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: 02/29/20

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 29, 2020 are filed herewith.

GMO Trust

Annual Report

February 29, 2020

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-PORT which is available on the Commission’s website at www.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
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Core Plus Bond Fund
Management Discussion and Analysis of Fund Performance	6
Performance Graph	7
Investment Concentration Summary	8
Schedule of Investments	9
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance	16
Performance Graph	17
Investment Concentration Summary	18
Schedule of Investments	19
High Yield Fund
Management Discussion and Analysis of Fund Performance	32
Performance Graph	33
Investment Concentration Summary	34
Schedule of Investments	35
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance	40
Performance Graph	41
Investment Concentration Summary	42
Schedule of Investments	43
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance	52
Performance Graph	53
Investment Concentration Summary	54
Schedule of Investments	55
Portfolio, Counterparty and Currency Abbreviations	56
Fund Financial Statements:
Statements of Assets and Liabilities	57
Statements of Operations	61
Statements of Changes in Net Assets	63
Statement of Cash Flows	66
Financial Highlights	67
Notes to Financial Statements	73
Report of Independent Registered Public Accounting Firm	117
Fund Expenses	118
Tax Information	119
Trustees and Officers	120

Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned +9.74% (net) for the fiscal year ended February 29, 2020, as compared with +2.12% for the FTSE 3-Month Treasury Bill Index.

The Fund’s position in Treasury Inflation-Protected Securities drove the vast majority of gains during the fiscal year, as real 10-year yields plummeted from 0.78% at the start of the period to -0.28% at the end of the period.

Developed market interest rate positioning and emerging market currency positioning resulted in modest net positive contributions to performance. The Fund’s positions in developed market currencies had a negligible negative impact on performance for the fiscal year.

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

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

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

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

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

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		95.9	%
Mutual Funds		3.7
Short-Term Investments		0.2
Other		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).

4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value†/ Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.9%
		U.S. Government — 95.9%
	4,161,983	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		4,287,071
	12,879,173	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		13,597,588
	30,942,077	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		32,365,505
	29,962,743	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		31,783,279
	44,121,213	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		51,092,002
	14,081,956	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		15,343,765
	20,084,081	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		22,115,871
	42,882,769	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		53,433,558
		Total U.S. Government		224,018,639
		TOTAL DEBT OBLIGATIONS (COST $209,674,780)		224,018,639

Par Value†/ Shares		Description	Value ($)
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	1,724,378	GMO U.S. Treasury Fund		8,656,379
		TOTAL MUTUAL FUNDS (COST $8,636,537)		8,656,379
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	416,342	State Street Institutional Treasury Money Market Fund-Premier Class, 1.50% (b)		416,342
		TOTAL SHORT-TERM INVESTMENTS (COST $416,342)		416,342
		TOTAL INVESTMENTS — 99.8% (Cost $218,727,659)		233,091,360
		Other Assets and Liabilities (net) — 0.2%		442,479
		TOTAL NET ASSETS — 100.0%		$233,533,839

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 56.

See accompanying notes to the financial statements. 5

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Core Plus Bond Fund returned +12.38% (net) for the fiscal year ended February 29, 2020, as compared with +11.68% for the Bloomberg Barclays U.S. Aggregate Index.

The Fund’s investment exposure was achieved through global interest rate and currency derivatives, as well as indirect (through ETFs and other GMO Funds, including GMO Opportunistic Income Fund, GMO Emerging Country Debt Fund, and GMO U.S. Treasury Fund) and direct fixed income investments.

Developed markets interest rate positioning contributed positively during the fiscal year. The Fund’s active duration positions in New Zealand, Canada, and the U.S. added value, while positions in Australia and the U.K. underperformed.

The Fund’s positions in developed market currencies detracted during the fiscal year. Exposure to the Norwegian krone and Swedish krona detracted from performance, but exposure to the Australian dollar and British pound sterling paired losses. Exposure to emerging market currencies resulted in a net positive contribution to performance. Positioning in the Chilean peso and Hungarian forint drove gains.

The Fund’s overweight positioning to securitized products and emerging country debt also added value during the year.

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

6

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

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

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		65.7	%
Short-Term Investments		24.3
Investment Funds		22.7
Swap Contracts		1.1
Mutual Funds		1.1
Futures Contracts		0.4
Loan Participations		0.1
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.2	)
Other		(15.2	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		76.1	%
Canada		15.5
Switzerland		14.4
New Zealand		9.9
Other Emerging		5.2	*
Sweden		2.3
Japan		0.2
Euro Region		(0.9	)§
United Kingdom		(6.8	)
Australia		(15.9	)
		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 comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

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

^ Rounds to 0.0%.

8

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 41.1%
		United States — 41.1%
		Asset-Backed Securities — 9.0%
	288,810	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40		291,802
	28,970,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		30,598,882
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,352,266
	2,900,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		3,072,457
	5,360,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,730,046
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		384,434
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.69%, due 08/11/33		102,730
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.69%, due 08/11/33		5,136,491
		Total Asset-Backed Securities		47,669,108
		U.S. Government — 17.0%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		10,497,108
	4,750,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		6,385,781
	15,563,000	U.S. Treasury Note, 1.75%, due 11/30/21		15,781,247
	21,406,000	U.S. Treasury Note, 2.50%, due 05/15/24		22,800,735
	21,177,000	U.S. Treasury Note, 2.00%, due 08/15/25		22,335,117
	10,800,000	U.S. Treasury Note, 2.25%, due 08/15/49		12,276,141
		Total U.S. Government		90,076,129
		U.S. Government Agency — 15.1%
	21,680,000	Federal National Mortgage Association, TBA, 2.50%, due 03/18/35		22,254,181
	26,610,000	Federal National Mortgage Association, TBA, 3.00%, due 03/12/50		27,405,182
	2,630,000	Federal National Mortgage Association, TBA, 3.50%, due 03/12/50		2,731,193
	20,530,000	Federal National Mortgage Association, TBA, 4.00%, due 03/12/50		21,626,192

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	5,720,000	Government National Mortgage Association, TBA, 3.50%, due 03/23/50		5,926,680
		Total U.S. Government Agency		79,943,428
		TOTAL DEBT OBLIGATIONS (COST $208,441,318)		217,688,665
		INVESTMENT FUNDS — 22.7%
		United States — 22.7%
	138,000	iShares Core S&P 500 ETF		40,835,580
	601,862	iShares iBoxx $ Investment Grade Corporate Bond ETF		79,554,119
		TOTAL INVESTMENT FUNDS (COST $117,155,935)		120,389,699
		MUTUAL FUNDS — 26.8%
		United States — 26.8%
		Affiliated Issuers — 26.8%
	1,072,299	GMO Emerging Country Debt Fund, Class IV		29,316,657
	4,145,142	GMO Opportunistic Income Fund, Class VI		108,395,452
	899,827	GMO U.S. Treasury Fund		4,517,130
		TOTAL MUTUAL FUNDS (COST $144,560,138)		142,229,239

See accompanying notes to the financial statements. 9

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 22.6%
		Foreign Government Obligations — 22.4%
JPY	1,223,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		11,342,153
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/06/20		30,598,593
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/23/20		51,922,569
JPY	2,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/16/20		25,033,615
		Total Foreign Government Obligations		118,896,930
		Money Market Funds — 0.2%
	1,088,103	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (b)		1,088,103
		TOTAL SHORT-TERM INVESTMENTS (COST $118,497,467)		119,985,033

PURCHASED OPTIONS — 0.0%

Description	Counterparty	Exercise Price		Expiration Date		Principal Amount		Notional Amount		Value ($)
Currency Options – Puts — 0.0%
EUR Put/CHF Call	CITI		1.06		04/28/20	EUR	9,650,000	EUR	9,650,000		50,858

TOTAL PURCHASED OPTIONS (COST $55,459)	50,858
TOTAL INVESTMENTS — 113.2% (Cost $588,710,317)	600,343,494
Other Assets and Liabilities (net) — (13.2%)	(70,049,538	)
TOTAL NET ASSETS — 100.0%	$530,293,956

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/06/2020	MSCI		AUD	35,376,000		USD	23,779,844		705,160
05/05/2020	CITI		BRL	996,981		USD	230,000		7,741
05/05/2020	MSCI		BRL	12,673,440		USD	2,986,026		160,704
03/03/2020	MSCI		CAD	22,539,586		USD	17,260,000		467,574
05/04/2020	JPM		CHF	2,106,027		USD	2,167,004		(25,153	)
05/14/2020	JPM		CHF	28,973,662		USD	29,885,338		(291,892	)
04/07/2020	MSCI		CLP	2,808,727,800		USD	3,703,491		268,899
05/06/2020	JPM		COP	2,418,500,000		USD	700,000		15,270
05/06/2020	MSCI		COP	6,503,106,500		USD	1,918,094		76,923
04/14/2020	MSCI		CZK	39,953,412		USD	1,752,306		19,476
04/27/2020	DB		EUR	2,530,000		USD	2,782,674		(19,468	)
04/27/2020	MSCI		EUR	3,030,000		USD	3,289,004		(66,921	)
05/14/2020	JPM		GBP	5,239,000		USD	6,816,280		87,187
04/14/2020	MSCI		HUF	1,159,457,278		USD	3,893,540		103,880
03/09/2020	MSCI		JPY	253,579,857		USD	2,310,000		(41,784	)
03/16/2020	MSCI		JPY	2,700,000,000		USD	24,969,620		(80,776	)
03/23/2020	MSCI		JPY	5,600,000,000		USD	51,409,695		(566,838	)
04/06/2020	CITI		JPY	3,300,000,000		USD	30,545,097		(106,958	)
05/18/2020	GS		JPY	1,223,000,000		USD	10,974,299		(407,841	)
03/05/2020	JPM		KRW	1,702,787,300		USD	1,425,541		19,025

10 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/05/2020	MSCI		KRW	2,155,805,700		USD	1,823,393		42,680
03/04/2020	DB		NOK	8,012,550		USD	900,000		48,365
03/04/2020	JPM		NOK	71,366,079		USD	7,700,000		114,665
03/04/2020	MSCI		NOK	45,575,927		USD	4,930,000		85,840
04/08/2020	JPM		PEN	2,538,133		USD	747,775		14,440
03/04/2020	JPM		PHP	42,034,200		USD	819,700		(4,655	)
06/02/2020	MSCI		PHP	19,684,400		USD	382,742		(558	)
03/13/2020	CITI		PLN	3,293,817		USD	840,000		124
03/13/2020	MSCI		PLN	11,269,592		USD	2,917,316		43,732
04/30/2020	JPM		RON	1,109,453		USD	250,000		(3,812	)
04/30/2020	MSCI		RON	10,021,667		USD	2,300,500		7,822
04/20/2020	GS		RUB	21,133,560		USD	320,000		6,775
03/06/2020	JPM		SEK	38,795,637		USD	4,000,000		(37,895	)
05/18/2020	JPM		SGD	757,844		USD	545,779		1,436
03/13/2020	JPM		THB	32,211,808		USD	1,030,000		9,011
03/13/2020	MSCI		THB	39,116,138		USD	1,240,000		171
04/16/2020	MSCI		TRY	11,852,298		USD	1,976,668		114,162
04/08/2020	JPM		TWD	13,682,395		USD	458,433		2,889
05/06/2020	GS		USD	1,509,059		AUD	2,230,000		(54,498	)
03/03/2020	MSCI		USD	36,467,522		CAD	48,470,624		(355,972	)
05/04/2020	JPM		USD	2,030,000		CHF	1,976,430		27,259
04/07/2020	JPM		USD	2,010,000		CLP	1,594,894,000		(59,718	)
04/07/2020	MSCI		USD	1,140,000		CLP	914,625,000		(21,571	)
04/14/2020	CITI		USD	540,000		CZK	12,309,959		(6,102	)
04/27/2020	CITI		USD	1,746,801		EUR	1,580,000		3,154
04/27/2020	JPM		USD	1,914,833		EUR	1,730,000		1,256
04/27/2020	MSCI		USD	7,875,089		EUR	7,100,000		(11,371	)
05/14/2020	JPM		USD	6,797,415		GBP	5,240,000		(67,038	)
05/20/2020	MSCI		USD	772,673		IDR	10,687,619,000		(45,170	)
05/28/2020	MSCI		USD	1,888,933		ILS	6,456,185		(19,786	)
05/04/2020	CITI		USD	340,000		INR	24,420,092		(4,941	)
05/04/2020	JPM		USD	703,485		INR	50,741,890		(7,275	)
03/09/2020	CITI		USD	2,140,000		JPY	233,902,556		29,290
03/09/2020	JPM		USD	10,414,504		JPY	1,127,105,871		38,650
03/09/2020	MSCI		USD	4,800,000		JPY	529,551,609		111,238
03/05/2020	CITI		USD	450,000		KRW	520,177,500		(20,329	)
03/05/2020	JPM		USD	2,300,000		KRW	2,690,625,500		(77,520	)
03/05/2020	MSCI		USD	550,000		KRW	647,790,000		(14,920	)
04/03/2020	JPM		USD	515,712		KRW	622,799,300		2,856
05/21/2020	MSCI		USD	3,528,340		MXN	66,464,398		(192,880	)
03/04/2020	MSCI		USD	19,603,663		NOK	178,662,225		(614,070	)
05/11/2020	JPM		USD	7,032,540		NOK	64,784,462		(146,568	)
05/05/2020	JPM		USD	1,852,287		NZD	2,860,000		(63,515	)
04/08/2020	MSCI		USD	385,116		PEN	1,282,168		(14,663	)
03/04/2020	JPM		USD	440,000		PHP	22,349,800		(1,686	)
03/04/2020	MSCI		USD	385,138		PHP	19,684,400		903
03/13/2020	CITI		USD	2,400,000		PLN	9,164,845		(63,097	)
04/20/2020	MSCI		USD	1,818,202		RUB	116,710,390		(88,411	)
03/06/2020	BCLY		USD	6,152,543		SEK	58,170,142		(98,128	)
03/06/2020	JPM		USD	4,200,000		SEK	40,152,630		(20,868	)
03/06/2020	MSCI		USD	3,140,000		SEK	30,290,638		12,684
05/04/2020	JPM		USD	2,940,000		SEK	28,296,290		12,691
05/04/2020	MSCI		USD	9,105,449		SEK	87,535,236		28,770
03/13/2020	BOA		USD	2,694,716		THB	81,505,722		(111,302	)

