpo Electronics		37,059
	727,000	Lite-On Semiconductor Corp		949,474
	155,000	Lite-On Technology Corp		246,571
	71,050	Makalot Industrial Co Ltd		418,274
	49,000	MediaTek Inc		573,169
	53,202	Mercuries Life Insurance Co Ltd *		17,786
	13,000	Merry Electronics Co Ltd		60,508
	10,000	Mirle Automation Corp		13,250
	2,024,266	Mitac Holdings Corp		1,778,280
	2,238,000	Nan Ya Plastics Corp		4,900,739
	34,000	Nantex Industry Co Ltd		35,293
	556,000	Nanya Technology Corp		1,245,191
	16,000	Nichidenbo Corp		24,160
	3,000	Nien Made Enterprise Co Ltd		26,241
	1,229,000	Novatek Microelectronics Corp		7,279,573

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	77,000	Nuvoton Technology Corp		124,698
	11,000	On-Bright Electronics Inc		62,446
	48,000	OptoTech Corp		35,334
	306,000	Phison Electronics Corp		2,813,356
	4,536,000	Pou Chen Corp		5,657,617
	21,000	Primax Electronics Ltd		39,472
	477,000	Qisda Corp		304,479
	355,000	Quanta Computer Inc		638,214
	2,014,000	Radiant Opto-Electronics Corp		7,273,693
	226,000	Realtek Semiconductor Corp		1,545,666
	66,600	Ruentex Development Co Ltd		90,198
	499,000	Ruentex Industries Ltd *		1,106,609
	76,000	Sampo Corp		42,457
	17,000	Sercomm Corp		44,646
	10,000	Shin Zu Shing Co Ltd		38,157
	80,000	Shinkong Insurance Co Ltd		95,452
	25,000	Sigurd Microelectronics Corp		26,493
	55,800	Simplo Technology Co Ltd		467,316
	11,000	Sinbon Electronics Co Ltd		48,119
	31,050	Sinmag Equipment Corp		102,961
	43,000	Sitronix Technology Corp		221,494
	85,000	Soft-World International Corp		197,884
	47,000	Standard Chemical & Pharmaceutical Co Ltd		48,093
	956,000	Sunplus Technology Co Ltd *		416,556
	27,000	Supreme Electronics Co Ltd		24,623
	109,500	Syncmold Enterprise Corp		273,012
	23,000	Taiflex Scientific Co Ltd		31,886
	55,000	Taiwan Paiho Ltd		146,898
	438,000	Taiwan PCB Techvest Co Ltd		515,907
	79,000	Taiwan Sakura Corp		106,702
	318,000	Taiwan Semiconductor Manufacturing Co Ltd		2,612,887
	54,800	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		2,336,124
	580,000	Taiwan Surface Mounting Technology Corp		1,371,103
	27,000	Teco Electric and Machinery Co Ltd		21,393
	16,000	Test Research Inc		24,489
	47,000	Tong Hsing Electronic Industries Ltd		178,779
	181,843	TOPBI International Holdings Ltd		564,944
	149,485	Topco Scientific Co Ltd		441,583
	103,000	Topkey Corp		507,240
	29,000	Transcend Information Inc *		60,820
	135,000	Tripod Technology Corp		487,538
	22,000	TXC Corp		27,902
	980,000	Uni-President Enterprises Corp		2,389,777
	56,600	United Integrated Services Co Ltd		279,264
	29,000	Wah Lee Industrial Corp		49,279
	1,774,000	Walsin Lihwa Corp		778,109
	36,000	Walsin Technology Corp		180,772

Shares		Description	Value ($)
		Taiwan — continued
	182,000	Wistron Corp		144,177
	10,000	Yageo Corp		72,142
	40,000	YC INOX Co Ltd		33,166
	1,000	Youngtek Electronics Corp		1,356
	4,051,000	Yuanta Financial Holding Co Ltd		2,327,235
	10,600	Yulon Finance Corp		37,094
	4,000	Yulon Nissan Motor Co Ltd		31,437
	102,000	Yungtay Engineering Co Ltd		210,750
	31,000	Zeng Hsing Industrial Co Ltd		130,604
	77,000	Zhen Ding Technology Holding Ltd		284,504
		Total Taiwan		85,480,729
		Thailand — 0.2%
	614,000	AP Thailand Pcl NVDR		146,203
	317,600	Com7 Pcl NVDR		269,125
	376,100	Mega Lifesciences Pcl NVDR		382,996
	147,500	Pruksa Holding Pcl NVDR		93,400
	1,176,900	PTT Global Chemical Pcl NVDR		2,041,436
	384,900	Siamgas & Petrochemicals Pcl NVDR		105,300
	149,700	Somboon Advance Technology Pcl NVDR		81,153
	204,800	Sri Trang Agro-Industry Pcl NVDR		71,374
	74,250	Supalai Pcl (Foreign Registered)		47,760
	69,175	Supalai Pcl NVDR		44,495
	389,700	Thai Beverage Pcl		252,335
	765,700	Thanachart Capital Pcl (Foreign Registered)		1,411,548
	496,800	Thanachart Capital Pcl NVDR		915,838
		Total Thailand		5,862,963
		Turkey — 0.7%
	906,073	Akbank TAS		1,077,003
	19,588	Aksa Akrilik Kimya Sanayii AS		29,010
	825,054	Dogan Sirketler Grubu Holding AS		187,432
	72,752	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		32,675
	2,204,744	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		447,566
	281,024	Enerjisa Enerji AS		284,422
	135,485	Enka Insaat ve Sanayi AS		134,869
	412,711	Eregli Demir ve Celik Fabrikalari TAS		455,018
	12,517	Ford Otomotiv Sanayi AS		126,376
	234,651	Haci Omer Sabanci Holding AS		353,922
	2,009,070	KOC Holding AS		6,045,009
	22,679	Kordsa Teknik Tekstil AS		45,757
	29,793	Koza Altin Isletmeleri AS *		350,076
	10,524	Mavi Giyim Sanayi Ve Ticaret AS – Class B		66,701
	5,302	Otokar Otomotiv Ve Savunma Sanayi AS		118,797
	112,494	Selcuk Ecza Deposu Ticaret ve Sanayi AS		94,679
	634,659	Soda Sanayii AS		601,529

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	74,247	TAV Havalimanlari Holding AS		301,102
	127,454	Tekfen Holding AS		453,960
	6,508	Tofas Turk Otomobil Fabrikasi AS		19,773
	222,304	Trakya Cam Sanayii AS		97,501
	40,088	Tupras-Turkiye Petrol Rafineriler AS		867,703
	1,692,039	Turkiye Garanti Bankasi AS		2,591,827
	384,207	Turkiye Halk Bankasi AS *		375,378
	3,746,482	Turkiye Is Bankasi – Class C		3,554,938
	1,011,006	Turkiye Sinai Kalkinma Bankasi AS		145,883
	18,023	Turkiye Sise ve Cam Fabrikalari AS		13,420
	893,434	Turkiye Vakiflar Bankasi TAO – Class D		714,138
	13,496	Vestel Beyaz Esya Sanayi ve Ticaret AS		35,079
	1,283,050	Yapi ve Kredi Bankasi AS *		505,827
		Total Turkey		20,127,370
		United Arab Emirates — 0.1%
	21,823	Abu Dhabi Commercial Bank PJSC		51,621
	83,756	Al Waha Capital PJSC		23,499
	82,272	DAMAC Properties Dubai Co PJSC *		21,399
	69,915	Dubai Islamic Bank PJSC		97,589
	857,612	Emaar Properties PJSC		1,157,935
	342,641	RAK Properties PJSC *		41,313
		Total United Arab Emirates		1,393,356
		United Kingdom — 3.4%
	541,604	3i Group Plc		7,240,436
	18,379	Ashmore Group Plc		101,254
	73,582	Ashtead Group Plc		2,042,801
	36,980	AstraZeneca Plc		3,303,107
	18,635	Auto Trader Group Plc		120,805
	39,728	AVEVA Group Plc		1,792,359
	748,096	Barratt Developments Plc		5,775,032
	79,686	Bellway Plc		2,819,801
	118,535	Berkeley Group Holdings Plc (The)		5,661,224
	40,741	Bovis Homes Group Plc		510,353
	178,371	BP Plc		1,086,325
	170,550	British American Tobacco Plc		5,982,606
	82,600	British American Tobacco Plc Sponsored ADR (a)		2,899,260
	84,504	Britvic Plc		893,882
	17,232	CMC Markets Plc		19,876
	67,471	Coca-Cola HBC AG *		2,244,898
	55,918	Computacenter Plc		908,624
	6,219	Dart Group Plc		56,974
	7,700	Diageo Plc Sponsored ADR		1,318,856
	53,692	Dunelm Group Plc		572,946
	199,274	Electrocomponents Plc		1,412,449
	13,850	EMIS Group Plc		187,228
	283,365	Evraz Plc		1,711,555

Shares		Description	Value ($)
		United Kingdom — continued
	526,939	Ferrexpo Plc		1,295,661
	23,509	Galliford Try Plc		167,897
	158,584	GlaxoSmithKline Plc		3,304,789
	30,500	GlaxoSmithKline Plc Sponsored ADR (a)		1,268,190
	7,965	Go-Ahead Group Plc (The)		201,818
	92,136	Greene King Plc		944,941
	21,097	Greggs Plc		543,242
	31,785	Halma Plc		762,341
	167,349	IG Group Holdings Plc		1,102,144
	113,023	Imperial Brands Plc		2,928,768
	52,250	Inchcape Plc		368,282
	42,168	Intermediate Capital Group Plc		688,560
	192,159	JD Sports Fashion Plc		1,448,310
	93,162	John Laing Group Plc		402,106
	17,655	Jupiter Fund Management Plc		73,592
	956,486	Legal & General Group Plc		2,562,617
	637,319	Lloyds Banking Group Plc		387,756
	21,385	Lookers Plc		12,105
	88,453	Meggitt Plc		667,585
	125,582	Mondi Plc (c)		2,449,277
	167,327	Mondi Plc (c)		3,263,786
	36,263	Moneysupermarket.com Group Plc		165,112
	47,136	Morgan Advanced Materials Plc		146,871
	1,701	Morgan Sindall Group Plc		24,605
	63,151	National Express Group Plc		326,485
	19,627	Next Plc		1,420,777
	7,700	Nomad Foods Ltd *		155,155
	13,694	Numis Corp Plc		39,516
	27,599	OneSavings Bank Plc		108,256
	53,565	Pagegroup Plc		273,475
	391,474	Persimmon Plc		9,089,867
	36,381	Pets at Home Group Plc		102,981
	104,407	Phoenix Group Holdings Plc		822,810
	116,286	Plus500 Ltd		965,249
	383,018	QinetiQ Group Plc		1,350,363
	29,779	Redrow Plc		200,613
	7,736	Royal Dutch Shell Plc – Class A		214,806
	7,500	Royal Dutch Shell Plc – Class B Sponsored ADR		418,200
	12,791	RPS Group Plc		21,114
	11,900	Smith & Nephew Plc Sponsored ADR		570,724
	25,606	Softcat Plc		325,183
	16,773	Spectris Plc		473,692
	179,263	Spirent Communications Plc		403,164
	27,030	SSP Group Plc		233,055
	34,983	Stock Spirits Group Plc		101,326
	363,195	Tate & Lyle Plc		3,183,223
	119,528	Taylor Wimpey Plc		212,733
	48,342	Vesuvius Plc		274,247
		Total United Kingdom		95,130,020

See accompanying notes to the financial statements. 35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — 5.4%
	6,900	1-800-Flowers.com, Inc. – Class A *		101,568
	9,300	AAR Corp.		399,528
	150,400	Abercrombie & Fitch Co. – Class A		2,198,848
	81,603	ACCO Brands Corp. (b)		756,460
	22,400	Acushnet Holdings Corp.		581,728
	54,900	ADTRAN, Inc.		563,823
	33,700	AG Mortgage Investment Trust, Inc. (REIT)		505,163
	1,800	Agilysys, Inc. *		49,050
	5,200	Alamo Group, Inc.		593,736
	400	Allied Motion Technologies, Inc.		12,884
	9,100	Alpha & Omega Semiconductor Ltd. *		107,198
	8,440	Ameresco, Inc. – Class A * (a)		121,536
	1,100	America’s Car-Mart, Inc. *		94,358
	200	American National Bankshares, Inc.		6,840
	4,100	American Public Education, Inc. *		99,343
	3,000	American Vanguard Corp.		42,510
	5,400	Apollo Investment Corp. (a)		88,290
	28,200	Arbor Realty Trust, Inc. (REIT) (a)		353,910
	88,400	Archrock, Inc.		858,364
	18,000	Ares Commercial Real Estate Corp. (REIT) (a)		269,820
	4,800	Argo Group International Holdings Ltd.		315,456
	12,800	Armstrong Flooring, Inc. *		86,656
	600	Arrow Financial Corp.		19,296
	32,300	Assertio Therapeutics, Inc. * (a)		46,512
	9,000	Associated Banc-Corp. (a)		173,160
	4,200	Atkore International Group, Inc. *		121,842
	61,400	Avaya Holdings Corp. *		866,968
	16,100	Avid Technology, Inc. * (a)		120,106
	42,400	AVX Corp.		574,520
	8,000	Axcelis Technologies, Inc. *		122,480
	3,400	BancFirst Corp.		182,818
	6,000	BankFinancial Corp.		69,960
	24,100	Banner Corp.		1,299,231
	800	Bar Harbor Bankshares		17,656
	4,700	Bassett Furniture Industries, Inc.		57,246
	817	BCB Bancorp, Inc.		10,098
	1,800	Bel Fuse, Inc. – Class B		19,800
	1,400	Belden, Inc. (a)		63,854
	47,900	Benchmark Electronics, Inc.		1,268,392
	62,200	Bloomin’ Brands, Inc.		1,122,088
	5,200	Bonanza Creek Energy, Inc. *		117,312
	48,800	Brady Corp. – Class A		2,303,848
	25,600	Braemar Hotels & Resorts, Inc. (REIT)		234,752
	27,300	Brightsphere Investment Group, Inc.		248,157
	4,500	Brinker International, Inc. (a)		171,000
	100	BRT Apartments Corp. (REIT)		1,448
	36,300	California Resources Corp. * (a)		355,377
	11,000	Camden National Corp.		456,060
	20,300	CareTrust REIT, Inc. (a)		482,937

Shares		Description	Value ($)
		United States — continued
	21,000	Carpenter Technology Corp. (a)		1,021,440
	15,000	Carrols Restaurant Group, Inc. *		109,500
	4,300	CBIZ, Inc. *		96,062
	30,400	Cedar Realty Trust, Inc. (REIT)		72,048
	14,600	Central Garden & Pet Co. *		385,732
	700	Central Garden & Pet Co. – Class A *		16,842
	2,100	Century Bancorp, Inc. – Class A		170,100
	9,500	Chatham Lodging Trust (REIT) (a)		157,605
	17,100	Cirrus Logic, Inc. *		917,244
	2,800	Citi Trends, Inc.		47,068
	4,000	Civista Bancshares, Inc.		81,720
	9,200	Clarus Corp.		101,292
	2,000	CNB Financial Corp.		52,880
	45,600	CNO Financial Group, Inc. (a)		660,288
	1,400	Collectors Universe, Inc. (a)		36,288
	4,400	Community Trust Bancorp, Inc.		171,160
	14,100	Computer Programs & Systems, Inc.		298,215
	23,500	Comtech Telecommunications Corp.		628,625
	1,590	Consolidated Water Co. Ltd. (a)		23,309
	25,200	Core-Mark Holding Co., Inc.		816,228
	90,200	CoreCivic, Inc. (REIT) (a)		1,528,890
	54,800	CorePoint Lodging, Inc. (REIT)		498,680
	3,715	CRA International, Inc.		144,476
	20,800	CSG Systems International, Inc. (a)		1,120,704
	3,000	CTS Corp.		85,590
	4,000	Daktronics, Inc.		28,920
	57,000	Dana, Inc. (a)		725,610
	241,100	Denbury Resources, Inc. * (a)		260,388
	44,400	Designer Brands, Inc. – Class A (b)		732,156
	24,200	DHI Group, Inc. *		87,846
	85,500	DiamondRock Hospitality Co. (REIT)		809,685
	19,700	Digi International, Inc. *		251,766
	18,100	Dime Community Bancshares, Inc. (a)		358,923
	1,100	Donegal Group, Inc. – Class A		15,873
	15,800	Donnelley Financial Solutions, Inc. *		167,954
	5,300	Dril-Quip, Inc. * (a)		243,005
	9,300	DSP Group, Inc. *		128,712
	8,700	Ducommun, Inc. *		358,266
	36,366	Dynex Capital, Inc. (REIT) (a)		513,488
	3,000	El Paso Electric Co.		200,100
	6,800	EMCOR Group, Inc.		594,592
	7,200	Employers Holdings, Inc.		310,536
	4,700	EnerSys (a)		263,200
	21,900	Ennis, Inc.		440,409
	49,334	Enova International, Inc. * (b)		1,179,083
	2,700	EnPro Industries, Inc.		168,156
	1,800	Escalade, Inc.		18,594
	1,900	ESSA Bancorp, Inc. (a)		29,070
	46,200	Essent Group Ltd.		2,240,700
	36,200	Ethan Allen Interiors, Inc.		622,640
	12,700	Evolution Petroleum Corp.		75,184

36 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	5,600	Farmers National Banc Corp.		75,600
	2,300	Federal Agricultural Mortgage Corp. – Class C		189,405
	43,000	Federal Signal Corp.		1,277,530
	39,100	Federated Investors, Inc. – Class B (a)		1,252,764
	7,900	FedNat Holding Co.		96,617
	4,800	Financial Institutions, Inc.		139,488
	6,200	First Bancorp		218,364
	7,700	First Commonwealth Financial Corp.		95,249
	5,900	First Community Bankshares, Inc.		187,679
	17,000	First Defiance Financial Corp.		444,550
	4,800	First Financial Corp.		194,880
	1,800	First Financial Northwest, Inc.		24,696
	3,300	First of Long Island Corp. (The)		71,808
	54,700	Flagstar Bancorp, Inc. (a)		1,988,345
	200	Flexsteel Industries, Inc.		3,028
	7,000	Flushing Financial Corp.		135,030
	1,000	FONAR Corp. *		24,100
	3,300	FTI Consulting, Inc. * (a)		356,862
	164,900	Fulton Financial Corp. (a)		2,630,155
	14,200	FutureFuel Corp.		153,076
	27,200	G-III Apparel Group Ltd. * (a)		557,872
	173,000	Gannett Co., Inc. (a) (b)		1,819,960
	22,400	Genie Energy Ltd. – Class B (a)		160,384
	30,800	GEO Group, Inc. (The) (REIT) (b)		528,528
	7,800	Gorman-Rupp Co. (The)		232,986
	4,000	Great Southern Bancorp, Inc.		225,360
	15,900	Greif, Inc. – Class A		559,521
	30,400	Griffon Corp.		530,480
	19,200	Group 1 Automotive, Inc.		1,434,624
	7,000	Hackett Group, Inc. (The)		112,910
	900	Hallmark Financial Services, Inc. *		15,822
	27,700	Haverty Furniture Cos, Inc.		530,455
	500	Hawkins, Inc.		22,175
	1,100	Heidrick & Struggles International, Inc.		29,205
	7,300	Helix Energy Solutions Group, Inc. * (a)		52,852
	54,930	Herman Miller, Inc.		2,322,441
	32,600	Hersha Hospitality Trust (REIT)		453,140
	23,200	Hilltop Holdings, Inc. (a)		551,000
	500	Home Bancorp, Inc.		18,640
	4,100	HomeTrust Bancshares, Inc.		103,402
	1,600	Hurco Cos, Inc.		51,056
	11,600	Hyster-Yale Materials Handling, Inc. (a)		632,780
	8,000	ICF International, Inc.		677,280
	1,800	IDACORP, Inc. (a)		197,658
	400	Independence Holding Co.		14,808
	19,446	Independent Bank Corp.		377,836
	12,200	Information Services Group, Inc. *		32,452
	7,600	Ingles Markets, Inc. – Class A		295,488
	4,100	Innophos Holdings, Inc.		115,169
	14,705	Innospec, Inc.		1,223,162

Shares		Description	Value ($)
		United States — continued
	33,000	Insight Enterprises, Inc. *		1,585,980
	16,800	Inter Parfums, Inc.		1,080,072
	28,800	International Bancshares Corp. (b)		1,024,992
	9,900	INTL. FCStone, Inc. * (a)		388,179
	111,600	Invesco Mortgage Capital, Inc. (REIT)		1,677,348
	165,400	Investors Bancorp, Inc. (a)		1,835,940
	50,500	iStar, Inc. (REIT) (a)		646,400
	6,800	Johnson Outdoors, Inc. – Class A		380,800
	37,426	K12, Inc. * (b)		986,175
	9,400	Kelly Services, Inc. – Class A		227,574
	5,300	Kennametal, Inc. (a)		158,417
	10,100	Kimball Electronics, Inc. *		133,421
	14,200	Kimball International, Inc. – Class B		249,210
	30,300	Knoll, Inc.		698,718
	2,600	Kraton Corp. * (a)		71,344
	23,400	La-Z-Boy, Inc. (a)		745,758
	23,300	Lantheus Holdings, Inc. *		507,008
	95,500	Laredo Petroleum, Inc. * (a)		236,840
	69,100	Laureate Education, Inc. – Class A * (a)		1,264,530
	3,000	LCNB Corp.		50,310
	2,600	Leaf Group Ltd. *		10,868
	42,100	Liberty TripAdvisor Holdings, Inc. – Class A *		367,954
	8,900	M/I Homes, Inc. * (a)		321,646
	7,300	Macatawa Bank Corp.		72,197
	100,000	Mallinckrodt Plc * (a)		259,000
	15,400	Marchex, Inc. – Class B *		52,360
	26,900	Marcus Corp. (The) (b)		902,764
	1,308	Marlin Business Services Corp. (a)		28,292
	16,000	Materion Corp. (b)		941,440
	15,977	Matrix Service Co. *		317,463
	1,100	Mercantile Bank Corp.		33,847
	13,100	Meridian Bancorp, Inc.		228,988
	83,000	Meritor, Inc. * (a)		1,396,060
	600	MidWestOne Financial Group, Inc.		17,382
	5,000	Miller Industries, Inc.		156,450
	3,500	Minerals Technologies, Inc. (a)		168,700
	23,400	Modine Manufacturing Co. *		238,914
	2,700	Monarch Casino & Resort, Inc. *		119,826
	34,400	Monotype Imaging Holdings, Inc. *		679,400
	27,000	Moog, Inc. – Class A		2,193,750
	28,500	Movado Group, Inc.		613,320
	2,200	MTS Systems Corp.		125,114
	23,300	Mueller Industries, Inc. (a)		614,188
	2,200	MutualFirst Financial, Inc.		66,374
	4,300	Myriad Genetics, Inc. * (a)		101,179
	600	NACCO Industries, Inc. – Class A		29,868
	36,000	National CineMedia, Inc. (a)		295,200
	29,900	National General Holdings Corp.		705,042
	2,500	Natural Grocers by Vitamin Cottage, Inc. – Class C *		23,600

See accompanying notes to the financial statements. 37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	89,500	Newmark Group, Inc. – Class A (a)		776,860
	10,500	NIC, Inc.		218,610
	1,600	Nicolet Bankshares, Inc. *		101,408
	1,742	Northrim BanCorp, Inc.		63,060
	90,700	Northwest Bancshares, Inc.		1,433,967
	341,400	Office Depot, Inc.		443,820
	2,400	Office Properties Income Trust (REIT) (a)		65,064
	47,000	OFG Bancorp (a)		964,440
	200	Oil-Dri Corp. of America		6,152
	10,700	Olympic Steel, Inc.		115,025
	12,406	Oppenheimer Holdings, Inc. – Class A		344,391
	8,300	Oritani Financial Corp.		142,179
	500	Orrstown Financial Services, Inc.		10,670
	1,100	Otter Tail Corp.		55,682
	6,900	Outfront Media, Inc. (REIT)		189,612
	16,800	Owens-Illinois, Inc. (a)		170,856
	1,700	Park-Ohio Holdings Corp.		46,223
	10,400	PC Connection, Inc.		366,392
	6,200	PCM, Inc. *		217,062
	142,800	PDL BioPharma, Inc. * (a)		334,152
	400	Penns Woods Bancorp, Inc.		16,516
	38,300	PennyMac Financial Services, Inc. * (a)		1,133,297
	99,800	PennyMac Mortgage Investment Trust (REIT)		2,171,648
	5,000	Peoples Bancorp, Inc.		153,550
	9,000	Perspecta, Inc.		233,550
	29,100	Piedmont Office Realty Trust, Inc. – Class A (REIT) (a)		574,434
	3,100	Piper Jaffray Cos.		225,556
	51,000	Pitney Bowes, Inc.		181,560
	39,600	PNM Resources, Inc. (a)		2,019,996
	17,200	PolyOne Corp. (a)		550,572
	27,700	Popular, Inc. (b)		1,456,189
	42,100	Portland General Electric Co.		2,395,069
	400	Preformed Line Products Co.		20,500
	2,900	Premier Financial Bancorp, Inc.		44,950
	20,400	Prestige Consumer Healthcare, Inc. * (a)		650,352
	14,300	ProPetro Holding Corp. *		152,295
	6,100	Protagonist Therapeutics, Inc. *		79,483
	3,600	Protective Insurance Corp. – Class B (a)		58,320
	22,200	Provident Financial Services, Inc.		528,582
	1,600	QAD, Inc. – Class A		64,832
	10,800	Quanex Building Products Corp.		185,976
	55,100	Radian Group, Inc.		1,242,505
	63,700	Rambus, Inc. *		798,798
	6,200	Regis Corp. * (a)		100,254
	2,200	Renewable Energy Group, Inc. * (a)		26,774
	2,600	Republic Bancorp, Inc. – Class A		110,370
	16,100	Resources Connection, Inc.		266,455
	1,100	REX American Resources Corp. *		75,548
	19,100	Ribbon Communications, Inc. * (a)		98,747

Shares		Description	Value ($)
		United States — continued
	3,665	Riverview Bancorp, Inc.		25,838
	5,200	Rocky Brands, Inc.		151,528
	5,900	Rosetta Stone, Inc. * (a)		107,675
	16,900	RTI Surgical Holdings, Inc. * (a)		53,742
	12,900	Rudolph Technologies, Inc. * (b)		283,671
	10,600	Rush Enterprises, Inc. – Class A (a)		382,766
	5,100	Ryerson Holding Corp. *		35,037
	12,100	Sandy Spring Bancorp, Inc.		405,108
	70,500	Sanmina Corp. *		2,037,450
	4,900	ScanSource, Inc. *		138,474
	4,400	Scholastic Corp.		154,308
	17,600	Schweitzer-Mauduit International, Inc. (a)		590,304
	3,100	SEACOR Holdings, Inc. * (a)		145,607
	3,700	Seneca Foods Corp. – Class A * (a)		101,676
	30,600	Shoe Carnival, Inc.		940,644
	8,500	Sierra Bancorp		209,440
	6,500	Silgan Holdings, Inc. (a)		193,440
	2,500	SilverBow Resources, Inc. *		21,700
	25,900	Sonic Automotive, Inc. – Class A		696,969
	500	Southern Missouri Bancorp, Inc.		16,700
	1,200	Southern National Bancorp of Virginia, Inc.		17,544
	3,800	SP Plus Corp. *		131,138
	17,800	SpartanNash Co.		191,706
	3,000	Speedway Motorsports, Inc.		59,250
	41,200	Spok Holdings, Inc.		484,100
	23,500	SPX Corp. *		891,825
	2,700	Standard Motor Products, Inc.		119,637
	4,000	Star Group LP		36,800
	2,500	State Auto Financial Corp.		79,925
	65,600	Steelcase, Inc. – Class A (b)		1,018,768
	11,900	Stepan Co. (b)		1,135,141
	4,200	Stoneridge, Inc. * (b)		128,982
	58,300	Summit Hotel Properties, Inc. (REIT)		650,628
	2,600	SunCoke Energy, Inc. * (a)		16,224
	216,900	Sunstone Hotel Investors, Inc. (REIT)		2,850,066
	24,500	Sykes Enterprises, Inc. *		710,500
	4,100	Systemax, Inc. (a)		82,287
	32,400	Tech Data Corp. * (b)		3,004,452
	199,336	TEGNA, Inc. (b)		2,852,498
	14,600	Telenav, Inc. *		165,272
	64,200	Telephone & Data Systems, Inc. (b)		1,617,840
	4,500	Territorial Bancorp, Inc.		123,075
	700	Timberland Bancorp, Inc.		17,899
	22,000	Timken Co. (The) (b)		883,960
	22,400	Tower International, Inc. *		692,832
	16,200	Tredegar Corp. (a)		280,098
	19,700	Tribune Publishing Co.		150,705
	15,500	TriCo Bancshares		548,080
	2,000	Trinseo SA		70,180
	66	Triple-S Management Corp. – Class B *		1,354

38 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	23,400	TrustCo Bank Corp.		179,478
	10,200	Trustmark Corp. (a)		333,336
	1,200	Twin Disc, Inc. *		12,132
	7,800	UMB Financial Corp. (a)		486,096
	85,200	Unisys Corp. *		557,208
	5,200	United Community Financial Corp.		50,180
	1,254	United Security Bancshares		13,017
	1,500	Unitil Corp.		90,555
	24,200	Universal Corp. (a)		1,211,452
	20,800	Universal Forest Products, Inc.		813,280
	6,600	Univest Financial Corp.		167,046
	3,800	Varex Imaging Corp. * (a)		100,130
	10,900	Vectrus, Inc. *		441,014
	27,800	Vera Bradley, Inc. * (a)		294,402
	1,600	Verint Systems, Inc. *		85,264
	9,000	Veritiv Corp. * (a)		149,040
	38,700	Verso Corp. – Class A *		395,127
	3,200	Village Super Market, Inc. – Class A		79,904
	72,300	Vishay Intertechnology, Inc. (a) (b)		1,144,509
	7,653	Vishay Precision Group, Inc. *		239,156
	223,700	W&T Offshore, Inc. * (a)		979,806
	16,200	Walker & Dunlop, Inc.		904,932
	55,900	Warrior Met Coal, Inc.		1,168,310
	28,100	Washington Federal, Inc.		1,000,360
	10,600	Waterstone Financial, Inc.		175,854
	5,500	Watts Water Technologies, Inc. – Class A		503,965
	10,700	Weis Markets, Inc. (a)		409,061
	2,100	West Bancorporation, Inc.		43,764
	14,500	Western Asset Mortgage Capital Corp. (REIT)		136,300
	3,800	Westwood Holdings Group, Inc.		104,310
	3,900	Weyco Group, Inc.		95,667
	500	Willis Lease Finance Corp. *		30,885
	60,700	World Fuel Services Corp. (b)		2,330,880
	3,800	Worthington Industries, Inc.		131,860
	116,504	Xenia Hotels & Resorts, Inc. (REIT) (a)		2,354,546
	29,300	Xperi Corp.		536,776
	27,700	Zumiez, Inc. *		719,646
		Total United States		153,126,097
		TOTAL COMMON STOCKS (COST $1,400,225,690)		1,333,126,370
		PREFERRED STOCKS (e) — 0.8%
		Brazil — 0.2%
	181,600	Banco do Estado do Rio Grande do Sul SA – Class B		992,419
	19,300	Braskem SA – Class A *		131,525
	36,400	Cia Paranaense de Energia – Class B		457,967
	20,300	Companhia de Transmissao de Energia Eletrica Paulista		121,575

Shares		Description	Value ($)
		Brazil — continued
	220,100	Telefonica Brasil SA		2,852,636
		Total Brazil		4,556,122
		Colombia — 0.0%
	2,263	Banco Davivienda SA		27,372
	59,576	Grupo Aval Acciones y Valores SA		22,237
		Total Colombia		49,609
		Germany — 0.1%
	742	Draegerwerk AG & Co KGaA		35,375
	8,178	Henkel AG & Co KGaA		820,667
	3,684	Sixt SE		252,460
	2,210	Volkswagen AG		355,673
		Total Germany		1,464,175
		Russia — 0.1%
	100	AK Transneft PJSC		225,450
	7,754	Bashneft PJSC		182,399
	722,020	Sberbank of Russia PJSC		2,109,540
	3,804,300	Surgutneftegas PJSC		1,839,149
		Total Russia		4,356,538
		South Korea — 0.4%
	4,439	Hyundai Motor Co (c)		317,129
	3,054	Hyundai Motor Co (c)		191,938
	38,442	LG Electronics Inc		820,781
	316,358	Samsung Electronics Co Ltd		9,638,648
	1,331	Samsung Electronics Co Ltd GDR (Registered)		1,010,887
		Total South Korea		11,979,383
		Sweden — 0.0%
	2,374	Akelius Residential Property AB		84,310
		Taiwan — 0.0%
	14,463	CTBC Financial Holding Co Ltd		29,836
		TOTAL PREFERRED STOCKS (COST $22,254,299)		22,519,973
		INVESTMENT FUNDS — 0.2%
		United States — 0.2%
	89,832	iShares Core MSCI Emerging Markets ETF		4,336,191
		TOTAL INVESTMENT FUNDS (COST $4,304,039)		4,336,191

See accompanying notes to the financial statements. 39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 14.2%
		United States — 14.2%
		Asset-Backed Securities — 0.6%
	103,265	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.12%, due 11/02/30		103,311
	236,015	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/24/29		236,250
	241,705	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/25/29		241,701
	31,795	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.20%, due 07/15/30		31,802
	478,280	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/15/31		477,927
	217,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		216,997
	162,750	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.76%, due 05/15/30		162,749
	234,412	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.72%, due 11/17/27		234,410
	230,892	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.02%, due 07/26/31		230,889
	174,655	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.42%, due 01/18/25		174,835
	353,202	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.38%, due 04/25/26		353,256
	550,837	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.43%, due 07/20/25		550,874
	217,000	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/15/30		216,997
	680,482	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.15%, due 10/25/37		677,054
	377,624	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 3.00%, due 04/25/36		377,438

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	244,125	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.83%, due 04/20/30		244,122
	162,750	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		162,748
	171,172	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 01/17/28		171,170
	373,860	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.00%, due 07/15/31		373,854
	206,530	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/22/30		206,507
	154,897	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/18/30		154,891
	198,921	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.03%, due 10/24/30		198,933
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		51,435
	366,187	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		366,183
	209,224	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.47%, due 01/16/26		209,254
	152,165	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.76%, due 11/15/28		152,164
	642,000	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.08%, due 10/25/31		641,949
	59,377	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/15/30		59,411
	366,838	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.77%, due 05/16/31		366,814
	91,190	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.68%, due 05/25/26		91,109
	395,396	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 11/28/30		395,366
	190,225	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 01/18/31		190,212

40 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	289,142	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 01/27/31		289,118
	4,816	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.45%, due 04/15/25		4,817
	7,238	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.45%, due 04/15/25		7,239
	185,535	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.94%, due 02/05/31		185,533
	51,633	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 10/20/29		51,635
	322,245	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.85%, due 01/15/31		322,240
	103,265	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.20%, due 07/17/29		103,290
	161,312	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.45%, due 05/25/29		160,481
	601,999	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.59%, due 07/25/29		594,157
	309,225	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.98%, due 04/20/31		309,221
	397,537	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		397,532
	264,141	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/20/30		264,371
	121,332	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.52%, due 02/25/30		120,133
	344,943	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.70%, due 04/25/31		343,513
	1,000,899	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, due 06/25/37		989,518

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	499,100	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/19/30		499,079
	371,754	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.97%, due 01/16/31		370,767
	253,706	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		252,880
	826,147	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.38%, due 03/26/29		822,767
	3,036	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		3,036
	57,058	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/15/29		57,055
	86,145	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.10%, due 07/19/30		86,152
	259,611	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 01/25/31		259,608
	44,256	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.17%, due 08/16/29		44,264
	108,700	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 01/21/30		108,693
	113,591	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 10/22/30		113,586
	172,108	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 07/15/30		172,106
	286,002	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.33%, due 05/15/26		286,304
	578,667	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.05%, due 04/17/28		578,657
	520,456	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.05%, due 01/17/30		520,447

See accompanying notes to the financial statements. 41

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	25,769	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.18%, due 07/20/30		25,776
	185,877	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.74%, due 11/20/30		185,876
	527,775	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.90%, due 04/26/28		527,790
	256,519	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		255,922
	442,793	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.40%, due 05/25/47		443,866
	77,449	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.08%, due 07/20/30		77,445
	309,795	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 10/15/30		309,791
	154,612	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.93%, due 04/18/31		154,610
		Total Asset-Backed Securities		18,621,887
		U.S. Government — 13.6%
	20,143,461	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (f)		20,447,261
	17,436,977	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (f)		17,643,289
	65,746,000	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (f)		68,234,954
	54,601,633	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f)		56,038,735
	36,980,895	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f)		38,483,379
	79,265,622	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (b) (f)		90,623,691
	4,852,097	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (f)		5,188,471
	20,703,094	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (f)		22,406,003
	53,829,062	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (f)		66,256,557
		Total U.S. Government		385,322,340
		Total United States		403,944,227
		TOTAL DEBT OBLIGATIONS (COST $387,832,105)		403,944,227

Shares			Description	Value ($)
			MUTUAL FUNDS — 34.2%
			United States — 34.2%
			Affiliated Issuers — 34.2%
	4,793,741		GMO Emerging Country Debt Fund, Class IV		132,786,618
	10,901,952		GMO Emerging Markets Fund, Class VI		336,216,187
	6,961,636		GMO Opportunistic Income Fund, Class VI		186,154,147
	3,385,433		GMO Risk Premium Fund, Class VI		93,200,970
	4,010,772		GMO SGM Major Markets Fund, Class VI		125,015,775
	4,905,406		GMO Special Opportunities Fund, Class VI		94,772,441
	182,373		GMO U.S. Treasury Fund (g)		911,867
			TOTAL MUTUAL FUNDS (COST $935,970,583)		969,058,005
			SHORT-TERM INVESTMENTS — 4.8%
			Money Market Funds — 0.1%
	4,096,665		State Street Institutional Treasury Money Market Fund-Premier Class, 2.03% (h)		4,096,665
			Repurchase Agreements — 4.7%
	133,999,513		Nomura Securities International, Inc. Repurchase Agreement, dated 8/30/19, maturing on 09/03/19 with a maturity value of $134,031,226 and an effective yield of 2.13%, collateralized by a U.S. Treasury Note with maturity date 12/31/22 and a market value of $136,890,231.		133,999,513
			TOTAL SHORT-TERM INVESTMENTS (COST $138,096,178)		138,096,178
			TOTAL INVESTMENTS — 101.2% (Cost $2,888,682,894)		2,871,080,944
			SECURITIES SOLD SHORT — (1.2)%
			Common Stocks — (1.2)%
			Austria — (0.0)%
	(13,980	)	IMMOFINANZ AG		(391,106	)
	(1,601	)	Schoeller-Bleckmann Oilfield Equipment AG		(101,658	)
	(4,299	)	voestalpine AG		(98,988	)
			Total Austria		(591,752	)
			Brazil — (0.2)%
	(98,700	)	Pagseguro Digital Ltd. – Class A *		(4,931,052	)
	(11,700	)	StoneCo Ltd. – Class A *		(351,936	)
			Total Brazil		(5,282,988	)

42 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, 2019 (Unaudited)

Shares			Description	Value ($)
			Canada — (0.1)%
	(48,900	)	Agnico Eagle Mines Ltd		(3,060,651	)
	(68,900	)	AltaGas Ltd		(935,641	)
	(2,900	)	Pan American Silver Corp		(53,505	)
			Total Canada		(4,049,797	)
			Denmark — (0.1)%
	(18,266	)	Ambu A/S – Class B		(313,177	)
	(420	)	AP Moller – Maersk A/S – Class A		(418,314	)
	(950	)	AP Moller – Maersk A/S – Class B		(1,011,769	)
	(4,263	)	Demant A/S *		(129,164	)
	(4,410	)	DFDS A/S		(151,498	)
	(3,000	)	FLSmidth & Co A/S		(129,331	)
	(20,034	)	Jyske Bank A/S (Registered) *		(562,194	)
	(1,802	)	Orsted A/S		(171,976	)
	(932	)	Ringkjoebing Landbobank A/S		(55,951	)
	(13,281	)	Sydbank A/S		(185,594	)
			Total Denmark		(3,128,968	)
			Finland — (0.0)%
	(28,258	)	Metsa Board Oyj		(148,545	)
			Germany — (0.1)%
	(297,410	)	Deutsche Bank AG (Registered)		(2,146,780	)
	(20,800	)	QIAGEN NV *		(721,552	)
			Total Germany		(2,868,332	)
			Israel — (0.0)%
	(23,100	)	Tower Semiconductor Ltd *		(439,593	)
			Italy — (0.1)%
	(388,542	)	Saipem SPA *		(1,854,751	)
			Japan — (0.3)%
	(1,800	)	Coca-Cola Bottlers Japan Holdings Inc		(39,095	)
	(2,600	)	Cosmos Pharmaceutical Corp		(530,386	)
	(4,000	)	CyberAgent Inc		(180,023	)
	(4,000	)	FamilyMart UNY Holdings Co Ltd		(92,094	)
	(5,900	)	Isetan Mitsukoshi Holdings Ltd		(44,657	)
	(38,300	)	Japan Lifeline Co Ltd		(598,394	)
	(43,900	)	JGC Corp		(509,067	)
	(2,400	)	JINS Holdings Inc		(132,422	)
	(43,200	)	Kansai Paint Co Ltd		(897,902	)
	(13,500	)	Keikyu Corp		(247,399	)
	(17,900	)	Kyushu Electric Power Co Inc		(176,679	)
	(1	)	Mitsui Fudosan Logistics Park Inc (REIT)		(4,156	)
	(75,200	)	Mitsui OSK Lines Ltd		(1,766,892	)
	(7,000	)	Nihon M&A Center Inc		(203,819	)
	(7,500	)	Nippon Paint Holdings Co Ltd		(354,441	)
	(70,400	)	Nippon Yusen KK		(1,048,726	)
	(205,600	)	Orient Corp		(259,063	)

Shares			Description	Value ($)
			Japan — continued
	(2,000	)	Park24 Co Ltd		(41,024	)
	(8,800	)	Tsuruha Holdings Inc		(959,408	)
	(2,300	)	Universal Entertainment Corp		(68,016	)
	(13,900	)	Welcia Holdings Co Ltd		(725,521	)
	(5,900	)	ZOZO Inc		(117,517	)
			Total Japan		(8,996,701	)
			Luxembourg — ( 0.0)%
	(6,300	)	Intelsat SA *		(130,284	)
			Netherlands — (0.0)%
	(5,244	)	Arcadis NV		(99,255	)
	(14,700	)	InterXion Holding NV *		(1,189,818	)
			Total Netherlands		(1,289,073	)
			Norway — (0.0)%
	(4,082	)	Borr Drilling Ltd.*		(22,630	)
	(12,133	)	Wallenius Wilhelmsen ASA		(26,643	)
			Total Norway		(49,273	)
			Singapore — (0.0)%
	(134,600	)	Singapore Post Ltd		(89,125	)
	(1,300	)	UOL Group Ltd		(6,875	)
			Total Singapore		(96,000	)
			Spain — (0.0)%
	(120	)	Bolsas y Mercados Espanoles SHMSF SA		(3,103	)
	(426	)	Inmobiliaria Colonial Socimi SA (REIT)		(4,920	)
	(9,390	)	Masmovil Ibercom SA *		(192,097	)
			Total Spain		(200,120	)
			Sweden — (0.1)%
	(13,700	)	Spotify Technology SA *		(1,848,815	)
			Switzerland — (0.0)%
	(10,523	)	Stadler Rail AG *		(463,905	)
	(2,021	)	Swiss Prime Site AG (Registered)		(201,658	)
			Total Switzerland		(665,563	)
			United Kingdom — (0.1)%
	(15,071	)	Dechra Pharmaceuticals Plc		(551,666	)
	(6,500	)	Farfetch Ltd. – Class A *		(63,570	)
	(275,173	)	G4S Plc		(583,350	)
	(43,956	)	GVC Holdings Plc		(337,265	)
	(56,336	)	Just Eat Plc *		(539,255	)
	(58	)	Mediclinic International Plc		(240	)
	(204,483	)	Melrose Industries Plc		(451,956	)

See accompanying notes to the financial statements. 43

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(17,411	)	TP ICAP Plc		(61,754	)
			Total United Kingdom		(2,589,056	)
			TOTAL COMMON STOCKS (PROCEEDS $32,076,498)		(34,229,611	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $32,076,498)		(34,229,611	)
			Other Assets and Liabilities (net) — 0.00%		158,899
			TOTAL NET ASSETS — 100.0%	$	2,837,010,232

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/21/2019	MSCI	JPY	2,638,059,356	USD	24,542,256		(374,336	)
10/21/2019	BCLY	USD	2,414,770	JPY	252,948,556		(25,659	)
10/21/2019	CITI	USD	16,997,159	JPY	1,788,708,800		(102,723	)
10/21/2019	MSCI	USD	5,657,921	JPY	596,402,000		(24,877	)
						$	(527,595	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,055	S&P 500 E-Mini	September 2019	$	154,283,200	$	(1,501,922	)

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(13,875,000	)
Average interest rate (net)		(2.59	)%
Maximum balance outstanding	$	(13,875,000	)

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 the reverse repurchase agreements. The Fund had no reverse repurchase agreements at the end of the period.

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 (i)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	3,311,426		05/18/2020	Monthly		—		29,010			29,010
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	3,621,255		05/18/2020	Monthly		—		(37,433	)		(37,433	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,848,779		05/18/2020	Monthly		—		(11,017	)		(11,017	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	MORD	USD	214,443		05/18/2020	Monthly		—		4,106			4,106
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	7,896,618		05/18/2020	Monthly		—		(625,947	)		(625,947	)

44 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

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 (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	214,082		05/18/2020	Monthly		—		(15,466	)		(15,466	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,355,152		05/18/2020	Monthly		—		60,585			60,585
Depreciation of Total Return on MSCI China A Index + (1 Month USD LIBOR minus 3.50%)	Appreciation of Total Return on MSCI China A Index	GS	USD	2,471,973		08/15/2020	Monthly		—		72,354			72,354
Depreciation of Total Return on CSI 500 Net Total Return Index + (1 Month USD LIBOR minus 9.50%)	Appreciation of Total Return on CSI 500 Index	GS	USD	1,052,041		08/20/2020	Monthly		—		39,336			39,336
								$	—	$	(484,472	)	$	(484,472	)

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) 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) Securities are traded on separate exchanges for the same entity.

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

(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) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(h) The rate disclosed is the 7 day net yield as of August 31, 2019.

(i) 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.

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 102.

See accompanying notes to the financial statements. 45

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		54.1	%
Debt Obligations		29.6
Short-Term Investments		10.0
Mutual Funds		8.4
Investment Funds		1.2
Preferred Stocks		0.7
Swap Contracts		0.2
Loan Participations		0.1
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.0	)^
Forward Currency Contracts		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Securities Sold Short		(0.0	)^
Other		(4.3	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.8	%
Canada		5.5
Other Emerging		3.2	†
Euro Region		0.0	^#
Other Developed		(3.0	)‡
		23.5	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		19.3	%
China		6.9
Japan		5.4
United Kingdom		4.3
Other Emerging		4.1	†
Other Developed		4.0	‡
Taiwan		3.3
Russia		3.0
France		2.1
Spain		1.6
Germany		1.4
Netherlands		1.4
Switzerland		1.4
Italy		1.2
Turkey		1.2
		60.6	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

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

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

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

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

^ Rounds to 0.0%.

46

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	961,262	GMO Alpha Only Fund, Class IV		16,985,502
	7,635,311	GMO Alternative Allocation Fund, Class VI		153,317,052
	7,457,185	GMO Asset Allocation Bond Fund, Class VI		169,501,822
	11,103,775	GMO Core Plus Bond Fund, Class IV		254,165,403
	2,151,182	GMO Emerging Country Debt Fund, Class IV		59,587,731
	10,703,663	GMO Emerging Markets Fund, Class VI		330,100,967
	18,922,463	GMO International Equity Fund, Class IV		370,312,607
	1,272,894	GMO Opportunistic Income Fund, Class VI		34,037,190
	1,495,500	GMO Quality Fund, Class VI		35,562,978
	654,059	GMO Risk Premium Fund, Class VI		18,006,247
	10,230,732	GMO U.S. Equity Fund, Class VI		133,101,821
	5,260,266	GMO U.S. Small Cap Value Fund, Class VI		100,734,096
	1,457,607	GMO U.S. Treasury Fund		7,288,035
		TOTAL MUTUAL FUNDS (COST $1,701,317,655)		1,682,701,451
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	27,248	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 2.43%, due 02/25/36		12,642
	16,470	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.65%, due 10/25/34		15,444
	16,170	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.40%, due 02/26/34		15,379
		Total Asset-Backed Securities		43,465
		TOTAL DEBT OBLIGATIONS (COST $40,134)		43,465
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	246,288	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		246,288
		TOTAL SHORT-TERM INVESTMENTS (COST $246,288)		246,288
		TOTAL INVESTMENTS — 100.0% (Cost $1,701,604,077)		1,682,991,204
		Other Assets and Liabilities (net) — (0.0%)		(78,338	)
		TOTAL NET ASSETS — 100.0%		$1,682,912,866

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 47

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.1	%
Mutual Funds		10.0
Short-Term Investments		1.7
Investment Funds		0.4
Preferred Stocks		0.3
Debt Obligations		0.3
Swap Contracts		0.0	^
Other		0.2
		100.0	%

Country/Region Summary¤	% of Investments
United States		41.3	%
Japan		11.3
United Kingdom		9.4
France		4.5
Switzerland		3.8
China		3.7
Other Emerging		3.5	†
Germany		3.2
Spain		3.2
Netherlands		3.0
Italy		2.6
Other Developed		2.1	‡
Taiwan		2.1
Sweden		1.9
Australia		1.8
Russia		1.5
Norway		1.1
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

48

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,305,463	GMO Emerging Markets Fund, Class VI		40,260,479
	9,846,110	GMO International Equity Fund, Class IV		192,688,377
	3,067,545	GMO Quality Fund, Class VI		72,946,213
	5,392,566	GMO U.S. Equity Fund, Class VI		70,157,287
	2,186,274	GMO U.S. Small Cap Value Fund, Class VI		41,867,154
		TOTAL MUTUAL FUNDS (COST $431,772,060)		417,919,510
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	158,167	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		158,167
		TOTAL SHORT-TERM INVESTMENTS (COST $158,167)		158,167
		TOTAL INVESTMENTS — 100.0% (Cost $431,930,227)		418,077,677
		Other Assets and Liabilities (net) — (0.0%)		(47,259	)
		TOTAL NET ASSETS — 100.0%		$418,030,418

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 49

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.4	%
Mutual Funds		10.0
Short-Term Investments		2.1
Investment Funds		1.2
Preferred Stocks		0.9
Debt Obligations		0.3
Swap Contracts		0.0	^
Futures Contracts		(0.0	)^
Other		0.1
		100.0	%

Country/Region Summary¤	% of Investments
United States		29.6	%
China		10.2
Japan		10.1
United Kingdom		8.5
Taiwan		4.9
Other Emerging		4.7	†
Russia		4.1
France		4.1
Switzerland		3.3
Germany		2.9
Spain		2.9
Netherlands		2.7
Italy		2.3
Sweden		1.7
Australia		1.6
Turkey		1.6
Other Developed		1.4	‡
Korea		1.2
South Africa		1.2
Norway		1.0
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

50

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	13,431,833	GMO Emerging Markets Fund, Class VI		414,237,734
	32,989,119	GMO International Equity Fund, Class IV		645,597,059
	9,492,251	GMO Quality Fund, Class VI		225,725,731
	9,142,878	GMO U.S. Equity Fund, Class VI		118,948,842
	8,151,960	GMO U.S. Small Cap Value Fund, Class VI		156,110,042
		TOTAL MUTUAL FUNDS (COST $1,651,541,189)		1,560,619,408
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	501,766	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		501,766
		TOTAL SHORT-TERM INVESTMENTS (COST $501,766)		501,766
		TOTAL INVESTMENTS — 100.0% (Cost $1,652,042,955)		1,561,121,174
		Other Assets and Liabilities (net) — (0.0%)		(76,232	)
		TOTAL NET ASSETS — 100.0%		$1,561,044,942

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		72.0	%
Debt Obligations		21.3
Short-Term Investments		5.2
Investment Funds		1.4
Preferred Stocks		1.2
Swap Contracts		0.1
Purchased Options		0.0	^
Mutual Funds		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.1	)
Written Options		(0.2	)
Securities Sold Short		(4.1	)
Other		3.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		9.7	%
Canada		6.4
Other Developed		0.2	‡
Other Emerging		0.0	^†
Euro Region		0.0	^§
		16.3	%
Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		13.4	%
China		11.5
Taiwan		5.5
Japan		5.1
Russia		4.6
United Kingdom		3.9
Other Developed		3.7	‡
South Korea		3.4
Other Emerging		2.8	†
France		2.3
Brazil		2.2
South Africa		1.9
Spain		1.7
India		1.6
Turkey		1.5
Netherlands		1.4
Canada		1.2
Italy		1.2
Germany		1.1
Switzerland		1.0
		71.0	%

Industry Group Summary	% of Equity Investments#
Banks		15.7	%
Capital Goods		7.5
Energy		6.9
Technology Hardware & Equipment		6.0
Materials		6.0
Pharmaceuticals, Biotechnology & Life Sciences		6.0
Semiconductors & Semiconductor Equipment		5.1
Real Estate		4.7
Utilities		4.1
Consumer Durables & Apparel		3.6
Food, Beverage & Tobacco		3.5
Diversified Financials		3.3
Telecommunication Services		3.3
Automobiles & Components		3.3
Media & Entertainment		3.1
Insurance		3.0
Retailing		2.9
Software & Services		2.3
Transportation		2.2
Health Care Equipment & Services		2.0
Commercial & Professional Services		1.9
Food & Staples Retailing		1.4
Household & Personal Products		1.3
Consumer Services		0.9
		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, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# 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%.

52

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 72.0%
		Argentina — 0.0%
	20,100	Banco Macro SA ADR		468,531
	18,000	Grupo Financiero Galicia SA ADR		195,120
	7,700	Grupo Supervielle SA Sponsored ADR		18,942
		Total Argentina		682,593
		Australia — 0.9%
	482,991	Accent Group Ltd		519,686
	200,546	Adairs Ltd		234,652
	116,735	Alliance Aviation Services Ltd		199,831
	60,658	Altium Ltd		1,497,624
	194,877	Appen Ltd		3,394,734
	121,663	Austal Ltd		344,964
	853,967	Australian Pharmaceutical Industries Ltd		759,985
	74,668	Aventus Group (REIT)		131,801
	648,948	Beach Energy Ltd		1,067,479
	179,104	Bravura Solutions Ltd		587,369
	201,464	Brickworks Ltd		2,173,752
	171,675	Caltex Australia Ltd		2,767,723
	36,801	Charter Hall Education Trust (REIT)		94,890
	145,842	Charter Hall Group (REIT)		1,241,281
	240,987	Charter Hall Retail (REIT)		707,249
	112,691	Codan Ltd		359,726
	271,798	Cromwell Property Group (REIT)		225,013
	199,558	Downer EDI Ltd		1,035,333
	1,867,463	Fortescue Metals Group Ltd		10,075,311
	448,224	GDI Property Group (REIT)		470,797
	399,270	Genworth Mortgage Insurance Australia Ltd		827,263
	23,895	GWA Group Ltd		53,051
	67,148	IDP Education Ltd		750,578
	230,365	Macquarie Group Ltd		19,204,981
	25,595	Mineral Resources Ltd		227,845
	427,885	Mount Gibson Iron Ltd *		206,348
	626,449	New Hope Corp Ltd		961,041
	268,736	OZ Minerals Ltd		1,657,359
	56,066	Rio Tinto Ltd		3,306,362
	328,545	Sandfire Resources NL		1,378,725
	1,464,207	Scentre Group (REIT)		3,979,864
	86,765	Service Stream Ltd		167,487
	1,018,411	Southern Cross Media Group Ltd		835,337
	163,825	Super Retail Group Ltd		1,032,659
	214,734	Tassal Group Ltd		623,819
	715,690	Telstra Corp Ltd		1,791,687
	25,343	Virtus Health Ltd		69,987
	750,451	Viva Energy (REIT)		1,490,864
	16,000	WiseTech Global Ltd		397,555
		Total Australia		66,852,012

Shares		Description	Value ($)
		Austria — 0.0%
	20,243	FACC AG (a)		224,251
	15,944	OMV AG		814,279
	7,001	POLYTEC Holding AG		63,292
	11,327	S IMMO AG		246,351
	33,699	Vienna Insurance Group AG Wiener Versicherung Gruppe		829,771
		Total Austria		2,177,944
		Belgium — 0.1%
	275,738	AGFA-Gevaert NV *		1,098,092
	7,023	Barco NV		1,494,561
	72,503	UCB SA		5,418,858
		Total Belgium		8,011,511
		Brazil — 2.3%
	849,200	Atacadao SA		4,573,089
	587,000	Banco BTG Pactual SA		8,303,903
	453,000	Banco do Brasil SA		5,058,372
	2,085,800	Banco Santander Brasil SA		21,457,397
	2,683,900	Cia de Saneamento Basico do Estado de Sao Paulo		33,508,242
	250,300	Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,098,714
	31,000	Cia de Saneamento de Minas Gerais-COPASA		519,237
	32,800	Cia Hering		262,574
	20,800	Cia Paranaense de Energia		282,993
	1,145,400	Cia Siderurgica Nacional SA		3,971,974
	50,200	Construtora Tenda SA		307,189
	23,700	Grendene SA		46,072
	7,098,500	JBS SA		50,808,872
	122,400	Kroton Educacional SA		297,945
	196,100	Mahle-Metal Leve SA		1,121,383
	1,930,100	MRV Engenharia e Participacoes SA		9,182,074
	4,371,500	Petrobras Distribuidora SA		30,403,091
	523,200	Tupy SA		2,228,749
	195,200	YDUQS Part		1,482,973
		Total Brazil		176,914,843
		Canada — 1.3%
	139,500	AGF Management Ltd – Class B		586,751
	14,800	Bank of Montreal (b)		1,014,457
	34,700	Bank of Montreal (b)		2,381,461
	97,100	Bird Construction Inc		393,826
	31,048	BRP Inc		1,113,288
	69,200	Canaccord Genuity Group Inc		260,397
	119,900	Canadian National Railway Co		11,047,586
	82,600	Canfor Pulp Products Inc		563,323
	14,500	CGI Inc *		1,137,216
	11,800	Cogeco Inc		831,690

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	52,100	Dundee Precious Metals Inc *		205,442
	15,800	Eldorado Gold Corp *		145,202
	87,400	Enerflex Ltd		800,871
	13,500	Morguard North American Residential Real Estate Investment Trust		198,028
	403,700	Rogers Sugar Inc		1,628,263
	577,100	Royal Bank of Canada (b)		43,163,300
	33,200	Royal Bank of Canada (b)		2,482,032
	122,900	Russel Metals Inc		1,847,100
	19,500	Sun Life Financial Inc (b)		799,245
	148,500	Sun Life Financial Inc (b)		6,089,985
	447,600	Toronto-Dominion Bank (The)		24,272,736
	79,400	Transat AT Inc *		907,071
	46,320	Transcontinental Inc – Class A		489,850
	20,400	Wajax Corp		241,631
	31,200	Westshore Terminals Investment Corp (c)		512,032
		Total Canada		103,112,783
		Chile — 0.0%
	4,309,778	Enel Americas SA		705,953
	259,300	Enel Americas SA ADR		2,121,074
		Total Chile		2,827,027
		China — 11.5%
	4,958,000	361 Degrees International Ltd		1,049,112
	994,000	7Road Holdings Ltd		288,699
	384,500	AAC Technologies Holdings Inc		1,651,382
	12,325,000	Agile Group Holdings Ltd		15,690,091
	13,737,600	Agricultural Bank of China Ltd – Class A		6,536,999
	121,488,000	Agricultural Bank of China Ltd – Class H		46,706,220
	205,400	Alibaba Group Holding Ltd Sponsored ADR * (a)		35,951,162
	251,319	Anhui Conch Cement Co Ltd – Class A		1,387,496
	4,247,000	Anhui Conch Cement Co Ltd – Class H		23,839,740
	271,500	Anhui Expressway Co Ltd – Class A		208,140
	56,000	ANTA Sports Products Ltd		464,522
	156,000	Asia Cement China Holdings Corp.		182,361
	19,423,000	BAIC Motor Corp Ltd – Class H		10,917,899
	55,495,000	Bank of China Ltd – Class H		21,219,738
	48,191,000	Bank of Communications Co Ltd – Class H		31,476,159
	466,000	Beijing Enterprises Water Group Ltd. *		244,280
	3,651,775	Beijing North Star Co Ltd – Class A		1,736,738
	1,300	BOC Aviation Ltd		11,279
	818,000	BYD Electronic International Co Ltd		979,138
	1,575,000	CGN Power Co Ltd – Class H		415,226
	3,200	Changyou.com Ltd ADR *		18,368
	13,000	China Aoyuan Group Ltd		15,255

Shares		Description	Value ($)
		China — continued
	1,214,000	China Cinda Asset Management Co Ltd – Class H		251,757
	26,531,000	China CITIC Bank Corp Ltd – Class H		13,852,875
	821,000	China Communications Construction Co Ltd – Class A		1,147,247
	581,000	China Communications Construction Co Ltd – Class H		449,709
	24,168,000	China Communications Services Corp Ltd – Class H		13,498,921
	16,261,903	China Construction Bank Corp – Class A		15,703,343
	32,259,000	China Construction Bank Corp – Class H		23,972,127
	6,130,000	China Everbright Bank Co Ltd – Class H		2,552,879
	3,659,000	China Greenfresh Group Co Ltd *		275,152
	3,807,000	China Huarong Asset Management Co Ltd – Class H		595,738
	6,536,000	China Jinmao Holdings Group Ltd		3,638,721
	10,035,000	China Lesso Group Holdings Ltd		9,618,951
	176,000	China Life Insurance Co Ltd – Class H		411,385
	1,571,000	China Lilang Ltd		1,280,522
	7,896,000	China Machinery Engineering Corp – Class H		3,087,689
	1,230,500	China Merchants Bank Co Ltd – Class A		5,903,975
	10,755,500	China Minsheng Banking Corp Ltd – Class H		7,066,976
	1,102,000	China Mobile Ltd		9,118,588
	19,500	China Mobile Ltd Sponsored ADR		805,545
	508,000	China National Building Material Co Ltd – Class H		433,702
	1,301,540	China National Chemical Engineering Co Ltd – Class A		1,007,602
	1,604,000	China Oriental Group Co Ltd		632,946
	451,000	China Overseas Grand Oceans Group Ltd		213,230
	6,876,000	China Overseas Land & Investment Ltd		21,690,518
	115,000	China Overseas Property Holdings Ltd		58,491
	799,485	China Pacific Insurance Group Co Ltd – Class A		4,230,697
	32,900	China Petroleum & Chemical Corp ADR		1,913,793
	45	China Petroleum & Chemical Corp – Class A		31
	25,192,000	China Petroleum & Chemical Corp – Class H		14,695,379
	778,800	China Railway Construction Corp Ltd – Class A		992,563
	25,506,200	China Railway Construction Corp Ltd – Class H		27,488,620
	1,043,289	China Railway Group Ltd – Class A		877,708
	8,739,000	China Railway Group Ltd – Class H		5,706,138

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, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	156,000	China Reinsurance Group Corp – Class H		25,437
	2,340,000	China Resources Cement Holdings Ltd		2,067,581
	190,000	China Resources Gas Group Ltd		937,582
	4,542,000	China Resources Land Ltd		18,414,036
	8,901,500	China Resources Pharmaceutical Group Ltd		9,175,275
	5,489,000	China SCE Group Holdings Ltd		2,660,349
	2,343,663	China Shenhua Energy Co Ltd – Class A		6,131,012
	9,804,500	China Shenhua Energy Co Ltd – Class H		19,239,772
	2,616,000	China Shineway Pharmaceutical Group Ltd		2,431,795
	164,000	China South City Holdings Ltd		20,256
	1,685,830	China South Publishing & Media Group Co Ltd – Class A		2,899,175
	1,514,091	China State Construction Engineering Corp Ltd – Class A		1,159,443
	268,000	China State Construction International Holdings Ltd		241,193
	116,200	China Taiping Insurance Holdings Co Ltd		260,748
	71,516,000	China Telecom Corp Ltd – Class H		31,956,881
	2,592,000	China Travel International Investment Hong Kong Ltd		396,126
	1,084,593	China Vanke Co Ltd – Class A		3,915,239
	1,614,100	China Vanke Co Ltd – Class H		5,562,708
	2,487,992	China Yangtze Power Co Ltd – Class A		6,482,352
	36,200	China Yuchai International Ltd		469,152
	874,900	Chinese Universe Publishing and Media Group Co Ltd – Class A		1,535,564
	327,830	Chongqing Department Store Co Ltd – Class A		1,276,940
	1,579,000	Chongqing Rural Commercial Bank Co Ltd – Class H		761,902
	184,000	CIFI Holdings Group Co Ltd		98,615
	2,948,000	CNOOC Ltd		4,367,214
	6,144,000	Country Garden Holdings Co Ltd		7,609,276
	993,600	CRRC Corp Ltd – Class A		1,012,787
	385,000	Dah Chong Hong Holdings Ltd		107,436
	8,658,296	Daqin Railway Co Ltd – Class A		9,380,412
	6,646,000	Dongfeng Motor Group Co Ltd – Class H		6,158,215
	49,000	Dongyue Group Ltd		23,058
	402,168	Fangda Carbon New Material Co Ltd – Class A *		577,413
	1,684,100	Fangda Special Steel Technology Co Ltd – Class A		1,954,035
	500	Fanhua Inc		13,625
	79,500	Fantasia Holdings Group Co Ltd *		11,828
	322,000	Future Land Development Holdings Ltd		253,648
	2,092,000	Geely Automobile Holdings Ltd		3,222,655

Shares		Description	Value ($)
		China — continued
	1,702,000	Gemdale Properties & Investment Corp Ltd		188,395
	619,500	Genertec Universal Medical Group Co Ltd		435,623
	1,262,000	Great Wall Motor Co Ltd – Class H		798,959
	260,569	Gree Electric Appliances Inc of Zhuhai – Class A		2,029,023
	684,092	GRG Banking Equipment Co Ltd – Class A		651,598
	7,902,000	Guangdong Investment Ltd		16,634,842
	2,594,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		9,680,446
	12,920,000	Guangzhou R&F Properties Co Ltd – Class H		20,738,703
	3,349,000	Haier Electronics Group Co Ltd		8,719,933
	319,500	Hebei Construction Group Corp Ltd – Class H		218,448
	64,861	Henan Shuanghui Investment & Development Co Ltd – Class A		202,939
	4,148,790	Hisense Home Appliances Group Co Ltd – Class A		6,852,444
	1,139,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,194,768
	1,507,431	HLA Corp Ltd – Class A		1,776,863
	25,100	Hollysys Automation Technologies Ltd		392,815
	78,000	Hopson Development Holdings Ltd		76,570
	10,118,000	Huabao International Holdings Ltd		3,837,177
	1,319,917	Huaxin Cement Co Ltd – Class A		3,434,240
	3,005,000	IGG Inc		2,031,518
	11,210,546	Industrial & Commercial Bank of China Ltd – Class A		8,457,033
	32,238,000	Industrial & Commercial Bank of China Ltd – Class H		20,331,103
	61,300	Inner Mongolia Yitai Coal Co Ltd – Class H		40,706
	80,100	Jiangsu Expressway Co Ltd – Class A		112,924
	2,554,000	Jiayuan International Group Ltd		1,018,250
	38,000	Jingrui Holdings Ltd		12,184
	265,000	JNBY Design Ltd		377,889
	822,000	Ju Teng International Holdings Ltd		187,478
	26,000	Jumei International Holding Ltd ADR *		49,400
	2,248,500	Kingboard Chemical Holdings Ltd		5,250,492
	1,034,000	Kingboard Laminates Holdings Ltd		813,899
	2,540,000	Kunlun Energy Co Ltd		2,208,061
	390,000	KWG Property Holding Ltd *		338,576
	508,000	Lenovo Group Ltd		333,236
	1,476,419	Livzon Pharmaceutical Group Inc – Class H		4,047,195
	2,742,000	Logan Property Holdings Co Ltd		3,852,459
	818,290	Loncin Motor Co Ltd – Class A *		411,999
	962,000	Longfor Properties Co Ltd		3,420,841
	6,214,000	Lonking Holdings Ltd		1,476,649

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, 2019 (Unaudited)

Shares		Description	Value ($)
		China — continued
	268,760	Midea Group Co Ltd – Class A		1,988,611
	3,400	NetEase Inc ADR (a)		867,000
	328,700	New China Life Insurance Co Ltd – Class H		1,293,034
	3,710,000	People’s Insurance Co Group of China Ltd (The) – Class H		1,449,509
	7,327,000	PICC Property & Casualty Co Ltd – Class H		8,378,362
	1,707,725	Ping An Insurance Group Co of China Ltd – Class A		20,895,024
	357,000	Ping An Insurance Group Co of China Ltd – Class H		4,095,863
	918,000	Poly Property Group Co Ltd		321,173
	30,135,000	Postal Savings Bank of China Co Ltd – Class H		18,121,361
	544,000	Powerlong Real Estate Holdings Ltd		318,192
	134,000	Red Star Macalline Group Corp Ltd – Class H		105,745
	1,949,635	RiseSun Real Estate Development Co Ltd – Class A		2,212,688
	72,000	Road King Infrastructure Ltd		126,324
	1,256,094	Shanghai Construction Group Co Ltd – Class A		632,850
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		166,409
	423,680	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		820,536
	303,400	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		751,048
	335,687	Shanghai Oriental Pearl Group Co Ltd – Class A		438,697
	7,926,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		14,940,071
	1,511,926	Shanghai SMI Holding Co Ltd – Class A		1,206,217
	329,219	Shanxi Lu’an Environmental Energy Development Co Ltd – Class A		341,450
	220,148	Shenzhen Expressway Co Ltd – Class A		295,269
	648,000	Shenzhen Expressway Co Ltd – Class H		792,837
	54,000	Shenzhen Investment Ltd		20,426
	14,435,076	Shimao Property Holdings Ltd		40,716,939
	402,000	Shui On Land Ltd		83,446
	1,165,000	Sihuan Pharmaceutical Holdings Group Ltd		207,398
	236,582	Sinoma International Engineering Co – Class A		195,341
	145,000	Sinopec Engineering Group Co Ltd – Class H		94,551
	1,795,996	Sinopec Shanghai Petrochemical Co Ltd – Class A		1,060,592
	26,480,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		7,625,746
	809,600	Sinopharm Group Co Ltd – Class H		2,921,857

Shares		Description	Value ($)
		China — continued
	1,256,500	Sinotruk Hong Kong Ltd		1,933,309
	2,725,571	Suning Universal Co Ltd – Class A		1,434,135
	653,681	Suzhou Gold Mantis Construction Decoration Co Ltd – Class A		883,238
	688,300	Tencent Holdings Ltd		28,416,827
	119,600	Tencent Holdings Ltd ADR		4,935,892
	1,631,000	Texhong Textile Group Ltd		1,371,449
	654,000	Tianjin Development Holdings Ltd		178,279
	914,000	Tianjin Port Development Holdings Ltd		79,130
	8,240,000	Tianneng Power International Ltd		6,492,798
	2,283,000	Times China Holdings Ltd		3,470,457
	1,341,491	Weichai Power Co Ltd – Class A		2,175,732
	8,249,000	Weichai Power Co Ltd – Class H		12,588,043
	1,529,378	Weifu High-Technology Group Co Ltd – Class A		3,619,187
	196,492	Wuchan Zhongda Group Co Ltd – Class A		145,703
	3,747,500	XTEP International Holdings Ltd		2,135,900
	148,000	Yadea Group Holdings Ltd		28,481
	1,008,810	Youngor Group Co Ltd – Class A		873,585
	916,000	Yuexiu Property Co Ltd		197,017
	4,190,000	Yuzhou Properties Co Ltd		1,758,509
	232,000	Zall Smart Commerce Group Ltd		29,886
	2,706,000	Zhejiang Expressway Co Ltd – Class H		2,260,285
	858,888	Zhejiang Weixing New Building Materials Co Ltd – Class A		1,761,452
	489,768	Zhengzhou Yutong Bus Co Ltd – Class A		995,993
	35,000	Zhenro Properties Group Ltd.		21,412
	109,500	Zhongsheng Group Holdings Ltd		341,312
	88,400	Zhuzhou CRRC Times Electric Co Ltd – Class H		350,931
	346,382	Zhuzhou Kibing Group Co Ltd – Class A		163,832
		Total China		891,737,275
		Colombia — 0.0%
	378,276	Almacenes Exito SA		1,931,678
		Czech Republic — 0.0%
	75,579	Moneta Money Bank AS		244,898
		Denmark — 0.1%
	9,704	DSV A/S		962,909
	49,144	Matas A/S		387,565
	22,565	Royal Unibrew A/S		1,955,716
	93,488	Scandinavian Tobacco Group A/S		1,076,465
	12,313	Spar Nord Bank A/S		94,377
		Total Denmark		4,477,032

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.2%
	553,618	Neste Oyj		17,462,900
	8,911	Sanoma Oyj		91,509
	40,928	Tokmanni Group Corp		460,498
		Total Finland		18,014,907
		France — 2.3%
	36,339	Alten SA		4,339,119
	39,217	BNP Paribas SA		1,767,740
	4,646	Christian Dior SE		2,288,888
	10,886	Cie Generale des Etablissements Michelin SCA		1,146,070
	153,315	CNP Assurances		2,785,153
	15,348	Coface SA		181,271
	42,798	Dassault Systemes SE (d)		6,034,679
	41,873	Gaztransport Et Technigaz SA		3,919,693
	10,221	Interparfums SA		447,372
	2,185	Ipsen SA		229,666
	33,621	IPSOS		906,049
	16,977	Kaufman & Broad SA		647,272
	185,495	L’Oreal SA		50,650,520
	42,946	Lagardere SCA		914,732
	303	LVMH Moet Hennessy Louis Vuitton SE		120,832
	6,011	Mersen SA		204,160
	85,257	Metropole Television SA		1,464,904
	59,090	Neopost SA		1,200,773
	971,074	Peugeot SA		21,710,449
	3,353	Rothschild & Co		95,502
	67,967	Safran SA		9,871,645
	591,222	Sanofi		50,790,488
	59,500	Sanofi ADR		2,555,525
	135,834	STMicroelectronics NV		2,408,064
	545,200	STMicroelectronics NV – NY Shares		9,650,040
	167,519	Television Francaise 1		1,524,825
	3,484	Vilmorin & Cie SA		187,010
		Total France		178,042,441
		Germany — 1.2%
	161,058	Allianz SE (Registered)		35,546,125
	4,265	Amadeus Fire AG		498,705
	20,357	BASF SE		1,346,960
	3,675	Bauer AG		80,793
	146,697	Bayer AG (Registered)		10,903,069
	153,527	Bayerische Motoren Werke AG		10,267,936
	86,466	Borussia Dortmund GmbH & Co KGaA		932,423
	24,823	Carl Zeiss Meditec AG		2,868,671
	1,429	Cewe Stiftung & Co KGaA		129,062
	313,924	Deutsche Lufthansa AG (Registered)		4,838,609
	134,763	Deutsche Pfandbriefbank AG (d)		1,600,179
	288,324	Deutz AG		1,683,455

Shares		Description	Value ($)
		Germany — continued
	78,561	Dialog Semiconductor Plc *		3,721,679
	5,320	DWS Group GmbH & Co KGaA		154,039
	7,829	Eckert & Ziegler Strahlen- und Medizintechnik AG		1,365,479
	7,075	Elmos Semiconductor AG		192,855
	2,718	Gesco AG		61,396
	27,801	Hamburger Hafen und Logistik AG		672,513
	3,138	Henkel AG & Co KGaA		290,475
	2,835	OHB SE		99,020
	12,572	Software AG		339,094
	38,166	Talanx AG *		1,583,373
	60,089	Volkswagen AG		9,826,697
	37,811	Wacker Neuson SE		671,214
	25,101	Wuestenrot & Wuerttembergische AG		493,566
		Total Germany		90,167,387
		Greece — 0.0%
	9,926	Motor Oil Hellas Corinth Refineries SA		242,568
		Hong Kong — 0.2%
	460,000	Agritrade Resources Ltd.		53,432
	520,000	Dah Sing Banking Group Ltd		710,238
	289,600	Dah Sing Financial Holdings Ltd		1,062,413
	1,600,213	I-CABLE Communications Ltd *		14,872
	271,000	Johnson Electric Holdings Ltd		454,004
	626,000	NewOcean Energy Holdings Ltd *		130,938
	536,000	Singamas Container Holdings Ltd		64,804
	3,794,000	SJM Holdings Ltd		3,575,906
	10,766,500	WH Group Ltd		8,627,873
	553,000	Wheelock & Co Ltd		3,207,569
	160,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		23,564
	83,500	Yue Yuen Industrial Holdings Ltd		213,440
		Total Hong Kong		18,139,053
		Hungary — 0.0%
	2,257,270	Magyar Telekom Telecommunications Plc		3,168,759
		India — 1.6%
	104,228	Asian Paints Ltd		2,365,387
	1,470,169	Aurobindo Pharma Ltd		12,415,015
	1,123,689	Balrampur Chini Mills Ltd		2,094,199
	53,372	Divi’s Laboratories Ltd		1,228,654
	35,374	Dr Reddy’s Laboratories Ltd		1,270,213
	83,500	Dr Reddy’s Laboratories Ltd ADR (a)		2,985,125
	762,659	Firstsource Solutions Ltd		515,775
	2,388,568	HCL Technologies Ltd		36,835,273
	96,157	HDFC Bank Ltd		3,011,438
	80,293	Hindustan Unilever Ltd		2,117,338

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, 2019 (Unaudited)

Shares		Description	Value ($)
		India — continued
	102,379	Housing Development Finance Corp Ltd		3,108,332
	542,577	ICICI Bank Ltd		3,115,970
	387,692	Indiabulls Housing Finance Ltd		2,459,211
	547,942	Indian Oil Corp Ltd		938,910
	91,800	Infosys Ltd Sponsored ADR (a)		1,054,782
	272,848	ITC Ltd		939,004
	319,919	Just Dial Ltd *		3,216,982
	155,879	Kotak Mahindra Bank Ltd		3,134,148
	50,463	Larsen & Toubro Infotech Ltd		1,147,717
	389,925	Mphasis Ltd		5,322,861
	86,142	NIIT Technologies Ltd		1,798,256
	1,222,235	PC Jeweller Ltd		571,963
	5,786,884	Power Finance Corp Ltd *		8,540,898
	1,696,951	PTC India Ltd		1,338,895
	7,628,962	REC Ltd		15,493,578
	177,382	Sonata Software Ltd		768,327
	226,415	Tech Mahindra Ltd		2,206,141
	126,805	Titan Co Ltd		1,960,491
	45,968	TV Today Network Ltd		195,008
	60,649	Wipro Ltd		215,943
	37,188	Zuari Agro Chemicals Ltd *		50,646
		Total India		122,416,480
		Indonesia — 0.1%
	10,587,400	Bukit Asam Persero Tbk PT		1,839,695
	2,540,600	Gajah Tunggal Tbk PT *		121,711
	2,379,900	Indo Tambangraya Megah Tbk PT		2,176,178
	57,186,500	Panin Financial Tbk PT *		1,224,871
		Total Indonesia		5,362,455
		Ireland — 0.0%
	85,400	CRH Plc Sponsored ADR		2,871,148
	1,290	Smurfit Kappa Group Plc		39,812
		Total Ireland		2,910,960
		Israel — 0.0%
	12,365	AudioCodes Ltd		215,524
	8,760	Bank Leumi Le-Israel BM		59,689
	9,792	First International Bank of Israel Ltd		253,497
	16,280	Harel Insurance Investments & Financial Services Ltd		126,680
	549	Israel Corp Ltd (The)		105,975
	11,933	Nova Measuring Instruments Ltd *		328,917
	1,821,653	Oil Refineries Ltd *		902,835
		Total Israel		1,993,117
		Italy — 1.3%
	178,721	Arnoldo Mondadori Editore SPA *		275,726
	32,322	ASTM SPA		997,510
	1,635	Azimut Holding SPA		28,926

Shares		Description	Value ($)
		Italy — continued
	96,214	Banca Mediolanum SPA		699,852
	6,617	Credito Emiliano SPA		34,799
	127,516	Enav SPA		720,927
	5,677,748	Enel SPA		41,190,847
	432,656	EXOR NV		29,394,585
	367,896	Falck Renewables SPA		1,575,705
	238,721	Fiat Chrysler Automobiles NV		3,136,794
	80,107	Hera SPA		319,833
	154,487	IMMSI SPA *		107,648
	1,411,067	Iren SPA		3,836,144
	4,602	Italgas SPA		29,923
	20,889	La Doria SPA		179,384
	45,600	Mediobanca Banca di Credito Finanziario SPA		453,187
	71,382	Piaggio & C SPA		231,207
	2,821	Poste Italiane SPA		30,421
	13,622	Prima Industrie SPA (a)		194,181
	3,343	Reply SPA		198,150
	4,202	Sabaf SPA		63,363
	829,670	Saras SPA		1,291,587
	2,368	Sesa SPA		85,437
	527,629	Snam SPA		2,675,834
	312,336	Societa Cattolica di Assicurazioni SC		2,547,570
	22,704	Societa Iniziative Autostradali e Servizi SPA		381,661
	3,116,800	Telecom Italia SPA *		1,666,213
	2,967,300	Telecom Italia SPA-RSP		1,518,657
	437,559	Unipol Gruppo SPA		2,209,297
	1,120,282	UnipolSai Assicurazioni SPA		2,848,434
		Total Italy		98,923,802
		Japan — 5.4%
	25,500	Aisin Seiki Co Ltd		754,568
	65,200	AOKI Holdings Inc		637,377
	2,232,300	Asahi Kasei Corp (d)		20,166,769
	2,845,300	Astellas Pharma Inc		39,275,031
	135,500	Bandai Namco Holdings Inc		7,961,653
	5,400	Bank of the Ryukyus Ltd		53,455
	557,400	Brother Industries Ltd		9,636,407
	17,600	Central Glass Co Ltd		364,581
	2,800	Chukyo Bank Ltd (The)		56,898
	126,600	Daicel Corp		976,849
	4,300	Daito Pharmaceutical Co Ltd		124,314
	28,900	Daiwabo Holdings Co Ltd		1,123,113
	59,600	DCM Holdings Co Ltd (a)		591,451
	7,200	DTS Corp		150,129
	3,400	Elecom Co Ltd		133,518
	190,500	Fancl Corp		4,617,813
	30,300	FJ Next Co Ltd (a)		288,155
	200,300	Fuji Electric Co Ltd		5,699,569

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	35,200	Fuji Media Holdings Inc		456,001
	6,600	Fuji Pharma Co Ltd		78,188
	5,100	Fuji Soft Inc		218,766
	444,100	FUJIFILM Holdings Corp (d)		18,994,318
	125,400	Fujitsu Ltd		9,670,646
	3,000	Fukuyama Transporting Co Ltd		103,902
	22,400	Furuno Electric Co Ltd		186,342
	12,000	Furyu Corp		109,116
	1,800	Fuyo General Lease Co Ltd		103,242
	5,700	G-7 Holdings Inc		159,336
	152,600	Hakuhodo DY Holdings Inc		2,250,159
	3,700	Hamakyorex Co Ltd		127,065
	43,400	Haseko Corp		465,495
	9,000	Heiwado Co Ltd		166,551
	1,014,700	Hitachi Ltd		34,613,778
	20,300	Hochiki Corp		256,583
	1,248,100	Honda Motor Co Ltd		29,573,473
	4,200	Hosokawa Micron Corp		146,602
	74,600	House Foods Group Inc (d)		2,841,342
	17,200	Infocom Corp		411,029
	10,200	Information Services International-Dentsu Ltd		321,326
	24,000	Isuzu Motors Ltd (d)		257,748
	1,530,200	ITOCHU Corp		30,485,524
	15,700	Itochu Techno-Solutions Corp		432,075
	23,100	Japan Aviation Electronics Industry Ltd		304,879
	30,900	Jeol Ltd		678,774
	3,300	JSP Corp		53,565
	24,200	Kajima Corp		294,162
	1,000	Kaken Pharmaceutical Co Ltd		47,851
	7,700	Kamei Corp		76,438
	187,800	Kanematsu Corp		2,132,562
	1,000	Kato Sangyo Co Ltd		29,276
	496,500	KDDI Corp		13,224,683
	40,300	Keihin Corp (d)		549,341
	83,000	Kitz Corp		535,887
	1,245,089	Konica Minolta Holdings Inc		8,842,058
	7,600	Kose Corp		1,306,968
	2,600	Krosaki Harima Corp		126,120
	500	Kureha Corp		26,837
	20,800	Kyosan Electric Manufacturing Co Ltd		67,447
	31,200	Makino Milling Machine Co Ltd		1,261,530
	893,000	Marubeni Corp (d)		5,699,392
	74,700	MCJ Co Ltd		474,633
	3,573,500	Mitsubishi Chemical Holdings Corp		24,494,313
	176,700	Mitsubishi Electric Corp		2,126,836
	75,700	Mitsubishi Gas Chemical Co Inc		908,936
	75,900	Mitsubishi Tanabe Pharma Corp (d)		836,788
	12,000	Mitsui Chemicals Inc		256,009
	39,600	Modec Inc		895,393

Shares		Description	Value ($)
		Japan — continued
	24,100	MTI Ltd		157,741
	83,900	NEC Corp (d)		3,591,116
	75,900	NET One Systems Co Ltd		2,028,666
	41,700	Nichias Corp		692,085
	20,700	Nichiha Corp		524,801
	74,400	Nippo Corp		1,321,127
	8,100	Nippon Flour Mills Co Ltd		126,221
	17,300	Nippon Light Metal Holdings Co Ltd		29,923
	1,063,100	Nippon Telegraph & Telephone Corp		50,962,727
	17,700	Nisshin Oillio Group Ltd (The)		549,273
	23,000	Nissin Electric Co Ltd		271,462
	29,100	Nomura Real Estate Holdings Inc		616,195
	132,300	NTT DOCOMO Inc (d)		3,337,383
	50,300	Obayashi Corp		462,908
	11,800	Osaki Electric Co Ltd		73,325
	25,300	Prima Meat Packers Ltd		499,889
	37,700	Rohto Pharmaceutical Co Ltd		933,954
	8,700	Ryoden Corp		131,220
	18,500	Sanoh Industrial Co Ltd (a)		76,970
	19,600	Seikitokyu Kogyo Co Ltd		124,593
	264,000	Sekisui Chemical Co Ltd		3,798,013
	10,500	Shin-Etsu Polymer Co Ltd		67,691
	11,300	Shinnihon Corp		80,754
	127,000	Shionogi & Co Ltd (d)		6,797,724
	118,700	Showa Corp		1,516,734
	4,762,400	Sojitz Corp		14,507,503
	4,938,300	Sumitomo Chemical Co Ltd		21,578,522
	2,200	Sumitomo Dainippon Pharma Co Ltd (d)		38,348
	15,500	T-Gaia Corp (d)		311,063
	8,800	Takasago Thermal Engineering Co Ltd		142,392
	27,800	Tatsuta Electric Wire and Cable Co Ltd		112,230
	69,600	Teijin Ltd		1,249,735
	13,700	Tocalo Co Ltd		102,584
	7,600	Token Corp		446,879
	10,700	Tokyu Construction Co Ltd (d)		73,744
	8,500	Tomy Co Ltd		88,516
	8,700	Toshiba TEC Corp		252,216
	8,100	Towa Pharmaceutical Co Ltd		185,403
	3,800	Toyo Ink SC Holdings Co Ltd		78,610
	108,003	Toyota Tsusho Corp		3,344,946
	116,500	TS Tech Co Ltd		3,193,552
	16,200	Unipres Corp		251,580
	18,800	Vital KSK Holdings Inc		184,927
	13,700	Wacoal Holdings Corp		319,239
	23,000	Warabeya Nichiyo Holdings Co Ltd		379,220
	9,200	Yellow Hat Ltd		137,996
		Total Japan		416,042,635
		Luxembourg — 0.0%
	2,000	Ternium SA Sponsored ADR		35,320

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Malaysia — 0.1%
	239,400	AMMB Holdings Berhad		238,793
	2,345,700	DRB-Hicom Berhad		1,402,342
	689,900	IOI Properties Group Berhad		194,895
	58,300	PPB Group Bhd		258,421
	6,551,400	Supermax Corp Berhad		2,315,691
	355,400	Ta Ann Holdings Berhad		181,509
		Total Malaysia		4,591,651
		Mexico — 0.7%
	39,400	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		50,072
	275,446	Bolsa Mexicana de Valores SAB de CV		509,482
	117,000	Credito Real SAB de CV SOFOM ER		129,718
	180,700	El Puerto de Liverpool SAB de CV – Class C1		937,333
	374,500	Fibra Uno Administracion SA de CV (REIT)		518,543
	920,600	Gentera SAB de CV		685,345
	39,300	Grupo Aeroportuario del Centro Norte SAB de CV		231,096
	1,300	Grupo Aeroportuario del Centro Norte SAB de CV ADR		60,814
	8,400	Grupo Aeroportuario del Pacifico SAB de CV – Class B		79,853
	900	Grupo Aeroportuario del Sureste SAB de CV ADR		132,651
	427,200	Grupo Financiero Banorte SAB de CV – Class O		2,305,087
	60,500	Grupo Financiero Inbursa SAB de CV – Class O		74,563
	247,513	Grupo Herdez SAB de CV		516,354
	266,000	Megacable Holdings SAB de CV CPO		1,088,342
	23,895	Promotora y Operadora de Infraestructura SAB de CV		199,444
	31,900	Qualitas Controladora SAB de CV		107,169
	210,600	Unifin Financiera SAB de CV SOFOM ENR		370,309
	15,211,600	Wal-Mart de Mexico SAB de CV		43,157,028
		Total Mexico		51,153,203
		Netherlands — 1.5%
	546,880	ABN AMRO Group NV CVA		9,699,035
	263,302	ASR Nederland NV (d)		9,207,118
	53,691	ForFarmers NV		351,706
	89,460	Heineken Holding NV		8,853,550
	2,045,431	ING Groep NV		19,541,381
	8,600	Intertrust NV		178,633
	986,469	Koninklijke Ahold Delhaize NV		23,108,422
	15,013	Koninklijke Volkerwessels NV		257,511
	843	NN Group NV		28,248

Shares		Description	Value ($)
		Netherlands — continued
	35,874	Randstad NV		1,675,048
	311,546	Signify NV		9,116,341
	436,768	Wolters Kluwer NV		31,441,042
		Total Netherlands		113,458,035
		New Zealand — 0.0%
	1,129,731	Air New Zealand Ltd		2,039,418
		Norway — 0.5%
	4,304	Aker ASA – A Shares		220,252
	210,086	Aker Solutions ASA *		625,930
	335,461	Austevoll Seafood ASA		3,442,604
	162,657	BW LPG Ltd *		800,677
	685,736	DNB ASA		11,047,389
	273,741	Elkem ASA		689,785
	767,973	Equinor ASA (d)		13,096,314
	1,596	Gjensidige Forsikring ASA		30,799
	22,132	Grieg Seafood ASA		271,438
	384,556	Kongsberg Automotive ASA *		240,422
	6,423	Kvaerner ASA		8,324
	404,067	Leroy Seafood Group ASA		2,647,862
	116,760	Salmar ASA		5,539,257
	86,290	SpareBank 1 Nord Norge		642,911
	221,501	SpareBank 1 SR-Bank ASA		2,296,000
	210,246	Storebrand ASA		1,208,438
	5,026	TGS NOPEC Geophysical Co ASA		120,848
		Total Norway		42,929,250
		Pakistan — 0.1%
	92,760	Engro Corp Ltd		150,980
	1,613,000	Engro Fertilizers Ltd		678,451
	188,500	Fauji Fertilizer Co Ltd		110,066
	88,900	Habib Bank Ltd		62,263
	150,500	Hub Power Co Ltd (The)		63,518
	122,900	Lucky Cement Ltd		274,875
	26,500	MCB Bank Ltd		28,538
	125,900	Nishat Mills Ltd		58,193
	2,117,000	Oil & Gas Development Co Ltd		1,414,089
	273,520	Pakistan Oilfields Ltd		644,548
	343,800	Pakistan Petroleum Ltd		228,508
	199,700	Pakistan State Oil Co Ltd		159,019
	14,100	Searle Co Ltd (The)		11,880
	266,000	SUI Northern Gas Pipeline		87,268
	312,600	United Bank Ltd		258,705
		Total Pakistan		4,230,901
		Peru — 0.0%
	4,100	Credicorp Ltd		849,192