See accompanying notes to the financial statements. 11

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/16/2020	JPM		USD	450,000		TRY	2,773,132		(14,222	)
04/16/2020	MSCI		USD	700,000		TRY	4,317,460		(21,541	)
04/08/2020	JPM		USD	1,040,000		TWD	31,059,600		(5,895	)
04/08/2020	MSCI		USD	630,000		TWD	18,654,300		(8,920	)
04/30/2020	BOA		USD	2,023,414		ZAR	29,916,983		(121,808	)
04/30/2020	JPM		ZAR	34,767,716		USD	2,295,059		85,127
04/30/2020	MSCI		ZAR	14,344,905		USD	950,000		38,198
								$	(1,192,309	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
114	U.S. Long Bond (CBT)		June 2020		19,408,500		460,303
20	U.S. Treasury Note 10 Yr. (CBT)		June 2020		2,695,000		41,505
178	U.S. Treasury Note 2 Yr. (CBT)		June 2020		38,862,407		186,590
360	U.S. Treasury Note 5 Yr. (CBT)		June 2020		44,190,000		396,904

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
144	U.S. Treasury Ultra 10 Yr. (CBT)		June 2020		21,631,500		319,317
80	U.S. Ultra Bond (CBT)		June 2020		16,600,000		508,992
				$	143,387,407	$	1,913,611

+ 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) ($)
1.50%	6 Month AUD BBSW	AUD	50,770,000		03/18/2030	Semi-Annually		2,987			(1,858,863	)		(1,861,850	)
1.28%	6 Month AUD BBSW	AUD	44,760,000		03/18/2030	Semi-Annually		(35,812	)		(1,013,207	)		(977,395	)
6 Month AUD BBSW	1.14%	AUD	5,700,000		03/18/2030	Semi-Annually		—			81,589			81,589
1.22%	6 Month AUD BBSW	AUD	43,660,000		03/18/2030	Semi-Annually		13,725			(821,879	)		(835,604	)
3 Month CAD LIBOR	1.88%	CAD	95,550,000		03/18/2030	Semi-Annually		(18,027	)		2,617,162			2,635,189
3 Month CAD LIBOR	2.03%	CAD	4,580,000		03/18/2030	Semi-Annually		—			173,733			173,733
3 Month CAD LIBOR	2.04%	CAD	4,350,000		03/18/2030	Semi-Annually		—			170,358			170,358
3 Month CAD LIBOR	2.01%	CAD	6,780,000		03/18/2030	Semi-Annually		—			249,561			249,561
3 Month CAD LIBOR	2.03%	CAD	1,140,000		03/18/2030	Semi-Annually		—			43,965			43,965
(0.38)%	6 Month CHF LIBOR	CHF	1,490,000		03/18/2030	Semi-Annually		—			(25,549	)		(25,549	)
(0.36)%	6 Month CHF LIBOR	CHF	3,670,000		03/18/2030	Semi-Annually		—			(69,182	)		(69,182	)
6 Month CHF LIBOR	(0.30)%	CHF	2,730,000		03/18/2030	Semi-Annually		—			70,287			70,287
6 Month CHF LIBOR	(0.15)%	CHF	2,410,000		03/18/2030	Semi-Annually		—			102,061			102,061
6 Month CHF LIBOR	(0.19)%	CHF	19,700,000		03/18/2030	Semi-Annually		—			747,977			747,977
6 Month CHF LIBOR	(0.20)%	CHF	11,840,000		03/18/2030	Semi-Annually		—			427,135			427,135
6 Month CAD LIBOR	(0.18)%	CHF	38,260,000		03/18/2030	Semi-Annually		—			1,496,123			1,496,123
6 Month CAD LIBOR	(0.20)%	CHF	6,500,000		03/18/2030	Semi-Annually		(10,652	)		235,897			246,549
3 Month NZD Bank Bill Rate	1.45%	NZD	2,110,000		03/18/2030	Quarterly		—			34,283			34,283
3 Month NZD Bank Bill Rate	1.42%	NZD	7,660,000		03/18/2030	Quarterly		641			108,630			107,989
3 Month NZD Bank Bill Rate	1.50%	NZD	3,320,000		03/18/2030	Quarterly		—			62,494			62,494
3 Month NZD Bank Bill Rate	1.48%	NZD	4,750,000		03/18/2030	Quarterly		2,866			84,432			81,566
3 Month NZD Bank Bill Rate	1.48%	NZD	1,950,000		03/18/2030	Quarterly		—			34,603			34,603
3 Month NZD Bank Bill Rate	1.52%	NZD	2,690,000		03/18/2030	Quarterly		—			53,857			53,857
3 Month NZD Bank Bill Rate	1.83%	NZD	23,960,000		03/18/2030	Quarterly		24,082			924,586			900,504

12 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate	1.66%	NZD	6,950,000		03/18/2030	Quarterly		—			197,426			197,426
3 Month NZD Bank Bill Rate	1.66%	NZD	4,350,000		03/18/2030	Quarterly		—			124,871			124,871
3 Month NZD Bank Bill Rate	1.49%	NZD	26,130,000		03/18/2030	Quarterly		—			484,029			484,029
1.43%	3 Month NZD Bank Bill Rate	NZD	26,620,000		03/18/2030	Quarterly		—			(392,658	)		(392,658	)
0.58%	3 Month SEK STIBOR	SEK	39,500,000		03/18/2030	Quarterly		—			(132,224	)		(132,224	)
0.61%	3 Month SEK STIBOR	SEK	54,900,000		03/18/2030	Quarterly		—			(199,748	)		(199,748	)
0.32%	3 Month SEK STIBOR	SEK	31,800,000		03/18/2030	Quarterly		—			(19,214	)		(19,214	)
3 Month SEK STIBOR	0.58%	SEK	341,321,000		03/18/2030	Quarterly		(20,464	)		1,128,370			1,148,834
0.32%	3 Month SEK STIBOR	SEK	23,300,000		03/18/2030	Quarterly		—			(14,563	)		(14,563	)
0.47%	3 Month SEK STIBOR	SEK	73,700,000		03/18/2030	Quarterly		—			(162,850	)		(162,850	)
(0.03)%	6 Month EURIBOR	EUR	4,690,000		03/20/2030	Semi-Annually		(6,355	)		(79,730	)		(73,375	)
(0.05)%	6 Month EURIBOR	EUR	2,380,000		03/20/2030	Semi-Annually		—			(33,305	)		(33,305	)
(0.05)%	6 Month EURIBOR	EUR	7,020,000		03/20/2030	Semi-Annually		256			(98,634	)		(98,890	)
6 Month EURIBOR	(0.15)%	EUR	2,330,000		03/20/2030	Semi-Annually		—			6,834			6,834
6 Month EURIBOR	(0.11)%	EUR	2,250,000		03/20/2030	Semi-Annually		—			16,426			16,426
6 Month EURIBOR	(0.13)%	EUR	4,940,000		03/20/2030	Semi-Annually		—			26,538			26,538
0.90%	6 Month GBP LIBOR	GBP	50,780,000		03/20/2030	Semi-Annually		—			(1,699,547	)		(1,699,547	)
0.84%	6 Month GBP LIBOR	GBP	820,000		03/20/2030	Semi-Annually		(5,005	)		(21,153	)		(16,148	)
6 Month GBP LIBOR	0.62%	GBP	2,130,000		03/20/2030	Semi-Annually		—			(2,918	)		(2,918	)
6 Month GBP LIBOR	0.62%	GBP	2,130,000		03/20/2030	Semi-Annually		—			(3,453	)		(3,453	)
6 Month GBP LIBOR	0.68%	GBP	1,990,000		03/20/2030	Semi-Annually		—			12,541			12,541
6 Month GBP LIBOR	0.75%	GBP	2,260,000		03/20/2030	Semi-Annually		—			34,282			34,282
6 Month GBP LIBOR	0.76%	GBP	6,640,000		03/20/2030	Semi-Annually		16,758			106,569			89,811
6 Month GBP LIBOR	0.80%	GBP	2,080,000		03/20/2030	Semi-Annually		—			43,455			43,455
6 Month GBP LIBOR	0.79%	GBP	2,080,000		03/20/2030	Semi-Annually		—			41,885			41,885
6 Month GBP LIBOR	0.81%	GBP	3,140,000		03/20/2030	Semi-Annually		—			70,734			70,734
1.60%	3 Month USD LIBOR	USD	57,300,000		03/20/2030	Quarterly		(87,504	)		(2,799,638	)		(2,712,134	)
3 Month NZD Bank Bill Rate	1.32%	NZD	5,030,000		06/17/2030	Quarterly		—			34,742			34,742
3 Month NZD Bank Bill Rate	1.45%	NZD	26,690,000		06/17/2030	Quarterly		—			395,628			395,628
1.30%	3 Month USD LIBOR	USD	4,334,000		06/19/2030	Quarterly		—			(88,931	)		(88,931	)
1.32%	3 Month USD LIBOR	USD	2,166,000		06/19/2030	Quarterly		—			(48,284	)		(48,284	)
							$	(122,504	)	$	857,533		$	980,037

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 iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.25%	GS	USD	14,545,800		03/03/2020	At Maturity		—		1,249,162		1,249,162
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS	USD	10,422,820		03/12/2020	At Maturity		—		1,258,355		1,258,355
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.20%	GS	USD	20,077,460		03/26/2020	At Maturity		—		1,733,066		1,733,066
								$	—	$	4,240,583	$	4,240,583

As of February 29, 2020, 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. 13

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 56.

14 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Emerging Country Debt Fund

(A series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned +8.97% (net) for the fiscal year ended February 29, 2020, as compared with +9.89% for the J.P. Morgan EMBI Global (EMBIG).

EMBIG spreads over U.S. Treasuries tightened 7 basis points to 354 basis points during the fiscal year, while the yield on the 10-Year U.S. Treasury bond fell by 157 basis points to 1.15%.

Country selection subtracted from the Fund’s relative performance. Negative alpha from country selection was driven by losses from its overweight in Venezuela, which had the second-worst return in the EMBIG during the fiscal year, and its overweight in Argentina. Negative alpha also came from the Fund’s underweights in China and in Qatar, and its overweight in Ecuador. Partly offsetting these losses, the Fund’s underweight in Lebanon, which had the worst return in the index during the fiscal year, provided a strong contribution to performance. The overweight in Ukraine, which was the EMBIG’s second-best performer also contributed positively to country selection alpha, as did overweights in Tunisia, Mexico, and Pakistan.

Security selection was additive to the Fund’s relative performance during the year. Gains from the choice of holdings in Argentina, Venezuela, and the Philippines drove positive alpha, followed by smaller contributions from security selection in Costa Rica and Angola. Negative alpha from security selection in Mexico, Tunisia, and South Africa only partly offsets these gains. The Fund had positive alpha from holdings in off-benchmark countries, which we consider security selection. The most notable country in this category was Congo, followed by Albania, the Bahamas, and Greece.

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

16

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Country Debt Fund Class III Shares, the J.P. Morgan EMBI Global, and the

J.P. Morgan EMBI Global Diversified

As of February 29, 2020

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

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

As of March 1, 2020, the Emerging Country Debt Fund changed its benchmark so that the Fund now seeks total return in excess of that of the J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBIGD). The Fund formerly sought to outperform the J.P. Morgan Emerging Markets Bond Index Global (EMBIG).

17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		94.9
Loan Participations		1.1
Short-Term Investments		1.0
Swap Contracts		0.6
Rights/Warrants		0.4
Loan Assignments		0.3
Forward Currency Contracts		0.1
Written Options/Credit Linked Options		(0.0	)^
Other		1.6
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		11.4	%*
Mexico		8.5
Turkey		6.1
Indonesia		4.9
Oman		3.9
Chile		3.6
Argentina		3.6
Russia		3.4
South Africa		3.3
Ukraine		3.2
Tunisia		3.0
Saudi Arabia		3.0
Bahrain		3.0
Dominican Republic		2.5
Ecuador		2.4
Philippines		2.3
Pakistan		2.3
Brazil		2.3
Kazakhstan		2.1
Egypt		2.1
Colombia		2.0
United States		1.9
Costa Rica		1.9
United Arab Emirates		1.7
Venezuela		1.6
Israel		1.6
Uruguay		1.5
Sri Lanka		1.5
Kenya		1.5
Ivory Coast		1.3
Panama		1.2
Romania		1.1
India		1.1
Ghana		1.1
Azerbaijan		1.1
Jordan		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. 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%.