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.1%
	55,185	Globe Telecom Inc		2,152,018
	487,660	Manila Electric Co		3,418,879
	11,624,600	Megaworld Corp		1,145,173
	13,951,551	Nickel Asia Corp		733,912
	1,337,825	Semirara Mining & Power Corp		596,136
		Total Philippines		8,046,118
		Poland — 0.8%
	4,591	Alior Bank SA *		46,605
	354,683	Asseco Poland SA		4,980,812
	6,544	Bank Handlowy w Warszawie SA		82,834
	59,370	Bank Millennium SA *		99,415
	340,077	Bank Polska Kasa Opieki SA		8,324,374
	32,899	Budimex SA *		1,083,178
	54,641	Ciech SA		493,991
	52,934	Cyfrowy Polsat SA		387,234
	922,241	Energa SA *		1,532,005
	48,130	EPP NV		59,292
	118,299	Grupa Lotos SA *		2,554,687
	5,178	KRUK SA		215,793
	25,914	Lubelski Wegiel Bogdanka SA		250,690
	549	mBank SA *		44,474
	96,452	PLAY Communications SA		833,222
	608,487	Polski Koncern Naftowy ORLEN SA		13,844,240
	5,436,927	Polskie Gornictwo Naftowe i Gazownictwo SA		6,477,318
	694,360	Powszechna Kasa Oszczednosci Bank Polski SA		6,832,128
	1,715,708	Powszechny Zaklad Ubezpieczen SA		16,100,436
	5,834	Santander Bank Polska SA		446,753
	9,472	Stalprodukt SA		487,421
	60,778	Warsaw Stock Exchange		600,406
		Total Poland		65,777,308
		Portugal — 0.4%
	264,643	Altri SGPS SA		1,673,269
	122,037	Banco Comercial Portugues SA – Class R		25,902
	23,003	EDP Renovaveis SA		253,503
	2,605,806	EDP – Energias de Portugal SA		9,849,440
	866,878	Galp Energia SGPS SA		12,458,512
	80,712	Jeronimo Martins SGPS SA		1,331,922
	145,785	Navigator Co SA (The)		492,381
	297,413	NOS SGPS SA		1,746,377
	98,274	REN – Redes Energeticas Nacionais SGPS SA		275,492
	12,401	Semapa-Sociedade de Investimento e Gestao		164,331
	1,992,204	Sonae SGPS SA		1,807,981
		Total Portugal		30,079,110

Shares		Description	Value ($)
		Qatar — 0.3%
	2,820,692	Barwa Real Estate Co		2,633,462
	696,784	Doha Bank QPSC		497,553
	630,182	Ezdan Holding Group QSC *		105,029
	731,022	Gulf International Services QSC *		313,490
	188,584	Qatar Electricity & Water Co QSC		781,433
	2,489,950	Qatar Gas Transport Co Ltd		1,627,275
	785,665	Qatar Insurance Co SAQ		675,418
	353,259	Qatar International Islamic Bank QSC		750,966
	153,515	Qatar Islamic Bank SAQ		665,508
	2,586,570	Qatar National Bank QPSC		13,603,512
	451,110	Qatar National Cement Co QSC		707,120
	58,145	Qatar Navigation QSC		96,636
	173,993	United Development Co QSC		65,472
		Total Qatar		22,522,874
		Russia — 4.3%
	10,200,810	Alrosa PJSC		11,356,902
	1,298,400	Credit Bank of Moscow PJSC *		115,989
	1,925,000	ENEL RUSSIA PJSC		26,530
	54,104	Etalon Group Plc GDR (Registered)		105,660
	57,410,000	Federal Grid Co Unified Energy System PJSC		152,770
	797,780	Gazprom Neft PJSC		4,933,916
	9,443,377	Gazprom PJSC Sponsored ADR		65,382,732
	287,914	Globaltrans Investment Plc Sponsored GDR (Registered)		2,528,685
	98,133,000	Inter RAO UES PJSC		6,312,763
	21,944	LSR Group PJSC		251,236
	24,695	LSR Group PJSC GDR (Registered)		55,544
	683,234	LUKOIL PJSC Sponsored ADR		55,072,763
	215,090	M.Video PJSC *		1,494,019
	99,893	Magnit PJSC Sponsored GDR (Registered)		1,324,453
	5,895,100	Magnitogorsk Iron & Steel Works PJSC		3,698,885
	112,312	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		917,312
	659,021	MMC Norilsk Nickel PJSC ADR		16,000,133
	4,775,340	Moscow Exchange MICEX-RTS PJSC		6,773,481
	100,568	Novatek PJSC Sponsered GDR (Registered)		19,528,683
	866,290	Novolipetsk Steel PJSC		1,932,879
	694,230	Novolipetsk Steel PJSC GDR		15,459,696
	87,145	PhosAgro PJSC GDR (Registered)		1,128,811
	11,597	Polyus PJSC GDR (Registered)		661,874
	135,292	QIWI Plc Sponsored ADR		3,287,596
	95,540	Raspadskaya OJSC *		180,104
	103,341,000	ROSSETI PJSC		1,817,008
	14,992,000	RusHydro PJSC		123,360
	71,630	Safmar Financial Investment		525,058
	4,530,698	Sberbank of Russia PJSC Sponsored ADR		62,183,993

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	451,767	Severstal PJSC GDR (Registered)		6,759,266
	5,799,100	Surgutneftegas PJSC		2,385,124
	2,124,501	Surgutneftegas PJSC Sponsored ADR		8,754,193
	505,070	Tatneft PJSC		5,629,853
	371,885	Tatneft PJSC Sponsored ADR		24,788,826
	91,021	TCS Group Holding Plc GDR (Registered)		1,694,303
	54,150	TMK PJSC		44,649
	20,727	TMK PJSC GDR (Registered)		67,311
	7,246,000	Unipro PJSC		295,485
		Total Russia		333,751,845
		Singapore — 0.5%
	1,450,500	CapitaLand Ltd		3,624,962
	1,592,200	ComfortDelGro Corp Ltd		2,808,581
	568,200	DBS Group Holdings Ltd		10,019,121
	814,300	Frasers Logistics & Industrial Trust (REIT)		715,425
	631,000	Japfa Ltd		211,068
	77,300	Jardine Cycle & Carriage Ltd		1,717,039
	1,198,500	Mapletree Greater China Commercial Trust (REIT)		1,138,789
	170,600	Mapletree Industrial Trust (REIT)		283,787
	1,550,900	Mapletree Logistics Trust (REIT)		1,754,396
	69,400	SATS Ltd		239,938
	6,600	Singapore Airlines Ltd		42,000
	110,600	Singapore Exchange Ltd		652,910
	860,900	Singapore Technologies Engineering Ltd		2,440,067
	184,000	Sino Grandness Food Industry Group Ltd *		6,473
	77,000	United Overseas Bank Ltd		1,382,684
	74,600	Venture Corp Ltd		812,983
	508,800	Wilmar International Ltd		1,394,653
	19,403,800	Yangzijiang Shipbuilding Holdings Ltd		12,686,765
	1,115,800	Yanlord Land Group Ltd		882,843
		Total Singapore		42,814,484
		South Africa — 1.9%
	3,633,972	Absa Group Ltd		36,793,979
	39,768	AECI Ltd		238,228
	1,494,532	African Phoenix Investments Ltd *		72,060
	10,972	Anglo American Platinum Ltd		672,092
	237,316	Astral Foods Ltd		2,486,577
	427,669	Barloworld Ltd		3,132,520
	3,415,879	Blue Label Telecoms Ltd *		624,031
	86,913	Capitec Bank Holdings Ltd		6,271,956
	4,764	Clicks Group Ltd		62,526
	1,099,978	Delta Property Fund Ltd (REIT)		79,923
	878,461	Emira Property Fund Ltd (REIT)		741,038
	190,106	Fortress REIT Ltd – Class B		135,451

Shares		Description	Value ($)
		South Africa — continued
	179,861	Foschini Group Ltd (The)		1,783,987
	3,722,633	Growthpoint Properties Ltd (REIT)		5,638,858
	100,939	Hyprop Investments Ltd (REIT)		437,938
	121,375	Investec Ltd		641,977
	208,284	Invicta Holdings Ltd		261,569
	38,703	JSE Ltd		329,765
	731,536	Kumba Iron Ore Ltd		18,977,510
	369,184	Lewis Group Ltd		765,725
	851,224	Liberty Holdings Ltd		6,157,737
	222,090	Momentum Metropolitan Holdings		241,352
	333,900	Motus Holdings Ltd		1,647,061
	702,045	Mr Price Group Ltd		7,939,736
	952,078	Murray & Roberts Holdings Ltd		785,280
	855,374	Nedbank Group Ltd		12,753,540
	12,078	NEPI Rockcastle Plc		107,136
	592,113	Pepkor Holdings Ltd		649,960
	33,466	Rand Merchant Investment Holdings Ltd		65,458
	1,639,290	Redefine Properties Ltd (REIT)		848,999
	779,380	Reunert Ltd		3,304,758
	1,019,246	RMB Holdings Ltd		4,800,786
	1,492,474	SA Corporate Real Estate Ltd (REIT)		316,637
	411,846	Sanlam Ltd (b)		1,975,627
	39,167	Santam Ltd (b)		734,844
	2,910	SPAR Group Ltd (The)		33,343
	238,187	Standard Bank Group Ltd		2,786,879
	2,365,055	Telkom SA SOC Ltd		12,434,427
	2,665,050	Truworths International Ltd		9,271,375
	267,529	Tsogo Sun Gaming Ltd		243,741
	251,322	Wilson Bayly Holmes-Ovcon Ltd		1,659,567
	53,758	Woolworths Holdings Ltd		195,586
		Total South Africa		149,101,539
		South Korea — 2.9%
	86,038	Aekyung Petrochemical Co Ltd		510,429
	50,007	Aju Capital Co Ltd		431,732
	90,123	Cheil Worldwide Inc		1,966,284
	348	Dae Han Flour Mills Co Ltd		51,190
	3,775	Daelim Industrial Co Ltd		304,730
	77,525	DB Insurance Co Ltd		3,069,329
	48,897	DGB Financial Group Inc		278,339
	2,789	DongKook Pharmaceutical Co Ltd		150,680
	74,571	Dongwha Pharm Co Ltd		507,045
	486,367	Dongwon Development Co Ltd		1,670,761
	2,331	GOLFZON Co Ltd		128,031
	13,683	GS Home Shopping Inc		1,805,490
	1,075,024	Hana Financial Group Inc		28,876,773
	16,840	Hankook Technology Group Co Ltd		205,290
	42,074	Huons Co Ltd		1,581,857
	38,282	Hyundai Home Shopping Network Corp		2,945,508

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, 2019 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	96,881	Hyundai Hy Communications & Network Co Ltd		298,847
	110,519	Hyundai Motor Co		11,747,569
	12,612	Il Dong Pharmaceutical Co Ltd		167,368
	1,498,976	Industrial Bank of Korea		15,356,127
	220,860	JB Financial Group Co Ltd		1,001,720
	192,283	KB Financial Group Inc		6,282,471
	17,400	KB Financial Group Inc ADR		565,674
	1,076,597	Kia Motors Corp		38,860,808
	119,868	Korea Asset In Trust Co Ltd		336,380
	44,974	Korea Autoglass Corp		653,975
	7,187	Korean Reinsurance Co		48,191
	67,372	KT Hitel Co Ltd *		342,473
	4,346	KT&G Corp		365,977
	42,231	Kyobo Securities Co Ltd		332,661
	34,866	Kyungdong Pharm Co Ltd		220,819
	121,187	LF Corp		1,931,222
	37,094	LG Corp		2,182,124
	24,164	LG Electronics Inc		1,223,974
	12,823	LG Uplus Corp		139,969
	43,187	LOTTE Himart Co Ltd		1,117,097
	28,523	Mirae Asset Life Insurance Co Ltd		97,209
	837	NCSoft Corp		371,061
	1,761	NHN Corp *		88,189
	8,514	Orange Life Insurance Ltd		189,570
	3,926	POSCO		684,715
	84,715	Samjin Pharmaceutical Co Ltd		1,885,568
	464,195	Samsung Electronics Co Ltd		16,900,861
	124	Samsung Electronics Co Ltd GDR		113,761
	7,859	Samsung SDS Co Ltd		1,273,799
	8,508	Sebang Global Battery Co Ltd		269,470
	913,257	Shinhan Financial Group Co Ltd		30,740,465
	56,572	SK Holdings Co Ltd		9,354,592
	163,580	SK Hynix Inc		10,475,774
	838,041	SK Telecom Co Ltd Sponsored ADR		18,353,098
	33,798	SL Corp		601,563
	180	Taekwang Industrial Co Ltd		159,535
	288,042	Woori Financial Group Inc		2,834,437
		Total South Korea		222,052,581
		Spain — 1.7%
	389,142	ACS Actividades de Construccion y Servicios SA		14,725,746
	102,855	Aena SME SA		18,571,232
	181,867	Almirall SA		3,466,652
	2,571	Applus Services SA		34,211
	15,263	Banco Bilbao Vizcaya Argentaria SA		72,410
	507,052	Banco Santander SA		1,920,297
	79,667	Cia de Distribucion Integral Logista Holdings SA		1,564,865

Shares		Description	Value ($)
		Spain — continued
	1,297,498	Endesa SA		33,346,825
	46,287	Faes Farma SA		243,431
	3,224,549	Iberdrola SA		33,193,529
	4,674,234	International Consolidated Airlines Group SA		23,978,492
	693,961	Mapfre SA		1,808,493
	83,467	Mediaset Espana Comunicacion SA		528,192
	4,858	Red Electrica Corp SA		96,473
	13,008	Repsol SA		189,260
		Total Spain		133,740,108
		Sweden — 0.9%
	353,507	Betsson AB *		1,709,276
	15,007	Bravida Holding AB		125,722
	10,344	Bufab AB		104,918
	12,849	Dustin Group AB		106,138
	19,204	Granges AB		174,279
	1,083	Hemfosa Fastigheter AB		10,932
	13,186	Kindred Group Plc SDR		73,936
	356,259	Klovern AB – B Shares		643,983
	14,982	Lindab International AB		144,738
	19,900	New Wave Group AB-Class B		116,030
	158,754	Peab AB		1,302,561
	180,212	Resurs Holding AB		1,024,239
	750,687	Sandvik AB		10,782,230
	921,251	Svenska Cellulosa AB SCA – Class B		7,960,023
	153,083	Swedish Match AB		6,006,301
	85,336	Volvo AB – A Shares		1,179,435
	2,635,840	Volvo AB – B Shares		36,477,423
		Total Sweden		67,942,164
		Switzerland — 1.0%
	12,612	ALSO Holding AG (Registered) *		1,800,370
	165	Baloise Holding AG (Registered)		28,222
	51	Belimo Holding AG (Registered)		257,842
	22,118	BKW AG		1,444,746
	8,404	Bobst Group SA (Registered) (a)		409,181
	2,672	Georg Fischer AG (Registered)		2,196,237
	119	Gurit Holding AG		136,550
	16,460	Huber + Suhner AG (Registered)		1,057,958
	167	Inficon Holding AG (Registered)		105,006
	10,870	Kardex AG (Registered)		1,525,427
	47,081	Mobilezone Holding AG (Registered) *		469,518
	43,961	Nestle SA (Registered)		4,940,091
	82,038	Novartis AG (Registered)		7,396,107
	6,613	Orior AG *		567,009
	37,733	Roche Holding AG		10,280,081
	154,127	Roche Holding AG – Genusschein		42,116,776
	5,835	Zehnder Group AG – Class RG		213,767
		Total Switzerland		74,944,888

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 5.5%
	302,000	Ability Enterprise Co Ltd		162,366
	152,000	Actron Technology Corp		458,993
	331,000	Advantech Co Ltd		2,812,834
	89,000	Arcadyan Technology Corp		295,814
	3,116,799	Asustek Computer Inc		20,225,533
	57,000	Aten International Co Ltd		151,684
	2,278,000	Catcher Technology Co Ltd		15,965,960
	114,000	Cathay Real Estate Development Co Ltd		73,818
	2,087,890	Chailease Holding Co Ltd		8,272,604
	1,254,660	Chicony Electronics Co Ltd		3,522,374
	1,042,000	Chin-Poon Industrial Co Ltd		1,059,001
	8,797,000	China Development Financial Holding Corp		2,544,474
	566,000	China Motor Corp		450,253
	368,000	Chong Hong Construction Co Ltd		936,804
	120,000	Cleanaway Co Ltd		582,648
	5,832,000	Coretronic Corp		7,139,476
	16,807,000	CTBC Financial Holding Co Ltd		10,886,342
	427,000	CTCI Corp		595,273
	61,000	Depo Auto Parts Ind Co Ltd		122,866
	250,500	Elan Microelectronics Corp		679,010
	324,000	Elite Material Co Ltd		1,362,031
	642,000	Elitegroup Computer Systems Co Ltd *		254,372
	639,000	Everlight Electronics Co Ltd		559,312
	505,000	Far Eastern Department Stores Ltd		380,315
	553,000	Farglory Land Development Co Ltd		662,658
	1,621,300	Feng TAY Enterprise Co Ltd		10,557,315
	1,101,000	FLEXium Interconnect Inc		3,285,228
	244,000	Formosa Advanced Technologies Co Ltd		259,020
	644,000	Formosa Chemicals & Fibre Corp		1,805,336
	1,311,000	Formosa Petrochemical Corp		4,053,944
	1,125,000	Formosa Plastics Corp		3,368,844
	2,043,000	Formosa Taffeta Co Ltd		2,213,858
	4,870,000	Foxconn Technology Co Ltd		9,828,089
	51,000	Fusheng Precision Co Ltd		266,269
	35,000	Giant Manufacturing Co Ltd		243,700
	3,964,000	Gigabyte Technology Co Ltd		6,661,905
	89,000	Global Mixed Mode Technology Inc		340,044
	393,000	Globalwafers Co Ltd		3,608,188
	10,027,000	Grand Pacific Petrochemical		5,917,338
	3,448,021	Great Wall Enterprise Co Ltd		4,048,444
	486,000	Greatek Electronics Inc		638,066
	1,744,000	Highwealth Construction Corp		2,747,413
	121,000	Holiday Entertainment Co Ltd		266,135
	1,952,000	Holtek Semiconductor Inc		4,155,738
	77,000	Holy Stone Enterprise Co Ltd		223,295
	4,128,600	Hon Hai Precision Industry Co Ltd		9,745,756
	18,000	Hotai Motor Co Ltd		253,553
	456,000	Huaku Development Co Ltd		1,168,178

Shares		Description	Value ($)
		Taiwan — continued
	1,053,000	IBF Financial Holdings Co Ltd		350,169
	583,300	IEI Integration Corp		672,299
	267,000	International Games System Co Ltd		3,217,878
	3,717,000	Inventec Corp		2,543,211
	25,000	King Slide Works Co Ltd		261,079
	370,000	Kinik Co		666,287
	141,000	Kung Long Batteries Industrial Co Ltd		668,463
	29,000	Lion Travel Service Co Ltd		71,538
	2,049,000	Lite-On Semiconductor Corp		2,676,029
	1,430,000	Lite-On Technology Corp		2,274,820
	153,300	Makalot Industrial Co Ltd		902,483
	89,000	MediaTek Inc		1,041,062
	3,123,088	Mercuries Life Insurance Co Ltd *		1,044,100
	61,000	Mirle Automation Corp		80,824
	3,928,283	Mitac Holdings Corp		3,450,923
	5,717,000	Nan Ya Plastics Corp		12,519,001
	424,000	Nantex Industry Co Ltd		440,120
	6,295,000	Nanya Technology Corp		14,097,977
	6,269,000	Novatek Microelectronics Corp		37,132,336
	306,000	On-Bright Electronics Inc		1,737,139
	39,000	OptoTech Corp		28,709
	1,567,000	Phison Electronics Corp		14,406,958
	13,748,566	Pou Chen Corp		17,148,175
	1,470,000	Qisda Corp		938,333
	3,404,000	Quanta Computer Inc		6,119,659
	9,592,020	Radiant Opto-Electronics Corp		34,642,210
	1,429,000	Realtek Semiconductor Corp		9,773,262
	689,240	Ruentex Development Co Ltd		933,455
	1,761,600	Ruentex Industries Ltd *		3,906,619
	187,000	Sercomm Corp		491,102
	672,000	Sheng Yu Steel Co Ltd		414,850
	231,000	Shin Zu Shing Co Ltd		881,432
	215,000	Shinkong Insurance Co Ltd		256,527
	478,400	Simplo Technology Co Ltd		4,006,526
	363,000	Sinbon Electronics Co Ltd		1,587,942
	176,000	Sitronix Technology Corp		906,580
	416,000	Soft-World International Corp		968,467
	141,000	Standard Chemical & Pharmaceutical Co Ltd		144,278
	2,213,000	Sunplus Technology Co Ltd *		964,267
	531,000	Syncmold Enterprise Corp		1,323,919
	19,000	TaiDoc Technology Corp		81,706
	92,000	Taiwan Paiho Ltd		245,721
	1,312,000	Taiwan PCB Techvest Co Ltd		1,545,366
	1,255,000	Taiwan Semiconductor Manufacturing Co Ltd		10,311,864
	679,450	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		28,964,953
	404,000	Taiwan Styrene Monomer		278,298
	2,458,000	Taiwan Surface Mounting Technology Corp		5,810,640

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, 2019 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	370,000	Tong Hsing Electronic Industries Ltd		1,407,408
	560,700	TOPBI International Holdings Ltd		1,741,965
	976,188	Topco Scientific Co Ltd		2,883,686
	244,000	Topkey Corp		1,201,618
	571,000	Transcend Information Inc *		1,197,521
	877,000	Tripod Technology Corp		3,167,191
	303,000	TXC Corp		384,288
	2,453,000	Uni-President Enterprises Corp		5,981,758
	542,800	United Integrated Services Co Ltd		2,678,169
	176,000	Wah Lee Industrial Corp		299,070
	7,407,000	Walsin Lihwa Corp		3,248,848
	528,000	YC INOX Co Ltd		437,797
	603,000	Youngtek Electronics Corp		817,916
	18,441,000	Yuanta Financial Holding Co Ltd		10,594,063
	19,000	Yulon Nissan Motor Co Ltd		149,325
	11,000	Zeng Hsing Industrial Co Ltd		46,343
	280,000	Zhen Ding Technology Holding Ltd		1,034,560
		Total Taiwan		426,013,553
		Thailand — 0.3%
	1,095,400	AP Thailand Pcl (Foreign Registered)		260,833
	169,400	AP Thailand Pcl NVDR		40,337
	751,200	Com7 Pcl NVDR		636,545
	466,600	Mega Lifesciences Pcl NVDR		475,156
	388,600	Pruksa Holding Pcl (Foreign Registered)		246,068
	1,512,700	Pruksa Holding Pcl NVDR		957,867
	3,372,700	PTT Global Chemical Pcl NVDR		5,850,242
	2,896,300	PTT Pcl (Foreign Registered)		4,179,507
	849,700	SC Asset Corp Pcl (Foreign Registered)		73,223
	207,800	Somboon Advance Technology Pcl NVDR		112,650
	1,148,725	Supalai Pcl (Foreign Registered)		738,893
	420,300	Thai Beverage Pcl		272,148
	3,955,300	Thanachart Capital Pcl (Foreign Registered)		7,291,493
	245,500	Thanachart Capital Pcl NVDR		452,573
		Total Thailand		21,587,535
		Turkey — 1.5%
	7,989,294	Akbank TAS		9,496,473
	209,302	Aksa Akrilik Kimya Sanayii AS		309,973
	48,969	Aygaz AS		82,782
	7,791,759	Dogan Sirketler Grubu Holding AS		1,770,095
	1,813,430	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		814,470
	28,833,118	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		5,853,160
	1,976,316	Enerjisa Enerji AS		2,000,214
	864,601	Enka Insaat ve Sanayi AS		860,668
	2,563,091	Eregli Demir ve Celik Fabrikalari TAS		2,825,831

Shares		Description	Value ($)
		Turkey — continued
	111,788	Ford Otomotiv Sanayi AS		1,128,654
	2,570,367	Haci Omer Sabanci Holding AS		3,876,861
	5,733,398	KOC Holding AS		17,250,987
	241,488	Kordsa Teknik Tekstil AS		487,224
	245,495	Koza Altin Isletmeleri AS *		2,884,635
	185,918	Mavi Giyim Sanayi Ve Ticaret AS – Class B		1,178,338
	27,382	Otokar Otomotiv Ve Savunma Sanayi AS		613,523
	388,912	Selcuk Ecza Deposu Ticaret ve Sanayi AS		327,321
	8,369,380	Soda Sanayii AS		7,932,490
	615,996	TAV Havalimanlari Holding AS		2,498,116
	1,269,985	Tekfen Holding AS		4,523,377
	27,387	Tofas Turk Otomobil Fabrikasi AS		83,211
	1,945,926	Trakya Cam Sanayii AS		853,468
	376,140	Tupras-Turkiye Petrol Rafineriler AS		8,141,530
	5,633,896	Turkiye Garanti Bankasi AS		8,629,876
	2,484,836	Turkiye Halk Bankasi AS *		2,427,735
	16,544,585	Turkiye Is Bankasi – Class C *		15,698,720
	12,196,327	Turkiye Sinai Kalkinma Bankasi AS		1,759,869
	7,662,236	Turkiye Vakiflar Bankasi TAO – Class D		6,124,565
	12,089,828	Yapi ve Kredi Bankasi AS *		4,766,270
		Total Turkey		115,200,436
		United Arab Emirates — 0.1%
	138,045	Abu Dhabi Commercial Bank PJSC		326,540
	1,139,197	Al Waha Capital PJSC		319,622
	325,387	DAMAC Properties Dubai Co PJSC *		84,634
	528,671	Dubai Islamic Bank PJSC		737,929
	4,837,157	Emaar Properties PJSC		6,531,059
	4,696,149	RAK Properties PJSC *		566,218
		Total United Arab Emirates		8,566,002
		United Kingdom — 4.1%
	1,750,541	3i Group Plc		23,402,117
	53,489	Ashmore Group Plc		294,682
	137,577	Ashtead Group Plc		3,819,445
	187,604	AstraZeneca Plc		16,757,059
	116,340	AVEVA Group Plc		5,248,769
	2,542,276	Barratt Developments Plc		19,625,458
	247,629	Bellway Plc		8,762,700
	324,155	Berkeley Group Holdings Plc (The)		15,481,623
	124,968	Bovis Homes Group Plc		1,565,446
	379,768	British American Tobacco Plc		13,321,620
	330,700	British American Tobacco Plc Sponsored ADR (a)		11,607,570
	206,555	Britvic Plc		2,184,936
	31,253	Close Brothers Group Plc		491,333

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	30,109	CMC Markets Plc		34,730
	273,174	Coca-Cola HBC AG *		9,089,057
	183,749	Compass Group Plc		4,660,304
	115,046	Computacenter Plc		1,869,408
	3,244	Daily Mail & General Trust Plc		31,965
	16,285	Dart Group Plc		149,191
	31,700	Diageo Plc Sponsored ADR		5,429,576
	11,920	Diploma Plc		230,452
	7,957	Direct Line Insurance Group Plc		27,457
	48,737	Drax Group Plc		160,307
	158,773	Dunelm Group Plc		1,694,264
	245,386	EI Group Plc *		838,806
	501,568	Electrocomponents Plc		3,555,100
	22,782	EMIS Group Plc		307,973
	1,005,186	Evraz Plc		6,071,430
	1,497,011	Ferrexpo Plc		3,680,917
	42,753	Galliford Try Plc		305,335
	5,796	Games Workshop Group Plc		309,549
	308,100	GlaxoSmithKline Plc Sponsored ADR		12,810,798
	18,377	Go-Ahead Group Plc (The)		465,637
	21,122	Grafton Group Plc		193,687
	320,569	Greene King Plc		3,287,734
	64,277	Greggs Plc		1,655,114
	69,741	Halma Plc		1,672,689
	32,600	HSBC Holdings Plc Sponsored ADR		1,170,340
	634,814	IG Group Holdings Plc		4,180,821
	281,978	Imperial Brands Plc		7,306,903
	428,720	Inchcape Plc		3,021,813
	290,867	Indivior Plc *		213,855
	93,567	Intermediate Capital Group Plc		1,527,854
	39,779	International Personal Finance Plc		42,708
	557,557	JD Sports Fashion Plc		4,202,328
	336,597	John Laing Group Plc		1,452,820
	6,971	Jupiter Fund Management Plc		29,058
	5,173,215	Legal & General Group Plc		13,860,074
	8,281,040	Lloyds Banking Group Plc		5,038,324
	138,383	McBride Plc *		92,788
	78,817	Meggitt Plc		594,859
	442,089	Mondi Plc (b)		8,622,244
	436,952	Mondi Plc (b)		8,522,939
	56,323	Morgan Sindall Group Plc		814,725
	168,588	National Express Group Plc		871,585
	109,023	Next Plc		7,892,058
	19,700	Nomad Foods Ltd *		396,955
	16,412	Numis Corp Plc		47,359
	56,596	OneSavings Bank Plc		221,995
	96,005	Pagegroup Plc		490,152
	52,811	Paragon Banking Group Plc		281,067
	1,320,038	Persimmon Plc		30,650,746
	64,062	Pets at Home Group Plc		181,336

Shares		Description	Value ($)
		United Kingdom — continued
	372,890	Phoenix Group Holdings Plc		2,938,669
	308,381	Plus500 Ltd		2,559,762
	1,360,312	QinetiQ Group Plc		4,795,896
	102,834	Redrow Plc		692,764
	60,400	Royal Dutch Shell Plc – Class B Sponsored ADR		3,367,904
	14,710	Safestore Holdings Plc (REIT)		119,995
	62,076	Sage Group Plc (The)		530,970
	11,222	Savills Plc		113,274
	37,900	Smith & Nephew Plc Sponsored ADR		1,817,684
	106,607	Softcat Plc		1,353,853
	125,054	Spectris Plc		3,531,694
	526,299	Spirent Communications Plc		1,183,650
	189,169	Stock Spirits Group Plc		547,914
	1,160,132	Tate & Lyle Plc		10,167,979
	16,728	Taylor Wimpey Plc		29,772
	411,785	Vesuvius Plc		2,336,081
	2,708	WPP Plc		32,037
		Total United Kingdom		318,941,842
		United States — 14.3%
	19,200	1-800-Flowers.com, Inc. – Class A *		282,624
	14,500	AAR Corp.		622,920
	500,500	Abercrombie & Fitch Co. – Class A (a)		7,317,310
	268,700	Acacia Communications, Inc. * (a)		16,941,535
	303,600	ACCO Brands Corp. (d)		2,814,372
	76,900	Acushnet Holdings Corp. (d)		1,997,093
	175,900	ADTRAN, Inc.		1,806,493
	486,340	Advanced Disposal Services, Inc. *		15,767,143
	4,900	AdvanSix, Inc. *		109,466
	122,100	AG Mortgage Investment Trust, Inc. (REIT)		1,830,279
	46,900	AgroFresh Solutions, Inc. *		75,978
	14,200	Alamo Group, Inc. (a)		1,621,356
	170,426	Allergan Plc		27,220,441
	33,300	Alpha & Omega Semiconductor Ltd. *		392,274
	150,000	Altria Group, Inc. (c)		6,561,000
	14,400	Ameresco, Inc. – Class A * (a)		207,360
	18,144	American Public Education, Inc. *		439,629
	7,600	American Software, Inc. – Class A		119,776
	38,400	American Vanguard Corp.		544,128
	95,600	Arbor Realty Trust, Inc. (REIT) (a)		1,199,780
	299,200	Archrock, Inc.		2,905,232
	59,400	Ares Commercial Real Estate Corp. (REIT) (a)		890,406
	50,000	Armstrong Flooring, Inc. *		338,500
	1,300	Arrow Financial Corp.		41,808
	2,600	Atkore International Group, Inc. *		75,426
	271,000	Avaya Holdings Corp. *		3,826,520
	146,200	AVX Corp. (a)		1,981,010

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	10,500	Axcelis Technologies, Inc. *		160,755
	15,600	BancFirst Corp.		838,812
	26,100	BankFinancial Corp.		304,326
	81,600	Banner Corp.		4,399,056
	1,700	Bar Harbor Bankshares (a)		37,519
	20,100	Bassett Furniture Industries, Inc.		244,818
	3,200	BCB Bancorp, Inc.		39,552
	9,830	Bel Fuse, Inc. – Class B		108,130
	160,800	Benchmark Electronics, Inc.		4,257,984
	192,800	Bloomin’ Brands, Inc.		3,478,112
	18,700	Bonanza Creek Energy, Inc. *		421,872
	13,500	Boston Private Financial Holdings, Inc.		143,370
	170,100	Brady Corp. – Class A		8,030,421
	110,600	Braemar Hotels & Resorts, Inc. (REIT) (a)		1,014,202
	41,000	Briggs & Stratton Corp.		177,120
	45,800	Brightsphere Investment Group, Inc.		416,322
	31,700	Brookline Bancorp, Inc.		445,068
	266,651	C&J Energy Services, Inc. *		2,549,184
	1,306,693	Caesars Entertainment Corp. * (a)		15,040,036
	118,300	California Resources Corp. * (a)		1,158,157
	1,300	Calix, Inc. *		7,813
	44,600	Camden National Corp.		1,849,116
	14,200	CareTrust REIT, Inc. (a)		337,818
	52,700	Carpenter Technology Corp. (a)		2,563,328
	9,600	Carriage Services, Inc.		204,192
	80,400	Carrols Restaurant Group, Inc. * (a)		586,920
	4,200	CBIZ, Inc. *		93,828
	109,600	Cedar Realty Trust, Inc. (REIT)		259,752
	433,908	Celgene Corp. * (a) (d)		42,002,294
	452,260	Centene Corp. * (a) (c)		21,084,361
	61,500	Central Garden & Pet Co. *		1,624,830
	12,800	Central Garden & Pet Co. – Class A *		307,968
	8,900	Century Bancorp, Inc. – Class A		720,900
	4,200	ChannelAdvisor Corp. *		36,120
	27,800	Chatham Lodging Trust (REIT) (a)		461,202
	1,000	Chemung Financial Corp.		40,190
	49,500	Cirrus Logic, Inc. *		2,655,180
	14,700	Citi Trends, Inc.		247,107
	16,000	Civista Bancshares, Inc.		326,880
	38,600	Clarus Corp. (a)		424,986
	8,600	CNB Financial Corp.		227,384
	189,300	CNO Financial Group, Inc. (a)		2,741,064
	15,700	Community Trust Bancorp, Inc.		610,730
	39,100	Computer Programs & Systems, Inc.		826,965
	95,300	Comtech Telecommunications Corp.		2,549,275
	12,400	Consolidated Water Co. Ltd.		181,784
	19,200	Container Store Group, Inc. (The) * (a)		86,016
	222,285	Contra Clementia Pharma (e)		300,085
	88,900	Core-Mark Holding Co., Inc.		2,879,471

Shares		Description	Value ($)
		United States — continued
	355,300	CoreCivic, Inc. (REIT) (a)		6,022,335
	207,800	CorePoint Lodging, Inc. (REIT) (d)		1,890,980
	14,700	CRA International, Inc.		571,683
	64,100	CSG Systems International, Inc. (a)		3,453,708
	6,000	CTS Corp.		171,180
	706,467	Cypress Semiconductor Corp. (a) (d)		16,255,806
	5,300	Daktronics, Inc.		38,319
	201,200	Dana, Inc. (a)		2,561,276
	318,598	DaVita, Inc. * (a) (c)		17,959,369
	922,700	Denbury Resources, Inc. * (a)		996,516
	191,200	Designer Brands, Inc. – Class A		3,152,888
	111,700	DHI Group, Inc. *		405,471
	58,400	Digi International, Inc. *		746,352
	71,600	Dime Community Bancshares, Inc. (a)		1,419,828
	857,601	Discovery, Inc. – Class C * (d)		22,323,354
	4,047	Donegal Group, Inc. – Class A		58,398
	57,100	Donnelley Financial Solutions, Inc. *		606,973
	18,800	Dril-Quip, Inc. * (a)		861,980
	31,700	DSP Group, Inc. *		438,728
	30,700	Ducommun, Inc. *		1,264,226
	145,066	Dynex Capital, Inc. (REIT) (a)		2,048,332
	14,700	El Paso Electric Co.		980,490
	6,500	Employers Holdings, Inc.		280,345
	1,700	EnerSys (a)		95,200
	87,800	Ennis, Inc.		1,765,658
	206,425	Enova International, Inc. *		4,933,557
	5,700	EnPro Industries, Inc.		354,996
	7,400	Escalade, Inc.		76,442
	8,300	ESSA Bancorp, Inc. (a)		126,990
	173,800	Essent Group Ltd. *		8,429,300
	124,100	Ethan Allen Interiors, Inc. (a)		2,134,520
	51,300	Evolution Petroleum Corp.		303,696
	16,300	Exterran Corp. *		171,965
	24,400	Farmers National Banc Corp.		329,400
	7,400	Federal Agricultural Mortgage Corp. – Class C (a)		609,390
	153,000	Federal Signal Corp.		4,545,630
	116,600	Federated Investors, Inc. – Class B (a)		3,735,864
	34,300	FedNat Holding Co.		419,489
	20,930	Financial Institutions, Inc.		608,226
	245,836	Finisar Corp. *		5,558,352
	25,326	First Community Bankshares, Inc.		805,620
	66,500	First Defiance Financial Corp.		1,738,975
	19,600	First Financial Corp.		795,760
	7,900	First Financial Northwest, Inc. (a)		108,388
	10,500	First of Long Island Corp. (The)		228,480
	230,500	Flagstar Bancorp, Inc. (a)		8,378,675
	20,800	Flushing Financial Corp.		401,232
	7,800	FONAR Corp. *		187,980
	10,505	FTI Consulting, Inc. * (a)		1,136,011

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	41,500	FTS International, Inc. *		104,165
	577,200	Fulton Financial Corp. (a)		9,206,340
	49,700	FutureFuel Corp.		535,766
	740,000	Gannett Co., Inc. (a)		7,784,800
	286,414	Genesee & Wyoming, Inc. – Class A * (d)		31,757,584
	69,900	Genie Energy Ltd. – Class B (a)		500,484
	143,300	GEO Group, Inc. (The) (REIT)		2,459,028
	79,497	Gibson Equity (e)		8,744,670
	27,100	Gorman-Rupp Co. (The)		809,477
	14,300	Great Southern Bancorp, Inc.		805,662
	23,600	Greif, Inc. – Class A		830,484
	106,800	Griffon Corp. (a)		1,863,660
	74,100	Group 1 Automotive, Inc.		5,536,752
	22,400	Hackett Group, Inc. (The)		361,312
	4,000	Hallmark Financial Services, Inc. *		70,320
	95,100	Haverty Furniture Cos, Inc.		1,821,165
	5,500	HealthStream, Inc. *		138,985
	18,800	Helix Energy Solutions Group, Inc. * (a)		136,112
	219,236	Herman Miller, Inc.		9,269,298
	206,700	Hersha Hospitality Trust (REIT)		2,873,130
	34,300	Hilltop Holdings, Inc.		814,625
	9,600	HomeTrust Bancshares, Inc.		242,112
	5,700	Hurco Cos, Inc.		181,887
	52,900	Hyster-Yale Materials Handling, Inc. (a)		2,885,695
	36,300	ICF International, Inc. (d)		3,073,158
	1,200	Independence Holding Co.		44,424
	84,563	Independent Bank Corp.		1,643,059
	52,600	Information Services Group, Inc. *		139,916
	29,062	Ingles Markets, Inc. – Class A		1,129,931
	53,200	Innospec, Inc.		4,425,176
	115,700	Insight Enterprises, Inc. * (a)		5,560,542
	59,200	Inter Parfums, Inc.		3,805,968
	97,800	International Bancshares Corp.		3,480,702
	31,357	INTL. FCStone, Inc. * (a) (d)		1,229,508
	396,500	Invesco Mortgage Capital, Inc. (REIT)		5,959,395
	435,800	Investors Bancorp, Inc. (a)		4,837,380
	143,900	iStar, Inc. (REIT) (a)		1,841,920
	24,700	Johnson Outdoors, Inc. – Class A (d)		1,383,200
	140,000	K12, Inc. * (d)		3,689,000
	24,700	Kelly Services, Inc. – Class A		597,987
	5,500	Kennametal, Inc. (a)		164,395
	38,500	Kimball Electronics, Inc. *		508,585
	46,500	Kimball International, Inc. – Class B		816,075
	104,700	Knoll, Inc.		2,414,382
	76,600	La-Z-Boy, Inc.		2,441,242
	68,900	Lantheus Holdings, Inc. * (a)		1,499,264
	337,600	Laredo Petroleum, Inc. * (a)		837,248
	224,800	Laureate Education, Inc. – Class A * (a)		4,113,840
	5,400	LB Foster Co. – Class A *		107,514
	12,800	LCNB Corp.		214,656

Shares		Description	Value ($)
		United States — continued
	17,600	Leaf Group Ltd. *		73,568
	79,445	LegacyTexas Financial Group, Inc.		3,209,578
	772,290	Liberty Global Plc – Series C * (a) (c)		20,172,215
	469,900	Liberty Media Corp.-Liberty SiriusXM – Class C *		19,176,619
	170,500	Liberty TripAdvisor Holdings, Inc. – Class A *		1,490,170
	31,500	Macatawa Bank Corp.		311,535
	240,700	Mallinckrodt Plc * (a)		623,413
	52,600	Marchex, Inc. – Class B *		178,840
	105,300	Marcus Corp. (The) (a)		3,533,868
	5,700	Marlin Business Services Corp. (a)		123,291
	65,400	Materion Corp. (d)		3,848,136
	52,100	Matrix Service Co. *		1,035,227
	345,732	Medidata Solutions, Inc. *		31,662,137
	36,400	Meet Group , Inc. (The) * (a)		125,580
	245,300	Mellanox Technologies Ltd *		26,259,365
	3,600	Mercantile Bank Corp.		110,772
	42,400	Meridian Bancorp, Inc.		741,152
	277,100	Meritor, Inc. * (a)		4,660,822
	2,500	MidWestOne Financial Group, Inc.		72,425
	14,500	Miller Industries, Inc.		453,705
	74,600	Modine Manufacturing Co. *		761,666
	6,400	Monarch Casino & Resort, Inc. *		284,032
	114,800	Monotype Imaging Holdings, Inc. (d)*		2,267,300
	111,400	Moog, Inc. – Class A		9,051,250
	93,400	Movado Group, Inc. (a)		2,009,968
	88,900	Mueller Industries, Inc. (a)		2,343,404
	9,700	MutualFirst Financial, Inc.		292,649
	16,400	Myriad Genetics, Inc. * (a)		385,892
	100	NACCO Industries, Inc. – Class A		4,978
	7,500	Nanometrics, Inc. * (a)		204,675
	30,800	National CineMedia, Inc. (a)		252,560
	130,900	National General Holdings Corp.		3,086,622
	193,500	Newmark Group, Inc. – Class A (a)		1,679,580
	5,600	Nicolet Bankshares, Inc. *		354,928
	1,028,272	Nielsen Holdings Plc (a) (c)		21,346,927
	7,337	Northrim BanCorp, Inc.		265,599
	319,600	Northwest Bancshares, Inc. (a)		5,052,876
	11,800	NorthWestern Corp. (d)		854,792
	1,141,500	Office Depot, Inc.		1,483,950
	7,100	Office Properties Income Trust (REIT) (a)		192,481
	175,100	OFG Bancorp (a)		3,593,052
	657	Oil-Dri Corp. of America (a)		20,209
	19,100	Old Second Bancorp, Inc.		225,189
	28,900	Olympic Steel, Inc. (a)		310,675
	600	One Liberty Properties, Inc. (REIT) (d)		16,068
	1,637,705	OneMarket Ltd. * (a)		931,342
	52,342	Oppenheimer Holdings, Inc. – Class A		1,453,014

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	17,500	OraSure Technologies, Inc. * (a)		115,500
	1,201	Orrstown Financial Services, Inc.		25,629
	10,100	Otter Tail Corp.		511,262
	4,700	Outfront Media, Inc. (REIT)		129,156
	840,820	Pacific Biosciences of California, Inc. * (a)		4,666,551
	5,600	Park-Ohio Holdings Corp.		152,264
	40,900	PC Connection, Inc. (d)		1,440,907
	23,300	PCM, Inc. *		815,733
	559,200	PDL BioPharma, Inc. * (a)		1,308,528
	1,100	Penns Woods Bancorp, Inc.		45,419
	158,500	PennyMac Financial Services, Inc. * (a)		4,690,015
	342,100	PennyMac Mortgage Investment Trust (REIT) (a)		7,444,096
	14,900	Peoples Bancorp, Inc.		457,579
	43,900	Perspecta, Inc.		1,139,205
	16,000	Pfenex, Inc. *		117,600
	91,000	Philip Morris International, Inc. (c)		6,560,190
	198,800	Piedmont Office Realty Trust, Inc. – Class A (REIT) (a)		3,924,312
	88,700	Pitney Bowes, Inc.		315,772
	158,900	PNM Resources, Inc. (a)		8,105,489
	40,100	PolyOne Corp. (a)		1,283,601
	126,600	Popular, Inc.		6,655,362
	102,700	Portland General Electric Co. (a)		5,842,603
	1,900	Preformed Line Products Co.		97,375
	12,500	Premier Financial Bancorp, Inc.		193,750
	20,000	Presidio, Inc.		320,400
	74,200	Prestige Consumer Healthcare, Inc. * (a)		2,365,496
	58,700	ProPetro Holding Corp. *		625,155
	15,700	Protective Insurance Corp. – Class B		254,340
	90,300	Provident Financial Services, Inc.		2,150,043
	5,100	QAD, Inc. – Class A		206,652
	27,900	Quanex Building Products Corp.		480,438
	177,400	Radian Group, Inc. (a)		4,000,370
	193,700	Rambus, Inc. *		2,428,998
	12,200	Regis Corp. * (a)		197,274
	11,133	Republic Bancorp, Inc. – Class A		472,596
	50,600	Resources Connection, Inc.		837,430
	6,700	REX American Resources Corp. *		460,156
	52,900	Ribbon Communications, Inc. *		273,493
	15,400	Riverview Bancorp, Inc.		108,570
	15,100	Rocky Brands, Inc.		440,014
	14,100	Rosetta Stone, Inc. *		257,325
	15,000	RR Donnelley & Sons Co. (a)		36,300
	64,800	RTI Surgical Holdings, Inc. * (a)		206,064
	37,300	Rudolph Technologies, Inc. *		820,227
	43,700	Rush Enterprises, Inc. – Class A		1,578,007
	17,500	Ryerson Holding Corp. *		120,225
	60,900	SandRidge Energy, Inc. *		285,012
	14,500	Sandy Spring Bancorp, Inc.		485,460

Shares		Description	Value ($)
		United States — continued
	275,300	Sanmina Corp. *		7,956,170
	9,400	ScanSource, Inc. *		265,644
	8,500	Scholastic Corp.		298,095
	59,700	Schweitzer-Mauduit International, Inc. (a)		2,002,338
	5,700	SEACOR Holdings, Inc. * (a)		267,729
	15,776	Seneca Foods Corp. – Class A *		433,524
	9,400	Shiloh Industries, Inc. * (a)		39,292
	104,800	Shoe Carnival, Inc. (a)		3,221,552
	36,700	Sierra Bancorp		904,288
	11,000	SilverBow Resources, Inc. *		95,480
	87,400	Sonic Automotive, Inc. – Class A (a)		2,351,934
	1,200	Southern First Bancshares, Inc. *		45,804
	1,300	Southern Missouri Bancorp, Inc.		43,420
	11,400	SP Plus Corp. *		393,414
	33,500	SpartanNash Co.		360,795
	6,600	Speedway Motorsports, Inc.		130,350
	136,200	Spok Holdings, Inc.		1,600,350
	94,200	SPX Corp. * (a)		3,574,890
	10,700	Standard Motor Products, Inc.		474,117
	17,400	Star Group LP		160,080
	9,000	State Auto Financial Corp. (a)		287,730
	247,952	Steelcase, Inc. – Class A		3,850,695
	44,100	Stepan Co.		4,206,699
	31,200	Stoneridge, Inc. *		958,152
	199,600	Summit Hotel Properties, Inc. (REIT)		2,227,536
	16,800	SunCoke Energy, Inc. * (a)		104,832
	742,700	Sunstone Hotel Investors, Inc. (REIT)		9,759,078
	959,001	SunTrust Banks, Inc. (a) (d)		58,988,152
	82,500	Sykes Enterprises, Inc. *		2,392,500
	12,900	Systemax, Inc. (a)		258,903
	110,800	Tech Data Corp. *		10,274,484
	667,900	TEGNA, Inc.		9,557,649
	30,700	Telenav, Inc. *		347,524
	233,700	Telephone & Data Systems, Inc.		5,889,240
	7,900	Tenet Healthcare Corp. *		171,035
	19,300	Territorial Bancorp, Inc.		527,855
	1,888,723	The Oneida Group (f)		2,984,182
	3,300	Timberland Bancorp, Inc.		84,381
	127,400	Timken Co. (The) (a) (d)		5,118,932
	114,900	Total System Services, Inc. (d)		15,421,878
	96,900	Tower International, Inc. * (a)		2,997,117
	53,900	Tredegar Corp.		931,931
	75,100	Tribune Publishing Co.		574,515
	62,900	TriCo Bancshares		2,224,144
	446,524	TRU TAJ (g)		6,102,495
	5,869	TRU TAJ (e)		586,900
	57,400	TrustCo Bank Corp. (a)		440,258
	4,100	Twin Disc, Inc. *		41,451
	5,700	UMB Financial Corp. (a)		355,224

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, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	334,900	Unisys Corp. *		2,190,246
	35,500	United Community Financial Corp.		342,575
	5,421	United Security Bancshares		56,270
	9,200	Unitil Corp.		555,404
	89,200	Universal Corp. (a) (d)		4,465,352
	100,100	Universal Forest Products, Inc.		3,913,910
	12,700	Univest Financial Corp.		321,437
	26,400	Varex Imaging Corp. * (a)		695,640
	43,557	Vectrus, Inc. *		1,762,316
	128,100	Vera Bradley, Inc. * (a)		1,356,579
	28,700	Veritiv Corp. * (a)		475,272
	125,600	Verso Corp. – Class A *		1,282,376
	628,591	Versum Materials, Inc. (a)		32,686,732
	905,100	Viacom, Inc. – Class B (a)		22,609,398
	12,700	Village Super Market, Inc. – Class A		317,119
	240,400	Vishay Intertechnology, Inc. (a)		3,805,532
	32,400	Vishay Precision Group, Inc. * (a)		1,012,500
	757,500	W&T Offshore, Inc. *		3,317,850
	228,300	WABCO Holdings, Inc. * (d)		30,480,333
	55,600	Walker & Dunlop, Inc.		3,105,816
	123,000	Warrior Met Coal, Inc. (a) (d)		2,570,700
	77,100	Washington Federal, Inc.		2,744,760
	44,125	Waterstone Financial, Inc.		732,034
	20,700	Watts Water Technologies, Inc. – Class A		1,896,741
	40,300	Weis Markets, Inc. (a)		1,540,669
	27,200	WellCare Health Plans, Inc. *		7,364,128
	107,060	Westmoreland and Mining Holdings (g)		999,227
	9,400	West Bancorporation, Inc.		195,896
	19,300	Westwood Holdings Group, Inc.		529,785
	17,100	Weyco Group, Inc.		419,463
	218,100	World Fuel Services Corp. (a) (d)		8,375,040
	14,800	Worthington Industries, Inc.		513,560
	438,000	Xenia Hotels & Resorts, Inc. (REIT) (a) (d)		8,851,980
	88,000	Xperi Corp.		1,612,160
	713,235	Zayo Group Holdings, Inc. * (a)		24,007,490
	138,900	Zumiez, Inc. *		3,608,622
		Total United States		1,110,648,236
		TOTAL COMMON STOCKS (COST $5,877,984,659)		5,585,411,753
		PREFERRED STOCKS (h) — 1.2%
		Brazil — 0.2%
	692,200	Banco do Estado do Rio Grande do Sul SA – Class B		3,782,779
	73,800	Cia de Saneamento do Parana		311,881
	233,800	Cia Paranaense de Energia – Class B		2,941,555
	355,900	Telefonica Brasil SA		4,612,691
		Total Brazil		11,648,906

Shares		Description	Value ($)
		Colombia — 0.0%
	29,568	Banco Davivienda SA		357,634
		Germany — 0.1%
	13,110	Bayerische Motoren Werke AG		705,903
	2,261	Draegerwerk AG & Co KGaA		107,793
	54,962	Henkel AG & Co KGaA		5,515,470
	8,381	Sixt SE		574,341
		Total Germany		6,903,507
		Russia — 0.4%
	1,062	AK Transneft PJSC		2,394,278
	107,916	Bashneft PJSC		2,538,526
	2,406,710	Sberbank of Russia PJSC		7,031,732
	33,691,800	Surgutneftegas PJSC		16,287,950
		Total Russia		28,252,486
		South Korea — 0.5%
	211	CJ Corp * (e)		9,755
	18,637	Hyundai Motor Co (b)		1,331,458
	14,019	Hyundai Motor Co (b)		881,066
	88,537	LG Electronics Inc		1,890,367
	1,075,949	Samsung Electronics Co Ltd		32,781,513
	5,491	Samsung Electronics Co Ltd GDR (Registered)		4,170,382
		Total South Korea		41,064,541
		Sweden — 0.0%
	15,394	Akelius Residential Property AB		546,702
		Taiwan — 0.0%
	201,277	CTBC Financial Holding Co Ltd		415,218
		TOTAL PREFERRED STOCKS (COST $101,312,296)		89,188,994
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	2,616,810	Media General, Inc. CVR * (e)		130,841
		TOTAL RIGHTS/WARRANTS (COST $—)		130,841
		INVESTMENT FUNDS — 1.4%
		United States — 1.4%
	1,023,900	Altaba, Inc. *		71,150,811
	812,365	iShares Core MSCI Emerging Markets ETF		39,212,859
		Total United States		110,363,670
		TOTAL INVESTMENT FUNDS (COST $111,323,543)		110,363,670

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, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 21.3%
		Brazil — 0.0%
		Corporate Debt — 0.0%
	2,100,000	Oi SA, 10.00%, due 07/27/25		1,900,500
		Italy — 0.1%
		Corporate Debt — 0.1%
	3,977,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		3,986,373
		Jamaica — 0.1%
		Corporate Debt
	6,369,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		2,706,825
	2,877,000	Digicel Ltd., 144A, 8.25%, due 12/30/22 (h)		1,611,120
		Total Jamaica		4,317,945
		Luxembourg — 0.1%
		Bank Loans — 0.1%
	11,456,500	SkillSoft Corp., 1st Lien Term Loan, 6.95%, due 04/28/21 (e)		9,537,536
		Puerto Rico — 0.2%
		Asset-Backed Securities — 0.1%
	1,040,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/20 (j)		755,300
	790,000	Commonwealth of Puerto Rico – Class A, 5.38%, due 07/01/33 (j)		576,700
	3,720,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/41 (j)		2,334,300
	3,000,000	Puerto Rico Electric Power Authority, 5.50%, due 07/01/49 (j)		2,377,500
		Total Asset-Backed Securities		6,043,800
		Municipal Obligations — 0.1%
	1,500,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28		1,335,000
	3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		2,813,700
	524,834	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class A, 6.00%, due 07/01/44		531,394
	6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27		6,117,760

Par Value†		Description	Value ($)
		Municipal Obligations — continued
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,351,020
		Total Municipal Obligations		12,148,874
		Total Puerto Rico		18,192,674
		Saint Lucia — 0.0%
		Corporate Debt — 0.0%
	2,920,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24		2,745,713
		United States — 20.8%
		Asset-Backed Securities — 0.7%
	282,910	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.12%, due 11/02/30		283,037
	646,598	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/24/29		647,242
	662,188	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/25/29		662,177
	87,107	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.20%, due 07/15/30		87,127
	227,073	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/13/30		227,069
	1,310,320	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/15/31		1,309,352
	596,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		595,992
	447,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.76%, due 05/15/30		446,997
	642,206	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.72%, due 11/17/27		642,202
	634,155	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.02%, due 07/26/31		634,146
	493,748	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.42%, due 01/18/25		494,256
	970,084	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.38%, due 04/25/26		970,232

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,668,712	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.43%, due 07/20/25		1,668,825
	596,000	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/15/30		595,992
	2,054,757	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.15%, due 10/25/37		2,044,405
	1,037,160	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 3.00%, due 04/25/36		1,036,649
	670,500	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.83%, due 04/20/30		670,491
	447,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		446,994
	469,065	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 01/17/28		469,058
	1,026,823	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.00%, due 07/15/31		1,026,808
	565,820	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/22/30		565,756
	424,365	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/18/30		424,347
	544,974	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.03%, due 10/24/30		545,007
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		141,268
	1,005,750	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		1,005,737
	573,202	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.47%, due 01/16/26		573,283
	416,935	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.76%, due 11/15/28		416,932
	162,673	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/15/30		162,766
	1,007,538	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.77%, due 05/16/31		1,007,470

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	250,457	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.68%, due 05/25/26		250,235
	1,083,247	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 11/28/30		1,083,165
	521,150	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 01/18/31		521,115
	792,148	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 01/27/31		792,082
	19,829	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.45%, due 04/15/25		19,833
	13,228	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Variable Rate, 3 mo. LIBOR + 1.15%, 3.45%, due 04/15/25		13,231
	509,580	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.94%, due 02/05/31		509,574
	141,455	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 10/20/29		141,463
	885,060	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.85%, due 01/15/31		885,048
	282,910	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.20%, due 07/17/29		282,979
	441,937	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.45%, due 05/25/29		439,663
	1,817,771	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.59%, due 07/25/29		1,794,093
	849,300	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.46%, due 04/20/31		849,288
	1,089,112	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		1,089,098
	723,654	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.23%, due 07/20/30		724,284
	333,224	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.52%, due 02/25/30		329,932

72 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,041,575	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.70%, due 04/25/31		1,037,256
	2,749,012	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.67%, due 06/25/37		2,717,755
	1,370,800	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 04/19/30		1,370,741
	1,018,476	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.97%, due 01/16/31		1,015,771
	695,065	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		692,802
	2,269,048	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.38%, due 03/26/29		2,259,764
	8,317	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		8,318
	156,355	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.95%, due 10/15/29		156,349
	236,006	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.56%, due 07/19/30		236,028
	713,033	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 01/25/31		713,023
	121,247	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.17%, due 08/16/29		121,269
	297,800	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 01/21/30		297,780
	311,201	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.93%, due 10/22/30		311,187
	471,517	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 07/15/30		471,510
	785,517	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.33%, due 05/15/26		786,345

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,589,333	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.05%, due 04/17/28		1,589,308
	1,425,866	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.05%, due 01/17/30		1,425,844
	70,775	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.18%, due 07/20/30		70,794
	509,238	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.74%, due 11/20/30		509,235
	1,449,557	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.90%, due 04/26/28		1,449,598
	774,575	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		772,772
	2,205,185	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.40%, due 05/25/47		2,210,530
	212,183	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.08%, due 07/20/30		212,173
	848,730	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.90%, due 10/15/30		848,718
	424,650	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.93%, due 04/18/31		424,644
		Total Asset-Backed Securities		51,236,214
		Bank Loans — 1.0%
	7,895,810	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.46%, due 01/16/23 (e)		6,948,313
	12,792,224	Communications Sales & Leasing, Inc., 2017 Term Loan B, 7.11%, due 10/24/22 (e)		12,344,496
	10,371,045	J.C. Penney Corp., Inc., 2016 Term Loan B, 6.39%, due 06/23/23 (e)		8,867,244
	4,178,238	Longview Power LLC, Term Loan B, 8.26%, due 04/13/21 (e)		3,384,373
	7,435,313	Murray Energy Corp., 2018 Term Loan B2, 9.36%, due 10/17/22 (e)		3,568,950
	17,716,069	Quorum Health Corp., Term Loan B, 9.01%, due 04/29/22 (e)		17,538,908
	7,790,000	Transform SR Holdings LLC, Term Loan, 9.42%, due 02/12/24 (e)		7,790,000
	2,955,664	Tronox Finance LLC, Term Loan B, 4.95%, due 09/23/24 (e)		2,933,497
	8,421,142	Westmoreland Coal Co., PIK Term Loan, 7.50%, due 03/15/29 (e)		6,315,856
	2,756,988	Windstream Services LLC, Term Loan B7, 9.50%, due 02/17/24 (e)		2,770,773

See accompanying notes to the financial statements. 73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		Bank Loans — continued
	2,749,600	WP CPP Holdings LLC, 2018 2nd Lien Term Loan, 10.01%, due 04/30/26 (e)		2,728,978
		Total Bank Loans		75,191,388
		Corporate Debt — 0.6%
	875,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19		857,500
	500,000	CHS/Community Health Systems, Inc., 5.13%, due 08/01/21		500,000
	508,000	CHS/Community Health Systems, Inc., 6.88%, due 02/01/22		351,643
	3,715,000	CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24		2,823,400
	634,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21		538,900
	1,250,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 01/15/22		1,056,250
	2,938,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 (h)		2,467,920
	14,789,000	Frontier Communications Corp., 11.00%, due 09/15/25		7,505,417
	5,471,000	Frontier Communications Corp., 144A, 8.00%, due 04/01/27		5,703,517
	3,200,000	JC Penney Corp., Inc., 144A, 5.88%, due 07/01/23		2,688,000
	1,100,000	JC Penney Corp., Inc., 6.38%, due 10/15/36		286,000
	1,500,000	JC Penney Corp., Inc., 7.63%, due 03/01/97		352,500
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		1,905,930
	1,640,000	NGL Energy Partners LP/NGL Energy Finance Corp., 144A, 7.50%, due 04/15/26		1,660,500
	5,330,000	Sprint Corp., 7.88%, due 09/15/23		5,996,250
	6,000,000	Tenet Healthcare Corp., 5.13%, due 05/01/25		6,015,000
	4,800,000	United States Steel Corp., 6.25%, due 03/15/26		4,245,024
	2,730,000	Uniti Fiber Holdings, Inc., 144A, REIT, 4.00%, due 06/15/24		2,407,111
		Total Corporate Debt		47,360,862
		U.S. Government — 16.8%
	16,158,904	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (k)		16,402,610
	28,242,626	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (k)		28,576,789
	161,389,776	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (k)		167,499,528
	174,319,526	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (k)		178,907,578
	84,458,039	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (k)		87,889,455

Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	198,455,657	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (k)		226,892,613
	24,233,954	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (k)		25,913,985
	45,247,758	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (k)		48,969,560
	157,100,453	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (k)		193,370,171
	41,800,000	U.S. Treasury Note, 1.13%, due 04/30/20		41,591,000
	45,000,000	U.S. Treasury Note, 1.50%, due 05/31/20		44,880,469
	9,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		8,991,563
	9,400,000	U.S. Treasury Note, 1.13%, due 02/28/21 (d)		9,329,500
	6,800,000	U.S. Treasury Note, 1.38%, due 01/31/21		6,772,906
	23,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (d)		22,981,335
	43,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (d)		43,699,123
	104,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.00%, due 10/31/20 (d)		104,015,032
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.07%, due 01/31/21 (d)		49,936,188
		Total U.S. Government		1,306,619,405
		U.S. Government Agency — 1.7%
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 1.92%, due 05/22/20		63,954,086
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 1.97%, due 02/10/20		7,995,693
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.14%, due 04/20/20		7,998,912
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.16%, due 02/21/20		5,000,103
	48,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.19%, due 12/26/19		48,004,355
		Total U.S. Government Agency		132,953,149
		Total United States		1,613,361,018
		TOTAL DEBT OBLIGATIONS (COST $1,628,309,298)		1,654,041,759
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	481,022	GMO U.S. Treasury Fund (l)		2,405,112
		TOTAL MUTUAL FUNDS (COST $2,405,112)		2,405,112

74 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.3%
		Foreign Government Obligations — 3.3%
CAD	57,250,000	Canadian Treasury Discount Bill, Zero Coupon, due 09/05/19		42,988,670
JPY	2,590,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/09/19		24,380,317
JPY	3,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/24/19		28,240,971
JPY	4,290,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/30/19		40,385,338
JPY	4,313,200,000	Japan Treasury Discount Bill, Zero Coupon, due 10/07/19		40,604,754
JPY	3,476,800,000	Japan Treasury Discount Bill, Zero Coupon, due 10/15/19		32,731,851
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/28/19		10,356,385
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/18/19		16,007,025
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/25/19		22,269,512
		Total Foreign Government Obligations		257,964,823

Shares		Description	Value ($)
		Money Market Funds — 0.2%
	99,715	SSgA USD Liquidity Fund – Class D shares, 2.12% (m)		99,715
	11,882,776	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (m) (n)		11,882,776
		Total Money Market Funds		11,982,491
		Repurchase Agreements — 1.1%
	85,598,746	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/30/19, maturing on 09/03/19 with a maturity value of $85,619,099 and an effective yield of 2.14%, collateralized by a U.S. Treasury Note with maturity date 02/29/24 and a market value of $86,487,515.		85,598,746
		U.S. Government — 0.7%
	50,550,000	U.S. Treasury Bill, 1.79%, due 10/03/19 (m) (o)		50,466,013
		TOTAL SHORT-TERM INVESTMENTS (COST $404,279,550)		406,012,073

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls
Westshore Terminals Investment Corp. (c)		25.00		01/17/20		CAD	1,200		CAD	2,622,000		72,105
Davita, Inc. (c )		60.00		01/17/20		USD	1,069		USD	6,025,953		331,390
Total Equity Options – Calls												403,495
Equity Options – Puts – 0.0%
Abbvie, Inc.		60.00		01/17/20		USD	1,465		USD	9,630,910		339,880
Index Options – Puts – 0.0%
S&P 500 Index		2,825.00		03/20/20		USD	71		USD	20,777,866		810,820
S&P 500 Index		2,850.00		03/20/20		USD	95		USD	27,801,370		1,179,900
S&P 500 Index		2,825.00		10/18/19		USD	142		USD	41,555,732		602,080
Total Index Options – Puts												2,592,800
TOTAL PURCHASED OPTIONS (COST $3,957,361)												3,336,175
TOTAL INVESTMENTS — 101.2% (Cost $8,129,571,819)												7,850,890,377

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (4.1)%
			Common Stocks — (3.7)%
			Austria — ( 0.0)%
	(40,305	)	IMMOFINANZ AG		(1,127,577	)
	(7,332	)	Schoeller-Bleckmann Oilfield Equipment AG		(465,558	)
			Total Austria		(1,593,135	)

Shares			Description	Value ($)
			Brazil — (0.2)%
	(306,100	)	Pagseguro Digital Ltd. – Class A *		(15,292,756	)
	(7,300	)	StoneCo Ltd. – Class A *		(219,584	)
			Total Brazil		(15,512,340	)
			Canada — (0.2)%
	(103,200	)	Agnico Eagle Mines Ltd		(6,459,288	)

See accompanying notes to the financial statements. 75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares			Description	Value ($)
			Canada — continued
	(255,000	)	AltaGas Ltd		(3,462,821	)
	(240,090	)	Westshore Terminals Investment Corp (c)		(3,940,188	)
			Total Canada		(13,862,297	)
			China — (0.0)%
	(1,000	)	Alibaba Group Holding Ltd Sponsored ADR *		(175,030	)
			Denmark — (0.2)%
	(50,217	)	Ambu A/S – Class B		(860,987	)
	(2,034	)	AP Moller – Maersk A/S – Class A		(2,025,836	)
	(2,059	)	AP Moller – Maersk A/S – Class B		(2,192,876	)
	(10,837	)	Demant A/S *		(328,349	)
	(20,534	)	DFDS A/S		(705,410	)
	(1,002	)	Drilling Co of 1972 A/S (The) *		(55,313	)
	(16,241	)	DSV A/S		(1,611,521	)
	(7,586	)	FLSmidth & Co A/S		(327,035	)
	(2,637	)	ISS A/S		(67,003	)
	(58,158	)	Jyske Bank A/S (Registered) *		(1,632,029	)
	(3,431	)	Orsted A/S		(327,442	)
	(1,091	)	Ringkjoebing Landbobank A/S		(65,496	)
	(35,013	)	Sydbank A/S		(489,286	)
			Total Denmark		(10,688,583	)
			France — (0.0)%
	(87,779	)	CGG SA *		(179,080	)
	(18,549	)	Iliad SA		(1,942,488	)
			Total France		(2,121,568	)
			Germany — (0.1)%
	(1,075,558	)	Deutsche Bank AG (Registered)		(7,763,648	)
	(43,200	)	QIAGEN NV *		(1,498,608	)
			Total Germany		(9,262,256	)
			Israel — (0.0)%
	(63,100	)	Tower Semiconductor Ltd *		(1,200,793	)
			Italy — (0.1)%
	(1,268,579	)	Saipem SPA *		(6,055,713	)
			Japan — (0.3)%
	(20,300	)	Acom Co Ltd		(71,577	)
	(4,100	)	Cosmos Pharmaceutical Corp		(836,377	)
	(11,400	)	CyberAgent Inc		(513,065	)
	(506	)	Daiwa House REIT Investment Corp		(1,335,397	)
	(137,500	)	Japan Lifeline Co Ltd		(2,148,280	)
	(104,400	)	JGC Corp		(1,210,629	)
	(2,500	)	JINS Holdings Inc		(137,940	)
	(21,300	)	Kansai Paint Co Ltd		(442,716	)
	(49,700	)	Keikyu Corp		(910,797	)
	(222,700	)	Mitsui OSK Lines Ltd		(5,232,539	)
	(6,400	)	Nifco Inc		(146,899	)

Shares			Description	Value ($)
			Japan — continued
	(3,400	)	Nippon Gas Co Ltd		(103,096	)
	(34,800	)	Nippon Paint Holdings Co Ltd		(1,644,608	)
	(197,800	)	Nippon Yusen KK		(2,946,563	)
	(631,300	)	Orient Corp		(795,459	)
	(6,000	)	Park24 Co Ltd		(123,071	)
	(13,200	)	Round One Corp		(215,536	)
	(4,000	)	Shima Seiki Manufacturing Ltd		(95,995	)
	(300	)	Shochiku Co Ltd		(34,836	)
	(11,000	)	Sundrug Co Ltd		(341,940	)
	(20,300	)	Tsuruha Holdings Inc		(2,213,181	)
	(3,600	)	Universal Entertainment Corp		(106,460	)
	(41,900	)	Welcia Holdings Co Ltd		(2,187,002	)
	(80,100	)	ZOZO Inc		(1,595,438	)
			Total Japan		(25,389,401	)
			Luxembourg — (0.0)%
	(25,700	)	Intelsat SA *		(531,476	)
			Netherlands — ( 0.0)%
	(38,600	)	InterXion Holding NV *		(3,124,284	)
			Norway — (0.0)%
	(10,854	)	Borr Drilling Ltd. *		(60,173	)
			Singapore — (0.0)%
	(241,500	)	Singapore Post Ltd		(159,908	)
			Spain — (0.0)%
	(1,322	)	Inmobiliaria Colonial Socimi SA (REIT)		(15,268	)
	(40,475	)	Masmovil Ibercom SA *		(828,023	)
			Total Spain		(843,291	)
			Sweden — (0.1)%
	(43,600	)	Spotify Technology SA *		(5,883,820	)
			Switzerland — (0.0)%
	(22,915	)	Stadler Rail AG *		(1,010,205	)
	(2,810	)	Swiss Prime Site AG (Registered)		(280,386	)
			Total Switzerland		(1,290,591	)
			United Kingdom — (0.2)%
	(783,479	)	Cobham Plc *		(1,543,497	)
	(47,930	)	Dechra Pharmaceuticals Plc		(1,754,451	)
	(52,700	)	Farfetch Ltd. – Class A *		(515,406	)
	(698,998	)	G4S Plc		(1,481,833	)
	(131,740	)	GVC Holdings Plc		(1,010,813	)
	(167,929	)	Just Eat Plc*		(1,607,436	)
	(1,238,090	)	Melrose Industries Plc		(2,736,473	)
	(42,258	)	TP ICAP Plc		(149,884	)
			Total United Kingdom		(10,799,793	)

76 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares			Description	Value ($)
			United States — (2.3)%
	(1,241,939	)	BB&T Corp.		(59,178,393	)
	(433,830	)	Bristol-Myers Squibb Co.		(20,854,208	)
	(539,601	)	CBS Corp.		(22,695,618	)
	(91,846	)	Centene Corp. * (c)		(4,281,861	)
	(1	)	CVS Health Corp.		(61	)
	(795,053	)	Discovery, Inc. – Class A *		(21,943,463	)
	(117,473	)	Eldorado Resorts, Inc. *		(4,523,885	)
	(1	)	Fidelity National Information Services, Inc.		(136	)
	(92,955	)	Global Payments, Inc.		(15,428,671	)
	(54,400	)	II-VI, Inc. *		(2,040,544	)
	(429,774	)	Keane Group, Inc. *		(2,277,802	)
	(74,400	)	NGL Energy Partners LP		(1,003,656	)
	(2	)	Occidental Petroleum Corp.		(87	)
	(41,918	)	Prosperity Bancshares, Inc.		(2,721,317	)
	(105,078	)	Seritage Growth Properties (REIT)		(4,107,499	)
	(3,106,063	)	Sirius XM Holdings, Inc.		(19,164,408	)
			Total United States		(180,221,609	)
			TOTAL COMMON STOCKS (PROCEEDS $288,315,204)		(288,776,061	)
			Debt Obligations — (0.4)%
			Corporate Debt — (0.4)%
	(4,800,000	)	AK Steel Corp., 6.38%, due 10/15/25		(4,020,000	)
	(4,200,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22		(4,021,500	)

Shares			Description	Value ($)
			Corporate Debt — continued
	(5,633,900	)	Sprint Capital Corp., 6.88%, due 11/15/28		(6,274,755	)
	(2,800,000	)	Talen Energy Supply LLC, 144A, 7.25%, due 05/15/27		(2,807,000	)
	(6,000,000	)	Tenet Healthcare Corp., 6.75%, due 06/15/23		(6,210,000	)
	(3,080,000	)	Tronox, Inc., 144A, 6.50%, due 04/15/26		(2,949,100	)
	(4,200,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(4,441,500	)
	(2,646,100	)	United States Steel Corp., 6.88%, due 08/15/25		(2,537,741	)
			Total Corporate Debt		(33,261,596	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $31,374,393)		(33,261,596	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $319,689,597)		(322,037,657	)
			Other Assets and Liabilities (net) — 2.9%		231,262,615
			TOTAL NET ASSETS — 100.0%		$7,760,115,335

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Apprecia tion (Deprecia tion) ($)
09/18/2019	BOA	AUD	12,093,537		USD	8,158,832		10,774
11/06/2019	BOA	AUD	19,360,000		USD	13,380,083		317,799
11/06/2019	GS	AUD	187,760,050		USD	128,679,956		1,997,359
11/04/2019	BCLY	BRL	13,937,280		USD	3,360,000		8,484
11/04/2019	CITI	BRL	4,004,216		USD	992,528		29,629
11/04/2019	JPM	BRL	12,219,356		USD	3,191,641		253,236
11/04/2019	MSCI	BRL	27,141,700		USD	6,793,592		266,791
09/04/2019	BOA	CAD	14,355,187		USD	10,780,000		(2,198	)
09/05/2019	CITI	CAD	35,750,000		USD	27,289,855		437,557
09/05/2019	JPM	CAD	21,500,000		USD	16,458,743		309,808
09/04/2019	JPM	CHF	88,478,343		USD	88,990,000		(404,638	)
09/17/2019	BOA	CHF	128,034,330		USD	130,690,623		1,178,446
09/17/2019	JPM	CHF	32,024,019		USD	32,820,000		426,342
09/18/2019	JPM	CHF	2,716,849		USD	2,803,696		55,227
10/04/2019	JPM	CHF	88,478,343		USD	89,802,936		159,225
10/11/2019	JPM	CLP	339,172,800		USD	480,000		9,791
10/11/2019	MSCI	CLP	11,212,371,500		USD	16,235,461		691,300
10/11/2019	BOA	COP	64,297,690,500		USD	19,614,516		966,763
09/13/2019	BOA	CZK	54,296,426		USD	2,360,000		59,699
09/13/2019	CITI	CZK	55,049,886		USD	2,370,000		37,779

See accompanying notes to the financial statements. 77

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Apprecia tion (Deprecia tion) ($)
09/13/2019	JPM	CZK	40,217,566		USD	1,760,000		56,159
09/13/2019	MSCI	CZK	145,850,654		USD	6,414,121		235,070
10/21/2019	JPM	EUR	46,331,525		USD	51,717,101		608,526
09/17/2019	BCLY	GBP	25,630,000		USD	32,433,726		1,229,373
09/17/2019	BOA	GBP	3,480,000		USD	4,400,662		163,785
09/17/2019	JPM	GBP	11,037,300		USD	13,920,565		482,726
10/21/2019	MSCI	GBP	32,070,650		USD	38,953,813		(147,298	)
09/13/2019	BCLY	HUF	1,944,097,560		USD	6,770,000		316,243
09/13/2019	BOA	HUF	2,248,493,479		USD	7,967,967		503,717
09/13/2019	JPM	HUF	540,826,306		USD	1,840,000		44,637
09/12/2019	BCLY	INR	243,644,000		USD	3,400,000		3,212
09/09/2019	BOA	JPY	1,132,977,945		USD	10,670,000		1,615
09/09/2019	JPM	JPY	2,590,000,000		USD	24,172,996		(215,049	)
09/24/2019	GS	JPY	3,000,000,000		USD	28,054,530		(226,370	)
09/30/2019	CITI	JPY	4,290,000,000		USD	40,071,688		(388,790	)
10/07/2019	BOA	JPY	4,313,200,000		USD	40,063,459		(636,626	)
10/15/2019	CITI	JPY	890,000,000		USD	8,279,060		(123,643	)
10/15/2019	JPM	JPY	2,586,800,000		USD	24,043,802		(378,797	)
10/21/2019	MSCI	JPY	11,688,399,913		USD	108,738,911		(1,658,562	)
10/28/2019	BOA	JPY	1,100,000,000		USD	10,186,789		(207,651	)
11/18/2019	JPM	JPY	1,700,000,000		USD	16,085,864		(64	)
11/25/2019	JPM	JPY	2,365,000,000		USD	22,350,578		(37,652	)
09/10/2019	BCLY	KRW	14,184,566,305		USD	12,054,767		331,556
09/10/2019	MSCI	KRW	4,818,263,520		USD	4,110,000		127,819
11/21/2019	BCLY	MXN	46,821,270		USD	2,310,000		4,048
09/04/2019	JPM	NOK	772,689,071		USD	86,021,443		1,224,241
09/18/2019	BOA	NOK	54,966,084		USD	6,153,135		118,684
10/08/2019	MSCI	NOK	73,527,363		USD	8,190,000		114,128
09/05/2019	GS	NZD	4,451,250		USD	2,902,839		98,005
09/05/2019	JPM	NZD	44,740,000		USD	29,517,140		1,325,448
09/05/2019	MSCI	NZD	44,960,000		USD	28,854,658		524,340
10/11/2019	BCLY	PEN	4,527,420		USD	1,371,197		39,622
10/11/2019	BOA	PEN	7,733,232		USD	2,340,000		65,552
09/09/2019	JPM	PHP	250,040,540		USD	4,810,534		12,475
09/13/2019	BOA	PLN	24,568,617		USD	6,320,000		147,275
09/13/2019	MSCI	PLN	32,133,450		USD	8,470,533		397,187
10/30/2019	BOA	RON	66,041,391		USD	15,552,325		208,799
10/24/2019	BCLY	RUB	187,376,000		USD	2,800,000		10,010
10/24/2019	BOA	RUB	287,080,900		USD	4,340,000		65,424
09/18/2019	BCLY	SEK	37,315,538		USD	3,897,181		91,550
10/03/2019	BCLY	SEK	156,081,209		USD	16,590,000		655,521
11/06/2019	BCLY	SEK	100,902,724		USD	10,630,000		306,470
09/17/2019	BCLY	SGD	4,899,280		USD	3,588,901		58,011
09/17/2019	BOA	SGD	6,081,199		USD	4,480,000		97,307
09/17/2019	JPM	SGD	4,130,249		USD	3,050,000		73,348
09/13/2019	BCLY	THB	81,311,710		USD	2,630,000		(30,301	)
09/11/2019	BCLY	TWD	346,641,230		USD	11,066,865		(7,935	)
09/11/2019	JPM	TWD	165,705,540		USD	5,340,000		45,894
09/18/2019	JPM	USD	187,721		AUD	278,344		(185	)
11/06/2019	GS	USD	28,474,509		AUD	41,920,000		(190,886	)
11/04/2019	CITI	USD	4,010,948		BRL	16,114,386		(135,901	)
11/04/2019	JPM	USD	5,310,945		BRL	20,245,878		(442,392	)
09/04/2019	BOA	USD	64,980,000		CAD	86,906,867		295,849
09/04/2019	JPM	USD	60,051,113		CAD	79,824,634		(94,737	)
10/11/2019	BCLY	USD	3,366,989		CAD	4,400,632		(59,797	)
10/11/2019	BOA	USD	594,593		CAD	783,956		(5,429	)
09/04/2019	JPM	USD	89,552,979		CHF	88,478,343		(158,341	)
09/17/2019	BOA	USD	25,320,000		CHF	24,835,831		(197,499	)

78 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Apprecia tion (Deprecia tion) ($)
10/11/2019	BOA	USD	2,820,000		COP	9,039,510,000		(198,342	)
09/13/2019	BCLY	USD	1,420,000		CZK	31,889,664		(68,975	)
09/13/2019	BOA	USD	1,370,000		CZK	30,822,644		(64,180	)
11/25/2019	CITI	USD	3,587,808		EUR	3,210,000		(37,774	)
09/17/2019	BCLY	USD	47,669,271		GBP	39,170,000		19,942
09/17/2019	GS	USD	8,773,592		GBP	7,230,000		28,884
09/17/2019	MSCI	USD	56,893,668		GBP	45,380,000		(1,643,823	)
11/26/2019	BCLY	USD	9,060,455		IDR	130,942,942,400		48,196
11/26/2019	JPM	USD	2,470,000		IDR	35,723,610,000		15,005
11/29/2019	BOA	USD	2,920,000		ILS	10,211,351		(16,119	)
11/29/2019	MSCI	USD	6,354,150		ILS	22,233,171		(31,532	)
09/12/2019	BCLY	USD	1,990,000		INR	137,437,360		(73,903	)
09/12/2019	JPM	USD	11,976,378		INR	837,796,410		(296,153	)
09/12/2019	MSCI	USD	2,060,000		INR	145,067,260		(37,530	)
09/09/2019	BOA	USD	10,530,000		JPY	1,129,986,624		110,218
09/09/2019	GS	USD	18,480,000		JPY	1,991,053,203		268,222
09/09/2019	JPM	USD	3,061,180		JPY	328,853,184		35,379
10/21/2019	CITI	USD	3,782,018		JPY	398,877,800		(14,599	)
10/21/2019	JPM	USD	66,836,352		JPY	7,153,369,800		727,553
09/10/2019	BCLY	USD	3,700,000		KRW	4,483,290,000		5,334
11/21/2019	BCLY	USD	4,140,204		MXN	83,181,298		(43,518	)
09/04/2019	JPM	USD	88,480,000		NOK	772,689,071		(3,682,798	)
10/08/2019	BCLY	USD	40,070,000		NOK	339,316,767		(2,801,171	)
10/08/2019	MSCI	USD	24,070,800		NOK	205,557,408		(1,493,419	)
12/04/2019	JPM	USD	51,454,364		NOK	467,156,489		(102,968	)
09/05/2019	BOA	USD	8,415,381		NZD	13,070,000		(179,677	)
09/05/2019	GS	USD	9,918,849		NZD	15,238,000		(317,039	)
09/05/2019	JPM	USD	8,678,893		NZD	13,170,000		(380,177	)
09/05/2019	MSCI	USD	10,883,145		NZD	16,617,000		(412,395	)
09/09/2019	BCLY	USD	2,630,000		PHP	137,270,220		4,095
09/13/2019	MSCI	USD	1,833,234		PLN	6,922,292		(94,048	)
10/24/2019	BOA	USD	16,179,502		RUB	1,034,137,118		(781,411	)
10/03/2019	BCLY	USD	7,330,000		SEK	69,720,394		(212,179	)
10/03/2019	MSCI	USD	19,490,000		SEK	180,225,952		(1,090,561	)
11/06/2019	BCLY	USD	122,291,319		SEK	1,173,843,803		(2,193,350	)
09/13/2019	BCLY	USD	13,479,337		THB	416,282,672		140,318
09/13/2019	BOA	USD	2,760,000		THB	86,124,972		57,779
09/13/2019	JPM	USD	2,540,000		THB	77,594,460		(1,317	)
09/20/2019	BCLY	USD	8,270,343		TRY	50,835,317		393,309
09/20/2019	CITI	USD	7,280,000		TRY	44,594,103		319,988
09/11/2019	BCLY	USD	2,660,000		TWD	83,683,600		13,597
09/11/2019	JPM	USD	2,510,000		TWD	77,717,130		(27,025	)
09/11/2019	MSCI	USD	2,960,000		TWD	91,645,448		(32,030	)
10/30/2019	BCLY	USD	9,070,453		ZAR	129,200,348		(614,419	)
10/30/2019	BCLY	ZAR	116,770,290		USD	7,560,000		(82,499	)
10/30/2019	BOA	ZAR	67,187,908		USD	4,360,000		(37,382	)
							$	(3,325,600	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
4,662	S&P 500 E-Mini		September 2019	$	681,770,880	$	(6,649,641	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 79

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Reverse Repurchase Agreements^(p)

Face Value		Description	Value ($)
USD	1,991,281	Citigroup Global Markets, Inc., (1.50)%, dated 08/21/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23), to be repurchased on demand at face value plus accrued interest.		(1,991,281	)
USD	661,023	JP Morgan Securities, Inc., 1.50%, dated 08/19/19 (collateral: Digicel Ltd., 144A, 8.25%, due 12/30/22), to be repurchased on demand at face value plus accrued interest.		(661,023	)
			$	(2,652,304	)
		Average balance outstanding	$	(8,316,843	)
		Average interest rate (net)		(0.79	)%
		Maximum balance outstanding	$	(75,732,392	)

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 the reverse repurchase agreements.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Liberty Global Plc (c)	25.00		10/18/19		(8,810	)		USD	(23,011,720	)		(1,850,100	)
Nielsen Holdings Plc (c)	23.00		11/15/19		(7,773	)		USD	(16,136,748	)		(310,920	)
Centene Corp. (c)	55.00		12/20/19		(1,433	)		USD	(6,680,646	)		(136,135	)
Centene Corp. (c)	50.00		12/20/19		(1,787	)		USD	(8,330,994	)		(432,454	)
Davita, Inc. (c)	50.00		01/17/20		(2,292	)		USD	(12,920,004	)		(2,200,320	)
Davita, Inc. (c)	52.50		01/17/20		(764	)		USD	(4,306,668	)		(588,280	)
Nielsen Holdings Plc (c)	23.00		02/21/20		(3,000	)		USD	(6,228,000	)		(210,000	)
Altria Group, Inc. (c)	47.50		03/20/20		(2,300	)		USD	(10,060,200	)		(361,100	)
Centene Corp. (c)	50.00		03/20/20		(1,800	)		USD	(8,391,600	)		(720,000	)
Philip Morris International, Inc. (c)	77.50		03/20/20		(1,400	)		USD	(10,092,600	)		(387,800	)
Davita, Inc. (c)	60.00		04/17/20		(1,800	)		USD	(10,146,600	)		(972,000	)
Liberty Global Plc (c)	30.00		04/17/20		(2,000	)		USD	(5,224,000	)		(350,000	)
			Total Equity Options – Calls								$	(8,519,109	)
Equity Options – Puts
Liberty Global Plc (c)	25.00		10/18/19		(2,937	)		USD	(7,671,444	)		(264,330	)
Davita, Inc. (c)	47.50		01/17/20		(764	)		USD	(4,306,668	)		(114,600	)
Nielsen Holdings Plc (c)	20.00		02/21/20		(3,000	)		USD	(6,228,000	)		(465,000	)
Philip Morris International, Inc. (c)	72.50		03/20/20		(1,400	)		USD	(10,092,600	)		(945,000	)
Altria Group, Inc. (c)	45.00		03/20/20		(2,300	)		USD	(10,060,200	)		(1,173,000	)
Centene Corp. (c)	40.00		03/20/20		(1,800	)		USD	(8,391,600	)		(396,000	)
Davita, Inc. (c)	50.00		04/17/20		(1,800	)		USD	(10,146,600	)		(594,000	)
Liberty Global Plc (c)	25.00		04/17/20		(2,000	)		USD	(5,224,000	)		(500,000	)
			Total Equity Options – Puts								$	(4,451,930	)
			TOTAL WRITTEN OPTIONS (Premiums $13,573,717)								$	(12,971,039	)

80 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Chesapeake Energy Corp.	CITI	USD	1,528,000		5.00%		0.09%		N/A			12/20/2021		Quarterly		45,840			126,983			81,143
Sell Protection^:
J.C. Penney Corporation, Inc.	GS	USD	1,017,000		5.00%		0.39%		1,017,000	USD		06/20/2020		Quarterly		(177,975	)		(220,006	)		(42,031	)
J.C. Penney Corporation, Inc.	MORD	USD	625,000		5.00%		0.39%		625,000	USD		06/20/2020		Quarterly		(118,750	)		(135,205	)		(16,455	)
J.C. Penney Corporation, Inc.	CITI	USD	625,000		5.00%		0.39%		625,000	USD		06/20/2020		Quarterly		(190,625	)		(135,205	)		55,420
															$	(441,510	)	$	(363,433	)	$	78,077

^ 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 the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. 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, 2019, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.53%	3 Month CAD LIBOR	CAD	19,360,000		09/17/2029	Semi-Annually		—			43,386			43,386
1.63%	3 Month CAD LIBOR	CAD	120,940,000		09/17/2029	Semi-Annually		(72,423	)		(514,145	)		(441,722	)
3 Month CAD LIBOR	1.68%	CAD	552,956,000		09/17/2029	Semi-Annually		2,519,792			4,301,798			1,782,006
3 Month CAD LIBOR	1.62%	CAD	34,240,000		09/17/2029	Semi-Annually		—			133,481			133,481
3 Month CAD LIBOR	1.67%	CAD	38,940,000		09/17/2029	Semi-Annually		—			289,200			289,200
3 Month CAD LIBOR	1.58%	CAD	54,635,000		09/17/2029	Semi-Annually		—			51,059			51,059
3 Month CAD LIBOR	1.57%	CAD	54,635,000		09/17/2029	Semi-Annually		—			4,793			4,793
3 Month CAD LIBOR	1.53%	CAD	15,700,000		09/17/2029	Semi-Annually		—			(35,184	)		(35,184	)
3 Month NZD Bank Bill Rate	1.30%	NZD	538,420,000		09/18/2029	Quarterly		748,285			3,036,405			2,288,120
3 Month NZD Bank Bill Rate	1.23%	NZD	28,400,000		09/18/2029	Quarterly		—			48,330			48,330
3 Month SEK STIBOR	0.27%	SEK	722,800,000		09/18/2029	Quarterly		(34,807	)		903,898			938,705
3 Month SEK STIBOR	0.30%	SEK	1,224,083,000		09/18/2029	Quarterly		269,583			1,858,557			1,588,974
3 Month SEK STIBOR	0.27%	SEK	442,100,000		09/18/2029	Quarterly		—			524,682			524,682
3 Month SEK STIBOR	0.16%	SEK	259,200,000		09/18/2029	Quarterly		—			10,156			10,156
3 Month SEK STIBOR	0.21%	SEK	271,800,000		09/18/2029	Quarterly		—			157,599			157,599
3 Month SEK STIBOR	0.25%	SEK	158,200,000		09/18/2029	Quarterly		—			163,544			163,544
3 Month SEK STIBOR	0.19%	SEK	518,000,000		09/18/2029	Quarterly		—			205,240			205,240
1.38%	3 Month USD LIBOR	USD	15,720,000		12/19/2029	Quarterly		—			(5,016	)		(5,016	)
1.38%	3 Month USD LIBOR	USD	15,720,000		12/19/2029	Quarterly		—			(4,276	)		(4,276	)
1.39%	3 Month USD LIBOR	USD	15,720,000		12/19/2029	Quarterly		—			(13,153	)		(13,153	)
1.41%	3 Month USD LIBOR	USD	40,250,000		12/19/2029	Quarterly		—			(145,419	)		(145,419	)

See accompanying notes to the financial statements. 81

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Swap Contracts — continued

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) ($)
1.42%	3 Month USD LIBOR	USD	40,250,000		12/19/2029	Quarterly		—			(158,677	)		(158,677	)
1.43%	3 Month USD LIBOR	USD	28,330,000		12/19/2029	Quarterly		—			(143,678	)		(143,678	)
1.48%	3 Month USD LIBOR	USD	28,460,000		12/19/2029	Quarterly		—			(283,611	)		(283,611	)
3 Month USD LIBOR	1.56%	USD	95,418,000		12/19/2029	Quarterly		(149,309	)		1,651,277			1,800,586
-0.60%	6 Month CHF LIBOR	CHF	1,840,000		09/18/2029	Semi-Annually		—			62			62
-0.61%	6 Month CHF LIBOR	CHF	26,320,000		09/18/2029	Semi-Annually		—			35,794			35,794
-0.68%	6 Month CHF LIBOR	CHF	24,827,000		09/18/2029	Semi-Annually		—			218,186			218,186
1.09%	6 Month AUD BBSW	AUD	73,112,000		09/18/2029	Semi-Annually		(10,975	)		(13,932	)		(2,957	)
1.10%	6 Month AUD BBSW	AUD	168,136,000		09/18/2029	Semi-Annually		355,855			(163,652	)		(519,507	)
1.14%	6 Month AUD BBSW	AUD	24,494,000		09/18/2029	Semi-Annually		—			(90,948	)		(90,948	)
1.14%	6 Month AUD BBSW	AUD	393,968,000		09/18/2029	Semi-Annually		(961,392	)		(1,437,131	)		(475,739	)
6 Month AUD BBSW	1.11%	AUD	30,940,000		09/18/2029	Semi-Annually		—			50,298			50,298
6 Month AUD BBSW	1.05%	AUD	41,180,000		09/18/2029	Semi-Annually		—			(86,172	)		(86,172	)
6 Month AUD BBSW	1.08%	AUD	29,010,000		09/18/2029	Semi-Annually		—			(9,611	)		(9,611	)
6 Month CHF LIBOR	-0.64%	CHF	78,584,000		09/18/2029	Semi-Annually		27,187			(336,199	)		(363,386	)
6 Month CHF LIBOR	-0.61%	CHF	58,920,000		09/18/2029	Semi-Annually		—			(85,337	)		(85,337	)
-0.22%	6 Month EURIBOR	EUR	253,360,000		09/19/2029	Semi-Annually		(952,537	)		(1,635,258	)		(682,721	)
-0.24%	6 Month EURIBOR	EUR	22,060,000		09/19/2029	Semi-Annually		—			(99,718	)		(99,718	)
-0.25%	6 Month EURIBOR	EUR	17,140,000		09/19/2029	Semi-Annually		—			(52,129	)		(52,129	)
-0.27%	6 Month EURIBOR	EUR	17,140,000		09/19/2029	Semi-Annually		—			(11,181	)		(11,181	)
-0.29%	6 Month EURIBOR	EUR	24,620,000		09/19/2029	Semi-Annually		—			37,156			37,156
-0.30%	6 Month EURIBOR	EUR	7,834,000		09/19/2029	Semi-Annually		—			20,290			20,290
-0.31%	6 Month EURIBOR	EUR	11,711,000		09/19/2029	Semi-Annually		—			40,323			40,323
-0.31%	6 Month EURIBOR	EUR	7,834,000		09/19/2029	Semi-Annually		—			25,191			25,191
-0.31%	6 Month EURIBOR	EUR	6,141,000		09/19/2029	Semi-Annually		—			24,288			24,288
0.58%	6 Month GBP LIBOR	GBP	5,897,000		09/19/2029	Semi-Annually		—			24,495			24,495
0.59%	6 Month GBP LIBOR	GBP	10,967,000		09/19/2029	Semi-Annually		—			29,843			29,843
0.59%	6 Month GBP LIBOR	GBP	5,897,000		09/19/2029	Semi-Annually		—			19,919			19,919
0.59%	6 Month GBP LIBOR	GBP	5,896,000		09/19/2029	Semi-Annually		—			19,211			19,211
0.60%	6 Month GBP LIBOR	GBP	7,338,000		09/19/2029	Semi-Annually		—			14,712			14,712
0.60%	6 Month GBP LIBOR	GBP	7,338,000		09/19/2029	Semi-Annually		—			18,216			18,216
0.65%	6 Month GBP LIBOR	GBP	168,890,000		09/19/2029	Semi-Annually		(760,099	)		(679,594	)		80,505
6 Month GBP LIBOR	0.66%	GBP	16,710,000		09/19/2029	Semi-Annually		—			89,183			89,183
6 Month GBP LIBOR	0.64%	GBP	16,710,000		09/19/2029	Semi-Annually		—			47,290			47,290
6 Month GBP LIBOR	0.61%	GBP	22,812,000		09/19/2029	Semi-Annually		—			(19,864	)		(19,864	)
							$	979,160		$	8,073,977		$	7,094,817

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 (q)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	11,217,321		05/18/2020	Monthly		—		139,649			139,649
Total Return on Equity Basket (q)	1 Month Federal Funds Rate minus 0.75%	MORD	USD	631,684		05/18/2020	Monthly		—		12,096			12,096
Total Return on Equity Basket (q)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	24,489,366		05/18/2020	Monthly		—		(2,028,712	)		(2,028,712	)
Total Return on Equity Basket (q)	1 Month Federal Funds Rate minus 0.90%	MORD	USD	3,845,670		05/18/2020	Monthly		—		(24,658	)		(24,658	)
Total Return on Equity Basket (q)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	5,323,077		05/18/2020	Monthly		—		186,791			186,791
Total Return on Equity Basket (q)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	13,852,444		05/18/2020	Monthly		—		(147,353	)		(147,353	)
Depreciation of Total Return on MSCI China A Index + (1 month USD LIBOR minus 3.50%)	Appreciation on Total Return on MSCI China A Index	GS	USD	24,033,503		08/15/2020	Monthly		—		703,457			703,457

82 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

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 CSI 500 Net Total Return Index + (1 month USD LIBOR minus 9.50%)	Appreciation on CSI 500 Net Total Return Index	GS	USD	10,230,189		08/20/2020	Monthly		—		382,509			382,509
								$	—	$	(776,221	)	$	(776,221	)

As of August 31, 2019, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Securities are traded on separate exchanges for the same entity.