18

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.0%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		43,828,157
		Angola — 0.3%
		Foreign Government Obligations
	12,700,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		12,922,250
		Argentina — 2.8%
		Foreign Government Obligations
	5,400,000	Republic of Argentina, 7.50%, due 04/22/26		2,343,938
	23,100,000	Republic of Argentina, 6.88%, due 01/26/27		9,853,594
EUR	12,000,000	Republic of Argentina, Reg S, 5.25%, due 01/15/28		5,162,347
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		982,724
	27,500,000	Republic of Argentina, 7.63%, due 04/22/46		11,120,312
	7,600,000	Republic of Argentina, 7.13%, due 06/28/2117		3,047,125
EUR	17,641,371	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		9,877,575
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		21,073,836
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		6,215,753
EUR	36,050,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		15,262,304
EUR	80,830,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38		34,967,904
		Total Argentina		119,907,412
		Armenia — 0.2%
		Foreign Government Agency — 0.1%
	7,600,000	Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.50%, due 01/28/25		7,657,000
		Foreign Government Obligations — 0.1%
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,573,638
		Total Armenia		10,230,638
		Azerbaijan — 1.0%
		Foreign Government Agency — 0.5%
	10,900,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,559,375
	7,450,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		8,856,187
				19,415,562

Par Value†		Description	Value ($)
		Azerbaijan — continued
		Foreign Government Obligations — 0.5%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,126,917
		Total Azerbaijan		41,542,479
		Bahrain — 1.7%
		Foreign Government Obligations
	19,500,000	Bahrain Government International Bond, 144A, 5.63%, due 09/30/31		20,182,500
	18,700,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		18,700,000
	30,050,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		35,083,375
		Total Bahrain		73,965,875
		Barbados — 0.2%
		Foreign Government Obligations
	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		8,048,875
		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		3,960,156
		Belize — 0.5%
		Foreign Government Obligations
	35,228,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		22,259,693
		Bermuda — 0.1%
		Foreign Government Obligations
	4,300,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		5,006,813
		Brazil — 2.0%
		Corporate Debt — 0.4%
	18,735,140	MV24 Capital BV, 144A, 6.75%, due 06/01/34		19,449,417
		Foreign Government Agency — 0.6%
	5,300,000	Centrais Eletricas Brasileiras SA, 144A, 4.63%, due 02/04/30		5,359,625
	17,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/15		20,169,917
				25,529,542
		Foreign Government Obligations — 1.0%
	19,897,000	Republic of Brazil, 7.13%, due 01/20/37		26,742,812
	15,000,000	Republic of Brazil, 4.75%, due 01/14/50		15,857,812
				42,600,624
		Total Brazil		87,579,583

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Cameroon — 0.1%
		Foreign Government Obligations — 0.1%
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		5,042,813
		Chile — 2.1%
		Corporate Debt — 0.7%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		29,902,115
		Foreign Government Agency — 1.4%
	5,300,000	Banco del Estado de Chile, 144A, 2.70%, due 01/09/25		5,359,625
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		9,622,250
	38,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		39,147,469
	4,300,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		4,875,125
	3,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		3,714,187
				62,718,656
		Total Chile		92,620,771
		Colombia — 1.8%
		Foreign Government Agency — 1.3%
	40,011,000	Ecopetrol SA, 7.38%, due 09/18/43		54,439,967
		Foreign Government Obligations — 0.5%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		788,693
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		6,156,000
	7,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		10,044,937
	4,600,000	Colombia Government International Bond, 5.20%, due 05/15/49		5,794,563
				22,784,193
		Total Colombia		77,224,160
		Congo Republic (Brazzaville) — 1.4%
		Foreign Government Obligations
	69,470,603	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		60,352,586
		Costa Rica — 1.8%
		Foreign Government Agency — 0.2%
	10,800,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		9,466,875
		Foreign Government Obligations — 1.6%
	26,400,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		30,941,098

Par Value†		Description	Value ($)
		Costa Rica — continued
		Foreign Government Obligations — continued
	34,431,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		35,743,682
				66,684,780
		Total Costa Rica		76,151,655
		Dominican Republic — 2.8%
		Asset-Backed Securities — 0.4%
	16,341,504	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		17,505,836
		Foreign Government Obligations — 2.4%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		21,417,851
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		27,703,296
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		33,118,158
	11,900,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		12,591,687
	7,600,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		7,524,000
				102,354,992
		Total Dominican Republic		119,860,828
		Ecuador — 2.1%
		Foreign Government Obligations
	10,700,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		7,918,000
	34,000,000	Ecuador Government International Bond, Reg S, 8.88%, due 10/23/27		24,618,125
	36,000,000	Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29		27,405,000
	28,900,000	Ecuador Government International Bond, 144A, 9.50%, due 03/27/30		20,970,562
	20,600,000	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		12,048,940
		Total Ecuador		92,960,627
		Egypt — 1.4%
		Foreign Government Obligations
	24,000,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		24,315,000
	27,200,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		29,248,500
	5,300,000	Egypt Government International Bond, Reg S , 8.15%, due 11/20/59		5,392,750
		Total Egypt		58,956,250
		El Salvador — 0.8%
		Foreign Government Obligations
	26,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		29,395,156

20 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		El Salvador — continued
		Foreign Government Obligations — continued
	5,300,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		5,543,469
		Total El Salvador		34,938,625
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,436,163
		Gabon — 0.5%
		Foreign Government Obligations
	5,879,378	Gabonese Republic, Reg S, 6.38%, due 12/12/24		6,154,974
	15,800,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		15,799,368
		Total Gabon		21,954,342
		Ghana — 1.2%
		Foreign Government Agency — 0.3%
	12,897,659	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		14,057,694
		Foreign Government Obligations — 0.9%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		22,114,730
	3,800,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		3,845,125
	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		14,157,000
				40,116,855
		Total Ghana		54,174,549
		Greece — 0.2%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.65%, due 02/24/36		8,100,828
		Grenada — 0.3%
		Foreign Government Obligations
	12,076,313	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		11,714,024
		Guatemala — 0.6%
		Foreign Government Obligations
	17,765,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		24,227,019
		Honduras — 0.2%
		Foreign Government Obligations
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		7,412,367

Par Value†		Description	Value ($)
		India — 0.8%
		Corporate Debt — 0.1%
	5,200,000	Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29		5,526,612
		Foreign Government Agency — 0.5%
	7,500,000	Indian Railway Finance Corp., Ltd.		7,493,437
	15,000,000	Power Finance Corp., Ltd.		15,019,350
				22,512,787
		Foreign Government Obligations — 0.2%
	7,500,000	Export-Import Bank of India, 144A, 3.25%, due 01/15/30		7,621,875
		Total India		35,661,274
		Indonesia — 3.8%
		Foreign Government Agency — 1.4%
	18,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		24,245,680
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,800,717
	6,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		7,914,750
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		18,825,224
				60,786,371
		Foreign Government Obligations — 2.4%
	12,200,000	Indonesia Government International Bond, 4.75%, due 02/11/29		14,097,466
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		60,596,719
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		10,119,406
	16,500,000	Indonesia Government International Bond, 4.35%, due 01/11/48		18,670,781
				103,484,372
		Total Indonesia		164,270,743
		Israel — 1.1%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		28,856,851
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,621,890
		Total Israel		46,478,741
		Ivory Coast — 0.7%
		Foreign Government Obligations
EUR	28,300,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		31,241,789

See accompanying notes to the financial statements. 21

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Jamaica — 1.1%
		Corporate Debt — 0.1%
	5,300,000	TransJamaican Highway Ltd, 144A, 5.75%, due 10/10/36		5,459,000
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		13,680,000
		Foreign Government Obligations — 0.7%
	20,675,000	Jamaica Government International Bond, 7.88%, due 07/28/45		28,046,930
		Total Jamaica		47,185,930
		Jordan — 0.7%
		Foreign Government Obligations
	26,750,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		28,747,891
		Kazakhstan — 1.5%
		Foreign Government Agency — 0.7%
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,529,688
	14,700,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		19,406,296
				31,935,984
		Foreign Government Obligations — 0.8%
	21,299,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		32,427,727
		Total Kazakhstan		64,363,711
		Kenya — 0.9%
		Foreign Government Obligations
	35,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		37,789,500
		Lebanon — 0.2%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27		3,900,000
	6,000,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31		1,379,997
	22,500,000	Lebanon Government International Bond, 8.25%, due 05/17/34		5,271,975
		Total Lebanon		10,551,972
		Malaysia — 0.2%
		Foreign Government Agency
	7,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		7,489,454

Par Value†		Description	Value ($)
		Mexico — 6.7%
		Foreign Government Agency — 4.4%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		25,812,219
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,739,200
	131,800,000	Petroleos Mexicanos, 144A, 7.69%, due 01/23/50		137,053,548
	22,986,000	Petroleos Mexicanos, 144A, 6.95%, due 01/28/60		22,066,560
				190,671,527
		Foreign Government Obligations — 2.3%
	19,578,000	United Mexican States, 5.75%, due 10/12/2110		24,735,579
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		75,741,161
				100,476,740
		Total Mexico		291,148,267
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		19,099,219
		Mozambique — 0.1%
		Foreign Government Obligations
	5,876,000	Mozambique International Bond, Reg S, 5.00%, due 09/15/31		5,514,259
		Nigeria — 0.4%
		Foreign Government Obligations
	7,200,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		6,894,000
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		10,021,016
		Total Nigeria		16,915,016
		Oman — 2.5%
		Foreign Government Obligations
	33,800,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		34,095,750
	15,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		13,992,188
	64,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		61,208,812
		Total Oman		109,296,750
		Pakistan — 1.0%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		43,312,082

22 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Panama — 1.1%
		Foreign Government Agency — 0.4%
	12,900,000	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		16,383,000
		Foreign Government Obligations — 0.7%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,040,361
	11,500,000	Panama Government International Bond, 4.30%, due 04/29/53		14,155,781
	4,200,000	Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26		4,500,300
				29,696,442
		Total Panama		46,079,442
		Papua New Guinea — 0.0%
		Foreign Government Obligations
	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,514,188
		Peru — 1.1%
		Foreign Government Agency — 1.0%
	10,543,089	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		9,891,210
	27,395,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		33,113,706
				43,004,916
		Foreign Government Obligations — 0.1%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (c)		5,031,265
		Total Peru		48,036,181
		Philippines — 2.5%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		14,447,469
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		31,600,625
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		62,637,266
		Total Philippines		108,685,360
		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		14,602,500
		Romania — 0.5%
		Foreign Government Obligations
	4,500,000	Romanian Government International Bond, Reg S, 5.13%, due 06/15/48		5,356,406

Par Value†		Description	Value ($)
		Romania — continued
		Foreign Government Obligations — continued
EUR	12,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		14,741,100
		Total Romania		20,097,506
		Russia — 2.6%
		Foreign Government Agency — 0.4%
	11,867,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		17,633,620
		Foreign Government Obligations — 2.2%
	49,600,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		59,693,600
	8,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		10,590,800
	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		26,910,000
				97,194,400
		Total Russia		114,828,020
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,871,086
		Saudi Arabia — 2.1%
		Corporate Debt — 0.4%
	17,900,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		19,712,375
		Foreign Government Obligations — 1.7%
	22,700,000	Saudi Government International Bond, 144A, 3.75%, due 01/21/55		22,983,750
	21,000,000	Saudi Government International Bond, Reg S, 5.00%, due 04/17/49		25,961,250
	18,600,000	Saudi Government International Bond, Reg S, 5.25%, due 01/16/50		23,895,187
				72,840,187
		Total Saudi Arabia		92,552,562
		Senegal — 0.4%
		Foreign Government Obligations
	17,400,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		17,432,625
		South Africa — 2.8%
		Foreign Government Agency — 0.5%
	9,100,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		9,129,860
	8,500,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		8,962,187

See accompanying notes to the financial statements. 23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		South Africa — continued
		Foreign Government Agency — continued
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,638,777
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,144,853
				21,875,677
		Foreign Government Obligations — 2.3%
	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		13,156,281
	89,200,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		84,954,972
				98,111,253
		Total South Africa		119,986,930
		Sri Lanka — 1.1%
		Foreign Government Obligations
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		8,989,350
	10,844,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		9,880,565
	6,400,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		5,864,096
	26,800,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		25,160,242
		Total Sri Lanka		49,894,253
		SupraNational — 0.3%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		14,123,890
		Suriname — 0.6%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, 144A, 9.88%, due 12/30/23		13,300,000
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26		14,155,750
		Total Suriname		27,455,750
		Tajikistan — 0.2%
		Foreign Government Obligations
	10,770,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		9,003,047
		Thailand — 0.1%
		Foreign Government Agency
	3,800,000	PTTEP Treasury Center Co Ltd, 144A, 3.90%, due 12/06/59		4,313,000

Par Value†		Description	Value ($)
		Trinidad And Tobago — 0.8%
		Foreign Government Agency
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		10,290,000
	4,792,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		5,094,495
	4,900,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		5,546,800
	11,361,000	Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26		12,860,652
		Total Trinidad And Tobago		33,791,947
		Tunisia — 1.7%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(c)		55,729,151
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31(c)		18,628,546
		Total Tunisia		74,357,697
		Turkey — 5.3%
		Corporate Debt — 0.0%
	1,600,000	Turkiye Sinai Kalkinma Bankasi AS, 144A, 6.00%, due 01/23/25		1,554,000
		Foreign Government Agency — 1.3%
	12,400,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		12,264,375
	14,750,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		14,643,985
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,801,681
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,821,875
	11,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		11,028,500
				56,560,416
		Foreign Government Obligations — 4.0%
	24,100,000	Republic of Turkey, 7.63%, due 04/26/29		25,734,281
	16,544,000	Republic of Turkey, 6.75%, due 05/30/40		16,011,490
	59,402,000	Republic of Turkey, 6.00%, due 01/14/41		52,997,722
	29,600,000	Republic of Turkey, 6.63%, due 02/17/45		27,888,750
	57,813,000	Republic of Turkey, 5.75%, due 05/11/47		49,285,582
				171,917,825
		Total Turkey		230,032,241