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

(d) 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).

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

(f) Affiliated company (Note 10).

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

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

(j) Security is in default.

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

(l) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(m) 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.

(n) The rate disclosed is the 7 day net yield as of August 31, 2019.

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

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

(q) 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.

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 102.

See accompanying notes to the financial statements. 83

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		2.0
Investment Funds		0.5
Preferred Stocks		0.4
Swap Contracts		0.0	^
Futures Contracts		(0.0	)^
Other		0.2
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.9	%
United Kingdom		16.6
France		8.8
Spain		6.3
Netherlands		5.9
Germany		5.4
Switzerland		5.4
Italy		5.0
China		3.8
Sweden		3.8
Australia		3.5
Other Emerging		2.7	†
Norway		2.2
Taiwan		1.7
Hong Kong		1.6
Russia		1.5
Singapore		1.5
Other Developed		1.3	‡
Portugal		1.1
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

84

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,392,237	GMO Emerging Markets Fund, Class VI		42,936,592
	19,826,550	GMO International Equity Fund, Class IV		388,005,579
		TOTAL MUTUAL FUNDS (COST $462,377,927)		430,942,171
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	175,327	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		175,327
		TOTAL SHORT-TERM INVESTMENTS (COST $175,327)		175,327
		TOTAL INVESTMENTS — 100.0% (Cost $462,553,254)		431,117,498
		Other Assets and Liabilities (net) — (0.0%)		(47,897	)
		TOTAL NET ASSETS — 100.0%		$431,069,601

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 85

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.2	%
Short-Term Investments		2.5
Investment Funds		1.6
Preferred Stocks		1.1
Swap Contracts		0.0	^
Futures Contracts		(0.0	)^
Other		0.6
		100.0	%
Country/Region Summary¤	% of Investments
Japan		15.9	%
China		13.3
United Kingdom		12.3
France		6.4
Taiwan		5.9
Russia		5.3
Spain		4.6
Netherlands		4.3
Germany		3.9
Switzerland		3.9
Italy		3.7
Sweden		2.7
Australia		2.5
Other Emerging		2.0	†
Turkey		2.0
Other Developed		1.8	‡
Norway		1.6
South Africa		1.6
Korea		1.5
Hong Kong		1.2
India		1.2
Poland		1.2
Singapore		1.2
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

86

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.7%
		Affiliated Issuers — 99.7%
	9,577,994	GMO Emerging Markets Fund, Class VI		295,385,350
	28,533,761	GMO International Equity Fund, Class IV		558,405,706
		TOTAL MUTUAL FUNDS (COST $939,262,151)		853,791,056
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	288,052	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (a)		288,052
		TOTAL SHORT-TERM INVESTMENTS (COST $288,052)		288,052
		TOTAL INVESTMENTS — 99.8% (Cost $939,550,203)		854,079,108
		Other Assets and Liabilities (net) — 0.2%		2,134,496
		TOTAL NET ASSETS — 100.0%		$856,213,604

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 87

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		80.7	%
Short-Term Investments		18.5
Forward Currency Contracts		0.4
Futures Contracts		(1.7	)#
Other		2.1
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/ (depreciation). The exposure the Fund has to futures contracts based on notional amounts is (16.7)% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

88

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 80.7%
		United States — 80.7%
		U.S. Government — 67.2%
	32,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 1.96%, due 01/31/20 (a)		31,978,535
	38,000,000	U.S. Treasury Note, 1.38%, due 02/29/20 (b)		37,899,062
	30,000,000	U.S. Treasury Note, 1.38%, due 03/31/20 (b)		29,910,938
	25,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		24,875,000
	35,500,000	U.S. Treasury Note, 1.38%, due 04/30/20 (b)		35,382,129
	227,697,400	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.99%, due 04/30/20 (a)		227,512,619
	18,500,000	U.S. Treasury Note, 1.50%, due 05/31/20 (b)		18,450,859
	110,258,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.00%, due 07/31/20 (a) (b)		110,130,580
	25,000,000	U.S. Treasury Note, 1.38%, due 09/30/20		24,891,602
	25,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		24,894,531
	25,000,000	U.S. Treasury Note, 1.75%, due 12/31/20		25,018,555
	94,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 2.07%, due 01/31/21 (b)		93,880,034
		Total U.S. Government		684,824,444
		U.S. Government Agency — 13.5%
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 2.10%, due 01/23/20		15,494,896
	30,530,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.05%, due 02/07/20		30,520,607
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 2.17%, due 04/03/20		19,990,764
	27,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 2.06%, due 04/13/20		27,473,997
	44,410,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 2.06%, due 05/04/20		44,384,664
		Total U.S. Government Agency		137,864,928
		Total United States		822,689,372
		TOTAL DEBT OBLIGATIONS (COST $822,584,291)		822,689,372

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 18.5%
		Foreign Government Obligations — 17.1%
JPY	1,911,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/09/19		17,988,721
JPY	3,065,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/17/19		28,852,261
JPY	2,820,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/24/19		26,546,512
JPY	5,313,200,000	Japan Treasury Discount Bill, Zero Coupon, due 10/07/19		50,018,821
JPY	2,586,800,000	Japan Treasury Discount Bill, Zero Coupon, due 10/15/19		24,353,069
JPY	1,200,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/28/19		11,297,874
JPY	1,646,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/18/19		15,498,567
		Total Foreign Government Obligations		174,555,825
		Money Market Funds — 1.4%
	1,232,909	SSgA USD Liquidity Fund – Class D shares, 2.12% (b)		1,232,909
	13,099,917	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (c)		13,099,917
		Total Money Market Funds		14,332,826
		TOTAL SHORT-TERM INVESTMENTS (COST $186,238,633)		188,888,651
		TOTAL INVESTMENTS — 99.2% (Cost $1,008,822,924)		1,011,578,023
		Other Assets and Liabilities (net) — 0.8%		7,887,322
		TOTAL NET ASSETS — 100.0%		$1,019,465,345

See accompanying notes to the financial statements. 89

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

A summary of outstanding financial instruments at August 31, 2019 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/07/2019	BOA		CAD	10,021,827		USD	7,558,412		27,097
09/19/2019	UBS		CHF	103,211,423		USD	105,032,819		610,321
09/30/2019	MSCI		CHF	2,545,289		USD	2,620,324		42,486
09/30/2019	MSCI		CHF	405,464		USD	414,938		4,289
09/30/2019	UBS		CHF	35,170,925		USD	36,329,247		708,572
10/28/2019	SSB		CHF	61,375,001		USD	63,052,943		732,194
09/23/2019	UBS		EUR	49,004,724		USD	55,261,108		1,322,204
09/24/2019	BCLY		EUR	56,000,000		USD	63,703,506		2,060,043
09/24/2019	UBS		EUR	9,257,871		USD	10,620,722		429,879
10/22/2019	BOA		EUR	17,966,440		USD	20,324,525		504,110
10/22/2019	MSCI		EUR	8,992,166		USD	10,018,061		97,985
10/22/2019	UBS		EUR	81,006,144		USD	90,227,964		862,714
10/28/2019	BOA		EUR	49,838,702		USD	55,548,423		541,327
10/28/2019	MSCI		EUR	1,441,680		USD	1,608,408		17,223
09/19/2019	BCLY		GBP	52,425,138		USD	64,298,564		465,478
09/19/2019	JPM		GBP	19,682,068		USD	24,479,513		514,538
09/19/2019	MSCI		GBP	34,966,346		USD	42,734,924		159,742
09/19/2019	UBS		GBP	4,722,809		USD	5,748,465		(2,048	)
09/09/2019	JPM		JPY	1,911,000,000		USD	17,741,813		(252,610	)
09/17/2019	MSCI		JPY	3,065,000,000		USD	28,444,055		(433,951	)
09/24/2019	JPM		JPY	2,820,000,000		USD	26,412,678		(171,369	)
10/07/2019	BOA		JPY	5,313,200,000		USD	49,373,268		(762,987	)
10/15/2019	JPM		JPY	2,586,800,000		USD	24,043,802		(378,797	)
10/28/2019	GS		JPY	1,200,000,000		USD	11,115,969		(223,419	)
11/18/2019	JPM		JPY	1,646,000,000		USD	15,574,902		(62	)
10/21/2019	BCLY		USD	205,547		AUD	302,525		(1,524	)
10/21/2019	MSCI		USD	77,667,612		AUD	114,142,593		(689,445	)
10/07/2019	BCLY		USD	130,060,029		CAD	171,747,520		(993,272	)
11/06/2019	BOA		USD	8,117,596		CAD	10,784,378		(10,392	)
11/06/2019	MSCI		USD	4,670,380		CAD	6,173,820		(29,184	)
11/06/2019	MSCI		USD	1,606,543		CAD	2,137,806		562
11/06/2019	UBS		USD	149,447,227		CAD	197,334,602		(1,100,077	)
09/19/2019	BOA		USD	3,236,318		GBP	2,656,519		(1,728	)
10/08/2019	MSCI		USD	6,173,536		JPY	654,685,000		4,597
10/08/2019	UBS		USD	3,557,878		JPY	376,612,405		(3,861	)
								$	4,050,635

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
181	Australian Government Bond 10 Yr.	September 2019		18,136,480		703,431
1,749	CAC40 10 Euro	September 2019		105,347,616		2,823,194
945	Corn (b)	December 2019		17,470,688		(3,948,016	)
483	DAX Index	September 2019		158,290,480		(3,772,881	)
1,741	FTSE 100 Index	September 2019		152,451,328		(3,309,896	)
481	Hang Seng Index	September 2019		78,347,045		161,611
1,972	Mini MSCI Emerging Markets	September 2019		97,022,400		(2,553,770	)
959	MSCI Singapore	September 2019		24,599,835		338,392
19	S&P TSX 60 Index	September 2019		2,801,337		16,266
10	SPI 200	September 2019		1,105,846		16,696
2,765	U.S. Treasury Note 10 Yr. (CBT)	December 2019		364,202,344		665,356
			$	1,019,775,399	$	(8,859,617	)
Sales
849	Canadian Government Bond 10 Yr.	December 2019		92,513,835		(474,495	)
334	Euro Bund	September 2019		65,744,491		(2,947,941	)
124	FTSE/JSE TOP 40	September 2019		3,993,785		330,487
714	Gilt Long Bond	December 2019		116,661,783		(1,352,827	)
371	Gold 100 OZ (b)	December 2019		56,740,740		(3,792,889	)
38	Japanese Government Bond 10 Yr. (OSE)	September 2019		55,514,661		(602,876	)
1,729	S&P 500 E-Mini	September 2019		252,848,960		(1,900,768	)
382	Silver (b)	December 2019		35,033,220		(2,399,684	)
947	Soybean (b)	November 2019		41,147,150		1,649,704
910	TOPIX Index	September 2019		129,166,344		3,418,482
			$	849,364,969	$	(8,072,807	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2019, 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.

90 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2019 (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 OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(c) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 91

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.5	%
Debt Obligations		3.9
Short-Term Investments		1.7
Other		(0.1	)
		100.0	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		84.7	%
Netherlands		4.8
United Kingdom		3.8
Sweden		1.2
		94.5	%
Industry Group Summary	% of Equity Investments#
Retailing		41.8	%
Diversified Financials		21.6
Software & Services		11.6
Automobiles & Components		10.2
Media & Entertainment		9.2
Real Estate		5.1
Consumer Services		0.5
		100.0	%

(a) GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities. As such, the holdings of GMO Special Opportunities Fund SPC Ltd. have been included with GMO Special Opportunities 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. 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%.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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.

92

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 94.5%
		Netherlands — 4.8%
	211,000	InterXion Holding NV *		17,078,340
		Sweden — 1.2%
	32,000	Spotify Technology SA *		4,318,400
		United Kingdom — 3.8%
	709,850	Blue Prism Group Plc *		8,024,052
	640,000	Burford Capital Ltd		5,481,829
		Total United Kingdom		13,505,881
		United States — 84.7%
	545,000	Ally Financial, Inc.		17,085,750
	2,268,200	At Home Group, Inc. *		15,287,668
	84,000	Berkshire Hathaway, Inc. – Class B *		17,086,440
	320,000	Cardlytics, Inc. *		12,022,400
	934,850	Carvana Co. *		75,872,426
	35,500	Credit Acceptance Corp. *		16,069,075
	835,000	Eventbrite, Inc. – Class A *		14,595,800
	444,000	Fastly, Inc. – Class A *		14,030,400
	920,000	General Motors Co.		34,122,800
	361,772	Interactive Brokers Group, Inc. – Class A		17,075,638
	1,018,900	Redfin Corp. *		17,209,221
	16,450	Shake Shack, Inc. – Class A *		1,631,182
	438,724	Wayfair, Inc. – Class A *		49,461,744
		Total United States		301,550,544
		TOTAL COMMON STOCKS (COST $266,163,136)		336,453,165
		DEBT OBLIGATIONS — 3.9%
		United States — 3.9%
		U.S. Government — 3.9%
	14,000,000	U.S. Treasury Note, 1.38%, due 04/30/20		13,953,516
		TOTAL DEBT OBLIGATIONS (COST $13,909,933)		13,953,516

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 1.7%
	36,251	SSgA USD Liquidity Fund – Class D shares, 2.12% (a)		36,251
	5,787,988	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (b)		5,787,988
		TOTAL SHORT-TERM INVESTMENTS (COST $5,824,239)		5,824,239
		TOTAL INVESTMENTS — 100.1% (Cost $285,897,308)		356,230,920
		Other Assets and Liabilities (net) — (0.1%)		(234,957	)
		TOTAL NET ASSETS — 100.0%		$355,995,963

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 owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(b) The rate disclosed is the 7 day net yield as of August 31, 2019.

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 102.

See accompanying notes to the financial statements. 93

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2019 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		66.0	%
Debt Obligations		22.0
Mutual Funds		8.6
Short-Term Investments		4.4
Investment Funds		1.1
Preferred Stocks		0.8
Swap Contracts		0.1
Loan Participations		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Futures Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Securities Sold Short		(1.7	)
Other		(1.4	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.2	%
Other Emerging		3.2	†
Euro Region		0.0	^#
		16.4	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		21.5	%
China		8.5
Japan		6.7
United Kingdom		5.6
Taiwan		4.2
Russia		3.7
Other Emerging		2.8	†
France		2.7
Other Developed		2.3	‡
Spain		2.1
Switzerland		1.9
Netherlands		1.8
Germany		1.7
Italy		1.6
Turkey		1.4
Sweden		1.2
South Korea		1.2
South Africa		1.1
Australia		1.0
		73.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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%.

94

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 9.2%
		Australia — 0.1%
	9,410	Appen Ltd		163,921
	145	Brickworks Ltd		1,564
	8,933	OZ Minerals Ltd		55,092
	28,490	Sandfire Resources NL		119,557
	3,490	WiseTech Global Ltd		86,717
		Total Australia		426,851
		Belgium — 0.0%
	4,800	AGFA-Gevaert NV *		19,115
	700	Orange Belgium SA		15,286
		Total Belgium		34,401
		Brazil — 0.3%
	3,600	Banco do Brasil SA		40,199
	65,000	Cia de Saneamento Basico do Estado de Sao Paulo		811,519
	181,200	JBS SA		1,296,973
	65,000	Petrobras Distribuidora SA		452,065
		Total Brazil		2,600,756
		Canada — 0.0%
	600	Canadian National Railway Co		55,250
	1,900	Canfor Pulp Products Inc		12,958
	1,800	Enerflex Ltd		16,494
	500	Royal Bank of Canada		37,397
		Total Canada		122,099
		China — 0.5%
	132,000	Agile Group Holdings Ltd		168,040
	1,311,000	Agricultural Bank of China Ltd – Class H		504,016
	379,500	BAIC Motor Corp Ltd – Class H		213,321
	364,000	Bank of Communications Co Ltd – Class H		237,748
	280,000	China Communications Services Corp Ltd – Class H		156,393
	28,000	China Lesso Group Holdings Ltd		26,839
	28,000	China Lilang Ltd		22,823
	1,092,000	China Petroleum & Chemical Corp – Class H		637,002
	92,000	China Railway Construction Corp Ltd – Class H		99,150
	148,000	China Resources Pharmaceutical Group Ltd		152,552
	73,000	China SCE Group Holdings Ltd		35,381
	34,000	China Shineway Pharmaceutical Group Ltd		31,606
	152,000	China Telecom Corp Ltd – Class H		67,921
	71,000	Chongqing Rural Commercial Bank Co Ltd – Class H		34,259
	30,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		111,956
	268,400	Guangzhou R&F Properties Co Ltd – Class H		430,826

Shares		Description	Value ($)
		China — continued
	7,000	JNBY Design Ltd		9,982
	2,500	Kingboard Holdings Ltd		5,838
	24,000	Powerlong Real Estate Holdings Ltd		14,038
	17,000	Red Star Macalline Group Corp Ltd – Class H		13,415
	71,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		134,770
	230,500	Shimao Property Holdings Ltd		650,170
	126,000	Tianneng Power International Ltd		99,283
	16,617	Yuzhou Properties Co Ltd		6,974
		Total China		3,864,303
		France — 0.3%
	79	Christian Dior SE		38,920
	1,868	Coface SA		22,062
	638	Ipsen SA		67,060
	5,163	L’Oreal SA		1,409,788
	1,909	Metropole Television SA		32,801
	5,286	Sanofi		454,108
	2,000	Sanofi ADR		85,900
	19,000	STMicroelectronics NV		336,832
	14,200	STMicroelectronics NV – NY Shares		251,340
		Total France		2,698,811
		Germany — 0.0%
	15,325	Deutz AG		89,479
	1,600	RHOEN-KLINIKUM AG		39,594
	900	Software AG		24,275
	1,100	Volkswagen AG		179,889
		Total Germany		333,237
		Hong Kong — 0.0%
	18,500	Dah Sing Banking Group Ltd		25,268
	3,600	Dah Sing Financial Holdings Ltd		13,207
	12,700	Pacific Textiles Holdings Ltd		8,575
	111,400	SJM Holdings Ltd		104,996
		Total Hong Kong		152,046
		India — 0.0%
	18,368	Aurobindo Pharma Ltd		155,111
	2,600	Dr Reddy’s Laboratories Ltd ADR		92,950
	7,763	Wipro Ltd		27,640
		Total India		275,701
		Ireland — 0.0%
	1,000	CRH Plc Sponsored ADR		33,620
		Italy — 0.2%
	8,221	Enel SPA		59,642
	17,250	EXOR NV		1,171,962

See accompanying notes to the financial statements. 95

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	40,032	Iren SPA		108,832
	20	Societa Iniziative Autostradali e Servizi SPA		336
		Total Italy		1,340,772
		Japan — 0.7%
	46,900	Asahi Kasei Corp		423,698
	90,500	Astellas Pharma Inc		1,249,215
	14,400	Brother Industries Ltd		248,949
	1,200	Daiwabo Holdings Co Ltd		46,634
	2,400	Fancl Corp		58,177
	3,800	Fuji Electric Co Ltd		108,130
	7,200	Fuji Media Holdings Inc		93,273
	4,300	Fujitsu Ltd		331,609
	6,300	Hakuhodo DY Holdings Inc		92,896
	900	House Foods Group Inc		34,279
	800	Infocom Corp		19,118
	7,000	KDDI Corp		186,451
	8,900	Konica Minolta Inc		63,204
	800	Makino Milling Machine Co Ltd		32,347
	74,300	Mitsubishi Chemical Holdings Corp		509,284
	1,350	Nichias Corp		22,406
	600	Nihon Unisys Ltd		19,360
	27,300	Nippon Telegraph & Telephone Corp		1,308,703
	100	NOF Corp		3,238
	3,100	Rohto Pharmaceutical Co Ltd		76,797
	4,400	Sekisui Chemical Co Ltd		63,300
	1,300	Showa Corp		16,611
	44,500	Sojitz Corp		135,559
	88,400	Sumitomo Chemical Co Ltd		386,275
	500	Sushiro Global Holdings Ltd		31,539
	1,900	T-Gaia Corp		38,130
	2,600	TS Tech Co Ltd		71,272
		Total Japan		5,670,454
		Malta — 0.0%
	125,500	BGP Holdings Plc * (a)		—
		Mexico — 0.0%
	3,100	El Puerto de Liverpool SAB de CV – Class C1		16,081
	4,800	Gentera SAB de CV		3,573
		Total Mexico		19,654
		Netherlands — 0.2%
	1,450	ASR Nederland NV		50,704
	509	Flow Traders		13,665
	707	Heineken Holding NV		69,969
	38,401	ING Groep NV		366,871
	11,692	Signify NV		342,127
	11,596	Wolters Kluwer NV		834,746
		Total Netherlands		1,678,082

Shares		Description	Value ($)
		Norway — 0.1%
	542	Aker ASA – A Shares		27,736
	9,410	Austevoll Seafood ASA		96,569
	14,602	DNB ASA		235,242
	10,961	Elkem ASA		27,620
	8,416	SpareBank 1 SR-Bank ASA		87,237
		Total Norway		474,404
		Philippines — 0.0%
	350	Globe Telecom Inc		13,649
		Portugal — 0.1%
	18,900	Altri SGPS SA		119,500
	2,594	EDP Renovaveis SA		28,587
	83,909	EDP – Energias de Portugal SA		317,160
	16,290	Galp Energia SGPS SA		234,115
	21,032	NOS SGPS SA		123,497
	11,078	REN – Redes Energeticas Nacionais SGPS SA		31,055
	100,884	Sonae SGPS SA		91,555
		Total Portugal		945,469
		Russia — 0.1%
	2,560	Gazprom Neft PJSC		15,832
	96,805	Gazprom PJSC Sponsored ADR		670,245
	5,482	Novolipetsk Steel PJSC GDR		122,078
		Total Russia		808,155
		Singapore — 0.0%
	1,600	Jardine Cycle & Carriage Ltd		35,540
		South Africa — 0.1%
	50,073	Absa Group Ltd		506,989
	4,985	Liberty Holdings Ltd		36,061
	3,145	Motus Holdings Ltd		15,514
	5,690	Reunert Ltd		24,127
	34,569	Telkom SA SOC Ltd		181,749
		Total South Africa		764,440
		South Korea — 0.3%
	11,559	Hana Financial Group Inc		310,492
	6,742	Industrial Bank of Korea		69,068
	18,866	Kia Motors Corp		680,987
	1,119	LG Corp		65,827
	3,841	LG Electronics Inc		194,557
	388	Samsung SDS Co Ltd		62,888
	11,583	Shinhan Financial Group Co Ltd		389,887
	392	SK Holdings Co Ltd		64,820
	2,317	SK Hynix Inc		148,382
	33,500	SK Telecom Co Ltd Sponsored ADR		733,650
		Total South Korea		2,720,558

96 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, 2019 (Unaudited)

Shares		Description	Value ($)
		Spain — 0.3%
	6,428	ACS Actividades de Construccion y Servicios SA		243,246
	973	Aena SME SA		175,682
	2,979	Almirall SA		56,784
	4,751	Cia de Distribucion Integral Logista Holdings SA		93,322
	2,897	Enagas SA		63,077
	39,156	Endesa SA		1,006,343
	69,376	Iberdrola SA		714,157
	103,395	International Consolidated Airlines Group SA		530,409
	5,930	Red Electrica Corp SA		117,761
		Total Spain		3,000,781
		Sweden — 0.2%
	5,334	Granges AB		48,407
	9,935	Klovern AB – B Shares		17,959
	3,615	Peab AB		29,661
	2,597	Resurs Holding AB		14,760
	14,704	Sandvik AB		211,196
	67,149	Svenska Cellulosa AB SCA – Class B		580,197
	39,341	Volvo AB – B Shares		544,441
	800	Wihlborgs Fastigheter AB		12,885
		Total Sweden		1,459,506
		Switzerland — 0.0%
	1	Huber + Suhner AG (Registered)		64
	1,088	Roche Holding AG		296,418
		Total Switzerland		296,482
		Taiwan — 0.2%
	6,000	Chicony Electronics Co Ltd		16,845
	26,400	Feng TAY Enterprise Co Ltd		171,907
	20,000	Gigabyte Technology Co Ltd		33,612
	208,000	Inventec Corp		142,316
	94,000	Novatek Microelectronics Corp		556,778
	3,000	Phison Electronics Corp		27,582
	348,000	Pou Chen Corp		434,050
	20,000	Radiant Opto-Electronics Corp		72,231
	15,000	Realtek Semiconductor Corp		102,588
	19,200	Ruentex Industries Ltd *		42,579
	59,000	Walsin Lihwa Corp		25,878
	49,000	Yuanta Financial Holding Co Ltd		28,150
		Total Taiwan		1,654,516
		Turkey — 0.0%
	40,883	KOC Holding AS		123,011
	12,484	TAV Havalimanlari Holding AS		50,628
		Total Turkey		173,639

Shares		Description	Value ($)
		United Kingdom — 0.5%
	34,305	3i Group Plc		458,607
	1,520	AVEVA Group Plc		68,576
	24,630	Barratt Developments Plc		190,135
	1,264	Bellway Plc		44,728
	3,346	Berkeley Group Holdings Plc (The)		159,805
	11,739	British American Tobacco Plc		411,784
	11,600	British American Tobacco Plc Sponsored ADR (b)		407,160
	1,875	Britvic Plc		19,834
	4,656	Computacenter Plc		75,656
	7,106	Dunelm Group Plc		75,828
	9,245	Electrocomponents Plc		65,528
	42,828	Ferrexpo Plc		105,307
	1,580	Firstgroup Plc *		2,501
	3,258	Galliford Try Plc		23,268
	18,239	GlaxoSmithKline Plc		380,089
	771	Go-Ahead Group Plc (The)		19,536
	4,271	Greene King Plc		43,803
	24,780	IG Group Holdings Plc		163,199
	8,176	Inchcape Plc		57,628
	15,323	JD Sports Fashion Plc		115,490
	5,616	John Laing Group Plc		24,240
	1,551	Mondi Plc		30,253
	3,195	National Express Group Plc		16,518
	40,226	Persimmon Plc		934,031
	11,464	Phoenix Group Holdings Plc		90,346
	9,515	Plus500 Ltd		78,981
	59,789	QinetiQ Group Plc		210,791
	4,397	Softcat Plc		55,840
	1,033	Spectris Plc		29,173
	8,627	Spirent Communications Plc		19,402
	11,516	Tate & Lyle Plc		100,932
	8,360	Vesuvius Plc		47,427
		Total United Kingdom		4,526,396
		United States — 5.0%
	1,400	Accenture Plc – Class A		277,438
	32,100	ACCO Brands Corp.		297,567
	6,700	Acushnet Holdings Corp.		173,999
	5,000	Adobe, Inc. * (c)		1,422,550
	7,900	Aflac, Inc.		396,422
	6,000	Agilent Technologies, Inc.		426,660
	4,100	Ally Financial, Inc.		128,535
	300	Amazon.com, Inc. *		532,887
	4,100	American Express Co. (b)		493,517
	9,000	Ameriprise Financial, Inc. (c)		1,160,820
	6,700	Amgen, Inc. (b) (c)		1,397,754
	2,000	Arrow Electronics, Inc. * (b)		138,400
	4,300	Avery Dennison Corp. (b)		496,951
	2,100	Brady Corp. – Class A		99,141

See accompanying notes to the financial statements. 97

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,500	Briggs & Stratton Corp.		10,800
	7,600	Bristol-Myers Squibb Co. (b)		365,332
	4,500	Bruker Corp. (b)		194,265
	12,100	Cadence Design Systems, Inc. * (c)		828,608
	4,600	Caterpillar, Inc.		547,400
	14,700	CBS Corp. – Class B NVDR (b)		618,282
	2,200	Cisco Systems, Inc.		102,982
	3,400	Citizens Financial Group, Inc.		114,716
	5,400	Columbia Sportswear Co. (b)		506,466
	19,200	Comcast Corp. – Class A (b)		849,792
	17,500	CoreCivic, Inc. (REIT)		296,625
	1,600	CSG Systems International, Inc.		86,208
	6,300	Cummins, Inc. (b) (c)		940,401
	5,600	Curo Group Holdings Corp. *		76,272
	44,200	Dana, Inc. (b)		562,666
	11,700	Danaher Corp.		1,662,453
	11,200	eBay, Inc. (b)		451,248
	11,600	Enova International, Inc. *		277,240
	8,900	Estee Lauder Cos, Inc. (The) – Class A (b)		1,762,111
	700	Exterran Corp. *		7,385
	300	Federal Agricultural Mortgage Corp. – Class C		24,705
	400	Fifth Third Bancorp		10,580
	36,600	Gannett Co., Inc.		385,032
	6,700	Garmin Ltd.		546,519
	2,200	GEO Group, Inc. (The) (REIT)		37,752
	12,400	Gilead Sciences, Inc. (b)		787,896
	200	Graham Holdings Co. – Class B (c)		140,812
	700	Group 1 Automotive, Inc.		52,304
	2,200	Heidrick & Struggles International, Inc.		58,410
	13,000	Herman Miller, Inc.		549,640
	41,400	Hewlett Packard Enterprise Co.		572,148
	67,000	HP, Inc. (c)		1,225,430
	15,300	Huntsman Corp. (b)		304,776
	200	ICF International, Inc.		16,932
	2,900	Insight Enterprises, Inc. *		139,374
	19,600	Intel Corp. (b)		929,236
	700	Inter Parfums, Inc.		45,003
	18,300	Interpublic Group of Cos., Inc. (The) (b)		363,804
	3,200	Intuit, Inc. (c)		922,752
	1,700	ITT, Inc.		96,764
	300	Johnson Outdoors, Inc. – Class A		16,800
	15,500	Juniper Networks, Inc.		358,980
	1,800	KLA Corp. (b)		266,220
	17,600	Kohl’s Corp.		831,776
	3,400	Kulicke & Soffa Industries, Inc.		70,822
	3,900	La-Z-Boy, Inc.		124,293
	1,100	Lockheed Martin Corp.		422,521
	1,600	Materion Corp.		94,144
	8,200	Medtronic Plc (b)		884,698
	21,300	Merck & Co., Inc. (c)		1,841,811

Shares		Description	Value ($)
		United States — continued
	2,100	Meritor, Inc. *		35,322
	13,600	Modine Manufacturing Co. *		138,856
	3,500	Moog, Inc. – Class A		284,375
	900	Motorola Solutions, Inc.		162,819
	6,400	Movado Group, Inc.		137,728
	2,300	Murphy Oil Corp. (b)		41,929
	13,800	NetApp, Inc. (b)		663,228
	1,400	Norwegian Cruise Line Holdings Ltd. * (b)		71,050
	12,600	PepsiCo, Inc. (b)		1,722,798
	22,600	Pfizer, Inc. (b)		803,430
	5,600	Phillips 66 (b)		552,328
	2,700	Popular, Inc.		141,939
	7,900	Procter & Gamble Co. (The)		949,817
	11,800	Progressive Corp. (The) (c)		894,440
	5,800	PVH Corp.		439,640
	17,500	Qurate Retail, Inc. – Series A * (b)		187,425
	800	Regional Management Corp. *		20,600
	100	Reliance Steel & Aluminum Co.		9,723
	900	Scholastic Corp.		31,563
	600	SPX Corp. *		22,770
	2,700	Starbucks Corp.		260,712
	7,300	Stoneridge, Inc. *		224,183
	3,100	Stryker Corp.		684,046
	900	Sykes Enterprises, Inc. *		26,100
	7,200	Synopsys, Inc. * (c)		1,021,032
	8,600	T-Mobile US, Inc. * (b)		671,230
	700	Teledyne Technologies, Inc. * (c)		216,013
	5,100	Telephone & Data Systems, Inc.		128,520
	12,200	Timken Co. (The) (c)		490,196
	2,200	Tower International, Inc. *		68,046
	2,627	Triple-S Management Corp. – Class B *		53,906
	8,000	United Technologies Corp. (c)		1,041,920
	3,800	Universal Corp.		190,228
	600	Universal Forest Products, Inc.		23,460
	18,300	Vishay Intertechnology, Inc.		289,689
	18,600	Xenia Hotels & Resorts, Inc. (REIT) (c)		375,906
	1,400	Xilinx, Inc.		145,684
		Total United States		43,048,478
		TOTAL COMMON STOCKS (COST $80,760,873)		79,172,800
		PREFERRED STOCKS (d) — 0.0%
		Germany — 0.0%
	278	Draegerwerk AG & Co KGaA		13,254
		South Korea — 0.0%
	35	Samsung Electronics Co Ltd GDR (Registered)		26,582
		TOTAL PREFERRED STOCKS (COST $44,438)		39,836

98 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, 2019 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 8.0%
		United States — 8.0%
		U.S. Government — 8.0%
	4,205,234	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 (e)		4,268,656
	4,716,116	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (e)		4,771,917
	9,215,651	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)		9,564,529
	6,423,721	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)		6,592,792
	1,764,259	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)		1,835,938
	15,050,822	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (e)		17,207,472
	3,340,855	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (c) (e)		3,572,462
	4,478,620	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (e)		4,847,004
	12,953,811	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)		15,944,452
		Total U.S. Government		68,605,222
		Total United States		68,605,222
		TOTAL DEBT OBLIGATIONS (COST $65,226,008)		68,605,222
		MUTUAL FUNDS — 84.5%
		United States — 84.5%
		Affiliated Issuers — 84.5%
	3,962,806	GMO Core Plus Bond Fund, Class IV		90,708,631
	1,142,277	GMO Emerging Country Debt Fund, Class IV		31,641,080
	6,577,012	GMO Emerging Markets Fund, Class VI		202,835,064
	11,260,516	GMO International Equity Fund, Class IV		220,368,290
	918,668	GMO Opportunistic Income Fund, Class VI		24,565,191
	2,800,312	GMO Quality Fund, Class VI		66,591,419
	2,461,512	GMO U.S. Equity Fund, Class VI		32,024,270
	3,127,406	GMO U.S. Small Cap Value Fund, Class VI		59,889,818
	45,630	GMO U.S. Treasury Fund		228,152
		TOTAL MUTUAL FUNDS (COST $722,596,439)		728,851,915
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	246,014	State Street Institutional Treasury Money Market Fund – Premier Class, 2.03% (f)		246,014
		TOTAL SHORT-TERM INVESTMENTS (COST $246,014)		246,014
		TOTAL INVESTMENTS — 101.7% (Cost $868,873,772)		876,915,787

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (1.7)%
			Common Stocks — (1.7)%
			Austria — (0.0)%
	(1,079	)	IMMOFINANZ AG		(30,186	)
	(546	)	Schoeller-Bleckmann Oilfield Equipment AG		(34,669	)
			Total Austria		(64,855	)
			Brazil — (0.1)%
	(16,900	)	Pagseguro Digital Ltd. – Class A *		(844,324	)
			Canada — (0.0)%
	(1,500	)	Agnico Eagle Mines Ltd		(93,885	)
	(9,900	)	AltaGas Ltd		(134,439	)
			Total Canada		(228,324	)
			Denmark — (0.0)%
	(2,968	)	Ambu A/S – Class B		(50,887	)
	(80	)	AP Moller – Maersk A/S – Class A		(79,679	)
	(110	)	AP Moller – Maersk A/S – Class B		(117,152	)
	(521	)	DFDS A/S		(17,898	)
	(1,240	)	ISS A/S		(31,507	)
	(1,356	)	Jyske Bank A/S (Registered) *		(38,052	)
			Total Denmark		(335,175	)
			Germany — (0.1)%
	(74,536	)	Deutsche Bank AG (Registered)		(538,020	)
			Japan — (0.1)%
	(1,300	)	CyberAgent Inc		(58,507	)
	(4,200	)	Japan Lifeline Co Ltd		(65,620	)
	(4,100	)	JGC Corp		(47,544	)
	(300	)	JINS Holdings Inc		(16,553	)
	(1,700	)	Kansai Paint Co Ltd		(35,334	)
	(16,900	)	Mitsui OSK Lines Ltd		(397,081	)
	(3,500	)	Nippon Yusen KK		(52,138	)
	(15,300	)	Orient Corp		(19,279	)
	(1,200	)	Round One Corp		(19,594	)
	(2,800	)	Welcia Holdings Co Ltd		(146,148	)
			Total Japan		(857,798	)
			Netherlands — (0.0)%
	(13,576	)	Altice Europe NV – Class B *		(59,959	)
			Norway — (0.0)%
	(1,667	)	Borr Drilling Ltd. *		(9,242	)
			Portugal — (0.0)%
	(24,736	)	CTT-Correios de Portugal SA		(51,088	)

See accompanying notes to the financial statements. 99

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2019 (Unaudited)

Shares			Description	Value ($)
			Spain — (0.0)%
	(25	)	Bolsas y Mercados Espanoles SHMSF SA		(646	)
	(18	)	Masmovil Ibercom SA *		(368	)
			Total Spain		(1,014	)
			Switzerland — (0.1)%
	(897	)	Dufry AG (Registered)		(72,933	)
	(2,624	)	Stadler Rail AG *		(115,679	)
	(1,713	)	Swiss Prime Site AG (Registered)		(170,926	)
			Total Switzerland		(359,538	)
			United Kingdom — (0.0)%
	(21,376	)	G4S Plc		(45,316	)
	(43,481	)	Melrose Industries Plc		(96,103	)
			Total United Kingdom		(141,419	)
			United States — (1.3)%
	(3,600	)	Acacia Communications, Inc. *		(226,980	)
	(12,600	)	Aerie Pharmaceuticals, Inc. *		(272,916	)
	(31,200	)	Clovis Oncology, Inc. *		(175,032	)
	(100	)	CME Group, Inc.		(21,729	)
	(38,062	)	Coty, Inc. – Class A		(363,492	)
	(3,500	)	Diamondback Energy, Inc.		(343,280	)
	(1,600	)	Digital Realty Trust, Inc. (REIT)		(197,808	)
	(8,300	)	Dollar Tree, Inc. *		(842,699	)
	(4,500	)	Elanco Animal Health, Inc. *		(117,090	)

Shares			Description	Value ($)
			United States — continued
	(8,500	)	Incyte Corp. *		(695,470	)
	(31,500	)	Knight-Swift Transportation Holdings, Inc.		(1,075,410	)
	(3,700	)	Macerich Co. (The) (REIT)		(105,561	)
	(9,400	)	National Oilwell Varco, Inc.		(192,042	)
	(15,500	)	Nektar Therapeutics *		(272,335	)
	(800	)	Perrigo Co Plc		(37,424	)
	(100	)	RenaissanceRe Holdings Ltd.		(18,055	)
	(9,000	)	Roku, Inc. *		(1,362,240	)
	(14,500	)	Shake Shack, Inc. – Class A *		(1,437,820	)
	(81,568	)	Sirius XM Holdings, Inc.		(503,275	)
	(5,400	)	Tesla, Inc. *		(1,218,294	)
	(3,500	)	United Rentals, Inc. *		(393,960	)
	(4,200	)	Wynn Resorts Ltd.		(462,630	)
	(600	)	XPO Logistics, Inc. *		(42,516	)
	(21,200	)	Zayo Group Holdings, Inc. *		(713,592	)
			Total United States		(11,091,650	)
			TOTAL COMMON STOCKS (PROCEEDS $14,405,274)		(14,582,406	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $14,405,274)		(14,582,406	)
			Other Assets and Liabilities (net) — (0.0%)		(153,872	)
			TOTAL NET ASSETS — 100.0%		$862,179,509

A summary of outstanding financial instruments at August 31, 2019 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 1.75%	MORD	USD	846,656	05/18/2020	Monthly		—		(28,096	)		(28,096	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	765,434	05/18/2020	Monthly		—		(19,024	)		(19,024	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.06%	MORD	USD	636,773	05/18/2020	Monthly		—		37,813			37,813
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,769,300	05/18/2020	Monthly		—		(132,323	)		(132,323	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	198,707	03/18/2021	Monthly		—		(1,245	)		(1,245	)
							$	—	$	(142,875	)	$	(142,875	)

As of August 31, 2019, 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.

100 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2019 (Unaudited)

Notes to Schedule of Investments:

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

* 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) All or a portion of this security is out on loan (Note 2).

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

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

(e) 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, 2019.

(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.

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 102.

See accompanying notes to the financial statements. 101

GMO Trust Funds

August 31, 2019 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

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

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

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

QSC - Qatari Shareholding Company

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

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose financial Company)

SOFR - Secured Overnight Financing Rate

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

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

The rates shown on variable rate notes are the current interest rates at August 31, 2019, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co.

International PLC

SSB - State Street Bank and Trust

Company

UBS - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

QAR - Qatari Riyal

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

102 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited)

	Alpha Only Fund		Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund		Benchmark- Free Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,155,573	$	19,443,745	$	10,073,091,034	$	969,058,005
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		74,203,556		190,194,242		5,851,764		1,902,022,939
Foreign currency, at value (Note 2)(d)		50,989		62		—		756,222
Cash		5		—		—		1,181
Receivable for investments sold		—		910,315		—		146,390
Receivable for Fund shares sold		—		—		9,425,000		—
Dividends and interest receivable		139,908		260,303		10,292		3,281,590
Dividend withholding tax receivable		24,078		—		—		455,776
Unrealized appreciation on open forward currency contracts (Note 4)		138,539		2,832,113		—		—
Receivable for variation margin on open futures contracts (Note 4)		43,700		281,310		—		100,225
Receivable for variation margin on open cleared swap contracts (Note 4)		—		91,133		—		—
Receivable for open OTC swap contracts (Note 4)		—		—		—		205,391
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		26,876		37,675		1,346,443		77,369
Due from broker (Note 2)		10,591		2,669,444		—		36
Total assets		76,793,815		216,720,342		10,089,724,533		2,876,105,124
Liabilities:
Investments sold short, at value (Note 2)(e)		—		20,332,636		—		34,229,611
Due to custodian		—		385,662		—		—
Payable for cash collateral from securities loaned (Note 2)		—		—		—		911,867
Payable for investments purchased		4,047		1,587,799		3,727,560		910
Payable for Fund shares repurchased		—		—		5,665,820		1,933,132
Payable to affiliate for (Note 5):
Management fee		33,458		114,247		5,583,295		—
Supplemental support fee – Class MF		—		—		286,285		—
Shareholder service fee		6,856		8,608		748,956		—
Payable to agents unaffiliated with GMO		16		36		2,668		661
Payable for variation margin on open futures contracts (Note 4)		—		37,066		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		118,902		2,532,615		—		527,595
Interest and dividend payable for short sales		—		50,901		—		29,909
Payable for open OTC swap contracts (Note 4)		—		3,635		—		689,863
Written options outstanding, at value (Note 4)(f)		—		1,728,335		—		—
Payable to Trustees and related expenses		708		215		13,935		7,261
Accrued expenses		198,667		155,592		245,272		764,083
Total liabilities		362,654		26,937,347		16,273,791		39,094,892
Net assets	$	76,431,161	$	189,782,995	$	10,073,450,742	$	2,837,010,232
(a)  Cost of investments – affiliated issuers:	$	2,155,573	$	20,949,918	$	10,154,678,638	$	935,970,583
(b)  Cost of investments – unaffiliated issuers:	$	81,676,896	$	190,977,060	$	5,851,764	$	1,952,712,311
(c)  Includes securities on loan at value (Note 2):	$	—	$	10,296,163	$	—	$	32,504,265
(d)  Cost of foreign currency:	$	51,244	$	62	$	—	$	756,718
(e)  Proceeds from securities sold short:	$	—	$	20,756,142	$	—	$	32,076,498
(f)   Premiums on written options:	$	—	$	2,068,410	$	—	$	—

See accompanying notes to the financial statements. 103

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Alpha Only Fund			Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund			Benchmark- Free Fund
Net assets consist of:
Paid-in capital	$	463,909,110		$	189,044,126	$	10,310,517,192		$	3,094,284,843
Distributable earnings (accumulated loss)		(387,477,949	)		738,869		(237,066,450	)		(257,274,611	)
	$	76,431,161		$	189,782,995	$	10,073,450,742		$	2,837,010,232
Net assets attributable to:
Class III	$	661,930		$	—	$	4,112,088,051		$	2,837,010,232
Class IV	$	75,769,231		$	—	$	2,608,664,452		$	—
Class VI	$	—		$	189,782,995	$	—		$	—
Class MF	$	—		$	—	$	3,320,002,107		$	—
Class I	$	—		$	—	$	32,696,132		$	—
Shares outstanding:
Class III		37,493			—		157,762,852			147,213,858
Class IV		4,288,610			—		100,098,163			—
Class VI		—			9,453,556		—			—
Class MF		—			—		127,275,213			—
Class I		—			—		1,254,070			—
Net asset value per share:
Class III	$	17.65		$	—	$	26.06		$	19.27
Class IV	$	17.67		$	—	$	26.06		$	—
Class VI	$	—		$	20.08	$	—		$	—
Class MF	$	—		$	—	$	26.09		$	—
Class I	$	—		$	—	$	26.07		$	—

104 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,682,701,451	$	417,919,510	$	1,560,619,408	$	5,389,294
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		289,753		158,167		501,766		7,845,501,083
Foreign currency, at value (Note 2)(d)		—		—		—		3,299,598
Cash		—		—		—		1,964,773
Receivable for investments sold		185,604		—		—		17,641,379
Receivable for Fund shares sold		—		—		—		3,727,560
Dividends and interest receivable		14,288		291		966		16,430,889
Dividend withholding tax receivable		—		—		—		1,651,952
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		—		19,487,454
Receivable for variation margin on open futures contracts (Note 4)		—		—		—		442,890
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		—		748,577
Receivable for open OTC swap contracts (Note 4)		—		—		—		1,551,485
Interest receivable for open OTC swap contracts (Note 4)		—		—		—		22,985
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		12,132		6,992		10,885		221,861
Due from broker (Note 2)		—		—		—		231,778,554
Miscellaneous receivable		—		—		—		5,121
Total assets		1,683,203,228		418,084,960		1,561,133,025		8,149,865,455
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		—		322,037,657
Payable for cash collateral from securities loaned (Note 2)		—		—		—		2,405,112
Payable for investments purchased		13,816		—		—		21,018,191
Payable for Fund shares repurchased		184,000		—		—		—
Payable to agents unaffiliated with GMO		422		113		363		2,049
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		—		22,813,054
Interest payable for open OTC swap contracts (Note 4)		—		—		—		15,492
Interest and dividend payable for short sales		—		—		—		1,252,666
Payable for open OTC swap contracts (Note 4)		—		—		—		2,691,139
Payable for reverse repurchase agreements (Note 2)		—		—		—		2,652,304
Written options outstanding, at value (Note 4)(f)		—		—		—		12,971,039
Payable to Trustees and related expenses		3,166		78		3,796		16,945
Accrued expenses		88,958		54,351		83,924		1,874,472
Total liabilities		290,362		54,542		88,083		389,750,120
Net assets	$	1,682,912,866	$	418,030,418	$	1,561,044,942	$	7,760,115,335
(a)  Cost of investments – affiliated issuers:	$	1,701,317,655	$	431,772,060	$	1,651,541,189	$	8,079,199
(b)  Cost of investments – unaffiliated issuers:	$	286,422	$	158,167	$	501,766	$	8,121,492,620
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	102,921,331
(d)  Cost of foreign currency:	$	—	$	—	$	—	$	3,302,050
(e)  Proceeds from securities sold short:	$	—	$	—	$	—	$	319,689,597
(f)   Premiums on written options:	$	—	$	—	$	—	$	13,573,717

See accompanying notes to the financial statements. 105

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Global Asset Allocation Fund			Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund
Net assets consist of:
Paid-in capital	$	1,944,226,177		$	498,459,389		$	1,847,120,246		$	8,573,469,267
Distributable earnings (accumulated loss)		(261,313,311	)		(80,428,971	)		(286,075,304	)		(813,353,932	)
	$	1,682,912,866		$	418,030,418		$	1,561,044,942		$	7,760,115,335
Net assets attributable to:
Core Class	$	—		$	—		$	—		$	7,760,115,335
Class III	$	1,682,912,866		$	418,030,418		$	1,561,044,942		$	—
Shares outstanding:
Core Class		—			—			—			597,360,259
Class III		52,764,543			20,003,968			64,079,889			—
Net asset value per share:
Core Class	$	—		$	—		$	—		$	12.99
Class III	$	31.89		$	20.90		$	24.36		$	—

106 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	International Developed Equity Allocation Fund		International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	430,942,171	$	853,791,056	$	—	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		175,327		288,052		1,011,578,023		356,230,920
Receivable for investments sold		—		—		—		2,872,592
Receivable for Fund shares sold		—		218,098,391		58,898		—
Dividends and interest receivable		342		565		2,311,690		114,203
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		9,105,361		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		4,132,724		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		6,797		8,921		35,317		—
Due from broker (Note 2)		—		—		516,000		—
Total assets		431,124,637		1,072,186,985		1,027,738,013		359,217,715
Liabilities:
Foreign taxes payable		—		—		—		21,530
Foreign currency due to custodian		—		—		1,789,437		—
Payable for investments purchased		—		—		—		2,651,786
Payable for Fund shares repurchased		—		215,917,407		12,868		—
Payable to affiliate for (Note 5):
Management fee		—		—		748,868		329,376
Shareholder service fee		—		—		51,204		16,469
Payable to agents unaffiliated with GMO		136		215		252		53
Payable for variation margin on open futures contracts (Note 4)		—		—		334,221		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		5,054,726		—
Payable to Trustees and related expenses		377		730		3,911		3,393
Accrued expenses		54,523		55,029		277,181		199,145
Total liabilities		55,036		215,973,381		8,272,668		3,221,752
Net assets	$	431,069,601	$	856,213,604	$	1,019,465,345	$	355,995,963
(a)  Cost of investments – affiliated issuers:	$	462,377,927	$	939,262,151	$	—	$	—
(b)  Cost of investments – unaffiliated issuers:	$	175,327	$	288,052	$	1,008,822,924	$	285,897,308

See accompanying notes to the financial statements. 107

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	International Developed Equity Allocation Fund			International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund
Net assets consist of:
Paid-in capital	$	643,835,574		$	1,060,915,107		$	1,073,479,182		$	252,124,147
Distributable earnings (accumulated loss)		(212,765,973	)		(204,701,503	)		(54,013,837	)		103,871,816
	$	431,069,601		$	856,213,604		$	1,019,465,345		$	355,995,963
Net assets attributable to:
Class III	$	431,069,601		$	638,115,214		$	30,625,483		$	—
Class VI	$	—		$	—		$	988,839,862		$	355,995,963
Class R6	$	—		$	218,098,390		$	—		$	—
Shares outstanding:
Class III		30,299,542			23,567,190			980,643			—
Class VI		—			—			31,721,693			18,429,370
Class R6		—			8,056,830			—			—
Net asset value per share:
Class III	$	14.23		$	27.08		$	31.23		$	—
Class VI	$	—		$	—		$	31.17		$	19.32
Class R6	$	—		$	27.07		$	—		$	—

108 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	728,851,915
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		148,063,872
Foreign currency, at value (Note 2)(d)		21,722
Receivable for investments sold		10,054,670
Dividends and interest receivable		237,358
Dividend withholding tax receivable		8,269
Receivable for open OTC swap contracts (Note 4)		37,813
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		8,077
Total assets		887,283,696
Liabilities:
Investments sold short, at value (Note 2)(e)		14,582,406
Due to custodian		987
Payable for investments purchased		669
Payable for Fund shares repurchased		10,153,644
Payable to agents unaffiliated with GMO		210
Interest and dividend payable for short sales		7,078
Payable for open OTC swap contracts (Note 4)		180,688
Payable to Trustees and related expenses		1,491
Accrued expenses		177,014
Total liabilities		25,104,187
Net assets	$	862,179,509
(a)  Cost of investments – affiliated issuers:	$	722,596,439
(b)  Cost of investments – unaffiliated issuers:	$	146,277,333
(c)  Includes securities on loan at value (Note 2):	$	12,637,563
(d)  Cost of foreign currency:	$	22,124
(e)  Proceeds from securities sold short:	$	14,405,274

See accompanying notes to the financial statements. 109

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2019 (Unaudited) — (Continued)

	Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	875,495,663
Distributable earnings (accumulated loss)		(13,316,154	)
	$	862,179,509
Net assets attributable to:
Class III	$	862,179,509
Shares outstanding:
Class III		44,827,999
Net asset value per share:
Class III	$	19.23

110 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited)

	Alpha Only Fund			Consolidated Alternative Allocation Fund*			Benchmark-Free Allocation Fund			Benchmark- Free Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,284,854		$	230,745		$	64,402		$	40,301,626
Dividends from affiliated issuers (Note 10)		29,007			111,709			52,740,797			7,271,892
Interest		74,675			788,498			5,745			11,159,830
Securities lending income from affiliated issuers (net)		—			—			—			7,190
Total investment income		2,388,536			1,130,952			52,810,944			58,740,538
Expenses:
Management fee (Note 5)		223,745			406,782			35,339,917			—
Shareholder service fee – Class III (Note 5)		4,946			—			3,325,350			—
Shareholder service fee – Class IV (Note 5)		41,452			—			1,376,754			—
Shareholder service fee – Class VI (Note 5)		—			30,648			—			—
Shareholder service fee – Class I (Note 5)		—			—			1,527	*		—
Supplemental support fee – Class MF (Note 5)		—			—			1,842,238			—
Organizational expenses		—			64,386			—			—
Audit and tax fees		92,470			49,423			14,176			63,145
Custodian, fund accounting agent and transfer agent fees		97,639			39,998			42,898			626,781
Dividend expense on short sales		—			143,581			—			337,300
Legal fees		6,925			6,832			169,283			54,891
Registration fees		3,073			3,909			8,577			—
Trustees’ fees and related expenses (Note 5)		1,493			1,411			142,353			40,628
Interest expense and borrowing costs for investments sold short (Note 2)		—			42,633			—			130,238
Miscellaneous		23,216			21,220			32,929			66,678	**
Total expenses		494,959			810,823			42,296,002			1,319,661
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(167,590	)		(162,969	)		(249,962	)		(520,192	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(214	)		(27,453	)		(7,384,490	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			(5,491	)		(781,587	)		—
Net expenses		327,155			614,910			33,879,963			799,469
Net investment income (loss)		2,061,381			516,042			18,930,981			57,941,069
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(1,492,059	)		2,390,562			—			(20,322,026	)
Investments in affiliated issuers		—			—			11,894,809			3,495,723
Investments in securities sold short		—			(1,599,805	)		—			(693,682	)
Realized gain distributions from affiliated issuers (Note 10)		—			411,484			354,963			127,367
Futures contracts		(10,956,216	)		(1,971,449	)		—			(26,098,108	)
Written options		—			(237,006	)		—			—
Swap contracts		—			1,910,784			—			(309,704	)
Forward currency contracts		867,385			163,175			—			3,878,445
Foreign currency and foreign currency related transactions		(35,448	)		(11,224	)		—			(888,701	)
Net realized gain (loss)		(11,616,338	)		1,056,521			12,249,772			(40,810,686	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,312,722	)		(782,818	)		—			(42,954,725	)
Investments in affiliated issuers		—			(1,506,173	)		(129,588,230	)		(8,547,096	)
Investments in securities sold short		—			423,506			—			(2,996,812	)
Futures contracts		6,263,337			(389,992	)		—			15,173,523
Written options		—			340,075			—			—
Swap contracts		—			802,127			—			(3,750	)
Forward currency contracts		(17,971	)		299,498			—			(1,480,548	)
Foreign currency and foreign currency related transactions		11,032			(19,917	)		—			(28,832	)
Net change in unrealized appreciation (depreciation)		943,676			(833,694	)		(129,588,230	)		(40,838,240	)
Net realized and unrealized gain (loss)		(10,672,662	)		222,827			(117,338,458	)		(81,648,926	)
Net increase (decrease) in net assets resulting from operations	$	(8,611,281	)	$	738,869		$	(98,407,477	)	$	(23,707,857	)
(a)  Withholding tax:	$	193,605		$	—		$	—		$	4,700,272
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	260

* Period from May 1, 2019 (commencement of operations) through August 31, 2019.

** Includes $52,976 of pricing expenses.

See accompanying notes to the financial statements. 111

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	Global Asset Allocation Fund			Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,760		$	1,975		$	6,093		$	171,988,006
Interest		1,409			—			287			46,236,457
Dividends from affiliated issuers (Note 10)		9,445,692			1,245,266			5,422,969			—
Securities lending income from affiliated issuers (net)		—			—			—			28,466
Total investment income		9,449,861			1,247,241			5,429,349			218,252,929
Expenses:
Audit and tax fees		14,716			11,803			11,502			169,513
Custodian, fund accounting agent and transfer agent fees		27,267			23,113			24,906			1,645,313
Dividend expense on short sales		—			—			—			2,675,600
Legal fees		28,492			5,861			25,996			157,084
Registration fees		2,585			891			1,997			—
Trustees’ fees and related expenses (Note 5)		24,284			5,692			21,934			115,896
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			—			470,960
Miscellaneous		9,305	*		4,601	**		8,693	***		101,861
Total expenses		106,649			51,961			95,028			5,336,227
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(79,812	)		(45,650	)		(70,663	)		(1,932,689	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			—			(1,159	)
Net expenses		26,837			6,311			24,365			3,402,379
Net investment income (loss)		9,423,024			1,240,930			5,404,984			214,850,550
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		1,224			—			—			(14,810,720	)
Investments in affiliated issuers		(5,296,724	)		1,258,259			(21,975,256	)		—
Investments in securities sold short		—			—			—			(29,433,288	)
Realized gain distributions from affiliated issuers (Note 10)		5,034,673			3,004,028			8,017,017			—
Futures contracts		—			—			—			(130,828,338	)
Written options		—			—			—			2,504,830
Swap contracts		—			—			—			17,411,541
Forward currency contracts		—			—			—			12,704,066
Foreign currency and foreign currency related transactions		—			—			—			304,481
Net realized gain (loss)		(260,827	)		4,262,287			(13,958,239	)		(142,147,428	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(665	)		—			—			(244,566,709	)
Investments in affiliated issuers		25,096,082			(3,835,410	)		(5,515,391	)		(2,689,905	)
Investments in securities sold short		—			—			—			10,994,515
Futures contracts		—			—			—			65,993,028
Written options		—			—			—			551,882
Swap contracts		—			—			—			4,106,630
Forward currency contracts		—			—			—			(7,317,401	)
Foreign currency and foreign currency related transactions		—			—			—			(183,103	)
Net change in unrealized appreciation (depreciation)		25,095,417			(3,835,410	)		(5,515,391	)		(173,111,063	)
Net realized and unrealized gain (loss)		24,834,590			426,877			(19,473,630	)		(315,258,491	)
Net increase (decrease) in net assets resulting from operations	$	34,257,614		$	1,667,807		$	(14,068,646	)	$	(100,407,941	)
(a)  Withholding tax:	$	—		$	—		$	—		$	20,389,230
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	1,263

* Includes $5,064 of printing expenses.

** Includes $3,305 of printing expenses.

*** Includes $4,848 of printing expenses.

112 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	International Developed Equity Allocation Fund			International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund
Investment Income:
Dividends from unaffiliated issuers	$	2,811		$	3,788		$	197,719		$	1,041,681
Dividends from affiliated issuers (Note 10)		1,203,829			2,851,851			—			—
Interest		456			—			11,459,448			549,110
Total investment income		1,207,096			2,855,639			11,657,167			1,590,791
Expenses:
Management fee (Note 5)		—			—			4,937,333			2,097,852
Shareholder service fee – Class III (Note 5)		—			—			35,873			—
Shareholder service fee – Class IV (Note 5)		—			—			8,885	*		—
Shareholder service fee – Class VI (Note 5)		—			—			301,434			104,893
Audit and tax fees		11,502			11,502			44,686			58,718
Custodian, fund accounting agent and transfer agent fees		24,228			23,441			138,057			25,881
Legal fees		8,446			13,598			35,393			11,071
Registration fees		1,068			1,447			17,712			1,309
Trustees’ fees and related expenses (Note 5)		7,212			11,513			17,477			6,113
Miscellaneous		4,974	**		6,020	***		52,994			16,360
Total expenses		57,430			67,521			5,589,844			2,322,197
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(49,471	)		(54,738	)		(272,441	)		—
Net expenses		7,959			12,783			5,317,403			2,322,197
Net investment income (loss)		1,199,137			2,842,856			6,339,764			(731,406	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			—			4,489,440			42,787,530
Investments in affiliated issuers		(36,461,396	)		(3,928,752	)		—			(398,159	)
Futures contracts		—			—			(18,206,111	)		—
Forward currency contracts		—			—			5,046,233			—
Foreign currency and foreign currency related transactions		—			—			662,519			180
Net realized gain (loss)		(36,461,396	)		(3,928,752	)		(8,007,919	)		42,389,551
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			3,986,376			(36,115,036	)
Investments in affiliated issuers		22,681,095			(27,191,969	)		—			271,587
Futures contracts		—			—			(29,428,487	)		—
Forward currency contracts		—			—			4,617,926			—
Foreign currency and foreign currency related transactions		—			—			341,256			880
Net change in unrealized appreciation (depreciation)		22,681,095			(27,191,969	)		(20,482,929	)		(35,842,569	)
Net realized and unrealized gain (loss)		(13,780,301	)		(31,120,721	)		(28,490,848	)		6,546,982
Net increase (decrease) in net assets resulting from operations	$	(12,581,164	)	$	(28,277,865	)	$	(22,151,084	)	$	5,815,576

* For the period July 18, 2019 to August 31, 2019, class IV had no shareholders.

** Includes $3,605 of printing expenses.

*** Includes $3,921 of printing expenses.

See accompanying notes to the financial statements. 113

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2019 (Unaudited) — (Continued)

	Strategic Opportunities Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,172,691
Dividends from affiliated issuers (Note 10)		2,900,448
Interest		1,566,987
Total investment income		6,640,126
Expenses:
Audit and tax fees		22,263
Custodian, fund accounting agent and transfer agent fees		78,114
Dividend expense on short sales		95,777
Legal fees		15,567
Registration fees		1,172
Trustees’ fees and related expenses (Note 5)		12,176
Interest expense and borrowing costs for investments sold short (Note 2)		47,527
Miscellaneous		12,562
Total expenses		285,158
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(120,690	)
Net expenses		164,468
Net investment income (loss)		6,475,658
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(2,446,355	)
Investments in affiliated issuers		406,409
Investments in securities sold short		(1,530,680	)
Realized gain distributions from affiliated issuers (Note 10)		1,575,750
Swap contracts		(121,578	)
Foreign currency and foreign currency related transactions		(2,107	)
Net realized gain (loss)		(2,118,561	)*
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,016,229
Investments in affiliated issuers		(4,795,181	)
Investments in securities sold short		821,736
Swap contracts		(77,787	)
Foreign currency and foreign currency related transactions		(1,905	)
Net change in unrealized appreciation (depreciation)		(2,036,908	)
Net realized and unrealized gain (loss)		(4,155,469	)
Net increase (decrease) in net assets resulting from operations	$	2,320,189
(a)  Withholding tax:	$	125,667
(b)  Foreign capital gains tax on net realized gain (loss):	$	1,233

* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

114 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Alpha Only Fund						Consolidated Alternative Allocation Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Period from May1, 2019 (commencement of operations) through August 31, 2019 (Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,061,381		$	3,387,995		$	516,042
Net realized gain (loss)		(11,616,338	)		27,428,536			1,056,521
Change in net unrealized appreciation (depreciation)		943,676			(39,668,619	)		(833,694	)
Net increase (decrease) in net assets from operations		(8,611,281	)		(8,852,088	)		738,869
Distributions to shareholders:
Class III		(230,460	)		(312,598	)		—
Class IV		(2,477,777	)		(4,687,931	)		—
Total distributions		(2,708,237	)		(5,000,529	)		—
Net share transactions (Note 9):
Class III		(5,860,758	)		194,196			—
Class IV		(12,729,403	)		(110,332,136	)		—
Class VI		—			—			189,044,126
Increase (decrease) in net assets resulting from net share transactions		(18,590,161	)		(110,137,940	)		189,044,126
Total increase (decrease) in net assets		(29,909,679	)		(123,990,557	)		189,782,995
Net assets:
Beginning of period		106,340,840			230,331,397			—
End of period	$	76,431,161		$	106,340,840		$	189,782,995

See accompanying notes to the financial statements. 115

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Allocation Fund						Benchmark-Free Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	18,930,981		$	377,628,700		$	57,941,069		$	106,831,468
Net realized gain (loss)		12,249,772			240,016,377			(40,810,686	)		219,040,536
Change in net unrealized appreciation (depreciation)		(129,588,230	)		(875,084,601	)		(40,838,240	)		(465,546,562	)
Net increase (decrease) in net assets from operations		(98,407,477	)		(257,439,524	)		(23,707,857	)		(139,674,558	)
Distributions to shareholders:
Class III		(4,045,970	)		(157,872,659	)		(18,239,599	)		(122,727,936	)
Class IV		(3,221,235	)		(94,264,792	)		—			—
Class MF		(4,016,443	)		(150,215,640	)		—			—
Total distributions		(11,283,648	)		(402,353,091	)		(18,239,599	)		(122,727,936	)
Net share transactions (Note 9):
Class III		(487,121,003	)		(269,721,640	)		(286,773,302	)		(1,058,562,935	)
Class IV		(97,473,536	)		117,141,309			—			—
Class MF		(571,158,998	)		(1,422,006,518	)		—			—
Class I		32,548,065	*		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(1,123,205,472	)		(1,574,586,849	)		(286,773,302	)		(1,058,562,935	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			207,256			—			207,484
Class IV		—			112,191			—			—
Class MF		—			227,404			—			—
Increase in net assets resulting from purchase premiums and redemption fees		—			546,851			—			207,484
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,123,205,472	)		(1,574,039,998	)		(286,773,302	)		(1,058,355,451	)
Total increase (decrease) in net assets		(1,232,896,597	)		(2,233,832,613	)		(328,720,758	)		(1,320,757,945	)
Net assets:
Beginning of period		11,306,347,339			13,540,179,952			3,165,730,990			4,486,488,935
End of period	$	10,073,450,742		$	11,306,347,339		$	2,837,010,232		$	3,165,730,990

* Period from August 8, 2019 (commencement of operations) through August 31, 2019.

116 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Asset Allocation Fund						Global Developed Equity Allocation Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,423,024		$	68,239,538		$	1,240,930		$	11,712,327
Net realized gain (loss)		(260,827	)		7,699,409			4,262,287			33,279,520
Change in net unrealized appreciation (depreciation)		25,095,417			(130,685,605	)		(3,835,410	)		(66,670,344	)
Net increase (decrease) in net assets from operations		34,257,614			(54,746,658	)		1,667,807			(21,678,497	)
Distributions to shareholders:
Class III		(7,374,590	)		(66,965,936	)		(7,152,976	)		(11,897,305	)
Total distributions		(7,374,590	)		(66,965,936	)		(7,152,976	)		(11,897,305	)
Net share transactions (Note 9):
Class III		(253,698,644	)		(444,299,648	)		(24,358,132	)		12,165,436
Increase (decrease) in net assets resulting from net share transactions		(253,698,644	)		(444,299,648	)		(24,358,132	)		12,165,436
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			136,171			—			1,263
Increase in net assets resulting from purchase premiums and redemption fees		—			136,171			—			1,263
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(253,698,644	)		(444,163,477	)		(24,358,132	)		12,166,699
Total increase (decrease) in net assets		(226,815,620	)		(565,876,071	)		(29,843,301	)		(21,409,103	)
Net assets:
Beginning of period		1,909,728,486			2,475,604,557			447,873,719			469,282,822
End of period	$	1,682,912,866		$	1,909,728,486		$	418,030,418		$	447,873,719

See accompanying notes to the financial statements. 117

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Equity Allocation Fund						Consolidated Implementation Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,404,984		$	50,673,094		$	214,850,550		$	304,016,674
Net realized gain (loss)		(13,958,239	)		88,843,182			(142,147,428	)		278,984,834
Change in net unrealized appreciation (depreciation)		(5,515,391	)		(264,669,367	)		(173,111,063	)		(872,574,054	)
Net increase (decrease) in net assets from operations		(14,068,646	)		(125,153,091	)		(100,407,941	)		(289,572,546	)
Distributions to shareholders:
Core Class		—			—			(31,889,793	)		(409,637,549	)
Class III		(5,605,779	)		(50,339,578	)		—			—
Total distributions		(5,605,779	)		(50,339,578	)		(31,889,793	)		(409,637,549	)
Net share transactions (Note 9):
Core Class		—			—			(1,073,165,184	)		(1,841,241,070	)
Class III		(57,024,229	)		(515,723,700	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(57,024,229	)		(515,723,700	)		(1,073,165,184	)		(1,841,241,070	)
Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		—			—			—			330,066
Class III		—			39,335			—			—
Increase in net assets resulting from purchase premiums and redemption fees		—			39,335			—			330,066
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(57,024,229	)		(515,684,365	)		(1,073,165,184	)		(1,840,911,004	)
Total increase (decrease) in net assets		(76,698,654	)		(691,177,034	)		(1,205,462,918	)		(2,540,121,099	)
Net assets:
Beginning of period		1,637,743,596			2,328,920,630			8,965,578,253			11,505,699,352
End of period	$	1,561,044,942		$	1,637,743,596		$	7,760,115,335		$	8,965,578,253

118 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Developed Equity Allocation Fund						International Equity Allocation Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,199,137		$	20,179,649		$	2,842,856		$	30,571,010
Net realized gain (loss)		(36,461,396	)		(11,961,205	)		(3,928,752	)		(8,912,750	)
Change in net unrealized appreciation (depreciation)		22,681,095			(88,371,353	)		(27,191,969	)		(142,162,288	)
Net increase (decrease) in net assets from operations		(12,581,164	)		(80,152,909	)		(28,277,865	)		(120,504,028	)
Distributions to shareholders:
Class III		(1,286,714	)		(20,108,519	)		(3,256,487	)		(30,650,233	)
Class R6		—			—			—			—
Total distributions		(1,286,714	)		(20,108,519	)		(3,256,487	)		(30,650,233	)
Net share transactions (Note 9):
Class III		(127,892,432	)		8,208,473			(260,317,257	)		(70,320,913	)
Class R6		—			—			218,098,391	*		—
Increase (decrease) in net assets resulting from net share transactions		(127,892,432	)		8,208,473			(42,218,866	)		(70,320,913	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			15,949			—			114,511
Increase in net assets resulting from purchase premiums and redemption fees		—			15,949			—			114,511
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(127,892,432	)		8,224,422			(42,218,866	)		(70,206,402	)
Total increase (decrease) in net assets		(141,760,310	)		(92,037,006	)		(73,753,218	)		(221,360,663	)
Net assets:
Beginning of period		572,829,911			664,866,917			929,966,822			1,151,327,485
End of period	$	431,069,601		$	572,829,911		$	856,213,604		$	929,966,822

* Period from August 30, 2019 (commencement of operations) through August 31, 2019.

See accompanying notes to the financial statements. 119

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated SGM Major Markets Fund						Consolidated Special Opportunities Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019			Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,339,764		$	16,759,065		$	(731,406	)	$	(1,203,658	)
Net realized gain (loss)		(8,007,919	)		(30,932,172	)		42,389,551			183,811,430
Change in net unrealized appreciation (depreciation)		(20,482,929	)		29,045,803			(35,842,569	)		(135,385,222	)
Net increase (decrease) in net assets from operations		(22,151,084	)		14,872,696			5,815,576			47,222,550
Distributions to shareholders:
Class III		(362,182	)		(113,342	)		—			—
Class IV		(167,985	)*		(45,911	)		—			—
Class VI		(7,807,846	)		(5,241,300	)		(506,076	)		(229,777,571	)
Total distributions		(8,338,013	)		(5,400,553	)		(506,076	)		(229,777,571	)
Net share transactions (Note 9):
Class III		(13,062,253	)		18,453,410			—			—
Class IV		(22,837,965	)*		10,954,835			—			—
Class VI		(143,778,885	)		(691,528,494	)		(73,080,727	)		(433,998,554	)
Increase (decrease) in net assets resulting from net share transactions		(179,679,103	)		(662,120,249	)		(73,080,727	)		(433,998,554	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		—			—			392,084			3,683,959
Increase in net assets resulting from purchase premiums and redemption fees		—			—			392,084			3,683,959
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(179,679,103	)		(662,120,249	)		(72,688,643	)		(430,314,595	)
Total increase (decrease) in net assets		(210,168,200	)		(652,648,106	)		(67,379,143	)		(612,869,616	)
Net assets:
Beginning of period		1,229,633,545			1,882,281,651			423,375,106			1,036,244,722
End of period	$	1,019,465,345		$	1,229,633,545		$	355,995,963		$	423,375,106

* For the period July 18, 2019 to August 31, 2019, class IV had no shareholders.

120 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2019 (Unaudited)			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,475,658		$	32,435,348
Net realized gain (loss)		(2,118,561	)		21,385,210
Change in net unrealized appreciation (depreciation)		(2,036,908	)		(104,365,864	)
Net increase (decrease) in net assets from operations		2,320,189			(50,545,306	)
Distributions to shareholders:
Class III		(13,877,699	)		(91,874,936	)
Total distributions		(13,877,699	)		(91,874,936	)
Net share transactions (Note 9):
Class III		(41,411,276	)		(245,065,008	)
Increase (decrease) in net assets resulting from net share transactions		(41,411,276	)		(245,065,008	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			192,588
Increase in net assets resulting from purchase premiums and redemption fees		—			192,588
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(41,411,276	)		(244,872,420	)
Total increase (decrease) in net assets		(52,968,786	)		(387,292,662	)
Net assets:
Beginning of period		915,148,295			1,302,440,957
End of period	$	862,179,509		$	915,148,295

See accompanying notes to the financial statements. 121

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015								2019				2018				2017				2016				2015
Net asset value, beginning of period		$	20.09			$	21.80			$	20.96			$	22.04			$	22.93			$	23.98			$	20.10			$	21.81			$	20.97			$	22.05			$	22.95			$	23.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.47				0.45				0.41				0.35				0.37				0.34				0.44				0.48				0.39				0.37				0.39				0.35
Net realized and unrealized gain (loss)			(2.29	)			(1.29	)			0.68				(0.80	)			(0.40	)			(0.96	)			(2.25	)			(1.31	)			0.71				(0.81	)			(0.41	)			(0.95	)
Total from investment operations			(1.82	)			(0.84	)			1.09				(0.45	)			(0.03	)			(0.62	)			(1.81	)			(0.83	)			1.10				(0.44	)			(0.02	)			(0.60	)
Less distributions to shareholders:
From net investment income			(0.13	)			(0.87	)			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.13	)			(0.88	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)
From net realized gains			(0.49	)			—				—				—				—				—				(0.49	)			—				—				—				—				—
Total distributions			(0.62	)			(0.87	)			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.62	)			(0.88	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)
Net asset value, end of period		$	17.65			$	20.09			$	21.80			$	20.96			$	22.04			$	22.93			$	17.67			$	20.10			$	21.81			$	20.97			$	22.05			$	22.95
Total Return(b)			(9.13	)%**			(3.88	)%			5.22	%			(2.02	)%			(0.06	)%			(2.60	)%			(9.06	)%**			(3.85	)%			5.27	%			(1.98	)%			(0.03	)%			(2.51	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	662			$	7,406			$	7,829			$	7,852			$	7,712			$	26,695			$	75,769			$	98,935			$	222,503			$	225,982			$	286,305			$	3,333,388
Net expenses to average daily net assets			0.78	%(c)*			0.70	%(c)			0.67	%(c)			0.68	%(c)			0.66	%(c)			0.65	%			0.73	%(c)*			0.64	%(c)			0.62	%(c)			0.62	%(c)			0.60	%(c)			0.60	%
Net investment income (loss) to average daily net assets(a)			4.90	%*			2.15	%			1.91	%			1.62	%			1.66	%			1.44	%			4.58	%*			2.32	%			1.80	%			1.69	%			1.76	%			1.46	%
Portfolio turnover rate			50	%(d)**			90	%(d)			67	%(d)			22	%(d)			85	%			123	%			50	%(d)**			90	%(d)			67	%(d)			22	%(d)			85	%			123	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.38	%(e)*			0.32	%			0.22	%			0.20	%			0.06	%			0.04	%			0.37	%(e)*			0.27	%			0.23	%			0.20	%			0.05	%			0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 70%, 221%, 135% and 80%, respectively, of the average value of its portfolio.

^(e) Ratios include Fees waived/borne by GMO.

† 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 the period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares
	Period from May 1, 2019 (commencement of operations) through August 31, 2019
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.06
Net realized and unrealized gain (loss)			0.02
Total from investment operations			0.08
Net asset value, end of period		$	20.08
Total Return(b)			0.40	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	189,783
Net operating expenses to average daily net assets(c)			0.77	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.33	%*
Total net expenses to average daily net assets(c)			1.10	%*
Net investment income (loss) to average daily net assets(a)			0.93	%*
Portfolio turnover rate			109	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)			0.35	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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) Ratios include indirect fees waived/borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 123

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, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016(a)				2015(b)								2019				2018				2017				2016(a)				2015(b)
Net asset value, beginning of period		$	26.36			$	27.76			$	25.78			$	23.46			$	27.04			$	27.07			$	26.35			$	27.75			$	25.78			$	23.46			$	27.03			$	27.06
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.04				0.82				0.52				0.37				0.19				0.38				0.05				0.88				0.58				0.40				0.20				0.36
Net realized and unrealized gain (loss)			(0.31	)			(1.30	)			2.12				2.35				(3.26	)			0.86				(0.31	)			(1.35	)			2.06				2.33				(3.26	)			0.89
Total from investment operations			(0.27	)			(0.48	)			2.64				2.72				(3.07	)			1.24				(0.26	)			(0.47	)			2.64				2.73				(3.06	)			1.25
Less distributions to shareholders:
From net investment income			(0.02	)			(0.90	)			(0.66	)			(0.40	)			(0.34	)			(0.52	)			(0.02	)			(0.91	)			(0.67	)			(0.41	)			(0.34	)			(0.53	)
From net realized gains			(0.01	)			(0.02	)			—				—				(0.17	)			(0.75	)			(0.01	)			(0.02	)			—				—				(0.17	)			(0.75	)
Total distributions			(0.03	)			(0.92	)			(0.66	)			(0.40	)			(0.51	)			(1.27	)			(0.03	)			(0.93	)			(0.67	)			(0.41	)			(0.51	)			(1.28	)
Net asset value, end of period		$	26.06			$	26.36			$	27.76			$	25.78			$	23.46			$	27.04			$	26.06			$	26.35			$	27.75			$	25.78			$	23.46			$	27.03
Total Return(d)			(1.05	)%**			(1.55	)%			10.28	%			11.66	%			(11.51	)%			4.71	%			(0.98	)%**			(1.50	)%			10.30	%			11.71	%			(11.46	)%			4.75	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,112,088			$	4,642,211			$	5,162,084			$	5,248,863			$	5,872,663			$	6,040,891			$	2,608,664			$	2,737,619			$	2,756,005			$	2,663,418			$	2,508,115			$	3,363,711
Net operating expenses to average daily net assets(e)			0.65	%*			0.65	%			0.65	%			0.65	%			0.66	%			0.64	%			0.60	%*			0.60	%			0.60	%			0.60	%			0.61	%			0.59	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets			—				—				—				—				0.02	%(f)			0.05	%(f)			—				—				—				—				0.02	%(g)			0.05	%(g)
Total net expenses to average daily net assets(e)			0.65	%*			0.65	%			0.65	%			0.65	%			0.68	%			0.69	%			0.60	%*			0.60	%			0.60	%			0.60	%			0.63	%			0.64	%
Net investment income (loss) to average daily net assets(c)			0.32	%*			3.07	%			1.93	%			1.46	%			0.73	%			1.41	%			0.39	%*			3.29	%			2.13	%			1.61	%			0.80	%			1.32	%
Portfolio turnover rate			2	%**			18	%			9	%			7	%			53	%(g)			84	%			2	%**			18	%			9	%			7	%			53	%(h)			84	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.15	%*			0.15	%			0.16	%			0.15	%			0.16	%			0.20	%			0.15	%*			0.15	%			0.16	%			0.15	%			0.16	%			0.20	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(i)		$	0.01			$	0.02			$	0.01			$	0.01			$	—			$	0.00	(j)		$	0.01			$	0.02			$	0.01			$	0.01

^(a)  The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

^(b)  Consolidated financial highlights (Note 2 — Basis of presentation and principles of consolidation).

^(c)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(f)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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)  Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

124 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																								Class I Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Period from August 8, 2019 (commencement of operations) through August 31, 2019 (Unaudited)
					2019				2018				2017				2016(a)				2015(b)
Net asset value, beginning of period		$	26.38			$	27.77			$	25.80			$	23.47			$	27.04			$	27.07			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.05				0.77				0.56				0.35				0.19				0.37				(0.01	)
Net realized and unrealized gain (loss)			(0.31	)			(1.23	)			2.08				2.39				(3.24	)			0.88				(0.16	)
Total from investment operations			(0.26	)			(0.46	)			2.64				2.74				(3.05	)			1.25				(0.17	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.91	)			(0.67	)			(0.41	)			(0.35	)			(0.53	)			—
From net realized gains			(0.01	)			(0.02	)			—				—				(0.17	)			(0.75	)			—
Total distributions			(0.03	)			(0.93	)			(0.67	)			(0.41	)			(0.52	)			(1.28	)			—
Net asset value, end of period		$	26.09			$	26.38			$	27.77			$	25.80			$	23.47			$	27.04			$	26.07
Total Return(d)			(0.99	)%**			(1.47	)%			10.29	%			11.76	%			(11.45	)%			4.78	%			(0.65	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,320,002			$	3,926,518			$	5,622,091			$	5,858,177			$	8,025,066			$	12,255,179			$	32,696
Net operating expenses to average daily net assets(e)			0.60	%*			0.60	%			0.60	%			0.60	%(f)			0.58	%(f)			0.55	%(f)			0.75	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets			—				—				—				—				0.02	%(g)			0.05	%(g)			—
Total net expenses to average daily net assets(e)			0.60	%*			0.60	%			0.60	%			0.60	%(f)			0.60	%(f)			0.60	%(f)			0.75	%*
Net investment income (loss) to average daily net assets(c)			0.36	%*			2.88	%			2.06	%			1.38	%			0.77	%			1.37	%			(0.75	)%*
Portfolio turnover rate			2	%**			18	%			9	%			7	%			53	%(h)			84	%			2	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.15	%*			0.15	%			0.16	%			0.16	%			0.19	%			0.23	%			0.16	%*
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			$	—

^(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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(f)  Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(h)  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.

See accompanying notes to the financial statements. 125

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	19.56			$	20.91			$	18.95			$	17.00			$	20.30			$	22.09
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.39				0.58				0.46				0.43				0.58				0.61
Net realized and unrealized gain (loss)			(0.56	)			(1.21	)			2.10				2.01				(2.70	)			0.61
Total from investment operations			(0.17	)			(0.63	)			2.56				2.44				(2.12	)			1.22
Less distributions to shareholders:
From net investment income			(0.12	)			(0.72	)			(0.60	)			(0.49	)			(0.60	)			(0.79	)
From net realized gains			—				—				—				—				(0.58	)			(2.22	)
Total distributions			(0.12	)			(0.72	)			(0.60	)			(0.49	)			(1.18	)			(3.01	)
Net asset value, end of period		$	19.27			$	19.56			$	20.91			$	18.95			$	17.00			$	20.30
Total Return(b)			(0.87	)%**			(2.80	)%			13.59	%			14.52	%			(10.82	)%			5.76	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,837,010			$	3,165,731			$	4,486,489			$	4,394,260			$	4,305,118			$	5,052,362
Net operating expenses to average daily net assets(c)			0.02	%*			0.02	%			0.02	%			0.01	%			0.00	%(d)			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.03	%*			0.04	%			0.00	%(f)			0.00	%(f)			—				—
Total net expenses to average daily net assets(c)			0.05	%*			0.06	%			0.02	%			0.01	%			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			3.90	%*			2.92	%			2.29	%			2.37	%			3.09	%			2.90	%
Portfolio turnover rate			22	%(g)**			59	%(g)			78	%(g)			83	%(g)			101	%			60	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.03	%			0.04	%			0.01	%			0.00	%(h)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(i)		$	0.01			$	0.00	(i)		$	0.00	(i)		$	0.00	(i)

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Net expenses to average daily net assets were less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 23%, 59%, 81% and 86%, respectively, of the average value of its portfolio.

^(h)  Fees and expenses reimbursed by GMO were less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

126 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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	31.47			$	33.31			$	30.48			$	27.60			$	33.81			$	35.40
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.17				1.02				0.73				0.61				1.02				0.96
Net realized and unrealized gain (loss)			0.38				(1.74	)			2.93				3.00				(4.53	)			0.60
Total from investment operations			0.55				(0.72	)			3.66				3.61				(3.51	)			1.56
Less distributions to shareholders:
From net investment income			(0.13	)			(1.12	)			(0.83	)			(0.73	)			(1.14	)			(1.29	)
From net realized gains			—				—				—				—				(1.56	)			(1.86	)
Total distributions			(0.13	)			(1.12	)			(0.83	)			(0.73	)			(2.70	)			(3.15	)
Net asset value, end of period		$	31.89			$	31.47			$	33.31			$	30.48			$	27.60			$	33.81
Total Return(c)			1.75	%**			(1.96	)%			12.04	%			13.21	%			(10.98	)%			4.55	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,682,913			$	1,909,728			$	2,475,605			$	2,423,945			$	3,317,792			$	4,868,922
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(b)			1.04	%*			3.17	%			2.24	%			2.06	%			3.33	%			2.75	%
Portfolio turnover rate			18	%(f)**			21	%(f)			20	%(f)			19	%(f)			20	%			38	%
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)		$	0.01			$	0.02			$	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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(e)  Net expenses to average daily net assets were less than 0.01%.

^(f)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 19%, 24%, 22% and 18%, 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. 127

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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	21.20			$	22.88			$	19.60			$	17.40			$	22.84			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.06				0.57				0.42				0.52				0.51				0.80
Net realized and unrealized gain (loss)			(0.00	)(c)			(1.67	)			3.55				2.87				(3.64	)			0.02	(b)
Total from investment operations			0.06				(1.10	)			3.97				3.39				(3.13	)			0.82
Less distributions to shareholders:
From net investment income			(0.10	)			(0.58	)			(0.69	)			(0.55	)			(0.52	)			(0.82	)
From net realized gains			(0.26	)			—				—				(0.64	)			(1.79	)			(2.16	)
Total distributions			(0.36	)			(0.58	)			(0.69	)			(1.19	)			(2.31	)			(2.98	)
Net asset value, end of period		$	20.90			$	21.20			$	22.88			$	19.60			$	17.40			$	22.84
Total Return(d)			0.23	%**			(4.58	)%			20.39	%			20.03	%			(14.81	)%			3.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	418,030			$	447,874			$	469,283			$	992,260			$	1,432,776			$	1,770,455
Net expenses to average daily net assets(e)(f)			0.00	*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			0.56	%*			2.62	%			1.99	%			2.78	%			2.49	%			3.34	%
Portfolio turnover rate			11	%**			6	%			5	%			29	%			14	%			16	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			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 other GMO Funds and/or other investment companies 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)  Rounds to less than $0.01.

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

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

^(f)  Net expenses to average daily net assets were less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

128 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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	24.63			$	26.86			$	22.84			$	19.71			$	26.22			$	28.29
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.08				0.65				0.68				0.57				0.60				0.96
Net realized and unrealized gain (loss)			(0.26	)			(2.18	)			4.11				3.67				(4.47	)			(0.03	)(c)
Total from investment operations			(0.18	)			(1.53	)			4.79				4.24				(3.87	)			0.93
Less distributions to shareholders:
From net investment income			(0.09	)			(0.70	)			(0.77	)			(0.70	)			(0.60	)			(0.90	)
From net realized gains			—				—				—				(0.41	)			(2.04	)			(2.10	)
Total distributions			(0.09	)			(0.70	)			(0.77	)			(1.11	)			(2.64	)			(3.00	)
Net asset value, end of period		$	24.36			$	24.63			$	26.86			$	22.84			$	19.71			$	26.22
Total Return(d)			(0.76	)%**			(5.43	)%			21.06	%			21.93	%			(15.96	)%			3.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,561,045			$	1,637,744			$	2,328,921			$	2,206,818			$	2,879,168			$	3,800,256
Net expenses to average daily net assets(e)(f)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(b)			0.67	%*			2.56	%			2.67	%			2.63	%			2.58	%			3.54	%
Portfolio turnover rate			13	%**			11	%			14	%			27	%			15	%			21	%
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)		$	0.01			$	0.02			$	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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(f)  Net expenses to average daily net assets were less than 0.01%.