24 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Ukraine — 2.7%
		Foreign Government Agency — 0.6%
	8,000,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		8,354,000
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,504,392
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,506,324
	5,100,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		5,418,750
				26,783,466
		Foreign Government Obligations — 2.1%
	3,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		3,177,498
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		7,118,385
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,301,847
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		7,167,772
EUR	3,700,000	Ukraine Government International Bond, 144A, 6.75%, due 06/20/26		4,595,193
	11,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		12,065,805
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,226,883
	35,900,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28		43,248,281
				90,901,664
		Total Ukraine		117,685,130
		United Arab Emirates — 0.9%
		Corporate Debt — 0.3%
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		13,720,000
		Foreign Government Obligations — 0.6%
	26,300,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		26,801,344
		Total United Arab Emirates		40,521,344
		United States — 13.3%
		Asset-Backed Securities — 0.4%
	2,353,107	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 1.90%, due 12/15/35		2,282,561
	1,164,880	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 1.90%, due 12/15/35		1,137,325

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,704,321	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 1.86%, due 05/15/36		1,628,376
	9,510,340	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 1.78%, due 11/25/36		4,634,954
	9,637,144	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 1.85%, due 11/25/36		4,755,721
	5,146,903	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 1.99%, due 04/25/37		2,742,461
				17,181,398
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		570,395
	1,515,843	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 6.94%, due 02/12/23		1,534,791
				2,105,186
		U.S. Government — 12.9%
	10,000,000	U.S. Treasury Bond, 3.00%, due 02/15/47		12,903,125
	79,478,700	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (d)		80,011,264
	25,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		25,028,320
	40,000,000	U.S. Treasury Note, 1.75%, due 10/31/20		40,142,188
	17,500,000	U.S. Treasury Note, 1.75%, due 12/31/20		17,586,133
	38,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		38,092,031
	15,000,000	U.S. Treasury Note, 1.13%, due 02/28/21		15,007,031
	51,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		51,101,602
	43,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		43,191,484
	35,000,000	U.S. Treasury Note, 1.13%, due 06/30/21		35,050,586
	25,500,000	U.S. Treasury Note, 2.25%, due 08/15/49		28,985,332
	7,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20 (e)		7,000,421
	87,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.56%, due 10/31/20		87,508,230
	78,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 1.81%, due 10/31/21		78,282,415
				559,890,162
		Total United States		579,176,746
		Uruguay — 1.2%
		Foreign Government Obligations
	42,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		53,221,066

See accompanying notes to the financial statements. 25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Uzbekistan — 0.2%
		Foreign Government Obligations
	7,200,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		7,929,000
		Venezuela — 1.8%
		Foreign Government Agency — 0.7%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (f)		5,015,925
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (f)		17,864,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (f)		6,289,650
				29,169,575
		Foreign Government Obligations — 1.1%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (f)		2,949,340
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (f)		5,673,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (f)		3,681,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (f)		26,782,915
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (f)		10,648,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (f)		1,085,000
				50,820,005
		Total Venezuela		79,989,580
		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		19,730,961
		Foreign Government Obligations — 0.1%
	6,498,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 2.85%, due 03/13/28 (c)		5,864,445
		Total Vietnam		25,595,406
		Zambia — 0.3%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		2,378,250
	17,900,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		11,730,094
		Total Zambia		14,108,344
		TOTAL DEBT OBLIGATIONS (COST $4,157,685,146)		4,089,330,977

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.3%
		Chad — 0.2%
	5,772,255	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.89%, due 09/30/25 (c)		4,914,498
	2,974,007	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 4.14%, due 12/31/27 (c)		2,246,863
		Total Chad		7,161,361
		Indonesia — 0.0%
EUR	289,697	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (b)		307,911
		Kenya — 0.1%
	6,691,667	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (b)		6,933,242
		TOTAL LOAN ASSIGNMENTS (COST $13,997,699)		14,402,514
		LOAN PARTICIPATIONS — 1.1%
		Angola — 0.8%
	13,900,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.55%, due 12/13/23 (c)		13,761,000
	5,074,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 8.55%, due 12/20/23 (c)		5,023,755
	15,833,333	Republic of Angola Loan agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		14,645,833
		Total Angola		33,430,588
		Egypt — 0.0%
CHF	27,358	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		27,377
		Iraq — 0.3%
EUR	895,375	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		740,697
JPY	128,758,461	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		633,270
JPY	2,318,433,288	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		11,425,828
JPY	302,926,475	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,492,966
		Total Iraq		14,292,761

26 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (f)		3
		TOTAL LOAN PARTICIPATIONS (COST $69,199,030)		47,750,729
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	14,838,144	GMO U.S. Treasury Fund		74,487,484
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,487,484
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (d)		2,781,335
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (d)		451,665
		Total Argentina		3,233,000
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (d)		550,667
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (d)		14,310,569
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (b) (d)		—
		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants Expires 04/15/20 (c) (d) (f)		1,080,062
		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		19,174,298

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds
	4,182,862	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (g)		4,182,862
		TOTAL SHORT-TERM INVESTMENTS (COST $4,182,862)		4,182,862
		TOTAL INVESTMENTS — 97.6% (Cost $4,374,876,432)		4,249,328,864
		Other Assets and Liabilities (net) — 2.4%		103,713,634
		TOTAL NET ASSETS — 100.0%		$4,353,042,498

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
04/17/2020	MSCI	EUR	12,861,600	USD	14,334,329		97,227
04/17/2020	MSCI	GBP	57,311,000	USD	74,763,059		1,193,719
04/16/2020	MSCI	TRY	106,000,000	USD	17,558,969		901,808
04/17/2020	BOA	USD	13,718,864	JPY	1,500,000,000		221,131
						$	2,413,885

Reverse Repurchase Agreements

Average balance outstanding	$	(24,440,856	)
Average interest rate (net)		(1.96	)%
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. The Fund had no reverse repurchase agreements at the end of the year.

See accompanying notes to the financial statements. 27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

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	)		(3,000	)
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)		(644,688	)		113,306
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	)		(57,500	)
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)		(51,004	)		96,921
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)		(939,762	)		477,153
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)		(3,268,222	)		409,289
					$	(6,212,481	)	$	1,036,169

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%

2.33%

N/A

06/20/2024

Quarterly

$

6,218,750

$

10,514,165

$

4,295,415

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%		0.73%		N/A		12/20/2020		Quarterly		7,730,397			(131,755	)		(7,862,152	)
Commonwealth of Bahamas	DB	EUR	44,558,436		1.00%		1.72%		N/A		06/20/2025		Quarterly		6,171,081			1,141,937			(5,029,144	)
Petrobras Global Finance BV	CITI	USD	53,000,000		1.00%		1.50%		N/A		06/20/2024		Quarterly		2,755,224			1,083,247			(1,671,977	)
Republic of Argentina	BOA	USD	2,500,000		5.00%		49.51%		N/A		06/20/2024		Quarterly		359,815			1,567,259			1,207,444
Republic of Argentina	CITI	USD	10,000,000		5.00%		49.51%		N/A		06/20/2024		Quarterly		1,476,727			6,269,035			4,792,308
Republic of Eucador	CSI	USD	7,500,000		5.00%		16.47%		N/A		12/20/2020		Quarterly		487,500			642,386			154,886
Republic of Lebanon	BOA	USD	7,500,000		1.00%		193.51%		N/A		12/20/2024		Quarterly		3,450,000			5,756,826			2,306,826
Republic of Lebanon	BOA	USD	3,750,000		1.00%		193.51%		N/A		12/20/2024		Quarterly		1,725,000			2,878,413			1,153,413
Republic of Lebanon	BOA	USD	3,750,000		1.00%		193.51%		N/A		12/20/2024		Quarterly		1,715,625			2,878,413			1,162,788
Republic of South Africa	GS	USD	7,400,000		1.00%		1.29%		N/A		12/20/2021		Quarterly		13,728			38,727			24,999
Republic of South Africa	GS	USD	15,000,000		1.00%		1.29%		N/A		12/20/2021		Quarterly		(13,866	)		78,500			92,366
Republic of South Africa	BCLY	USD	19,000,000		1.00%		2.19%		N/A		12/20/2024		Quarterly		768,102			997,608			229,506
Republic of South Africa	GS	USD	19,000,000		1.00%		2.19%		N/A		12/20/2024		Quarterly		774,755			997,608			222,853
Republic of Turkey	GS	USD	19,000,000		1.00%		3.80%		N/A		12/20/2024		Quarterly		1,209,115			2,241,192			1,032,077
United States of Mexico	GS	USD	20,000,000		1.00%		1.78%		N/A		06/20/2029		Quarterly		1,589,641			1,253,490			(336,151	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.92%		N/A		09/20/2031		Quarterly		2,640,655			1,745,752			(894,903	)

28 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

OTC Credit Default Swaps — (Continued)

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) ($)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		0.73%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		140,055			7,655,419
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		1.63%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(67,580	)		573,883
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		1.63%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(135,180	)		1,128,735
Commonwealth of Bahamas	DB	USD	59,796,571		1.00%		1.72%		59,796,571 USD		06/20/2025		Quarterly		(6,983,424	)		(1,338,263	)		5,645,161
Republic of Brazil	JPM	USD	10,000,000		1.00%		2.23%		10,000,000 USD		03/20/2030		Quarterly		(1,418,590	)		(1,026,326	)		392,264
Republic of Malaysia	CITI	USD	17,200,000		1.00%		0.99%		17,200,000 USD		12/20/2028		Quarterly		(845,599	)		19,659			865,258
Russia	GS	USD	2,436,000		1.00%		1.08%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		(10,954	)		227,087
Russia	GS	USD	8,487,000		1.00%		1.21%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(114,326	)		945,337
														$	12,887,440		$	26,905,723		$	14,018,283

^ 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 February 29, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

OTC Cross-Currency Basis Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

3 Month EURIBOR plus a spread of (0.35)%

3 Month USD LIBOR

JPM

EUR

122,436,000

09/11/2020

Quarterly

$

—

$

590,334

$

590,334

OTC Cross-Currency Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.22)%	3 Month USD LIBOR	GS		JPY	14,852,761,000	04/28/2025	Quarterly	$	—	$	(5,756,010	)	$	(5,756,010	)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.74%	6 Month GBP LIBOR	GBP	28,500,000		12/15/2049	Semi-Annual		(196,553	)		(225,692	)		(29,139	)
0.53%	6 Month EURIBOR	EUR	30,000,000		01/24/2050	Semi-Annual		(29,167	)		(4,010,647	)		(3,981,480	)
							$	(225,720	)	$	(4,236,339	)	$	(4,010,619	)

See accompanying notes to the financial statements. 29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

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 (0.05)%

JPM

USD

8,999,999

04/22/2020

Monthly

$

—

$

71,694

$

71,694

As of February 29, 2020, 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) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(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) Security is in default.

(g) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 56.

30 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO High Yield Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO High Yield Fund returned +6.40% (net) for the fiscal year ended February 29, 2020, as compared with +5.54% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products as well as cash high yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model’s alpha signals as well as other factors. Absolute performance was driven by high yield-based ETFs and credit default swaps, which were top contributors for the period. BB-rated and short-dated B–CCC bonds also contributed positively during the period, as did fallen angel bonds (bonds originally issued as investment grade that have since been downgraded to below investment grade).

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

32

GMO High Yield Fund

(A Series of GMO Trust)

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

GMO High Yield Fund Class VI Shares and the Markit iBoxx USD Liquid High Yield Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

33

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Investment Funds		39.0	%
Short-Term Investments		30.9
Debt Obligations		29.8
Swap Contracts		0.4
Mutual Funds		0.2
Futures Contracts		0.0	^
Forward Currency Contracts		(0.4	)
Reverse Repurchase Agreements		(0.4	)
Other		0.5
		100.0	%
Industry Group Summary¤	% of Investments
Communications		22.8	%
Consumer Cyclical		16.3
Consumer Non-Cyclical		13.2
Energy		9.8
Capital Goods		7.1
Technology		6.7
Basic Industry		5.9
Finance Companies		4.8
Electric		2.6
Insurance		2.1
Industrial Other		1.9
REITS		1.8
Banking		1.2
Transportation		1.1
Brokerage – Asset Management		0.1
		97.4	%

& 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%.