^(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. 129

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	13.22			$	14.09			$	13.06			$	11.80			$	13.59			$	12.71
Income (loss) from investment operations:
Net investment income (loss)†			0.33	(a)			0.40				0.33				0.27				0.21				0.25
Net realized and unrealized gain (loss)			(0.51	)			(0.69	)			1.11				1.24				(2.00	)			0.63
Total from investment operations			(0.18	)			(0.29	)			1.44				1.51				(1.79	)			0.88
Less distributions to shareholders:(b)
From net investment income			(0.05	)			(0.58	)			(0.41	)			(0.25	)			—				—
Total distributions			(0.05	)			(0.58	)			(0.41	)			(0.25	)			—				—
Net asset value, end of period		$	12.99			$	13.22			$	14.09			$	13.06			$	11.80			$	13.59
Total Return(c)			(1.37	)%**			(1.88	)%			11.12	%			12.88	%			(13.17	)%			6.92	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,760,115			$	8,965,578			$	11,505,699			$	11,226,684			$	13,655,203			$	15,915,866
Net operating expenses to average daily net assets			0.01	%(d)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.07	%*			0.10	%			0.04	%			0.05	%			0.07	%			0.07	%
Total net expenses to average daily net assets			0.08	%(d)*			0.10	%			0.04	%			0.05	%			0.07	%			0.07	%
Net investment income (loss) to average daily net assets			5.01	%(a)*			2.95	%			2.44	%			2.11	%			1.62	%			1.89	%
Portfolio turnover rate			49	%**(g)			112	%			146	%			142	%			127	%			115	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*(h)			0.04	%			0.04	%			0.05	%			0.05	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(i)		$	0.01			$	0.01			$	0.01			$	—

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Distributions to shareholders were not required to be made for periods prior to July 1, 2015, the date on which the Fund elected to be treated as a corporation for U.S. federal income purposes.

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

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

^(e)  Ratio is less than 0.01%.

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2019, including transactions in USTF, was 50% of the average value of its portfolio.

^(h)  Ratio includes indirect fees waived or borne by GMO.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

130 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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	14.75			$	17.32			$	14.72			$	13.05			$	16.88			$	17.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.51				0.53				0.45				0.48				0.74
Net realized and unrealized gain (loss)			(0.52	)			(2.56	)			2.61				1.79				(3.83	)			(1.11	)
Total from investment operations			(0.49	)			(2.05	)			3.14				2.24				(3.35	)			(0.37	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)			(0.74	)
Total distributions			(0.03	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)			(0.74	)
Net asset value, end of period		$	14.23			$	14.75			$	17.32			$	14.72			$	13.05			$	16.88
Total Return(b)			(3.30	)%**			(11.57	)%			21.41	%			17.37	%			(20.09	)%			(1.86	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	431,070			$	572,830			$	664,867			$	601,792			$	942,823			$	1,180,493
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			0.44	%*			3.25	%			3.20	%			3.14	%			3.07	%			4.24	%
Portfolio turnover rate			6	%**			8	%			5	%			10	%			14	%			7	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(e)		$	0.00	(e)		$	0.01			$	0.00	(e)		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Net expenses to average daily net assets were less than 0.01%.

^(e)  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. 131

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares																								Class R6 Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Period from August 30, 2019 (commencement of operations) through August 31, 2019
					2019				2018				2017(a)				2016(a)				2015(a)
Net asset value, beginning of period		$	28.09			$	32.62			$	27.49			$	23.40			$	31.71			$	34.11			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.09				0.91				0.93				0.84				0.84				1.32				0.00	(c)
Net realized and unrealized gain (loss)			(1.00	)			(4.47	)			5.19				4.15				(7.11	)			(1.83	)			—
Total from investment operations			(0.91	)			(3.56	)			6.12				4.99				(6.27	)			(0.51	)			0.00
Less distributions to shareholders:
From net investment income			(0.10	)			(0.97	)			(0.99	)			(0.90	)			(0.87	)			(1.35	)			—
From net realized gains			—				—				—				—				(1.17	)			(0.54	)			—
Total distributions			(0.10	)			(0.97	)			(0.99	)			(0.90	)			(2.04	)			(1.89	)			—
Net asset value, end of period		$	27.08			$	28.09			$	32.62			$	27.49			$	23.40			$	31.71			$	27.07
Total Return(d)			(3.25	)%**			(10.69	)%			22.38	%			21.57	%			(20.70	)%			(1.30	)%			0.00	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	638,115			$	929,967			$	1,151,327			$	1,085,803			$	1,134,800			$	1,595,039			$	218,098
Net expenses to average daily net assets(e)(f)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%*
Net investment income (loss) to average daily net assets(b)			0.63	%*			3.09	%			3.00	%			3.20	%			2.92	%			3.94	%			0.00	%(g)*
Portfolio turnover rate			0	%**			8	%			12	%			7	%			14	%			18	%			0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(h)		$	0.02			$	0.02			$	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 other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(f) Net expenses to average daily net assets were less than 0.01%.

^(g) Net investment income (loss) was 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.

132 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 VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28,												Period from December 1, 2015 (commencement of operations) through February 29, 2016
					2019				2018				2017				2016				2015								2019				2018				2017
Net asset value, beginning of period		$	32.17			$	31.87			$	32.68			$	33.25			$	33.80			$	32.18			$	32.11			$	31.78			$	32.57			$	33.26			$	33.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.31				0.24				(0.21	)			(0.26	)			(0.25	)			0.18				0.33				0.05				(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			(0.87	)			0.11	(b)			0.23				1.87				(0.29	)			1.87	(b)			(0.88	)			0.13	(b)			0.44				1.85				0.24
Total from investment operations			(0.71	)			0.42				0.47				1.66				(0.55	)			1.62				(0.70	)			0.46				0.49				1.69				0.19
Less distributions to shareholders:(c)
From net investment income			(0.23	)			(0.12	)			—				(1.01	)			—				—				(0.24	)			(0.13	)			—				(1.16	)			—
From net realized gains			—				—				(1.28	)			(1.22	)			—				—				—				—				(1.28	)			(1.22	)			—
Total distributions			(0.23	)			(0.12	)			(1.28	)			(2.23	)			—				—				(0.24	)			(0.13	)			(1.28	)			(2.38	)			—
Net asset value, end of period		$	31.23			$	32.17			$	31.87			$	32.68			$	33.25			$	33.80			$	31.17			$	32.11			$	31.78			$	32.57			$	33.26
Total Return(d)			(2.23	)%**			1.32	%			1.44	%			5.12	%			(1.63	)%			5.03	%			(2.21	)%**			1.47	%			1.50	%			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	30,625			$	45,409			$	26,630			$	6,117			$	24,020			$	1,499,443			$	988,840			$	1,161,238			$	1,843,748			$	1,446,445			$	1,297,025
Net expenses to average daily net assets(e)			1.00	%*			1.00	%			1.00	%			1.00	%			0.85	%			0.80	%			0.91	%*			0.91	%			0.91	%			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets(a)			1.00	%*			0.97	%			0.75	%			(0.61	)%			(0.79	)%			(0.76	)%			1.09	%*			1.04	%			0.16	%			(0.47	)%			(0.59	)%*
Portfolio turnover rate			15	%(f)**			49	%(f)			106	%(f)			15	%(f)			29	%			45	%			15	%**(f)			49	%(f)			106	%(f)			15	%(f)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.04	%			0.03	%			0.04	%			0.03	%			0.08	%			0.05	%*			0.04	%			0.03	%			0.04	%			0.13	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies 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)  Distributions to shareholders were not required to be made for periods prior to December 1, 2015, the date on which the Fund elected to be treated as a corporation for U.S. federal income purposes.

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

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

^(f)  The 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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 15%, 75%, 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. 133

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2019 (Unaudited)				Year Ended February 28/29,																Period from July 28, 2014 (commencement of operations) through February 28, 2015
					2019				2018				2017				2016
Net asset value, beginning of period		$	19.04			$	25.27			$	20.39			$	18.65			$	19.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)†			(0.04	)			(0.04	)			(0.03	)			0.21				0.16				(0.03	)
Net realized and unrealized gain (loss)			0.35				1.28				6.57				2.23				(0.85	)			(0.15	)(a)
Total from investment operations			0.31				1.24				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			(0.03	)			(7.47	)			(1.64	)			(0.38	)			(0.26	)			—
Total distributions			(0.03	)			(7.47	)			(1.66	)			(0.70	)			(0.47	)			(0.01	)
Net asset value, end of period		$	19.32			$	19.04			$	25.27			$	20.39			$	18.65			$	19.81
Total Return(b)			1.61	%**			4.77	%			32.60	%			13.21	%			(3.64	)%			(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	355,996			$	423,375			$	1,036,245			$	992,819			$	1,138,735			$	843,864
Net expenses to average daily net assets			1.22	%*			1.20	%			1.21	%			1.23	%			1.29	%			1.36	%*
Net investment income (loss) to average daily net assets			(0.38	)%*			(0.20	)%			(0.12	)%			1.05	%			0.80	%			(0.25	)%*
Portfolio turnover rate			28	%**			30	%			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):†		$	0.02			$	0.13			$	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)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

134 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, 2019 (Unaudited)				Year Ended February 28/29,
					2019				2018				2017				2016				2015
Net asset value, beginning of period		$	19.48			$	22.08			$	19.76			$	17.43			$	21.89			$	23.43
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14				0.62				0.58				0.51				0.75				0.76
Net realized and unrealized gain (loss)			(0.08	)			(1.45	)			2.39				2.36				(3.47	)			0.44
Total from investment operations			0.06				(0.83	)			2.97				2.87				(2.72	)			1.20
Less distributions to shareholders:
From net investment income			(0.01	)			(0.67	)			(0.63	)			(0.53	)			(0.80	)			(0.87	)
From net realized gains			(0.30	)			(1.10	)			(0.02	)			(0.01	)			(0.94	)			(1.87	)
Total distributions			(0.31	)			(1.77	)			(0.65	)			(0.54	)			(1.74	)			(2.74	)
Net asset value, end of period		$	19.23			$	19.48			$	22.08			$	19.76			$	17.43			$	21.89
Total Return(b)			0.24	%**			(3.45	)%			15.10	%			16.60	%			(13.00	)%			5.36	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	862,180			$	915,148			$	1,302,441			$	2,016,999			$	1,967,916			$	2,449,194
Net operating expenses to average daily net assets(c)			0.01	%*			0.01	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.03	%*			0.03	%			—				—				—				—
Total net expenses to average daily net assets(c)			0.04	%*			0.04	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.42	%*			3.01	%			2.73	%			2.69	%			3.80	%			3.31	%
Portfolio turnover rate			17	%**(f)			35	%(f)			20	%(f)			28	%(f)			65	%			30	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			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			$	0.00	(g)		$	0.00	(g)		$	0.00	(g)

^(a)  Net investment income is affected by the timing of the declaration of dividends by other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Net expenses to average daily net assets were less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements or securities sold short, 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)  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, 2019, and the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 19%, 38%, 25% and 39%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 135

GMO Trust Funds

Notes to Financial Statements

August 31, 2019 (Unaudited)

1. Organization

Each of Alpha Only Fund, Alternative Allocation Fund (commenced operations on May 1, 2019), 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 Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Alternative Allocation SPC Ltd., 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
Alternative Allocation Fund	Not Applicable	Positive total return
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.

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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.

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Alternative Allocation SPC Ltd., 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, 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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2019, 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. 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) and are described in the disclosures of the underlying funds.

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

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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.

“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.

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.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be 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.

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2019:

Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	861,884	$	—		$	861,884
Austria		—		20,905		—			20,905
Belgium		—		42,964		—			42,964
Brazil		—		2,344,655		—			2,344,655
Chile		9,816		38,576		—			48,392
China		10,368		8,021,221		—			8,031,589
Denmark		—		18,204		—			18,204
Finland		—		150,587		—			150,587
France		—		1,425,205		—			1,425,205
Germany		—		1,301,835		—			1,301,835
Greece		—		—		0	§		0	§
Hong Kong		—		234,084		—			234,084
Hungary		—		36,884		—			36,884
India		—		1,388,240		—			1,388,240
Indonesia		—		14,813		—			14,813
Ireland		—		3,118		—			3,118
Israel		—		159,232		—			159,232
Italy		460		1,285,570		—			1,286,030
Japan		—		5,314,045		—			5,314,045
Malaysia		—		34,993		0	§		34,993
Mexico		593,160		—		—			593,160
Netherlands		—		867,021		—			867,021
New Zealand		—		18,241		—			18,241
Norway		—		672,312		—			672,312
Poland		—		144,561		—			144,561
Portugal		—		185,596		—			185,596
Russia		—		1,403,222		—			1,403,222
Singapore		—		194,843		—			194,843
South Africa		—		1,627,516		—			1,627,516
South Korea		367,920		2,768,591		—			3,136,511
Spain		—		1,583,993		—			1,583,993
Sweden		—		607,053		—			607,053
Switzerland		—		346,882		—			346,882
Taiwan		—		2,998,289		—			2,998,289
Thailand		—		502,743		—			502,743
Turkey		—		578,252		—			578,252
United Arab Emirates		—		27,933		—			27,933
United Kingdom		880,554		3,425,097		—			4,305,651
United States		27,357,314		—		—			27,357,314
TOTAL COMMON STOCKS		29,219,592		40,649,160		0	§		69,868,752
Preferred Stocks
Brazil		—		217,693		—			217,693
Colombia		723		—		—			723
Germany		—		92,172		—			92,172
South Korea		—		369,837		—			369,837
TOTAL PREFERRED STOCKS		723		679,702		—			680,425

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	3,447,449		$	—		$	—		$	3,447,449
TOTAL DEBT OBLIGATIONS		3,447,449			—			—			3,447,449
Rights/Warrants
Thailand		356			—			—			356
TOTAL RIGHTS/WARRANTS		356			—			—			356
Mutual Funds
United States		2,155,573			—			—			2,155,573
TOTAL MUTUAL FUNDS		2,155,573			—			—			2,155,573
Short-Term Investments		206,574			—			—			206,574
Total Investments		35,030,267			41,328,862			0	§		76,359,129
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			138,539			—			138,539
Total	$	35,030,267		$	41,467,401		$	0	§	$	76,497,668
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(118,902	)	$	—		$	(118,902	)
Futures Contracts
Equity Risk		(634,383	)		—			—			(634,383	)
Total	$	(634,383	)	$	(118,902	)	$	—		$	(753,285	)
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
United States	$	65,406,120		$	—		$	—		$	65,406,120
TOTAL COMMON STOCKS		65,406,120			—			—			65,406,120
Investment Funds
United States		6,393,080			—			—			6,393,080
TOTAL INVESTMENT FUNDS		6,393,080			—			—			6,393,080
Debt Obligations
United States		48,898,523			—			—			48,898,523
TOTAL DEBT OBLIGATIONS		48,898,523			—			—			48,898,523
Mutual Funds
United States		19,443,745			—			—			19,443,745
TOTAL MUTUAL FUNDS		19,443,745			—			—			19,443,745
Short-Term Investments		1,932,737			67,238,554			—			69,171,291
Purchased Options		325,228			—			—			325,228
Total Investments		142,399,433			67,238,554			—			209,637,987

140

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	2,832,113		$	—	$	2,832,113
Futures Contracts
Equity Risk		—			429,649			—		429,649
Interest Rate Risk		76,627			—			—		76,627
Swap Contracts
Interest Rate Risk		—			1,643,740			—		1,643,740
Total	$	142,476,060		$	72,144,056		$	—	$	214,620,116
Liability Valuation Inputs
Common Stocks
United States	$	(20,332,636	)	$	—		$	—	$	(20,332,636	)
TOTAL COMMON STOCKS		(20,332,636	)		—			—		(20,332,636	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,532,615	)		—		(2,532,615	)
Futures Contracts
Equity Risk		(250,644	)		(368,589	)		—		(619,233	)
Interest Rate Risk		(277,035	)		—			—		(277,035	)
Written Options
Equity Risk		(1,692,321	)		(36,014	)		—		(1,728,335	)
Swap Contracts
Interest Rate Risk		—			(672,781	)		—		(672,781	)
Physical Commodity Contract Risk		—			(3,635	)		—		(3,635	)
Total	$	(22,552,636	)	$	(3,613,634	)	$	—	$	(26,166,270	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	10,073,091,034		$	—		$	—	$	10,073,091,034
Short-Term Investments		5,851,764			—			—		5,851,764
Total Investments		10,078,942,798			—			—		10,078,942,798
Total	$	10,078,942,798		$	—		$	—	$	10,078,942,798
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	134,856		$	—		$	—	$	134,856
Australia		—			19,310,375			—		19,310,375
Austria		—			286,760			—		286,760
Belgium		—			3,477,370			—		3,477,370
Brazil		810,890			58,459,116			—		59,270,006
Canada		35,634,978			—			—		35,634,978
Chile		587,324			699,804			—		1,287,128
China		5,992,179			193,762,055			—		199,754,234
Colombia		659,325			—			—		659,325
Czech Republic		—			27,002			—		27,002
Denmark		—			1,431,686			—		1,431,686
Finland		—			5,919,128			—		5,919,128

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
France	$	5,567,590	$	53,133,752	$	—	$	58,701,342
Germany		—		30,665,982		—		30,665,982
Greece		—		104,422		—		104,422
Hong Kong		—		6,733,641		—		6,733,641
Hungary		—		1,113,285		—		1,113,285
India		3,435,603		33,646,604		—		37,082,207
Indonesia		—		770,870		—		770,870
Ireland		884,206		—		—		884,206
Israel		—		824,736		—		824,736
Italy		1,513,728		26,256,578		—		27,770,306
Japan		—		125,298,163		—		125,298,163
Luxembourg		30,022		—		—		30,022
Malaysia		—		2,051,833		—		2,051,833
Mexico		16,772,929		—		—		16,772,929
Netherlands		253,530		36,484,904		—		36,738,434
New Zealand		—		1,130,579		—		1,130,579
Norway		—		12,548,905		—		12,548,905
Pakistan		—		251,356		—		251,356
Peru		165,696		—		—		165,696
Philippines		—		977,176		—		977,176
Poland		—		8,589,537		—		8,589,537
Portugal		—		9,698,408		—		9,698,408
Qatar		—		1,319,394		—		1,319,394
Russia		655,416		62,172,170		—		62,827,586
Singapore		—		11,093,823		—		11,093,823
South Africa		—		35,202,943		—		35,202,943
South Korea		5,961,112		61,814,669		—		67,775,781
Spain		—		39,913,779		—		39,913,779
Sweden		—		22,761,883		—		22,761,883
Switzerland		—		25,013,763		—		25,013,763
Taiwan		2,336,124		83,144,605		—		85,480,729
Thailand		—		5,862,963		—		5,862,963
Turkey		—		20,127,370		—		20,127,370
United Arab Emirates		—		1,393,356		—		1,393,356
United Kingdom		6,630,385		88,499,635		—		95,130,020
United States		153,126,097		—		—		153,126,097
TOTAL COMMON STOCKS		241,151,990		1,091,974,380		—		1,333,126,370
Preferred Stocks
Brazil		—		4,556,122		—		4,556,122
Colombia		49,609		—		—		49,609
Germany		—		1,464,175		—		1,464,175
Russia		—		4,356,538		—		4,356,538
South Korea		—		11,979,383		—		11,979,383
Sweden		—		84,310		—		84,310
Taiwan		—		29,836		—		29,836
TOTAL PREFERRED STOCKS		49,609		22,470,364		—		22,519,973
Investment Funds
United States		4,336,191		—		—		4,336,191
TOTAL INVESTMENT FUNDS		4,336,191		—		—		4,336,191

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	—		$	403,944,227		$	—	$	403,944,227
TOTAL DEBT OBLIGATIONS		—			403,944,227			—		403,944,227
Mutual Funds
United States		969,058,005			—			—		969,058,005
TOTAL MUTUAL FUNDS		969,058,005			—			—		969,058,005
Short-Term Investments		4,096,665			133,999,513			—		138,096,178
Total Investments		1,218,692,460			1,652,388,484			—		2,871,080,944
Derivatives^
Swap Contracts
Equity Risk		—			205,391			—		205,391
Total	$	1,218,692,460		$	1,652,593,875		$	—	$	2,871,286,335
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(591,752	)	$	—	$	(591,752	)
Brazil		(5,282,988	)		—			—		(5,282,988	)
Canada		(4,049,797	)		—			—		(4,049,797	)
Denmark		—			(3,128,968	)		—		(3,128,968	)
Finland		—			(148,545	)		—		(148,545	)
Germany		(721,552	)		(2,146,780	)		—		(2,868,332	)
Israel		(439,593	)		—			—		(439,593	)
Italy		—			(1,854,751	)		—		(1,854,751	)
Japan		—			(8,996,701	)		—		(8,996,701	)
Luxembourg		(130,284	)		—			—		(130,284	)
Netherlands		(1,189,818	)		(99,255	)		—		(1,289,073	)
Norway		—			(49,273	)		—		(49,273	)
Singapore		—			(96,000	)		—		(96,000	)
Spain		—			(200,120	)		—		(200,120	)
Sweden		(1,848,815	)		—			—		(1,848,815	)
Switzerland		—			(665,563	)		—		(665,563	)
United Kingdom		(63,570	)		(2,525,486	)		—		(2,589,056	)
TOTAL COMMON STOCKS		(13,726,417	)		(20,503,194	)		—		(34,229,611	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(527,595	)		—		(527,595	)
Futures Contracts
Equity Risk		(1,501,922	)		—			—		(1,501,922	)
Swap Contracts
Equity Risk		—			(689,863	)		—		(689,863	)
Total	$	(15,228,339	)	$	(21,720,652	)	$	—	$	(36,948,991	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,682,701,451		$	—		$	—	$	1,682,701,451
Debt Obligations
Asset-Backed Securities		—			43,465			—		43,465
TOTAL DEBT OBLIGATIONS		—			43,465			—		43,465

143

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	246,288	$	—	$	—	$	246,288
Total Investments		1,682,947,739		43,465		—		1,682,991,204
Total	$	1,682,947,739	$	43,465	$	—	$	1,682,991,204
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	417,919,510	$	—	$	—	$	417,919,510
Short-Term Investments		158,167		—		—		158,167
Total Investments		418,077,677		—		—		418,077,677
Total	$	418,077,677	$	—	$	—	$	418,077,677
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,560,619,408	$	—	$	—	$	1,560,619,408
Short-Term Investments		501,766		—		—		501,766
Total Investments		1,561,121,174		—		—		1,561,121,174
Total	$	1,561,121,174	$	—	$	—	$	1,561,121,174
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	682,593	$	—	$	—	$	682,593
Australia		—		66,852,012		—		66,852,012
Austria		—		2,177,944		—		2,177,944
Belgium		—		8,011,511		—		8,011,511
Brazil		3,098,714		173,816,129		—		176,914,843
Canada		103,112,783		—		—		103,112,783
Chile		2,121,074		705,953		—		2,827,027
China		45,416,752		846,320,523		—		891,737,275
Colombia		1,931,678		—		—		1,931,678
Czech Republic		—		244,898		—		244,898
Denmark		—		4,477,032		—		4,477,032
Finland		—		18,014,907		—		18,014,907
France		12,205,565		165,836,876		—		178,042,441
Germany		—		90,167,387		—		90,167,387
Greece		—		242,568		—		242,568
Hong Kong		—		18,139,053		—		18,139,053
Hungary		—		3,168,759		—		3,168,759
India		4,039,907		118,376,573		—		122,416,480
Indonesia		—		5,362,455		—		5,362,455
Ireland		2,871,148		39,812		—		2,910,960
Israel		—		1,993,117		—		1,993,117
Italy		3,136,794		95,787,008		—		98,923,802
Japan		—		416,042,635		—		416,042,635
Luxembourg		35,320		—		—		35,320
Malaysia		—		4,591,651		—		4,591,651
Mexico		51,153,203		—		—		51,153,203
Netherlands		—		113,458,035		—		113,458,035
New Zealand		—		2,039,418		—		2,039,418

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Norway	$	—	$	42,929,250	$	—	$	42,929,250
Pakistan		11,880		4,219,021		—		4,230,901
Peru		849,192		—		—		849,192
Philippines		—		8,046,118		—		8,046,118
Poland		—		65,777,308		—		65,777,308
Portugal		—		30,079,110		—		30,079,110
Qatar		—		22,522,874		—		22,522,874
Russia		3,287,596		330,464,249		—		333,751,845
Singapore		—		42,814,484		—		42,814,484
South Africa		—		149,101,539		—		149,101,539
South Korea		18,918,772		203,133,809		—		222,052,581
Spain		—		133,740,108		—		133,740,108
Sweden		—		67,942,164		—		67,942,164
Switzerland		—		74,944,888		—		74,944,888
Taiwan		28,964,953		397,048,600		—		426,013,553
Thailand		—		21,587,535		—		21,587,535
Turkey		—		115,200,436		—		115,200,436
United Arab Emirates		—		8,566,002		—		8,566,002
United Kingdom		36,600,827		282,341,015		—		318,941,842
United States		1,089,999,335		931,342		19,717,559		1,110,648,236
TOTAL COMMON STOCKS		1,408,438,086		4,157,256,108		19,717,559		5,585,411,753
Preferred Stocks
Brazil		—		11,648,906		—		11,648,906
Colombia		357,634		—		—		357,634
Germany		—		6,903,507		—		6,903,507
Russia		—		28,252,486		—		28,252,486
South Korea		—		41,054,786		9,755		41,064,541
Sweden		—		546,702		—		546,702
Taiwan		—		415,218		—		415,218
TOTAL PREFERRED STOCKS		357,634		88,821,605		9,755		89,188,994
Rights/Warrants
United States		—		—		130,841		130,841
TOTAL RIGHTS/WARRANTS		—		—		130,841		130,841
Investment Funds
United States		110,363,670		—		—		110,363,670
TOTAL INVESTMENT FUNDS		110,363,670		—		—		110,363,670
Debt Obligations
Brazil		—		1,900,500		—		1,900,500
Italy		—		3,986,373		—		3,986,373
Jamaica		—		4,317,945		—		4,317,945
Luxembourg		—		—		9,537,536		9,537,536
Puerto Rico		—		18,192,674		—		18,192,674
Saint Lucia		—		2,745,713		—		2,745,713
United States		455,820,765		1,082,348,865		75,191,388		1,613,361,018
TOTAL DEBT OBLIGATIONS		455,820,765		1,113,492,070		84,728,924		1,654,041,759

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	2,405,112		$	—		$	—	$	2,405,112
TOTAL MUTUAL FUNDS		2,405,112			—			—		2,405,112
Short-Term Investments		62,348,789			343,663,284			—		406,012,073
Purchased Options		3,336,175			—			—		3,336,175
Total Investments		2,043,070,231			5,703,233,067			104,587,079		7,850,890,377
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			19,487,454			—		19,487,454
Swap Contracts
Credit Risk		—			126,983			—		126,983
Equity Risk		—			1,424,502			—		1,424,502
Interest Rate Risk		—			14,097,862			—		14,097,862
Total	$	2,043,070,231		$	5,738,369,868		$	104,587,079	$	7,886,027,178
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(1,593,135	)	$	—	$	(1,593,135	)
Brazil		(15,512,340	)		—			—		(15,512,340	)
Canada		(13,862,297	)		—			—		(13,862,297	)
China		(175,030	)		—			—		(175,030	)
Denmark		—			(10,688,583	)		—		(10,688,583	)
France		—			(2,121,568	)		—		(2,121,568	)
Germany		(1,498,608	)		(7,763,648	)		—		(9,262,256	)
Israel		(1,200,793	)		—			—		(1,200,793	)
Italy		—			(6,055,713	)		—		(6,055,713	)
Japan		—			(25,389,401	)		—		(25,389,401	)
Luxembourg		(531,476	)		—			—		(531,476	)
Netherlands		(3,124,284	)		—			—		(3,124,284	)
Norway		—			(60,173	)		—		(60,173	)
Singapore		—			(159,908	)		—		(159,908	)
Spain		—			(843,291	)		—		(843,291	)
Sweden		(5,883,820	)		—			—		(5,883,820	)
Switzerland		—			(1,290,591	)		—		(1,290,591	)
United Kingdom		(515,406	)		(10,284,387	)		—		(10,799,793	)
United States		(180,221,609	)		—			—		(180,221,609	)
TOTAL COMMON STOCKS		(222,525,663	)		(66,250,398	)		—		(288,776,061	)
Debt Obligations
United States		—			(33,261,596	)		—		(33,261,596	)
TOTAL DEBT OBLIGATIONS		—			(33,261,596	)		—		(33,261,596	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(22,813,054	)		—		(22,813,054	)
Futures Contracts
Equity Risk		(6,649,641	)		—			—		(6,649,641	)
Written Options
Equity Risk		(12,971,039	)		—			—		(12,971,039	)
Swap Contracts
Credit Risk		—			(490,416	)		—		(490,416	)
Equity Risk		—			(2,200,723	)		—		(2,200,723	)
Interest Rate Risk		—			(6,023,885	)		—		(6,023,885	)
Total	$	(242,146,343	)	$	(131,040,072	)	$	—	$	(373,186,415	)

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	430,942,171		$	—		$	—	$	430,942,171
Short-Term Investments		175,327			—			—		175,327
Total Investments		431,117,498			—			—		431,117,498
Total	$	431,117,498		$	—		$	—	$	431,117,498
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	853,791,056		$	—		$	—	$	853,791,056
Short-Term Investments		288,052			—			—		288,052
Total Investments		854,079,108			—			—		854,079,108
Total	$	854,079,108		$	—		$	—	$	854,079,108
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	684,824,444		$	—		$	—	$	684,824,444
U.S. Government Agency		137,864,928			—			—		137,864,928
TOTAL DEBT OBLIGATIONS		822,689,372			—			—		822,689,372
Short-Term Investments		13,099,917			175,788,734			—		188,888,651
Total Investments		835,789,289			175,788,734			—		1,011,578,023
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			9,105,361			—		9,105,361
Futures Contracts
Equity Risk		16,266			7,088,862			—		7,105,128
Interest Rate Risk		1,368,787			—			—		1,368,787
Physical Commodity Contract Risk		1,649,704			—			—		1,649,704
Total	$	838,824,046		$	191,982,957		$	—	$	1,030,807,003
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(5,054,726	)	$	—	$	(5,054,726	)
Futures Contracts
Equity Risk		(4,454,538	)		(7,082,777	)		—		(11,537,315	)
Interest Rate Risk		(5,378,139	)		—			—		(5,378,139	)
Physical Commodity Contract Risk		(10,140,589	)		—			—		(10,140,589	)
Total	$	(19,973,266	)	$	(12,137,503	)	$	—	$	(32,110,769	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Netherlands	$	17,078,340		$	—		$	—	$	17,078,340
Sweden		4,318,400			—			—		4,318,400
United Kingdom		—			13,505,881			—		13,505,881
United States		301,550,544			—			—		301,550,544
TOTAL COMMON STOCKS		322,947,284			13,505,881			—		336,453,165

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Description	Level 1		Level 2		Level 3			Total
Consolidated Special Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	13,953,516	$	—	$	—		$	13,953,516
TOTAL DEBT OBLIGATIONS		13,953,516		—		—			13,953,516
Short-Term Investments		5,787,988		36,251		—			5,824,239
Total Investments		342,688,788		13,542,132		—			356,230,920
Total	$	342,688,788	$	13,542,132	$	—		$	356,230,920
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	426,851	$	—		$	426,851
Belgium		—		34,401		—			34,401
Brazil		—		2,600,756		—			2,600,756
Canada		122,099		—		—			122,099
China		—		3,864,303		—			3,864,303
France		337,240		2,361,571		—			2,698,811
Germany		—		333,237		—			333,237
Hong Kong		—		152,046		—			152,046
India		92,950		182,751		—			275,701
Ireland		33,620		—		—			33,620
Italy		—		1,340,772		—			1,340,772
Japan		—		5,670,454		—			5,670,454
Malta		—		—		0	§		0	§
Mexico		19,654		—		—			19,654
Netherlands		—		1,678,082		—			1,678,082
Norway		—		474,404		—			474,404
Philippines		—		13,649		—			13,649
Portugal		—		945,469		—			945,469
Russia		—		808,155		—			808,155
Singapore		—		35,540		—			35,540
South Africa		—		764,440		—			764,440
South Korea		733,650		1,986,908		—			2,720,558
Spain		—		3,000,781		—			3,000,781
Sweden		—		1,459,506		—			1,459,506
Switzerland		—		296,482		—			296,482
Taiwan		—		1,654,516		—			1,654,516
Turkey		—		173,639		—			173,639
United Kingdom		407,160		4,119,236		—			4,526,396
United States		43,048,478		—		—			43,048,478
TOTAL COMMON STOCKS		44,794,851		34,377,949		0	§		79,172,800
Preferred Stocks
Germany		—		13,254		—			13,254
South Korea		—		26,582		—			26,582
TOTAL PREFERRED STOCKS		—		39,836		—			39,836
Debt Obligations
United States		—		68,605,222		—			68,605,222
TOTAL DEBT OBLIGATIONS		—		68,605,222		—			68,605,222

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Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	728,851,915		$	—		$	—		$	728,851,915
TOTAL MUTUAL FUNDS		728,851,915			—			—			728,851,915
Short-Term Investments		246,014			—			—			246,014
Total Investments		773,892,780			103,023,007			0	§		876,915,787
Derivatives^
Swap Contracts
Equity Risk		—			37,813			—			37,813
Total	$	773,892,780		$	103,060,820		$	0	§	$	876,953,600
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(64,855	)	$	—		$	(64,855	)
Brazil		(844,324	)		—			—			(844,324	)
Canada		(228,324	)		—			—			(228,324	)
Denmark		—			(335,175	)		—			(335,175	)
Germany		—			(538,020	)		—			(538,020	)
Japan		—			(857,798	)		—			(857,798	)
Netherlands		—			(59,959	)		—			(59,959	)
Norway		—			(9,242	)		—			(9,242	)
Portugal		—			(51,088	)		—			(51,088	)
Spain		—			(1,014	)		—			(1,014	)
Switzerland		—			(359,538	)		—			(359,538	)
United Kingdom		—			(141,419	)		—			(141,419	)
United States		(11,091,650	)		—			—			(11,091,650	)
TOTAL COMMON STOCKS		(12,164,298	)		(2,418,108	)		—			(14,582,406	)
Derivatives^
Swap Contracts
Equity Risk		—			(180,688	)		—			(180,688	)
Total	$	(12,164,298	)	$	(2,598,796	)	$	—		$	(14,763,094	)

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2019.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Other than Funds with investments valued

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using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor), there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2019.

The following is a reconciliation of material securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2019		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, 2019		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2019
Consolidated Implementation Fund
Common Stocks
Sweden	$	133,660	$	—	$	(133,041	)	$	—		$	22,222		$	(22,841	)	$	—	$	—	$	—	$	—
United States		18,574,603		3,440,342		(463,276	)		—			(9	)		(1,834,101	)		—		—		19,717,559		(1,834,101	)
Preferred Stocks
South Korea		9,731		—		—			—			—			24			—		—		9,755		25
Rights/Warrants
United States		130,841		—		—			—			—			—			—		—		130,841		—
Debt Obligations
Bank Loans
Luxembourg		6,881,968		2,515,631		(44,759	)		67,502			922			116,272			—		—		9,537,536		116,272
Saint Lucia		4,785,000		—		(4,720,218	)		22,720			(476,929	)		389,427			—		—		—		—
Spain		1,830,655		39,485		(1,834,244	)		(1,900	)		(26,811	)		(7,185	)						—		—
United States		84,701,174		41,771,170		(46,293,016	)		335,528			(1,929,380	)		(3,394,088	)		—		—		75,191,388		(3,200,946	)
Corporate Debt
Spain		780,468		16,670		(828,614	)		(512	)		46,599			(14,611	)		—		—		—		—
Total Investments	$	117,828,100	$	47,783,298	$	(54,317,168	)#	$	423,338		$	(2,363,386	)	$	(4,767,103	)	$	—	$	—	$	104,587,079	$	(4,918,750	)

# Includes $7,620,432 of proceeds received from partial calls and/or principal paydowns as applicable.

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.

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

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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.

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” in Note 4 “Derivative financial instruments”. 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.

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, 2019, 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 ($)		Weighted Average Maturity (days)
Benchmark-Free Fund	Nomura Securities International Inc.		133,999,513		4.0
Consolidated Implementation Fund	Daiwa Capital Markets America Inc.		85,598,746		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, 2019, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Consolidated Implementation Fund		2,652,304		3,282,772

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As of August 31, 2019, Implementation Fund had investments in reverse repurchase agreements with Citigroup Global Markets, Inc. and JP Morgan Securities, Inc. with gross value of $2,652,304. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2019, the reverse repurchase agreements held by Implementation Fund had open maturity dates.

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

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

			August 31, 2019
			Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Consolidated Implementation Fund
Reverse Repurchase Agreements
Corporate Debt		$—		$—		$—		$—		$2,652,304		$2,652,304
Total borrowings		$—		$—		$—		$—		$2,652,304		$2,652,304

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.

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.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash with a value equal to at least 100% of the market value of the loaned securities (marked to market daily). Funds participating in securities lending receive compensation for lending their securities from any net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

Funds that lend their portfolio securities bear the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. Such Funds also bear the risk that the value of investments made with collateral may decline and bear the risk of total loss with respect to the investment of collateral.

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At August 31, 2019, securities on loan at value and cash collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)
Benchmark-Free Fund		874,587		911,867
Consolidated Implementation Fund		2,297,958		2,405,112

In addition, 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. 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, 2019:

Fund Name	Value of securities on loan ($)
Consolidated Alternative Allocation Fund		10,296,163
Benchmark-Free Fund		31,629,678
Consolidated Implementation Fund		100,623,373
Strategic Opportunities Allocation Fund		12,637,563

Information regarding the value of the securities loaned and the value of the collateral at period end is included in the Statements of Assets and Liabilities.

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 dividend and/or 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. Some Funds may also 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 (see Securities lending above). Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

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

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract

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rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

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

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. 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.

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, 2019, 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.

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

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

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

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August 31, 2019 (Unaudited)

As of February 28, 2019, certain Funds elected to defer to March 1, 2019, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Loss Deferral ($)
Alpha Only Fund		—		(1,965,111)
Consolidated Alternative Allocation Fund		N/A		N/A
Benchmark-Free Allocation Fund		(11,307,332)		(98,965)
Benchmark-Free Fund		—		(11,239,951)
Global Asset Allocation Fund		—		—
Global Developed Equity Allocation Fund		(1,114)		—
Global Equity Allocation Fund		(4,039)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(1,416)		(4,530,969)
International Equity Allocation Fund		(2,282)		(1,805,353)
Consolidated SGM Major Markets Fund		—		—
Consolidated Special Opportunities Fund		(318,293)		(7,278,023)
Strategic Opportunities Allocation Fund		(151,871)		(2,353,035)

As of February 28, 2019, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2019, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Alpha Only Fund		(222,208,680)		(151,213,744)
Consolidated Alternative Allocation Fund		N/A		N/A
Benchmark-Free Allocation Fund		—		—
Benchmark-Free Fund		(46,025,198)		(175,587,908)
Global Asset Allocation Fund		—		(160,705,118)
Global Developed Equity Allocation Fund		—		(52,001,414)
Global Equity Allocation Fund		—		(99,859,110)
Consolidated Implementation Fund		(595,593,725)		—
International Developed Equity Allocation Fund		—		(66,436,886)
International Equity Allocation Fund		—		(55,753,502)
Consolidated SGM Major Markets Fund		(12,421,921)		(15,383,853)
Consolidated Special Opportunities Fund		—		—
Strategic Opportunities Allocation Fund		—		—

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

As of August 31, 2019, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		84,277,681		3,194,970		(11,113,522)		(7,918,552)		(614,746)
Consolidated Alternative Allocation Fund		191,376,035		1,781,477		(3,852,161)		(2,070,684)		1,051,708
Benchmark-Free Allocation Fund		10,299,139,086		41,747,311		(261,943,599)		(220,196,288)		—
Benchmark-Free Fund		2,886,086,904		145,086,003		(194,321,574)		(49,235,571)		(2,513,989)
Global Asset Allocation Fund		1,781,480,194		37,689,229		(136,178,219)		(98,488,990)		—
Global Developed Equity Allocation Fund		451,768,136		11,398,005		(45,088,464)		(33,690,459)		—
Global Equity Allocation Fund		1,728,816,673		31,998,502		(199,694,001)		(167,695,499)		—
Consolidated Implementation Fund		7,868,245,161		384,415,459		(723,807,900)		(339,392,441)		(2,975,890)
International Developed Equity Allocation Fund		525,687,287		3,277,882		(97,847,671)		(94,569,789)		—
International Equity Allocation Fund		997,990,581		11,939,151		(155,850,624)		(143,911,473)		—
Consolidated SGM Major Markets Fund		1,024,908,707		2,991,497		(16,322,181)		(13,330,684)		(4,390,905)
Consolidated Special Opportunities Fund		287,105,727		100,827,447		(31,702,254)		69,125,193		—
Strategic Opportunities Allocation Fund		876,461,268		16,614,682		(30,742,569)		(14,127,887)		(142,875)

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

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 underlying funds, if any, 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.

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August 31, 2019 (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).

Custodian, Fund Accounting Agent and Transfer Agent

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. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds 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.

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 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.

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August 31, 2019 (Unaudited)

As of August 31, 2019, the premium on cash purchases and the fee on cash redemptions were as follows:

	Alpha Only Fund	Alternative Allocation 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.

^(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.

^(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.

^(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.

^(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)  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 fees on cash redemptions.

^(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.

⁽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%, respectively of the amount invested or redeemed.

158

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Notes to Financial Statements — (Continued)

August 31, 2019 (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

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Futures Contracts Risk

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income

X

X

X

X

X

X

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Small Company Risk

X

X

X

X

X

X

X

X

X

X

X

X

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

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

159

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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. In addition, 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 can be expected to 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 if the Fund’s interest in the collateral is not perfected or additional collateral is not 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

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August 31, 2019 (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 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 obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their 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 obligors’ failure to meet their 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 will 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 can be expected to 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 will 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.

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August 31, 2019 (Unaudited)

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 “high yield” or “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 instruments generally are considered speculative and typically 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 instrument proves incorrect, a Fund is likely to 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 is likely to realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars or may only be able to do so at an unfavorable exchange rate. Exchange rates for many currencies are affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk”).

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates or inflation rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed, or the position transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being delayed or made only after the Fund has incurred the cost of litigation.

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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 and exposes the Funds to the risk that the pricing models used do 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, there is a risk that inaccurate valuations will 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 will 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 could result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk.”

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

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 GMO would be unable to implement a Fund’s investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for 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 evolving, 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 derivative 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 derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative 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

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or termination of existing cleared derivative 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 derivative 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 are likely to 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 for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

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

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to post 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 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

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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 at 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.)

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.

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

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

Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) that are subject to the same or similar risk factors and Funds with investments whose prices are closely correlated are subject to greater overall risk than Funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of those issuers’ securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens and often react similarly to specific economic, market, political or other developments.

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

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

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Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, the Fund will incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

Because some underlying GMO Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other mutual fund groups and therefore are subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk when an underlying GMO Fund has large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

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

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will 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 bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher 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 or a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (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 typically will have to sell other investments at disadvantageous times. A Fund also runs the risk of being unable to reenter or 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 could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

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Futures contracts traded on markets outside the United States 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. 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 or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, 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 tends to 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 often 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.

The SEC has adopted Rule 22e-4 under the 1940 Act, which requires each Fund to adopt a liquidity risk management program to assess and manage its illiquidity risk. Under its program, each Fund will be required to classify its investments into specific liquidity categories and monitor compliance with limits on illiquid investments. The term “illiquid investments” for purposes of the program means investments that GMO reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. The Funds do not expect Rule 22e-4 to have a significant effect on investment operations. While the liquidity risk management program attempts to assess and manage illiquidity risk, there is no guarantee it will be effective in reducing the illiquidity risk inherent in a Fund’s investments.

Historically, credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. If a Fund is required to sell illiquid investments to satisfy collateral posting requirements or to meet redemptions, those sales could put significant downward price pressure on the market price of the securities being sold.

A Fund’s, and particularly GMO 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 would 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, 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, adversely affecting 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.

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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 is the business day prior to actual receipt by the Fund of the redemption request) 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 determination of net asset value and corresponding liquidation of assets could be longer due to time zone differences. 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.

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

For many Funds, GMO uses quantitative models as part of its investment process and in making investment decisions for those Funds. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, those models 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. 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 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 operational 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 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.

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The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that 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 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.

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 shutdowns 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”). In March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union, which provided the United Kingdom with two years to negotiate an exit agreement with the European Union, with a deadline of March 29, 2019. On November 25, 2018, European Union leaders approved the terms of the United Kingdom’s withdrawal from the European Union, which the United Kingdom’s Parliament subsequently rejected. The European Union has agreed to delay the United Kingdom’s exit until October 31, 2019. While negotiations continue, it remains unclear whether a negotiated withdrawal agreement can be reached. If the United Kingdom leaves the European Union without finalizing agreements on trade, finance and other key elements, the withdrawal may lead to legal uncertainty and potentially divergent national laws and regulations as the United Kingdom determines which European Union laws to replicate or replace. The potential implications of a “no deal” scenario include a shrinking United Kingdom economy and far-reaching disruptions to world securities markets. Brexit has resulted in volatility in European and global markets and could have a negative long-term effect on financial markets in the United Kingdom and throughout Europe. 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.

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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. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. These types of sanctions have recently been applied against the Venezuelan and Russian governments, as well as against certain Russian and Venezuelan officials and institutions. These sanctions, any additional sanctions or intergovernmental actions, or even the threat of further sanctions, may result in a decline of the value and liquidity of Russian and Venezuelan securities, a weakening of the Russian and Venezuelan currencies or other adverse consequences to their respective economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver those securities and/or assets that are within the scope of the sanctions. In addition, 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. 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 they 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.

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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. 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 would likely have a material impact on the many asset-backed securities it services.

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

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to uncertainty about their credit quality and the reliability of their payment streams. Some fixed income investments also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income investment. When interest rates rise, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade investments (commonly referred to as “high yield” or “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 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 would likely be significantly reduced if GMO’s assessment proves incorrect.

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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 variable-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.

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 investments when it would otherwise not do so, including at unfavorable prices. Moreover, fixed income investments will be difficult to value during such periods. During the last ten years, central banks and governmental financial regulators, including the U.S. Federal Reserve, kept interest rates historically low. However, more recently, the U.S. Federal Reserve has increased interest rates. 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.

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 a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.

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

• Alpha Only Fund

• Alternative Allocation Fund

• Implementation Fund

• SGM Major Markets Fund

• Special Opportunities Fund

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not “diversified” investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not “diversified”.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list 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 (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no benefit. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund.

A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or until GMO is confident that it will be received. 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 and Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States. Fluctuations in currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (see “Currency Risk”).

The Funds need a license to invest directly in securities traded in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); 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 reliable 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.

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

During the period ended August 31, 2019, only Alpha Only Fund, Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets 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, Alternative Allocation 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.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Alpha Only Fund and Consolidated 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 or short 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, cross currency basis swaps 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 forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.

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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 their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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

Alpha Only Fund is not limited in the 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 they do 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, Consolidated 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)

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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 Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, 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 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 their equities are traded.