34

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 29.8%
		Australia — 0.3%
		Corporate Debt — 0.3%
	500,000	Virgin Australia Holdings Ltd, 144A, 7.88%, due 10/15/21		463,750
		Canada — 0.8%
		Corporate Debt — 0.8%
	404,000	Quebecor Media, Inc., 5.75%, due 01/15/23		428,442
	375,000	Taseko Mines Ltd, 144A, 8.75%, due 06/15/22		337,500
	500,000	Tervita Corp., 144A, 7.63%, due 12/01/21		505,000
		Total Canada		1,270,942
		Finland — 0.2%
		Corporate Debt — 0.2%
	375,000	Nokia Oyj, 4.38%, due 06/12/27		395,561
		Italy — 1.8%
		Corporate Debt — 1.8%
	1,375,000	Intesa Sanpaolo SpA, 144A, 5.02%, due 06/26/24		1,447,719
	1,375,000	Telecom Italia SpA, 144A, 5.30%, due 05/30/24		1,467,812
		Total Italy		2,915,531
		Luxembourg — 0.3%
		Corporate Debt — 0.3%
	375,000	Intelsat Jackson Holdings SA, 144A, 9.50%, due 09/30/22		424,688
		New Zealand — 0.4%
		Corporate Debt — 0.4%
	750,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		693,282
		United States — 26.0%
		Corporate Debt — 24.1%
	375,000	Acadia Healthcare Co., Inc., 6.13%, due 03/15/21		375,938
	750,000	ADT Security Corp. (The), 4.13%, due 06/15/23		764,531
	875,000	Alcoa Nederland Holding BV, 144A, 6.13%, due 05/15/28		898,012
	750,000	Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144A, 10.00%, due 04/01/22		639,165
	750,000	Brinker International, Inc., 144A, 5.00%, due 10/01/24		782,250
	250,000	Cablevision Systems Corp., 5.88%, due 09/15/22		262,538

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	375,000	CDK Global, Inc., 144A, 5.25%, due 05/15/29		399,844
	625,000	CEC Entertainment, Inc., 8.00%, due 02/15/22		606,250
	1,250,000	Century Aluminum Co., 144A, 7.50%, due 06/01/21		1,240,625
	625,000	CF Industries, Inc., 4.95%, due 06/01/43		663,000
	750,000	Clean Harbors, Inc., 144A, 4.88%, due 07/15/27		783,525
	875,000	CSC Holdings LLC, 6.75%, due 11/15/21		925,767
	825,000	Denbury Resources, Inc., 144A, 9.00%, due 05/15/21		721,875
	375,000	Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.38%, due 08/15/26		345,758
	625,000	DISH DBS Corp., 5.88%, due 07/15/22		652,156
	1,125,000	DPL, Inc., 7.25%, due 10/15/21		1,164,375
	250,000	Edgewell Personal Care Co., 4.70%, due 05/24/22		255,970
	750,000	EnLink Midstream Partners LP, 4.40%, due 04/01/24		684,548
	1,000,000	EnLink Midstream Partners LP, 4.15%, due 06/01/25		845,200
	1,375,000	EQM Midstream Partners LP, 4.75%, due 07/15/23		1,265,000
	875,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21 (a)		752,500
	875,000	Fidelity & Guaranty Life Holdings, Inc., 144A, 5.50%, due 05/01/25		971,250
	750,000	Fortress Transportation & Infrastructure Investors LLC, 144A, 6.75%, due 03/15/22		751,515
	375,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		378,750
	1,125,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26		1,106,775
	1,000,000	Graphic Packaging International LLC, 144A, 4.75%, due 07/15/27		1,090,000
	250,000	HC2 Holdings, Inc., 144A, 11.50%, due 12/01/21		252,500
	750,000	Hecla Mining Co., 6.88%, due 05/01/21		751,650
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		224,219
	375,000	Hughes Satellite Systems Corp., 5.25%, due 08/01/26		411,094
	875,000	Lee Enterprises, Inc., 144A, 9.50%, due 03/15/22		876,094
	1,000,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		1,030,529
	250,000	Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc., 144A, 7.88%, due 10/01/22		240,157
	750,000	Navient Corp., 5.50%, due 01/25/23		766,875
	1,595,000	Netflix, Inc., 5.88%, due 02/15/25		1,792,381

See accompanying notes to the financial statements. 35

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	500,000	Nielsen Finance LLC / Nielsen Finance Co., 144A, 5.00%, due 04/15/22		497,500
	375,000	NuStar Logistics LP, 6.75%, due 02/01/21		382,538
	750,000	NuStar Logistics LP, 5.63%, due 04/28/27		765,150
	202,000	Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 144A, 6.63%, due 05/15/22		200,424
	750,000	Owens-Brockway Glass Container, Inc., 144A, 5.00%, due 01/15/22		772,500
	689,000	Pitney Bowes, Inc., 5.20%, due 04/01/23		689,000
	1,250,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.25%, due 04/15/24		1,293,750
	825,000	Pyxus International, Inc., 144A, 8.50%, due 04/15/21		789,938
	375,000	QEP Resources, Inc., 5.25%, due 05/01/23		331,950
	500,000	RR Donnelley & Sons Co., 7.88%, due 03/15/21		514,375
	1,125,000	Sealed Air Corp., 144A, 5.13%, due 12/01/24		1,206,562
	375,000	Senior Housing Properties Trust, REIT, 4.75%, due 02/15/28		392,810
	375,000	Sensata Technologies BV, 144A, 5.00%, due 10/01/25		394,725
	875,000	TerraForm Power Operating LLC, 144A, 4.25%, due 01/31/23		889,236
	500,000	Trinity Industries, Inc., 4.55%, due 10/01/24		524,183
	875,000	United Airlines Holdings, Inc., 4.88%, due 01/15/25		879,375
	625,000	Urban One, Inc., 144A, 7.38%, due 04/15/22		620,313
	125,000	Vertiv Intermediate Holding Corp., 144A, 12.00%, due 02/15/22		128,750
	1,125,000	Wyndham Destinations, Inc., 5.40%, due 04/01/24		1,206,562
	750,000	Xerox Corp., 4.13%, due 03/15/23		765,015
		Total Corporate Debt		38,917,272
		U.S. Government — 1.9%
	2,900,000	U.S. Treasury Note, 1.13%, due 04/30/20		2,898,497
	150,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.54%, due 04/30/20 (b)		150,002
		Total U.S. Government		3,048,499
		Total United States		41,965,771
		TOTAL DEBT OBLIGATIONS (COST $48,089,311)		48,129,525

	Par Value† / Shares		Description	Value ($)
			INVESTMENT FUNDS — 39.0%
			United States — 39.0%
		730,870	iShares iBoxx $ High Yield Corporate Bond ETF		62,884,055
			TOTAL INVESTMENT FUNDS (COST $63,587,532)		62,884,055
			MUTUAL FUNDS — 0.2%
			United States — 0.2%
			Affiliated Issuers — 0.2%
		76,729	GMO U.S. Treasury Fund		385,180
			TOTAL MUTUAL FUNDS (COST $385,180)		385,180
			SHORT-TERM INVESTMENTS — 30.9%
			Foreign Government Obligations — 22.6%
JPY		1,396,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/06/20		12,944,132
JPY		1,088,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/13/20		10,088,531
JPY		1,450,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		13,447,361
			Total Foreign Government Obligations		36,480,024
			Money Market Funds — 5.4%
		8,784,771	State Street Institutional Treasury Money Market Fund-Premier Class, 1.50% (c)		8,784,771
			U.S. Government — 2.9%
		4,000,000	U.S. Treasury Bill, 1.35%, due 04/07/20 (d)		3,994,389
		677,000	U.S. Treasury Bill, 1.32%, due 04/21/20 (d)		675,729
			Total U.S. Government		4,670,118
			TOTAL SHORT-TERM INVESTMENTS (COST $49,134,529)		49,934,913
			TOTAL INVESTMENTS — 99.9% (Cost $161,196,552)		161,333,673
			Other Assets and Liabilities (net) — 0.1%		115,807
			TOTAL NET ASSETS — 100.0%		$161,449,480

36 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/06/2020	GS	JPY	1,731,000,000		USD	16,005,089		(73,307	)
04/13/2020	JPM	JPY	544,000,000		USD	4,985,676		(68,940	)
04/13/2020	MSCI	JPY	544,000,000		USD	4,986,746		(67,870	)
05/18/2020	GS	JPY	1,450,000,000		USD	13,011,229		(483,540	)
04/06/2020	CITI	USD	3,037,681		JPY	335,000,000		73,968
							$	(619,689	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
18	U.S. Treasury Note 2 Yr. (CBT)		June 2020		3,929,906		18,869
14	U.S. Treasury Note 5 Yr. (CBT)		June 2020		1,718,500		15,409
18	U.S. Treasury Note 10 Yr. (CBT)		June 2020		2,425,500		37,354
				$	8,073,906	$	71,632

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements^(e)

Face Value			Description	Value ($)
USD	(674,715	)	Barclays Bank PLC, 0.75%, dated 10/31/19 (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21), to be repurchased on demand at face value plus accrued interest.		(674,715	)
				$	(674,715	)
			Average balance outstanding	$	(2,566,312	)
			Average interest rate (net)		0.93	%
			Maximum balance outstanding	$	(5,660,174	)

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.NA.HYS.33.V2-5Y

USD

14,826,240

5.00%

3.71%

14,826,240 USD

12/20/2024

Quarterly

$

984,091

$

801,610

$

(182,481

)

^ 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 February 29, 2020, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

See accompanying notes to the financial statements. 37

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

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	28,532,001		03/20/2020	Quarterly		—			4,326			4,326
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	MSCI	USD	1,800,001		06/20/2020	Quarterly		—			(42,061	)		(42,061	)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	GS	USD	779,999		06/20/2020	Quarterly		(2,894	)		(9,119	)		(6,225	)
3 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	JPM	USD	4,900,000		06/20/2020	Quarterly		(17,919	)		(87,900	)		(69,981	)
								$	(20,813	)	$	(134,754	)	$	(113,941	)

As of February 29, 2020, 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 repurchase agreements.

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2020.

(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 56.

38 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Opportunistic Income Fund returned +5.45% (net) for the fiscal year ended February 29, 2020, as compared with +7.69% for the Bloomberg Barclays U.S. Securitized Index.

Absolute performance was driven by sector allocations such as Residential Mortgage-Backed Securities, Commercial Mortgage-Backed Securities, and Student Loans, which were the top contributors of the fiscal year. Securitizations related to corporate debt markets, such as Collateralized Loan Obligations, also outperformed, contributing positively throughout the fiscal year. In asset-backed products, such as Small Balance Commercial Asset-Backed Securities (ABS) and Auto ABS, the Fund added value in less volatile, shorter duration markets. Finally, the Fund’s hedge positions in long interest-rate futures also contributed positively during the fiscal year. The Fund’s hedge positions in synthetic credit products detracted during the fourth quarter of 2019.

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

40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

GMO Opportunistic Income Fund^ Class VI Shares and the Bloomberg Barclays U.S. Securitized Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

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

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

41

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		91.9	%
Short-Term Investments		5.1
Mutual Funds		1.2
Swap Contracts		0.7
Purchased Options		0.2
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.2	)
Other		1.1
		100.0	%
Industry Sector Summary	% of Debt Obligations
Student Loans – Private		19.9	%
Collateralized Loan Obligations		19.8
Commercial Mortgage-Backed Securities		13.5
Residential Mortgage-Backed Securities – Other		13.4
Small Balance Commercial Mortgages		12.2
Student Loans – Federal Family Education Loan Program		7.5
Residential Mortgage-Backed Securities – Prime		4.5
Residential Mortgage-Backed Securities – Subprime		2.8
U.S. Government		2.0
U.S. Government Agency		1.6
Residential Mortgage-Backed Securities – Alt-A		1.4
CMBS Collateralized Debt Obligations		1.0
Time Share		0.3
Auto Retail Subprime		0.1
		100.0	%

& In the table above, 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%.

42

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 91.9%
		Asset-Backed Securities — 88.6%
		Auto Retail Subprime — 0.1%
	678,551	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		683,711
		CMBS Collateralized Debt Obligations — 0.9%
	1,074,646	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		1,080,449
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,722,890
	430,206	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 2.24%, due 01/20/37 (a)		428,055
	2,318,670	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		2,264,413
		Total CMBS Collateralized Debt Obligations		7,495,807
		Collateralized Loan Obligations — 18.2%
	11,666,000	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.35%, due 05/01/27		11,699,773
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 3.73%, due 10/17/26		1,864,465
	514,380	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 2.77%, due 01/25/29		514,382
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 3.59%, due 01/27/28		4,130,187
	1,588,529	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 2.61%, due 04/15/27		1,588,821
	5,510,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.94%, due 01/20/30		5,477,766
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 2.96%, due 04/22/30		4,135,206
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 3.49%, due 07/17/28		1,256,969
	11,360,000	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 2.81%, due 07/17/28		11,326,034
	6,001,964	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 4.69%, due 08/15/23		6,006,976
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.17%, due 07/20/26		1,466,100

Par Value† / Shares		Description	Value ($)
		Collateralized Loan Obligations — continued
	15,030,900	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.95%, due 07/15/31		14,910,668
	8,166,264	Newfleet CLO Ltd., Series 16-1A, Class CR,144A, Variable Rate, 3 mo. LIBOR + 2.00%, 3.82%, due 04/20/28		8,112,987
	6,910,385	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.59%, due 11/15/26		6,914,476
	2,015,360	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.03%, due 06/22/30		2,014,250
	7,880,500	Saratoga Investment Corp. CLO Ltd., Series 13-1A, Class BR2, 3 mo. LIBOR + 2.30%, 4.12%, due 01/20/30		7,887,120
	2,845,600	Shackleton CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.85%, due 04/13/31		2,817,924
	16,974,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 2.86%, due 01/26/31		16,850,480
	6,235,025	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.83%, due 04/15/31		6,162,873
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.92%, due 07/18/31		4,965,403
	2,496,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.81%, due 02/28/26		2,481,129
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 3.69%, due 07/25/26		1,569,984
	1,159,443	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 3.00%, due 07/17/26		1,160,440
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.33%, due 04/15/28		6,682,817
	20,250,000	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.98%, due 04/15/28		20,252,349
	1,918,200	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.78%, due 04/15/29		1,899,935
		Total Collateralized Loan Obligations		154,149,514
		Commercial Mortgage-Backed Securities — 12.4%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		8,033,631
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,710,680
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		7,006,362

See accompanying notes to the financial statements. 43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	250,674	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 1.91%, due 04/15/37		237,686
	198,049	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		198,847
	6,372,761	CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		7,015,225
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		5,598,097
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,210,548
	8,000,000	Jackson Park Trust, Series 19-LIC, Class E, 144A, Variable Rate, 3.24%, due 10/14/39		7,853,490
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		1,369,600
	10,458,682	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		10,634,388
	4,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		4,062,096
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,417,408
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 7.79%, due 07/15/33		1,128,521
	13,314,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38		14,596,315
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 3.90%, due 11/23/43		2,550,366
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.55%, due 03/23/45		8,364,892
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		1,762,065
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		8,477,238
		Total Commercial Mortgage-Backed Securities		105,227,455
		Residential Mortgage-Backed Securities — Other — 12.3%
	1,076,990	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.91%, due 02/25/36		425,973
	20,027,642	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 1.99%, due 02/25/36		2,378,283
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		8,824,087

Par Value† / Shares		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	5,589,469	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,433,942
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,682,330
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,114,306
	535,987	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 1.95%, due 02/25/37		499,591
	2,721,174	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,672,076
	5,413,302	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,355,946
	5,851,021	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		5,996,694
	3,052,937	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,968,413
	1,336,911	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 1.81%, due 06/15/37		1,275,086
	9,820,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 17-DNA3, Class M2, Variable Rate, 1 mo. LIBOR + 2.50%, 4.13%, due 03/25/30		10,135,226
	415,764	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.13%, due 10/25/34		390,181
	7,100,666	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		7,164,768
	5,755,389	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		2,303,835
	30,541,192	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 1.89%, due 06/25/36		2,681,788
	14,070,756	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		10,054,001
	13,197,279	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		6,168,974
	4,070,852	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 1.95%, due 03/25/36		657,043
	547,955	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 02/26/34		522,528
	14,105,301	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 1.83%, due 03/25/36		906,858
	8,045,953	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 1.97%, due 03/25/36		517,197
	21,451,396	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 2.03%, due 03/25/36		1,378,797

44 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	1,007,094	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 2.53%, due 08/25/35		1,223,192
	6,760,866	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		6,509,755
	1,585,944	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,674,144
	2,209,804	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,283,540
	5,066,142	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		4,367,767
	10,620,071	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,381,262
	1,234,002	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,004,121
	823,255	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		810,099
		Total Residential Mortgage-Backed Securities — Other		104,761,803
		Residential Mortgage-Backed Securities — Prime — 4.1%
	1,331,014	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.32%, due 08/25/35		1,340,706
	1,233,728	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		1,270,020
	796,086	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.49%, due 08/25/35		796,988
	5,728,606	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,955,256
	2,323,155	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.85%, due 12/25/36		2,213,692
	1,669,497	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.81%, due 03/25/37		1,597,718
	2,038,719	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.52%, due 09/25/35		2,035,167
	1,591,946	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.13%, due 09/25/35		1,609,991
	1,617,557	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.29%, due 01/25/47		1,624,868
	16,957,146	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		17,635,212
		Total Residential Mortgage-Backed Securities — Prime		35,079,618

Par Value† / Shares		Description	Value ($)
		Residential Mortgage-Backed Securities — Subprime — 2.6%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.69%, due 06/25/35		1,932,577
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.66%, due 05/26/37		2,487,961
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 2.71%, due 08/25/35		1,732,629
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 3.50%, due 08/25/35		3,306,714
	2,651,865	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 1.74%, due 04/25/31 (b)		5,879,980
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 2.03%, due 07/25/36		3,539,074
	1,652,582	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.93%, due 11/20/34		1,713,718
	1,686,400	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,722,211
		Total Residential Mortgage-Backed Securities — Subprime		22,314,864
		Residential Mortgage-Backed Securities — Alt-A — 1.3%
	843,989	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		890,937
	2,100,070	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.33%, due 05/25/36		1,147,771
	2,225,866	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 2.33%, due 10/25/36		1,174,398
	3,161,496	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,271,937
	5,124,322	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.76%, due 07/25/36		3,566,079
	1,161,625	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,232,748
		Total Residential Mortgage-Backed Securities — Alt-A		11,283,870
		Small Balance Commercial Mortgages — 11.2%
	486,644	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 2.47%, due 04/25/34		481,820
	440,729	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 3.43%, due 04/25/34		439,113

See accompanying notes to the financial statements. 45

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	489,817	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 4.48%, due 04/25/34		490,043
	4,895,856	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 1.94%, due 08/25/35		4,695,301
	2,527,854	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.02%, due 01/25/36		2,442,297
	1,402,274	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 2.01%, due 04/25/36		1,343,415
	2,004,074	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 1.86%, due 07/25/36		1,926,259
	4,099,359	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 1.91%, due 07/25/36		3,946,696
	5,589,928	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.88%, due 10/25/36		5,352,093
	2,683,296	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 1.85%, due 03/25/37		2,546,718
	2,189,377	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 1.87%, due 07/25/37		2,082,762
	9,015,128	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.90%, due 07/25/37		8,570,091
	5,805,681	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 1.95%, due 07/25/37		5,439,356
	1,411,746	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 2.48%, due 12/25/37		1,404,332
	12,081,854	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.88%, due 12/25/37		12,085,637
	2,861,394	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 1.83%, due 04/15/35		2,808,210
	2,294,769	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.66%, due 04/16/35		2,116,230
	2,671,299	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 3.63%, due 08/25/45		2,671,296
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 2.03%, due 06/25/37		4,126,503
	1,178,413	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.88%, due 02/25/30		1,170,620

Par Value† / Shares		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	1,068,262	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 1.98%, due 02/25/30		1,056,876
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 2.18%, due 02/25/30		979,795
	805,206	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.52%, 2.15%, due 09/25/30		804,038
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.63%, due 09/25/30		2,426,901
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 2.16%, due 04/25/31		5,349,570
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.63%, due 04/25/31		1,952,549
	2,198,851	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 2.02%, due 09/25/36		2,158,070
	6,230,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 5.33%, due 10/25/37		6,430,972
	177,289	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.43%, due 10/25/46		177,483
	1,172,996	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.89%, due 12/27/49		1,174,528
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 4.27%, due 12/27/49		3,473,838
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 4.42%, due 12/27/49		3,233,609
		Total Small Balance Commercial Mortgages		95,357,021
		Student Loans — Federal Family Education Loan Program — 6.9%
	5,681,150	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 1.98%, due 10/25/24		5,586,023
	10,700,367	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 2.49%, due 01/25/43		9,646,771
	14,932,387	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 1.85%, due 01/25/23		14,754,220

46 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Student Loans — Federal Family Education Loan Program — continued
	4,431,666	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 2.28%, due 03/28/35 (a)		3,990,960
	3,358,183	ECMC Group Student Loan Trust, Series 19-1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.63%, due 07/25/69		3,352,565
	8,213,067	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 2.79%, due 06/15/21		8,073,012
	12,796,695	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 3.44%, due 07/25/22		12,837,629
		Total Student Loans — Federal Family Education Loan Program		58,241,180
		Student Loans — Private — 18.3%
	4,286,205	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 2.59%, due 07/25/34		4,109,957
	240,616	AccessLex Institute, Series 03-A, Class A2, Variable Rate, 3 mo. USBM + 1.20%, due 07/01/38		240,064
	3,754,334	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 2.68%, due 09/27/38		3,714,533
	24,402,675	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 2.43%, due 12/27/41		24,003,579
	3,024,892	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 2.59%, due 04/28/42		2,981,329
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.04%, due 07/28/42		4,625,070
	1,550,716	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.18%, due 10/15/28		1,501,201
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (a)		3,182,693
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38		2,635,224
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		1,156,484
	3,691,307	National Collegiate Student Loan Trust, Series 05-3, Class A51, Variable Rate, 1 mo. LIBOR + 0.38%, 2.01%, due 10/25/33		3,585,196
	2,414,077	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.87%, due 07/25/30		2,406,584
	10,060,741	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 1.94%, due 05/25/32		9,644,694

Par Value† / Shares		Description	Value ($)
		Student Loans — Private — continued
	6,105,316	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 1.98%, due 03/25/33		5,746,883
	10,847,059	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.00%, due 06/25/33		10,426,775
	14,906,500	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 1.93%, due 10/25/33		13,709,475
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 2.17%, due 12/26/33		2,972,402
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		69,188
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		23,500
	7,462,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a)		7,459,761
	3,800,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a)		3,798,860
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.49%, due 09/15/32		1,966,444
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 2.32%, due 09/15/33		8,693,382
	3,307,550	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 2.17%, due 12/15/38		3,278,196
	4,889,603	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 2.18%, due 06/15/39		4,779,550
	15,245,509	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 2.22%, due 06/15/39		14,970,894
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 2.28%, due 12/15/39		2,309,555
	4,437,144	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.13%, due 01/25/36		4,450,260
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 2.68%, due 01/25/46		6,663,217
		Total Student Loans — Private		155,104,950
		Time Share — 0.3%
	233,988	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		234,017
	1,081,056	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		1,097,026

See accompanying notes to the financial statements. 47

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		Time Share — continued
	949,353	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		957,978
		Total Time Share		2,289,021
		Total Asset-Backed Securities		751,988,814
		U.S. Government — 1.9%
	1,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20		1,800,108
	4,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.63%, due 01/31/21 (c)		4,002,496
	10,000,000	U.S. Treasury Note, 1.13%, due 02/28/21		10,004,688
		Total U.S. Government		15,807,292
		U.S. Government Agency — 1.4%
	4,937,500	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – 0.02%, 1.71%, due 02/01/25 (b)		4,768,534
	5,250,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 1.86%, due 10/29/26 (b)		5,050,809
	2,467,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 1.72%, due 07/01/23 (b)		2,409,459
		Total U.S. Government Agency		12,228,802
		TOTAL DEBT OBLIGATIONS (COST $782,779,793)		780,024,908

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,043,048	GMO U.S. Treasury Fund		10,256,103
		TOTAL MUTUAL FUNDS (COST $10,215,242)		10,256,103
		SHORT-TERM INVESTMENTS — 5.1%
		Money Market Funds — 0.2%
	1,931,122	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (d)		1,931,122
		Repurchase Agreements — 4.9%
	40,999,182	Nomura Securities International, Inc. Repurchase Agreement, dated 02/20/20, maturing on 03/02/20 with a maturity value of $41,018,725 and an effective yield of 1.56%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $42,594,505.		40,999,182
		TOTAL SHORT-TERM INVESTMENTS (COST $42,930,304)		42,930,304

PURCHASED OPTIONS — 0.2%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps – Calls — 0.0%

CDX.NA.HYS.33.V2-5Y

GS

106.00

%

04/15/20

USD

10,340,000

Fixed Spread

Receive

59,406

CDX.NA.IGS.33.V1-5Y

MSCI

60.00

%

04/15/20

USD

53,874,000

Fixed Spread

Receive

715

Total Options on Credit Default Swaps – Calls

60,121

Options on Credit Default Swaps – Puts — 0.2%

ITRAXX.EUROPES.32.V1-5Y

GS

50.00

%

03/18/20

EUR

88,515,000

Fixed Spread

Pay

739,979

ITRAXX.EUROPES.32.V1-5Y

DB

52.50

%

03/18/20

EUR

104,915,000

Fixed Spread

Pay

755,312

Total Options on Credit Default Swaps – Puts

1,495,291

TOTAL PURCHASED OPTIONS (COST $368,077)

1,555,412

TOTAL INVESTMENTS — 98.4%                           (Cost $836,293,416)

834,766,727

Other Assets and Liabilities (net) — 1.6%

13,793,165

TOTAL NET ASSETS — 100.0%

$848,559,892

48 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
04/17/2020	MSCI	EUR	3,866,545	USD	4,294,072		14,013
04/17/2020	DB	USD	151,118	EUR	138,881		2,616
04/17/2020	MSCI	USD	5,087,269	EUR	4,552,771		(47,595	)
						$	(30,966	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
34	U.S. Treasury Note 5 Yr. (CBT)	June 2020		4,173,500		45,116
9	U.S. Treasury Note 10 Yr. (CBT)	June 2020		1,212,750		16,864
			$	5,386,250	$	61,980

+ 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 – Calls
CDX. NA.IGS.33.V1-5Y	MSCI		60.00	%		03/18/20	USD	(53,874,000	)		Fixed Spread	Receive	(465)
Written Options on Credit Default Swaps – Puts
ITRAXX.EUROPES.32.V1-5Y	DB		65.00	%		03/18/20	EUR	(88,515,000	)		Fixed Spread	Pay	(277,315)
ITRAXX.EUROPES.32.V1-5Y	GS		55.00	%		03/18/20	EUR	(104,915,000	)		Fixed Spread	Pay	(644,928)
CDX. NA.HYS.33.V2-5Y	GS		104.00	%		04/15/20	USD	(10,340,000	)		Fixed Spread	Pay	(133,202)
CDX. NA.IGS.33.V1-5Y	MSCI		50.00	%		04/15/20	USD	(70,824,000	)		Fixed Spread	Pay	(649,245)
CDX. NA.IGS.33.V1-5Y	MSCI		62.50	%		04/15/20	USD	(24,600,000	)		Fixed Spread	Pay	(123,664)
													(1,828,354)
			TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $320,999)										$(1,828,819)