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

* * *

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

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

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For Funds that held derivatives during the period ended August 31, 2019, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Alpha Only Fund

Consolidated Alternative Allocation Fund*

Benchmark- Free Fund

Consolidated Implementation Fund*

Consolidated SGM Major Markets Fund*

Strategic Opportunities Allocation Fund

Forward currency contracts

Adjust currency exchange rate risk

X

Adjust exposure to foreign currencies

X

X

X

X

X

Manage against anticipated currency exchange rate changes

X

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

Substitute for direct investment

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

X

Options (Purchased)

Substitute for direct equity investment

X

X

Options (Written)

Substitute for direct equity investment

X

X

Swap contracts

Adjust interest rate exposure

X

X

Substitute for direct investment in securities

X

X

X

X

Achieve exposure to a reference entity’s credit

X

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

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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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 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, the 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.

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Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, 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.

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.

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

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

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

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

* * *

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.

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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, 2019 and the Statements of Operations for the period ended August 31, 2019^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	138,539		$	—		$	—	$	138,539
Total	$	—	$	—		$	—		$	138,539		$	—		$	—	$	138,539
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(118,902	)	$	—		$	—	$	(118,902	)
Unrealized Depreciation on Futures Contracts¤		—		—			(634,383	)		—			—			—		(634,383	)
Total	$	—	$	—		$	(634,383	)	$	(118,902	)	$	—		$	—	$	(753,285	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	867,385		$	—		$	—	$	867,385
Futures Contracts		—		—			(10,956,216	)		—			—			—		(10,956,216	)
Total	$	—	$	—		$	(10,956,216	)	$	867,385		$	—		$	—	$	(10,088,831	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(17,971	)	$	—		$	—	$	(17,971	)
Futures Contracts		—		—			6,263,337			—			—			—		6,263,337
Total	$	—	$	—		$	6,263,337		$	(17,971	)	$	—		$	—	$	6,245,366
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—		$	325,228		$	—		$	—		$	—	$	325,228
Unrealized Appreciation on Forward Currency Contracts		—		—			—			2,832,113			—			—		2,832,113
Unrealized Appreciation on Futures Contracts¤		—		—			429,649			—			76,627			—		506,276
Swap Contracts, at value¤		—		—			—			—			1,643,740			—		1,643,740
Total	$	—	$	—		$	754,877		$	2,832,113		$	1,720,367		$	—	$	5,307,357
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(2,532,615	)	$	—		$	—	$	(2,532,615	)
Unrealized Depreciation on Futures Contracts¤		—		—			(619,233	)		—			(277,035	)		—		(896,268	)
Written Options, at value		—		—			(1,728,335	)		—			—			—		(1,728,335	)
Swap Contracts, at value¤		—		(3,635	)		—			—			(672,781	)		—		(676,416	)
Total	$	—	$	(3,635	)	$	(2,347,568	)	$	(2,532,615	)	$	(949,816	)	$	—	$	(5,833,634	)

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	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Alternative Allocation Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—		$	(19,485	)	$	—		$	—		$	—	$	(19,485	)
Forward Currency Contracts		—		—			—			163,175			—			—		163,175
Futures Contracts		—		—			(555,864	)		—			(1,415,585	)		—		(1,971,449	)
Written Options		—		—			(237,006	)		—			—			—		(237,006	)
Swap Contracts		—		40,785			—			—			1,869,999			—		1,910,784
Total	$	—	$	40,785		$	(812,355	)	$	163,175		$	454,414		$	—	$	(153,981	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—		$	(54,236	)	$	—		$	—		$	—	$	(54,236	)
Forward Currency Contracts		—		—			—			299,498			—			—		299,498
Futures Contracts		—		—			(189,584	)		—			(200,408	)		—		(389,992	)
Written Options		—		—			340,075			—			—			—		340,075
Swap Contracts		—		(3,635	)		—			—			805,762			—		802,127
Total	$	—	$	(3,635	)	$	96,255		$	299,498		$	605,354		$	—	$	997,472
Benchmark-Free Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	205,391		$	—		$	—		$	—	$	205,391
Total	$	—	$	—		$	205,391		$	—		$	—		$	—	$	205,391
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(527,595	)	$	—		$	—	$	(527,595	)
Unrealized Depreciation on Futures Contracts¤		—		—			(1,501,922	)		—			—			—		(1,501,922	)
Swap Contracts, at value¤		—		—			(689,863	)		—			—			—		(689,863	)
Total	$	—	$	—		$	(2,191,785	)	$	(527,595	)	$	—		$	—	$	(2,719,380	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	3,878,445		$	—		$	—	$	3,878,445
Futures Contracts		—		—			(26,098,108	)		—			—			—		(26,098,108	)
Swap Contracts		—		—			(309,704	)		—			—			—		(309,704	)
Total	$	—	$	—		$	(26,407,812	)	$	3,878,445		$	—		$	—	$	(22,529,367	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(1,480,548	)	$	—		$	—	$	(1,480,548	)
Futures Contracts		—		—			15,173,523			—			—			—		15,173,523
Swap Contracts		—		—			(3,750	)		—			—			—		(3,750	)
Total	$	—	$	—		$	15,169,773		$	(1,480,548	)	$	—		$	—	$	13,689,225
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—		$	3,336,175		$	—		$	—		$	—	$	3,336,175
Unrealized Appreciation on Forward Currency Contracts		—		—			—			19,487,454			—			—		19,487,454
Swap Contracts, at value¤		126,983		—			1,424,502			—			14,097,862			—		15,649,347
Total	$	126,983	$	—		$	4,760,677		$	19,487,454		$	14,097,862		$	—	$	38,472,976

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	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	$	—		$	—		$	—		$	(22,813,054	)	$	—		$	—	$	(22,813,054	)
Unrealized Depreciation on Futures Contracts¤		—			—			(6,649,641	)		—			—			—		(6,649,641	)
Written Options, at value		—			—			(12,971,039	)		—			—			—		(12,971,039	)
Swap Contracts, at value¤		(490,416	)		—			(2,200,723	)		—			(6,023,885	)		—		(8,715,024	)
Total	$	(490,416	)	$	—		$	(21,821,403	)	$	(22,813,054	)	$	(6,023,885	)	$	—	$	(51,148,758	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(2,518,946	)	$	(540,302	)	$	(875,687	)	$	—	$	(3,934,935	)
Forward Currency Contracts		—			—			—			12,704,066			—			—		12,704,066
Futures Contracts		—			—			(130,828,338	)		—			—			—		(130,828,338	)
Written Options		—			—			2,324,917			179,913			—			—		2,504,830
Swap Contracts		67,299			—			(2,124,269	)		—			19,468,511			—		17,411,541
Total	$	67,299		$	—		$	(133,146,636	)	$	12,343,677		$	18,592,824		$	—	$	(102,142,836	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	540,201		$	540,302		$	781,808		$	—	$	1,862,311
Forward Currency Contracts		—			—			—			(7,317,401	)		—			—		(7,317,401	)
Futures Contracts		—			—			65,993,028			—			—			—		65,993,028
Written Options		—			—			723,550			(171,668	)		—			—		551,882
Swap Contracts		140,246			—			918,651			—			3,047,733			—		4,106,630
Total	$	140,246		$	—		$	68,175,430		$	(6,948,767	)	$	3,829,541		$	—	$	65,196,450
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	9,105,361		$	—		$	—	$	9,105,361
Unrealized Appreciation on Futures Contracts¤		—			1,649,704			7,105,128			—			1,368,787			—		10,123,619
Total	$	—		$	1,649,704		$	7,105,128		$	9,105,361		$	1,368,787		$	—	$	19,228,980
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(5,054,726	)	$	—		$	—	$	(5,054,726	)
Unrealized Depreciation on Futures Contracts¤		—			(10,140,589	)		(11,537,315	)		—			(5,378,139	)		—		(27,056,043	)
Total	$	—		$	(10,140,589	)	$	(11,537,315	)	$	(5,054,726	)	$	(5,378,139	)	$	—	$	(32,110,769	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	5,046,233		$	—		$	—	$	5,046,233
Futures Contracts		—			(452,801	)		1,746,880			—			(19,500,190	)		—		(18,206,111	)
Total	$	—		$	(452,801	)	$	1,746,880		$	5,046,233		$	(19,500,190	)	$	—	$	(13,159,878	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	4,617,926		$	—		$	—	$	4,617,926
Futures Contracts		—			(10,540,249	)		(12,848,097	)		—			(6,040,141	)		—		(29,428,487	)
Total	$	—		$	(10,540,249	)	$	(12,848,097	)	$	4,617,926		$	(6,040,141	)	$	—	$	(24,810,561	)

183

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August 31, 2019 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—	$	37,813		$	—	$	—	$	—	$	37,813
Total	$	—	$	—	$	37,813		$	—	$	—	$	—	$	37,813
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—	$	(180,688	)	$	—	$	—	$	—	$	(180,688	)
Total	$	—	$	—	$	(180,688	)	$	—	$	—	$	—	$	(180,688	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—	$	(121,578	)	$	—	$	—	$	—	$	(121,578	)
Total	$	—	$	—	$	(121,578	)	$	—	$	—	$	—	$	(121,578	)
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—	$	(77,787	)	$	—	$	—	$	—	$	(77,787	)
Total	$	—	$	—	$	(77,787	)	$	—	$	—	$	—	$	(77,787	)

^ 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.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2019, if any.

184

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August 31, 2019 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2019:

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.	$	16,170	$	—		$	—	$	16,170
Barclays Bank plc		24,353		(20,000	)		—		4,353
JPMorgan Chase Bank, N.A.		98,016		—			—		98,016
Total	$	138,539	$	(20,000	)	$	—	$	118,539
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Citibank N.A.	$	1,756	$	—		$	—	$	1,756
Morgan Stanley & Co. International PLC		117,146		(30,000	)		—		87,146
Total	$	118,902	$	(30,000	)	$	—	$	88,902

Consolidated Alternative Allocation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,139,706	$	(663,443	)	$	(356,604	)	$	119,659
Barclays Bank plc		378,931		—			378,931			—
Citibank N.A.		5,579		—			(4,707	)		872
Goldman Sachs International		284,959		(248,803	)		(36,156	)		—	*
JPMorgan Chase Bank, N.A.		573,983		—			573,983			—
Morgan Stanley & Co. International PLC		300,430		—			300,430			—
Morgan Stanley & Co. LLC		325,228		—			325,228			—
UBS AG		148,525		—			(65,089	)		83,436
Total	$	3,157,341	$	(912,246	)	$	1,116,016		$	203,967
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.	$	356,604	$	—		$	356,604		$	—
Barclays Bank plc		445,037		—			(378,931	)		66,106
Citibank N.A.		4,707		—			4,707			—
Goldman Sachs International		36,156		—			36,156			—
JPMorgan Chase Bank, N.A.		626,102		(52,119	)		(573,983	)		—	*
Morgan Stanley & Co. International PLC		1,002,555		(623,177	)		(300,430	)		78,948
Morgan Stanley & Co. LLC		1,728,335		(1,403,107	)		(325,228	)		—	*
UBS AG		65,089		—			65,089			—
Total	$	4,264,585	$	(2,078,403	)	$	(1,116,016	)	$	145,054

185

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Notes to Financial Statements — (Continued)

August 31, 2019 (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
Goldman Sachs International	$	111,690	$	—		$	—		$	111,690
Morgan Stanley Capital Services LLC		93,701		—			93,701			—
Total	$	205,391	$	—		$	93,701		$	111,690
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	25,659	$	—		$	—		$	25,659
Citibank N.A.		102,723		—			—			102,723
Morgan Stanley Capital Services LLC		689,863		(193,658	)		(93,701	)		402,504
Morgan Stanley & Co. International PLC		399,213		(383,106	)		—			16,107
Total	$	1,217,458	$	(576,764	)	$	(93,701	)	$	546,993

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.	$	4,369,485	$	(1,646,824	)	$	(2,326,514	)	$	396,147
Barclays Bank plc		3,678,891		—			3,678,891			—
Citibank N.A.		951,936		—			741,022			210,914
Goldman Sachs International		3,478,436		(2,079,098	)		(954,301	)		445,037
JPMorgan Chase Bank, N.A.		5,865,020		—			5,865,020			—
Morgan Stanley & Co. International PLC		2,356,635		—			2,356,635			—
Morgan Stanley & Co. LLC		3,336,175		—			3,336,175			—
Morgan Stanley Capital Services LLC		338,536		—			338,536			—
Total	$	24,375,114	$	(3,725,922	)	$	13,035,464		$	1,052,098
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.	$	2,326,514	$	—		$	2,326,514		$	—
Barclays Bank plc		6,188,047		(1,837,860	)		(3,678,891	)		671,296
Citibank N.A.		835,912		(94,890	)		(741,022	)		—
Goldman Sachs International		954,301		—			954,301			—
JPMorgan Chase Bank, N.A.		6,222,293		(357,273	)		(5,865,020	)		—	*
Morgan Stanley & Co. International PLC		6,641,198		(4,000,343	)		(2,356,635	)		284,220
Morgan Stanley & Co. LLC		12,971,039		(9,634,864	)		(3,336,175	)		—	*
Morgan Stanley Capital Services LLC		2,335,928		(902,949	)		(338,536	)		1,094,443
Total	$	38,475,232	$	(16,828,179	)	$	(13,035,464	)	$	2,049,959

186

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Notes to Financial Statements — (Continued)

August 31, 2019 (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
Bank of America, N.A.	$	1,072,534	$	—		$	(775,107	)	$	297,427
Barclays Bank plc		2,525,521		(801,556	)		(994,796	)		729,169
JPMorgan Chase Bank, N.A.		514,538		—			514,538			—
Morgan Stanley & Co. International PLC		326,884		—			326,884			—
State Street Bank and Trust Company		732,194		—			—			732,194
UBS AG		3,933,690		(1,063,345	)		(1,105,986	)		1,764,359
Total	$	9,105,361	$	(1,864,901	)	$	(2,034,467	)	$	3,523,149
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.	$	775,107	$	—		$	775,107		$	—
Barclays Bank plc		994,796		—			994,796			—
Goldman Sachs International		223,419		(223,419	)		—			—	*
JPMorgan Chase Bank, N.A.		802,838		(243,802	)		(514,538	)		44,498
Morgan Stanley & Co. International PLC		1,152,580		(825,696	)		(326,884	)		—	*
UBS AG		1,105,986		—			1,105,986			—
Total	$	5,054,726	$	(1,292,917	)	$	2,034,467		$	44,498

Strategic Opportunities Allocation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Morgan Stanley Capital Services LLC	$	37,813	$	—	$	37,813		$	—
Total	$	37,813	$	—	$	37,813		$	—
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	$	180,688	$	—	$	(37,813	)	$	142,875
Total	$	180,688	$	—	$	(37,813	)	$	142,875

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

187

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) 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, 2019:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Alpha Only Fund		27,240,025		74,789,647		—		—		—
Consolidated Alternative Allocation Fund		228,428,214		95,925,850		—		3,986		276,685,599
Benchmark-Free Fund		115,738,551		241,890,488		—		—		22,335,557
Consolidated Implementation Fund		1,758,771,149		1,000,891,013		—		30,583		2,091,255,333
Consolidated SGM Major Markets Fund		993,203,234		2,023,999,686		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—		3,935,283

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		Alternative Allocation 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%		0.73%		0.65%		—		—		—		—		—		—		—		0.85%		1.10%		—

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.

188

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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 II		Class III			Class IV			Class V		Class VI		Class MF		Class R6			Class I
Alpha Only Fund				0.15%			0.10%
Alternative Allocation Fund		0.22%*		0.15%	*		0.105%	*		0.085%*		0.055%				0.22%	*		0.22%	*
Benchmark-Free Allocation Fund				0.15%			0.10%							0.10%		0.15%	*		0.15%
SGM Major Markets Fund				0.15%			0.10%	*				0.055%				0.15%	*		0.15%	*
Special Opportunities Fund				0.15%	*		0.10%	*		0.085%*		0.055%

* Class is offered but has no shareholders as of August 31, 2019.

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.

For each Fund, other than Alternative Allocation Fund and 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 (excluding, in the case of Class I shares, any amounts paid to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided in respect of Class I shareholders), 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 Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees with respect to and/or reimburse 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: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I 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, payments out of assets attributable to Class I shares to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services, 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.

For Special Opportunities Fund (the “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, 2019, GMO did not recoup any previously recorded waivers and/or reimbursements.

189

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

On August 31, 2019, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring during year ending February 29, 2020		Expiring during year ending February 28, 2021		Expiring during year ending February 28, 2022
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.

These contractual waivers and reimbursements will continue through at least June 30, 2020 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, 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 fees paid to GMO. This reduction will continue through at least June 30, 2020, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments to financial intermediaries that provide sub-transfer agent/recordkeeping services in respect of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments to third parties for sub-transfer agency, recordkeeping and other administrative services provided with respect to investors invested in Class I shares through an account maintained by a third party intermediary. These services are not primarily intended to result in the sale of Fund shares but are intended to provide ongoing services with respect to shareholders investing in Class I shares through a third-party platform or intermediary. The payments are, however, made pursuant to a service plan adopted pursuant to the provisions of Rule 12b-1 under the 1940 Act so as to ensure compliance with relevant regulations in the event payment for those services is nonetheless deemed to constitute the direct or indirect financing of distribution of a Fund’s shares by holders of its Class I shares. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares and may cost holders of those shares more than other types of sales charges.

190

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August 31, 2019 (Unaudited)

The Funds’ portion of the 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, 2019 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		1,493		170
Consolidated Alternative Allocation Fund		1,411		143
Benchmark-Free Allocation Fund		142,353		14,584
Benchmark-Free Fund		40,628		4,353
Global Asset Allocation Fund		24,284		2,552
Global Developed Equity Allocation Fund		5,692		558
Global Equity Allocation Fund		21,934		2,340
Consolidated Implementation Fund		115,896		12,045
International Developed Equity Allocation Fund		7,212		745
International Equity Allocation Fund		11,513		1,225
Consolidated SGM Major Markets Fund		17,477		1,833
Consolidated Special Opportunities Fund		6,113		794
Strategic Opportunities Allocation Fund		12,176		1,279

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2019, the below Funds had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses*
Consolidated Alternative Allocation Fund		0.072%
Benchmark-Free Allocation Fund		0.218%	**
Benchmark-Free Fund		0.233%
Global Asset Allocation Fund		0.548%	**
Global Developed Equity Allocation Fund		0.520%
Global Equity Allocation Fund		0.571%
International Developed Equity Allocation Fund		0.612%
International Equity Allocation Fund		0.651%
Strategic Opportunities Allocation Fund		0.446%

* Annualized.

** Includes indirect dividend expense on short sales and borrowing costs for investments sold short.

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, 2019, the Funds did not engage in these transactions.

191

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

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, 2019 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		9,488,436		52,800,589		12,902,297		76,021,952
Consolidated Alternative Allocation Fund		39,930,642		150,295,662		4,996,511		76,589,037
Benchmark-Free Allocation Fund		—		222,753,527		—		1,336,541,941
Benchmark-Free Fund		31,440,499		620,478,747		82,851,855		867,581,807
Global Asset Allocation Fund		—		334,914,700		—		581,618,853
Global Developed Equity Allocation Fund		—		48,253,194		—		75,514,848
Global Equity Allocation Fund		—		211,109,422		—		260,243,605
Consolidated Implementation Fund		202,406,417		3,685,181,748		761,234,366		4,116,968,889
International Developed Equity Allocation Fund		—		31,741,968		—		159,684,184
International Equity Allocation Fund		—		2,851,851		—		47,630,105
Consolidated SGM Major Markets Fund		126,539,540		—		312,841,250		—
Consolidated Special Opportunities Fund		—		91,073,659		—		105,432,000
Strategic Opportunities Allocation Fund		8,611,501		163,131,269		19,304,283		207,750,643

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the period ended August 31, 2019. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

Fund Name	In-Kind Purchases ($)		In-Kind Sales ($)		Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Strategic Opportunities Allocation Fund		—		62,548,093*		(2,457,638)*

* Amounts represent the contribution of assets to the Fund’s wholly-owned subsidiary.

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.

192

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2019

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		4	#		98.71%		0.08	%		98.71	%
Alternative Allocation Fund		2	‡		92.39%		0.09	%		99.88	%
Benchmark-Free Allocation Fund		1			32.96%		0.95	%		7.60	%
Benchmark-Free Fund		1			10.01%		—			100.00	%
Global Asset Allocation Fund		1	†		10.91%		0.13	%		10.91	%
Global Developed Equity Allocation Fund		3			77.61%		< 0.01	%		—
Global Equity Allocation Fund		3			50.24%		0.02	%		0.36	%
Implementation Fund		1	‡		100.00%		—			100.00	%
International Developed Equity Allocation Fund		5			94.37%		< 0.01	%		3.17	%
International Equity Allocation Fund		4			72.27%		0.01	%		1.10	%
SGM Major Markets Fund		2	#		86.10%		0.20	%		87.86	%
Special Opportunities Fund		2	#		97.35%		0.95	%		97.93	%
Strategic Opportunities Allocation Fund		1			15.60%		0.01	%		99.92	%

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

‡ One of the shareholders is another fund 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, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		—		$	—			185		$	3,742
Shares issued to shareholders in reinvestment of distributions		12,615			230,460			15,346			312,597
Shares repurchased		(343,751	)		(6,091,218	)		(5,999	)		(122,143	)
Net increase (decrease)		(331,136	)	$	(5,860,758	)		9,532		$	194,196
Class IV:
Shares sold		1,071,761		$	20,426,724			221,762		$	4,732,310
Shares issued to shareholders in reinvestment of distributions		109,402			1,999,894			195,531			3,994,806
Shares repurchased		(1,814,036	)		(35,156,021	)		(5,697,460	)		(119,059,252	)
Net increase (decrease)		(632,873	)	$	(12,729,403	)		(5,280,167	)	$	(110,332,136	)

193

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:*
Shares sold		9,876,053		$	197,490,188
Shares repurchased		(422,497	)		(8,446,062	)
Net increase (decrease)		9,453,556		$	189,044,126
Benchmark-Free Allocation Fund
Class III:
Shares sold		9,313,684		$	246,175,579			32,631,304		$	862,230,122
Shares issued to shareholders in reinvestment of distributions		142,231			3,818,900			5,811,792			145,209,181
Shares repurchased		(27,825,533	)		(737,115,482	)		(48,294,259	)		(1,277,160,943	)
Purchase premiums		—			—			—			39,641
Redemption fees		—			—			—			167,615
Net increase (decrease)		(18,369,618	)	$	(487,121,003	)		(9,851,163	)	$	(269,514,384	)
Class IV:
Shares sold		7,013,208		$	187,828,820			7,662,380		$	205,663,818
Shares issued to shareholders in reinvestment of distributions		99,640			2,675,341			3,065,368			76,610,120
Shares repurchased		(10,899,237	)		(287,977,697	)		(6,147,951	)		(165,132,629	)
Purchase premiums		—			—			—			21,378
Redemption fees		—			—			—			90,813
Net increase (decrease)		(3,786,389	)	$	(97,473,536	)		4,579,797		$	117,253,500
Class MF:
Shares sold		501,749		$	13,150,665			3,426,511		$	93,600,847
Shares issued to shareholders in reinvestment of distributions		149,477			4,016,443			6,001,525			150,215,640
Shares repurchased		(22,246,224	)		(588,326,106	)		(62,982,219	)		(1,665,823,005	)
Purchase premiums		—			—			—			43,344
Redemption fees		—			—			—			184,060
Net increase (decrease)		(21,594,998	)	$	(571,158,998	)		(53,554,183	)	$	(1,421,779,114	)
Class I:**
Shares sold		1,254,070		$	32,548,065
Net increase (decrease)		1,254,070		$	32,548,065
Benchmark-Free Fund
Class III:
Shares sold		219,145		$	4,250,058			1,450,645		$	28,887,826
Shares issued to shareholders in reinvestment of distributions		902,546			17,969,685			6,502,932			120,659,905
Shares repurchased		(15,756,482	)		(308,993,045	)		(60,662,790	)		(1,208,110,666	)
Purchase premiums		—			—			—			336
Redemption fees		—			—			—			207,148
Net increase (decrease)		(14,634,791	)	$	(286,773,302	)		(52,709,213	)	$	(1,058,355,451	)
Global Asset Allocation Fund
Class III:
Shares sold		734,314		$	23,302,281			5,490,395		$	173,901,818
Shares issued to shareholders in reinvestment of distributions		202,542			6,606,922			1,865,170			55,431,050
Shares repurchased		(8,851,042	)		(283,607,847	)		(20,986,043	)		(673,632,516	)
Purchase premiums		—			—			—			27,802
Redemption fees		—			—			—			108,369
Net increase (decrease)		(7,914,186	)	$	(253,698,644	)		(13,630,478	)	$	(444,163,477	)

194

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Global Developed Equity Allocation Fund
Class III:
Shares sold		1,268		$	27,967			457,094		$	10,322,581
Shares issued to shareholders in reinvestment of distributions		325,905			7,107,991			596,334			11,632,446
Shares repurchased		(1,445,962	)		(31,494,090	)		(442,673	)		(9,789,591	)
Purchase premiums		—			—			—			258
Redemption fees		—			—			—			1,005
Net increase (decrease)		(1,118,789	)	$	(24,358,132	)		610,755		$	12,166,699
Global Equity Allocation Fund
Class III:
Shares sold		1,648,797		$	42,138,807			444,185		$	10,967,674
Shares issued to shareholders in reinvestment of distributions		206,162			5,277,753			2,124,109			47,654,007
Shares repurchased		(4,265,796	)		(104,440,789	)		(22,767,344	)		(574,345,381	)
Purchase premiums		—			—			—			1,206
Redemption fees		—			—			—			38,129
Net increase (decrease)		(2,410,837	)	$	(57,024,229	)		(20,199,050	)	$	(515,684,365	)
Consolidated Implementation Fund
Core Class:
Shares sold		11,302,921		$	149,905,473			53,767,458		$	725,998,997
Shares issued to shareholders in reinvestment of distributions		2,369,227			31,889,793			32,476,425			409,637,549
Shares repurchased		(94,379,290	)		(1,254,960,450	)		(224,797,135	)		(2,976,877,616	)
Purchase premiums		—			—			—			64,769
Redemption fees		—			—			—			265,297
Net increase (decrease)		(80,707,142	)	$	(1,073,165,184	)		(138,553,252	)	$	(1,840,911,004	)
International Developed Equity Allocation Fund
Class III:
Shares sold		2,121,129		$	31,201,517			2,924,421		$	45,659,271
Shares issued to shareholders in reinvestment of distributions		73,234			1,098,516			1,267,608			17,246,624
Shares repurchased		(10,718,464	)		(160,192,465	)		(3,755,589	)		(54,697,422	)
Purchase premiums		—			—			—			13,253
Redemption fees		—			—			—			2,696
Net increase (decrease)		(8,524,101	)	$	(127,892,432	)		436,440		$	8,224,422
International Equity Allocation Fund
Class III:
Shares sold		2,188		$	62,821			1,893,252		$	52,196,705
Shares issued to shareholders in reinvestment of distributions		112,950			3,242,804			1,163,600			30,504,692
Shares repurchased		(9,653,801	)		(263,622,882	)		(5,250,756	)		(153,022,310	)
Purchase premiums		—			—			—			2,500
Redemption fees		—			—			—			112,011
Net increase (decrease)		(9,538,663	)	$	(260,317,257	)		(2,193,904	)	$	(70,206,402	)
Class R6:***
Shares sold		8,056,830		$	218,098,391
Net increase (decrease)		8,056,830		$	218,098,391

195

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

	Six Months Ended August 31, 2019 (Unaudited)						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Consolidated SGM Major Markets Fund
Class III:
Shares sold		411,398		$	13,455,947			698,577		$	22,365,425
Shares issued to shareholders in reinvestment of distributions		6,733			216,658			493			15,376
Shares repurchased		(848,833	)		(26,734,858	)		(123,398	)		(3,927,391	)
Net increase (decrease)		(430,702	)	$	(13,062,253	)		575,672		$	18,453,410
Class IV:****
Shares sold		—		$	—			716,660		$	22,968,951
Shares issued to shareholders in reinvestment of distributions		5,236			167,985			1,479			45,911
Shares repurchased		(721,896	)		(23,005,950	)		(376,300	)		(12,060,027	)
Net increase (decrease)		(716,660	)	$	(22,837,965	)		341,839		$	10,954,835
Class VI:
Shares sold		800,662		$	25,995,482			3,148,079		$	101,038,565
Shares issued to shareholders in reinvestment of distributions		230,605			7,404,737			161,370			5,015,389
Shares repurchased		(5,479,199	)		(177,179,104	)		(25,149,237	)		(797,582,448	)
Net increase (decrease)		(4,447,932	)	$	(143,778,885	)		(21,839,788	)	$	(691,528,494	)
Consolidated Special Opportunities Fund
Class VI:
Shares sold		126,580		$	2,408,909			2,131,059		$	39,420,310
Shares issued to shareholders in reinvestment of distributions		26,496			506,076			11,369,351			229,777,570
Shares repurchased		(3,955,654	)		(75,995,712	)		(32,277,502	)		(703,196,434	)
Purchase premiums		—			12,105			—			183,017
Redemption fees		—			379,979			—			3,500,942
Net increase (decrease)		(3,802,578	)	$	(72,688,643	)		(18,777,092	)	$	(430,314,595	)
Strategic Opportunities Allocation Fund
Class III:
Shares sold		—		$	—			772,153		$	15,269,024
Shares issued to shareholders in reinvestment of distributions		638,637			12,702,484			4,419,377			84,991,102
Shares repurchased		(2,789,300	)		(54,113,760	)		(17,197,584	)		(345,325,134	)
Redemption fees		—			—			—			192,588
Net increase (decrease)		(2,150,663	)	$	(41,411,276	)		(12,006,054	)	$	(244,872,420	)

* The period under the heading “Six Months Ended August 31, 2019 (Unaudited)” represents the period from May 1, 2019 (commencement of operations) through August 31, 2019.

** The period under the heading “Six Months Ended August 31, 2019 (Unaudited)” represents the period from August 8, 2019 (commencement of operations) through August 31, 2019.

*** The period under the heading “Six Months Ended August 31, 2019 (Unaudited)” represents the period from August 30, 2019 (commencement of operations) through August 31, 2019.

**** For the period July 18, 2019 to August 31, 2019, Class IV had no shareholders.

196

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Notes to Financial Statements — (Continued)

August 31, 2019 (Unaudited)

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities 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, 2019 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	19,030,041	$	20,228,423	$	37,102,891	$	29,007		$	—	$	—		$	—		$	2,155,573
Consolidated Alternative Allocation Fund
GMO Alpha Only Fund, Class IV	$	—	$	20,949,918	$	—	$	111,709		$	411,484	$	—		$	(1,506,173	)	$	19,443,745
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	455,898,632	$	6,964,511	$	77,005,404	$	6,177,683		$	—	$	(2,786,200	)	$	17,275,419		$	400,346,958
GMO High Yield Fund, Class VI		149,579,077		3,078,916		—		3,078,916			—		—			4,392,104			157,050,097
GMO Implementation Fund		8,726,210,310		180,877,725		1,011,342,571		30,972,253			—		9,283,691			(145,319,397	)		7,759,709,758
GMO Opportunistic Income Fund, Class VI		551,229,863		21,481,094		83,812,996		5,461,165			—		5,975,386			4,782,300			499,655,647
GMO Risk Premium Fund, Class VI		286,420,244		1,822,193		42,765,134		1,227,490			—		305,427			6,011,271			251,794,001
GMO SGM Major Markets Fund, Class VI		840,481,004		5,823,290		71,499,339		5,823,290			—		1,755,776			(23,852,253	)		752,708,478
GMO Special Opportunities Fund, Class VI		294,753,740		2,705,797		50,116,497		—			354,963		(2,639,271	)		7,122,326			251,826,095
Totals	$	11,304,572,870	$	222,753,526	$	1,336,541,941	$	52,740,797		$	354,963	$	11,894,809		$	(129,588,230	)	$	10,073,091,034
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	152,403,763	$	1,925,370	$	26,000,000	$	1,925,370		$	—	$	(912,998	)	$	5,370,483		$	132,786,618
GMO Emerging Markets Fund, Class VI		382,252,830		2,065,947		35,500,000		2,065,947			—		3,074,756			(15,677,346	)		336,216,187
GMO Opportunistic Income Fund, Class VI		187,691,229		1,902,303		7,127,000		1,902,303			—		658,094			3,029,521			186,154,147
GMO Risk Premium Fund, Class VI		111,153,978		432,707		20,563,000		432,707			—		(113,399	)		2,290,684			93,200,970
GMO SGM Major Markets Fund, Class VI		134,030,636		945,565		6,225,000		945,565			—		420,267			(4,155,693	)		125,015,775
GMO Special Opportunities Fund, Class VI		109,380,816		127,367		15,700,000		—			127,367		369,003			595,255			94,772,441
GMO U.S. Treasury Fund		—		24,601,720		23,689,853		—	**		—		—			—			911,867
Totals	$	1,076,913,252	$	32,000,979	$	134,804,853	$	7,271,892		$	127,367	$	3,495,723		$	(8,547,096	)	$	969,058,005
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	55,140,779	$	584,521	$	35,156,021	$	124,803		$	459,718	$	(7,138,199	)	$	3,554,422		$	16,985,502
GMO Alternative Allocation Fund, Class VI		—		161,156,171		8,446,062		—			—		(3,882	)		610,825			153,317,052

197

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (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 (continued)
GMO Asset Allocation Bond Fund, Class VI	$	227,286,993		$	3,840,414	$	71,132,635	$	3,840,414		$	—	$	(9,142,012	)	$	18,649,062		$	169,501,822
GMO Core Plus Bond Fund, Class IV		282,224,826			499,000		52,759,265		—			—		1,013,617			23,187,225			254,165,403
GMO Emerging Country Debt Fund, Class IV		65,866,747			914,824		9,327,601		914,824			—		(229,984	)		2,363,745			59,587,731
GMO Emerging Markets Fund, Class VI		358,618,059			24,415,693		41,391,700		2,092,501			—		4,265,681			(15,806,766	)		330,100,967
GMO International Equity Fund, Class IV		410,667,438			6,125,081		33,829,101		693,220			—		(7,459,218	)		(5,191,593	)		370,312,607
GMO Opportunistic Income Fund, Class VI		36,987,265			369,412		4,050,415		369,412			—		272,537			458,391			34,037,190
GMO Quality Fund, Class VI		140,373,291			1,387,252		117,618,743		284,425			1,102,827		11,259,029			162,149			35,562,978
GMO Risk Premium Fund, Class VI		48,646,796			83,599		31,892,974		83,598			—		(81,579	)		1,250,405			18,006,247
GMO SGM Major Markets Fund, Class VI		57,183,044			—		58,772,599		—			—		3,049,584			(1,460,029	)		—
GMO U.S. Equity Fund, Class VI		143,172,153			4,148,625		14,935,267		676,497			3,472,128		(1,125,059	)		1,841,369			133,101,821
GMO U.S. Small Cap Value Fund, Class VI		—			108,320,000		3,085,541		—			—		24,488			(4,524,851	)		100,734,096
GMO U.S. Treasury Fund		83,433,020			23,070,109		99,215,095		365,998			—		(1,727	)		1,728			7,288,035
Totals	$	1,909,600,411		$	334,914,701	$	581,613,019	$	9,445,692		$	5,034,673	$	(5,296,724	)	$	25,096,082		$	1,682,701,451
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	45,675,429		$	247,388	$	4,206,826	$	247,388		$	—	$	613,997		$	(2,069,509	)	$	40,260,479
GMO International Equity Fund, Class IV		212,821,229			357,766		13,516,103		357,766			—		(909,888	)		(6,064,627	)		192,688,377
GMO Quality Fund, Class VI		91,967,553			1,350,071		26,946,524		224,160			869,154		3,416,093			3,159,020			72,946,213
GMO U.S. Equity Fund, Class VI		97,294,103			2,550,826		30,845,396		415,952			2,134,874		(1,861,943	)		3,019,697			70,157,287
GMO U.S. Small Cap Value Fund, Class VI		—			43,747,145		—		—			—		—			(1,879,991	)		41,867,154
Totals	$	447,758,314		$	48,253,196	$	75,514,849	$	1,245,266		$	3,004,028	$	1,258,259		$	(3,835,410	)	$	417,919,510
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	432,155,290		$	7,093,748	$	9,183,972	$	2,519,362		$	—	$	456,622		$	(16,283,954	)	$	414,237,734
GMO International Equity Fund, Class IV		677,968,641			24,758,225		32,459,638		1,193,645			—		(10,030,638	)		(14,639,531	)		645,597,059
GMO Quality Fund, Class VI		237,080,031			6,520,768		32,787,189		605,024			2,345,911		2,959,107			11,953,014			225,725,731
GMO U.S. Equity Fund, Class VI		290,040,276			7,903,416		184,112,806		1,104,938			5,671,106		(15,344,043	)		20,461,999			118,948,842
GMO U.S. Small Cap Value Fund, Class VI		—			164,833,265		1,700,000		—			—		(16,304	)		(7,006,919	)		156,110,042
Totals	$	1,637,244,238		$	211,109,422	$	260,243,605	$	5,422,969		$	8,017,017	$	(21,975,256	)	$	(5,515,391	)	$	1,560,619,408
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	—		$	72,469,686	$	70,064,574	$	—	**	$	—	$	—		$	—		$	2,405,112
Oneida Group		—	#		419,319		—		—			—		—			(2,689,905	)		2,984,182
Totals	$	—		$	72,889,005	$	70,064,574	$	—		$	—	$	—		$	(2,689,905	)	$	5,389,294

198

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2019 (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 Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	57,057,016		$	4,815,026	$	17,843,445	$	319,230	$	—	$	1,679,893		$	(2,771,898	)	$	42,936,592
GMO International Equity Fund, Class IV		515,607,672			26,926,942		141,840,739		884,599		—		(38,141,289	)		25,452,993			388,005,579
Totals	$	572,664,688		$	31,741,968	$	159,684,184	$	1,203,829	$	—	$	(36,461,396	)	$	22,681,095		$	$430,942,171
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	322,997,438		$	1,815,054	$	18,607,542	$	1,815,054	$	—	$	1,622,976		$	(12,442,576	)	$	295,385,350
GMO International Equity Fund, Class IV		606,692,593			1,036,797		29,022,563		1,036,797		—		(5,551,728	)		(14,749,393	)		558,405,706
Totals	$	929,690,031		$	2,851,851	$	47,630,105	$	2,851,851	$	—	$	(3,928,752	)	$	(27,191,969	)	$	853,791,056
Consolidated Special Opportunities Fund
Eventbrite, Inc. – Class A	$	—	#	$	—	$	1,200,055	$	—	$	—	$	(80,978	)	$	—		$	—	##
Jagercor Energy Corp		45,594			—		0		—		—		(317,181	)		271,587			—
Totals	$	45,594		$	—	$	1,200,055	$	—	$	—	$	(398,159	)	$	271,587		$	—
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	90,334,045		$	—	$	7,924,114	$	—	$	—	$	346,499		$	7,952,201		$	90,708,631
GMO Emerging Country Debt Fund, Class IV		31,398,277			458,787		1,276,201		458,787		—		(22,946	)		1,083,163			31,641,080
GMO Emerging Markets Fund, Class VI		206,302,480			12,556,453		8,067,420		1,266,453		—		1,007,213			(8,963,662	)		202,835,064
GMO International Equity Fund, Class IV		228,072,858			409,159		—		409,160		—		—			(8,113,727	)		220,368,290
GMO Opportunistic Income Fund, Class VI		23,830,200			251,031		—		251,031		—		—			483,960			24,565,191
GMO Quality Fund, Class VI		80,218,024			884,713		19,017,565		181,391		703,323		1,375,706			3,130,541			66,591,419
GMO U.S. Equity Fund, Class VI		48,300,438			1,042,408		17,309,151		169,981		872,427		(2,300,063	)		2,290,638			32,024,270
GMO U.S. Small Cap Value Fund, Class VI		—			62,548,113		—		—		—		—			(2,658,295	)		59,889,818
GMO U.S. Treasury Fund		24,214,549			20,087,603		44,074,000		163,645		—		—			—			228,152
Totals	$	732,670,871		$	98,238,267	$	97,668,451	$	2,900,448	$	1,575,750	$	406,409		$	(4,795,181	)	$	728,851,915

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2019 through August 31, 2019. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2020.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund (see Note 2). Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $7,190 and $28,466 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

# Security not an affiliate at the beginning of the period.

## No longer an affiliate at period end.

11. Subsequent events

Subsequent to August 31, 2019, GMO Global Developed Equity Allocation Fund received redemption requests in the amount of $348,641,972.

199

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2019 (Unaudited)

GMO Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that fee. The Trustees also considered possible alternative fee arrangements.

200

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Alternative Allocation Fund

Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length with representatives of the Manager the investment performance of the 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 6, 2019. 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.

The Trustees considered that the Fund had only a limited operating history. The Trustees discussed how a fund using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees also considered the performance of the other GMO funds managed by the investment division that manages the Fund.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share), including information provided by the Manager in connection with the Trustees’ initial approval of the Fund’s management agreement regarding the Fund’s expense ratio as compared to the expense ratios of another GMO fund and funds managed by other managers in a peer group determined by the Manager 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 fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by the Manager in connection with the Trustees’ initial approval of the Fund’s management agreement comparing the management fee payable by the Fund to the management fees of another GMO fund and of funds managed by other managers that were determined by the Manager to have similar investment characteristics. 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 to each class by the Manager.

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, operational and technology services.

Since the Fund had only recently commenced operations, no information regarding the Manager’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, review information provided to them by the Manager regarding its profits from managing the Trust overall. The Trustees took note of “fallout benefits” to the Manager resulting from its management of

201

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 pay any management 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 borne by those other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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.

202

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “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 pay any management 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 borne by those other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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 meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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

203

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

Manager, which they received before and at a meeting of the Trustees on June 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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 Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 of

204

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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.

205

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (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 Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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 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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.

206

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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 Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear 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

207

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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 Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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

208

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 considered the fact that the Manager does not receive any fees under the Fund’s management agreement or shareholder servicing and supplemental support agreement.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement.

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 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 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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.

209

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear 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 to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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 International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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”).

210

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

211

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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, as well as differences in the business and other risks borne by the Manager in managing the Fund relative to the risks borne by the Manager in managing third party funds and 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds.

212

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Special Opportunities Fund

Approval of renewal of management agreement for GMO Special Opportunities Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 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

213

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

characteristics. 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 to each class by the Manager.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 that 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fee charged under that agreement was 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 Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 6, 2019, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2019 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, meeting both privately and with representatives of the Manager. In deciding whether to approve the management agreement, 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 16, 2019, the Trustees discussed at length 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 6, 2019. 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 using investment strategies similar to those the Manager used in managing the Fund might be expected to perform under various 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

214

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2019 (Unaudited)

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 characteristics.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual 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 noted that the Manager does not charge a fee to the Fund under the Fund’s management agreement or to different share classes of the Fund under the Fund’s shareholder servicing and supplemental support agreement but that the Fund and its share classes instead indirectly bear the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable to the Manager under those agreements were reasonable.

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, operational and technology 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, as well as changes in that methodology, and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund and the other 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 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 valuation, legal, accounting and compliance personnel). The Trustees considered personnel changes at the Manager recently and over longer periods. 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 nature, extent and quality of services to be provided supported the approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest 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.

215

GMO Trust Funds

Fund Expenses

August 31, 2019 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2019.

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 supplemental support fees to Class MF 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, 2019 through August 31, 2019.

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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$908.70		$3.74		$1,000.00		$1,021.22		$3.96		0.78%
Class IV		$1,000.00		$909.40		$3.50		$1,000.00		$1,021.47		$3.71		0.73%
Alternative Allocation Fund
Class VI (a)		$1,000.00		$1,004.00		$3.94		$1,000.00		$1,019.20		$5.99		1.18%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$989.50		$4.35		$1,000.00		$1,020.76		$4.42		0.87%
Class IV		$1,000.00		$990.20		$4.10		$1,000.00		$1,021.01		$4.17		0.82%
Class MF		$1,000.00		$990.10		$4.10		$1,000.00		$1,021.01		$4.17		0.82%
Class I (b)		$1,000.00		$993.50		$0.61		$1,000.00		$1,020.26		$4.93		0.97%
Benchmark-Free Fund
Class III		$1,000.00		$991.30		$1.45		$1,000.00		$1,023.68		$1.48		0.29%
Global Asset Allocation Fund
Class III		$1,000.00		$1,017.50		$2.79		$1,000.00		$1,022.37		$2.80		0.55%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,002.30		$2.62		$1,000.00		$1,022.52		$2.64		0.52%
Global Equity Allocation Fund
Class III		$1,000.00		$992.40		$2.85		$1,000.00		$1,022.27		$2.90		0.57%
Implementation Fund
Core Class		$1,000.00		$986.30		$0.40		$1,000.00		$1,024.73		$0.41		0.08%

216

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2019 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Beginning Account Value March 1, 2019		Ending Account Value August 31, 2019		Expenses Paid During the Period*		Annualized Expense Ratio
International Developed Equity Allocation Fund
Class III		$1,000.00		$967.00		$3.02		$1,000.00		$1,022.07		$3.10		0.61%
International Equity Allocation Fund
Class III		$1,000.00		$967.50		$3.21		$1,000.00		$1,021.87		$3.30		0.65%
Class R6(c)		$1,000.00		$1,000.00		$0.02		$1,000.00		$1,021.87		$3.30		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$977.70		$5.02		$1,000.00		$1,020.06		$5.13		1.00%
Class VI		$1,000.00		$977.90		$4.52		$1,000.00		$1,020.56		$4.62		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$1,016.10		$6.18		$1,000.00		$1,019.00		$6.19		1.22%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,002.40		$2.42		$1,000.00		$1,022.72		$2.44		0.48%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2019, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

(a) For the period May 1, 2019 (commencement of operations) through August 31, 2019, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2019, multiplied by the average account value over the period, multiplied by 122 days in the period, divided by 366 days in the year.

(b) For the period August 8, 2019 (commencement of operations) through August 31, 2019, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2019, multiplied by the average account value over the period, multiplied by 23 days in the period, divided by 366 days in the year.

(c) For the period August 30, 2019 (commencement of operations) through August 31, 2019, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2019, multiplied by the average account value over the period, multiplied by 1 day in the period, divided by 366 days in the year.

217

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)(1) Not applicable to this filing.

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

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

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

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer
	Date: November 1, 2019

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: November 1, 2019
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: November 1, 2019

EX-99.CERT

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Sheppard N. Burnett, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 1, 2019
	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Executive Officer

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Betty Maganzini, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 1, 2019
	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer

EX-99.906CERT

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Sheppard N. Burnett, Principal Executive Officer of GMO Trust (the “Registrant”), certifies to the best of his knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2019 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Sheppard N. Burnett
Sheppard N. Burnett
Principal Executive Officer
Date:	November 1, 2019

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Betty Maganzini, Principal Financial Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2019 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Betty Maganzini
Betty Maganzini
Principal Financial Officer
Date:	November 1, 2019

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.