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^:
ITRAXX.XOVERS.30.V3-5Y	EUR	23,024,640		5.00%		2.95%		N/A		12/20/2023		Quarterly		(2,406,883	)		(1,845,452	)		561,431
CDX.NA.IGS.33.V1-5Y	USD	95,424,000		1.00%		0.66%		N/A		12/20/2024		Quarterly		(2,425,040	)		(1,482,412	)		942,628
ITRAXX-EUROPES.32V1-5Y	EUR	29,470,000		1.00%		0.64%		N/A		12/20/2024		Quarterly		(859,948	)		(560,031	)		299,917
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.39%		17,200,000 USD		06/20/2022		Quarterly		300,981			241,350			(59,631	)
													$	(5,390,890	)	$	(3,646,545	)	$	1,744,345

See accompanying notes to the financial statements. 49

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.17%		N/A		12/20/2020		Quarterly		710,600			(27,455	)		(738,055	)
CDX.NA.IGS.25.V2-5Y	CITI	USD	4,300,000		1.00%		0.17%		N/A		12/20/2020		Quarterly		547,891			(26,831	)		(574,722	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		3.34%		N/A		12/20/2021		Quarterly		21,450			(619,956	)		(641,406	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		3.34%		N/A		12/20/2021		Quarterly		(11,825	)		(310,701	)		(298,876	)
D.R. HORTON, INC.	BCLY	USD	17,200,000		1.00%		0.21%		N/A		06/20/2022		Quarterly		(165,250	)		(312,174	)		(146,924	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	5,060,000		5.00%		3.35%		N/A		12/20/2022		Quarterly		(301,070	)		(410,536	)		(109,466	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		3.35%		N/A		12/20/2022		Quarterly		(282,711	)		(521,303	)		(238,592	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		3.35%		N/A		12/20/2022		Quarterly		(188,414	)		(279,976	)		(91,562	)
Navient Corp.	GS	USD	2,700,000		5.00%		1.62%		N/A		12/20/2022		Quarterly		(277,471	)		(245,636	)		31,835
Navient Corp.	GS	USD	4,050,000		5.00%		1.62%		N/A		12/20/2022		Quarterly		(421,122	)		(368,454	)		52,668
Navient Corp.	BCLY	USD	2,576,400		5.00%		1.62%		N/A		12/20/2022		Quarterly		(208,665	)		(234,391	)		(25,726	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		1.62%		N/A		12/20/2022		Quarterly		(198,694	)		(234,391	)		(35,697	)
Navient Corp.	BCLY	USD	3,435,200		5.00%		1.62%		N/A		12/20/2022		Quarterly		(264,647	)		(312,522	)		(47,875	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		0.64%		N/A		12/20/2024		Quarterly		748,704			829,676			80,972
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.55%		N/A		01/17/2047		Monthly		47,352			(71,851	)		(119,203	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.55%		N/A		01/17/2047		Monthly		197,705			(265,998	)		(463,703	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.55%		N/A		01/17/2047		Monthly		112,812			(70,177	)		(182,989	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.55%		N/A		01/17/2047		Monthly		205,782			(211,647	)		(417,429	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.55%		N/A		01/17/2047		Monthly		(119,899	)		(121,342	)		(1,443	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		0.96%		N/A		10/17/2057		Monthly		247,717			(213,459	)		(461,176	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.58%		N/A		10/17/2057		Monthly		73,095			(166,997	)		(240,092	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.58%		N/A		10/17/2057		Monthly		140,432			(63,554	)		(203,986	)
CMBX.NA.BBB-.8	CGMI	USD	2,134,000		3.00%		4.16%		N/A		10/17/2057		Monthly		114,688			102,305			(12,383	)
CMBX.NA.BBB-.8	GS	USD	8,650,000		3.00%		4.16%		N/A		10/17/2057		Monthly		1,299,082			414,687			(884,395	)
CMBX.NA.BBB-.8	CSI	USD	2,108,500		3.00%		4.16%		N/A		10/17/2057		Monthly		144,924			101,083			(43,841	)
CMBX.NA.BBB-.8	CGMI	USD	4,223,000		3.00%		4.16%		N/A		10/17/2057		Monthly		392,728			202,453			(190,275	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		4.16%		N/A		10/17/2057		Monthly		400,908			202,501			(198,407	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.39%		N/A		09/17/2058		Quarterly		(102,116	)		(57,540	)		44,576
CMBX.NA.AAA.9	MORD	USD	5,000,000		0.50%		0.39%		N/A		09/17/2058		Monthly		(51,058	)		(28,770	)		22,288
CMBX.NA.AAA.9	CGMI	USD	4,000,000		0.50%		0.39%		N/A		09/17/2058		Monthly		(17,096	)		(23,016	)		(5,920	)
CMBX.NA.AAA.9	GS	USD	2,902,300		0.50%		0.39%		N/A		09/17/2058		Monthly		(14,187	)		(16,700	)		(2,513	)
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.39%		N/A		09/17/2058		Monthly		(31,983	)		(19,149	)		12,834
CMBX.NA.BBB-.9	MORD	USD	10,340,000		3.00%		3.63%		N/A		09/17/2058		Monthly		253,958			322,981			69,023
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		3.63%		N/A		09/17/2058		Monthly		950,085			137,439			(812,646	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		3.63%		N/A		09/17/2058		Monthly		346,611			54,976			(291,635	)
CMBX.NA.BBB-.9	MORD	USD	8,528,000		3.00%		3.63%		N/A		09/17/2058		Monthly		974,545			266,382			(708,163	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		3.63%		N/A		09/17/2058		Monthly		517,160			133,159			(384,001	)
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		3.34%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,110,415			(546,598	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		3.34%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			742,002			(401,798	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	12,672,000		5.00%		3.34%		12,672,000 USD		12/20/2021		Quarterly		1,795,622			1,093,331			(702,291	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		3.34%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			737,257			(632,507	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	8,543,000		5.00%		3.34%		8,543,000 USD		12/20/2021		Quarterly		1,230,192			737,084			(493,108	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	10,233,600		5.00%		3.35%		10,233,600 USD		12/20/2022		Quarterly		1,547,321			1,239,475			(307,846	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		3.35%		5,115,600 USD		12/20/2022		Quarterly		742,274			619,593			(122,681	)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,387,605		5.00%		3.50%		18,387,605 USD		12/20/2023		Quarterly		3,660,972			3,203,184			(457,788	)
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	1,281,711		5.00%		2.84%		1,281,711 EUR		12/20/2023		Quarterly		(953,769	)		(996,573	)		(42,804	)
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	310,239		5.00%		2.84%		310,239 EUR		12/20/2023		Quarterly		(216,624	)		(241,221	)		(24,597	)
CDX.NA.HYS.33.V1-5Y	GS	USD	26,262,573		5.00%		3.80%		26,262,573 USD		12/20/2024		Quarterly		5,808,625			5,396,384			(412,241	)
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.64%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,311,097			(356,592	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.64%		25,000,000 EUR		12/20/2024		Quarterly		114,435			(191,529	)		(305,964	)
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		1.68%		6,822,400 USD		09/17/2058		Monthly		89,488			114,105			24,617
CMBX.NA.A.6	CSI	USD	4,217,000		2.00%		1.94%		4,217,000 USD		05/11/2063		Monthly		(52,739	)		6,226			58,965
CMBX.NA.A.6	CGMI	USD	4,268,000		2.00%		1.94%		4,268,000 USD		05/11/2063		Monthly		(3,940	)		6,302			10,242
														$	26,392,144		$	13,420,248		$	(12,971,896	)

50 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

^ 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 February 29, 2020, 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	Quarterly		(3,459	)		(226,119	)		(222,660	)
1.41%		3 Month USD LIBOR	USD	32,360,000		08/20/2024	Quarterly		—			(679,016	)		(679,016	)
1.33%		3 Month USD LIBOR	USD	8,270,000		08/29/2024	Quarterly		—			(143,865	)		(143,865	)
1.80%		3 Month USD LIBOR	USD	20,386,000		01/18/2025	Quarterly		(13,877	)		(826,612	)		(812,735	)
1.85%		3 Month USD LIBOR	USD	5,500,000		05/19/2026	Quarterly		(10,832	)		(290,137	)		(279,305	)
1.94%		3 Month USD LIBOR	USD	12,023,000		06/04/2028	Quarterly		(84,425	)		(872,357	)		(787,932	)
1.95%		3 Month USD LIBOR	USD	6,900,000		07/30/2028	Quarterly		(10,206	)		(509,029	)		(498,823	)
1.83%		3 Month USD LIBOR	USD	6,600,000		11/12/2029	Quarterly		—			(459,046	)		(459,046	)
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			(200,183	)		(200,183	)
1.53%		3 Month USD LIBOR	USD	6,400,000		02/11/2030	Quarterly		—			(266,690	)		(266,690	)
								$	(122,799	)	$	(4,473,054	)	$	(4,350,255	)

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	9,999,999	03/20/2020		Quarterly		9,541		313,656		304,115
Total Return on iBoxx USD Liquid Leverage Loans Index		3 Month USD LIBOR	MORD	USD	5,000,000	03/20/2020		Quarterly		—		113,157		113,157
Total Return on iBoxx USD Liquid Leverage Loans Index		3 Month USD LIBOR	GS	USD	15,000,000	03/20/2020		Quarterly		—		183,814		183,814
									$	9,541	$	610,627	$	601,086

As of February 29, 2020, 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) 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) 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 February 29, 2020.

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 56.

See accompanying notes to the financial statements. 51

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

GMO U.S. Treasury Fund returned +2.47% (net) for the fiscal year ended February 29, 2020, as compared with +2.12% for the FTSE 3-Month Treasury Bill Index.

Security selection in U.S. Treasury Notes, Floating Rate Treasury Notes, and Federal Home Loan Bank Notes were the primary contributors to performance during the period. Security selection in repurchase agreements and U.S. Treasury Bills also added value during the fiscal year.

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

52

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

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

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

53

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investments Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		105.1	%
Other		(5.1	)
		100.0	%

54

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investment

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 105.1%
		U.S. Government — 89.1%
	38,000,000	U.S. Treasury Note, 1.13%, due 02/28/21		38,017,813
	26,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		26,051,797
	10,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		10,034,375
	99,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 1.81%, due 10/31/21		99,358,449
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 1.66%, due 01/31/22		24,994,672
		Total U.S. Government		198,457,106
		U.S. Government Agency — 15.7%
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.08%, 1.66%, due 07/24/20		15,001,571
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 1.70%, due 10/07/20		3,001,080
	12,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.71%, due 10/16/20		12,005,152
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 1.67%, due 09/10/21		4,997,963
		Total U.S. Government Agency		35,005,766
		Money Market Funds — 0.3%
	580,132	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.52% (a)		580,132
		TOTAL SHORT-TERM INVESTMENTS (COST $233,368,796)		234,043,004
		TOTAL INVESTMENTS — 105.1% (Cost $233,368,796)		234,043,004
		Other Assets and Liabilities (net) — (5.1%)		(11,281,377	)
		TOTAL NET ASSETS — 100.0%		$222,761,627

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 February 29, 2020.

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 56.

See accompanying notes to the financial statements. 55

GMO Trust Funds

Schedule of Investments — (Continued)

February 29, 2020

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 Pounds.

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

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

OJSC - Open Joint-Stock Company

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 February 29, 2020, 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.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

DOP - Dominican Peso

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

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020

	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	8,656,379	$	142,229,239	$	74,487,484
Investments in unaffiliated issuers, at value (Note 2)(b)		224,434,981		458,114,255		4,174,841,380
Foreign currency, at value (Note 2)(c)		—		5		228
Cash		—		18		991,639
Receivable for investments sold		11,394,045		—		—
Receivable for Fund shares sold		—		—		21,076
Dividends and interest receivable		326,159		523,622		64,327,826
Unrealized appreciation on open forward currency contracts (Note 4)		—		2,816,027		2,413,885
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		393,301
Due from broker (Note 2)		—		4,813,291		18,057,939
Receivable for variation margin on open futures contracts (Note 4)		—		1,458,671		—
Receivable for open OTC swap contracts (Note 4)		—		4,240,583		30,392,135
Interest receivable for open OTC swap contracts (Note 4)		—		—		1,354,887
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		11,153		90,997		4,713
Receivable for options (Note 4)(d)		—		—		1,096,669
Miscellaneous receivable		—		—		1,929
Total assets		244,822,717		614,286,708		4,368,385,091
Liabilities:
Payable for investments purchased		12,522		—		991,575
Payable for Fund shares repurchased		11,053,000		—		2,416,303
Payable for purchases of delayed delivery securities		—		79,242,788		—
Payable to affiliate for (Note 5):
Management fee		48,294		104,147		1,227,360
Shareholder service fee		13,693		44,804		398,481
Payable to agents unaffiliated with GMO		113		135		864
Payable for variation margin on open cleared swap contracts (Note 4)		—		350,590		—
Payable for closed swap contracts (Note 4)		—		110,444		413,542
Unrealized depreciation on open forward currency contracts (Note 4)		—		4,008,336		—
Interest payable for open OTC swap contracts (Note 4)		—		—		787,289
Payable for open OTC swap contracts (Note 4)		—		—		8,580,394
Payable for options (Note 4)(d)		—		—		60,500
Payable to Trustees and related expenses		1,946		1,811		12,951
Accrued expenses		159,310		129,697		453,334
Total liabilities		11,288,878		83,992,752		15,342,593
Net assets	$	233,533,839	$	530,293,956	$	4,353,042,498
(a)  Cost of investments – affiliated issuers:	$	8,636,537	$	144,560,138	$	74,296,430
(b)  Cost of investments – unaffiliated issuers:	$	210,091,122	$	444,150,179	$	4,300,580,002
(c)  Cost of foreign currency:	$	—	$	5	$	231
(d)  Premiums on options:	$	—	$	—	$	6,212,481

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Asset Allocation Bond Fund			Core Plus Bond Fund		Emerging Country Debt Fund
Net assets consist of:
Paid-in capital	$	286,655,730		$	530,193,350	$	4,586,293,147
Distributable earnings (accumulated loss)		(53,121,891	)		100,606		(233,250,649	)
	$	233,533,839		$	530,293,956	$	4,353,042,498
Net assets attributable to:
Class III	$	41,124,146		$	80,638,665	$	1,133,944,969
Class IV	$	—		$	449,655,291	$	3,219,097,529
Class VI	$	192,409,693		$	—	$	—
Shares outstanding:
Class III		1,814,915			3,633,592		41,410,812
Class IV		—			20,199,281		117,752,949
Class VI		8,469,448			—		—
Net asset value per share:
Class III	$	22.66		$	22.19	$	27.38
Class IV	$	—		$	22.26	$	27.34
Class VI	$	22.72		$	—	$	—

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	High Yield Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	385,180	$	10,256,103	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		160,948,493		824,510,624		234,043,004
Cash		—		26,449		3
Receivable for investments sold		—		22,777,112		—
Receivable for closed swap contracts (Note 4)		20,813		—		—
Dividends and interest receivable		789,205		2,619,661		436,317
Unrealized appreciation on open forward currency contracts (Note 4)		73,968		16,629		—
Receivable for variation margin on open cleared swap contracts (Note 4)		19,440		—		—
Due from broker (Note 2)		833,289		5,871,575		—
Receivable for variation margin on open futures contracts (Note 4)		53,000		114,247		—
Receivable for open OTC swap contracts (Note 4)		4,326		20,694,724		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,319,451		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		72		46,325		11,793
Total assets		163,127,786		888,252,900		234,491,117
Liabilities:
Due to custodian		295		—		—
Payable for investments purchased		1,087		21,503,305		—
Payable for Fund shares repurchased		—		7,357,749		11,480,000
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		4,751		—		—
Payable to affiliate for (Note 5):
Management fee		45,662		273,250		17,992
Shareholder service fee		7,176		39,243		—
Payable to agents unaffiliated with GMO		41		191		233
Payable for variation margin on open cleared swap contracts (Note 4)		—		873,938		—
Payable for closed swap contracts (Note 4)		—		251,373		—
Dividend payable		—		—		159,343
Unrealized depreciation on open forward currency contracts (Note 4)		693,657		47,595		—
Interest payable for open OTC swap contracts (Note 4)		—		547,254		—
Payable for open OTC swap contracts (Note 4)		139,080		6,663,849		—
Payable for reverse repurchase agreements (Note 2)		674,715		—		—
Payable to Trustees and related expenses		761		2,646		6,313
Written options outstanding, at value (Note 4)(c)		—		1,828,819		—
Accrued expenses		111,081		303,796		65,609
Total liabilities		1,678,306		39,693,008		11,729,490
Net assets	$	161,449,480	$	848,559,892	$	222,761,627
(a)  Cost of investments – affiliated issuers:	$	385,180	$	10,215,242	$	—
(b)  Cost of investments – unaffiliated issuers:	$	160,811,372	$	826,078,174	$	233,368,796
(c)  Premiums on written options:	$	—	$	320,999	$	—

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	High Yield Fund		Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	161,175,354	$	934,216,718		$	223,084,063
Distributable earnings (accumulated loss)		274,126		(85,656,826	)		(322,436	)
	$	161,449,480	$	848,559,892		$	222,761,627
Net assets attributable to:
Core Class	$	—	$	—		$	222,761,627
Class VI	$	161,449,480	$	825,875,879		$	—
Class I	$	—	$	22,684,013		$	—
Shares outstanding:
Core Class		—		—			44,347,780
Class VI		8,097,342		31,585,522			—
Class I		—		868,409			—
Net asset value per share:
Core Class	$	—	$	—		$	5.02
Class VI	$	19.94	$	26.15		$	—
Class I	$	—	$	26.12		$	—

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020

	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund
Investment Income:
Interest	$	8,633,993		$	4,610,080		$	240,357,089
Dividends from affiliated issuers (Note 10)		272,581			8,890,932			1,515,361
Dividends from unaffiliated issuers		25,487			3,473,977			1,081,564
Total investment income		8,932,061			16,974,989			242,954,014
Expenses:
Management fee (Note 5)		792,972			1,566,389			14,831,495
Shareholder service fee – Class III (Note 5)		98,233			121,994			1,977,500
Shareholder service fee – Class IV (Note 5)		—			545,226			2,919,237
Shareholder service fee – Class VI (Note 5)		138,435			—			—
Audit and tax fees		92,351			89,691			157,203
Custodian, fund accounting agent and transfer agent fees		71,538			142,209			685,463
Legal fees		15,569			37,973			275,445
Registration fees		2,968			3,121			24,955
Trustees’ fees and related expenses (Note 5)		7,325			17,621			120,758
Interest expense (Note 2)		1,204			16,118			513,245
Miscellaneous		8,990			12,883			169,481
Total expenses		1,229,585			2,553,225			21,674,782
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(181,529	)		(263,963	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(5,062	)		(651,232	)		(39,785	)
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			(106,754	)		—
Net expenses		1,042,994			1,531,276			21,634,997
Net investment income (loss)		7,889,067			15,443,713			221,319,017
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		3,922,033			17,293,846			106,761,113
Investments in affiliated issuers		17,929			675,796			—
Futures contracts		—			8,088,238			—
Options		26,925			64,197			(739,072	)
Swap contracts		1,526,196			5,625,601			3,517,228
Forward currency contracts		592,313			1,120,344			1,645,100
Foreign currency and foreign currency related transactions		(31,097	)		825,600			8,042
Net realized gain (loss)		6,054,299			33,693,622			111,192,411
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		17,212,218			20,338,807			18,459,396
Investments in affiliated issuers		19,842			285,803			296,762
Futures contracts		—			2,142,312			—
Options		(26,925	)		(64,197	)		2,768,387
Swap contracts		(929,229	)		3,102,045			792,364
Forward currency contracts		(738,520	)		(1,970,496	)		5,246,715
Foreign currency and foreign currency related transactions		—			1,115			21,414
Net change in unrealized appreciation (depreciation)		15,537,386			23,835,389			27,585,038
Net realized and unrealized gain (loss)		21,591,685			57,529,011			138,777,449
Net increase (decrease) in net assets resulting from operations	$	29,480,752		$	72,972,724		$	360,096,466

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020 — (Continued)

	High Yield Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	4,859,280		$	55,991,485		$	10,123,459
Dividends from unaffiliated issuers		1,237,344			123,180			18,371
Dividends from affiliated issuers (Note 10)		66,536			222,550			—
Total investment income		6,163,160			56,337,215			10,141,830
Expenses:
Management fee (Note 5)		747,275			3,765,990			388,937
Shareholder service fee – Class VI (Note 5)		117,429			515,486			—
Shareholder service fee – Class I (Note 5)		—			6,376	*		—
Audit and tax fees		77,251			125,545			42,370
Custodian, fund accounting agent and transfer agent fees		41,964			185,364			60,339
Legal fees		29,689			178,952			21,383
Registration fees		17			499			1,509
Trustees’ fees and related expenses (Note 5)		6,361			26,862			12,960
Interest expense (Note 2)		56,439			5,064			—
Recoupment of past waived and/or reimbursed fees (Note 5)		73,030			—			—
Miscellaneous		15,515			36,772			11,109
Total expenses		1,164,970			4,846,910			538,607
Fees and expenses reimbursed and/or waived by GMO (Note 5)		—			(367,979	)		(257,021	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(775	)		(5,452	)		—
Net expenses		1,164,195			4,473,479			281,586
Net investment income (loss)		4,998,965			51,863,736			9,860,244
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,421,302			4,520,768			1,018,767
Investments in affiliated issuers		1,062			(2,899	)		—
Futures contracts		1,246,174			6,839,209			—
Written options		—			697,822			—
Swap contracts		10,112,629			(6,469,348	)		—
Forward currency contracts		907,215			(60,218	)		—
Foreign currency and foreign currency related transactions		(79,072	)		(12,319	)		—
Net realized gain (loss)		13,609,310			5,513,015			1,018,767
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(190,985	)		(4,799,714	)		864,705
Investments in affiliated issuers		—			43,760			—
Futures contracts		144,811			422,225			—
Written options		—			(1,648,251	)		—
Swap contracts		(2,604,471	)		(1,610,924	)		—
Forward currency contracts		(1,106,391	)		(30,432	)		—
Foreign currency and foreign currency related transactions		—			(228	)		—
Net change in unrealized appreciation (depreciation)		(3,757,036	)		(7,623,564	)		864,705
Net realized and unrealized gain (loss)		9,852,274			(2,110,549	)		1,883,472
Net increase (decrease) in net assets resulting from operations	$	14,851,239		$	49,753,187		$	11,743,716

* Period from November 5, 2019 (commencement of operations) through February 29, 2020.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Core Plus Bond Fund
	Year Ended February 29, 2020			Year Ended February 28, 2019			Year Ended February 29, 2020			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,889,067		$	16,237,207		$	15,443,713		$	17,962,198
Net realized gain (loss)		6,054,299			(7,202,984	)		33,693,622			8,316,836
Change in net unrealized appreciation (depreciation)		15,537,386			12,325,263			23,835,389			8,799,016
Net increase (decrease) in net assets from operations		29,480,752			21,359,486			72,972,724			35,078,050
Distributions to shareholders:
Class III		(2,812,796	)		(4,684,062	)		(4,223,692	)		(2,096,439	)
Class IV		—			—			(27,712,585	)		(31,186,788	)
Class VI		(10,562,420	)		(18,119,873	)		—			—
Total distributions		(13,375,216	)		(22,803,935	)		(31,936,277	)		(33,283,227	)
Net share transactions (Note 9):
Class III		(44,781,434	)		(124,498,378	)		(8,936,625	)		49,702,985
Class IV		—			—			(166,424,406	)		(342,156,707	)
Class VI		(126,433,401	)		(711,557,145	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(171,214,835	)		(836,055,523	)		(175,361,031	)		(292,453,722	)
Total increase (decrease) in net assets		(155,109,299	)		(837,499,972	)		(134,324,584	)		(290,658,899	)
Net assets:
Beginning of period		388,643,138			1,226,143,110			664,618,540			955,277,439
End of period	$	233,533,839		$	388,643,138		$	530,293,956		$	664,618,540

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Country Debt Fund						High Yield Fund
	Year Ended February 29, 2020			Year Ended February 28, 2019			Year Ended February 29, 2020			Period from June 25, 2018 (commencement of operations) through February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	221,319,017		$	198,181,993		$	4,998,965		$	2,900,494
Net realized gain (loss)		111,192,411			25,424,719			13,609,310			4,204,205
Change in net unrealized appreciation (depreciation)		27,585,038			(185,787,980	)		(3,757,036	)		3,049,678
Net increase (decrease) in net assets from operations		360,096,466			37,818,732			14,851,239			10,154,377
Distributions to shareholders:
Class III		(86,984,349	)		(88,640,894	)		—			—
Class IV		(184,491,074	)		(199,249,504	)		—			—
Class VI		—			—			(16,679,907	)		(8,155,753	)
Total distributions		(271,475,423	)		(287,890,398	)		(16,679,907	)		(8,155,753	)
Net share transactions (Note 9):
Class III		(193,723,603	)		97,793,087			—			—
Class IV		310,461,408			155,415,222			—			—
Class VI		—			—			(49,483,824	)		210,763,348
Increase (decrease) in net assets resulting from net share transactions		116,737,805			253,208,309			(49,483,824	)		210,763,348
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,185,127			1,446,323			—			—
Class IV		2,605,465			3,144,860			—			—
Increase in net assets resulting from purchase premiums and redemption fees		3,790,592			4,591,183			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		120,528,397			257,799,492			(49,483,824	)		210,763,348
Total increase (decrease) in net assets		209,149,440			7,727,826			(51,312,492	)		212,761,972
Net assets:
Beginning of period		4,143,893,058			4,136,165,232			212,761,972			—
End of period	$	4,353,042,498		$	4,143,893,058		$	161,449,480		$	212,761,972

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Year Ended February 29, 2020			Year Ended February 28, 2019			Year Ended February 29, 2020			Year Ended February 28, 2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	51,863,736		$	54,376,560		$	9,860,244		$	27,557,392
Net realized gain (loss)		5,513,015			15,537,970			1,018,767			(755,612	)
Change in net unrealized appreciation (depreciation)		(7,623,564	)		(33,793,317	)		864,705			1,016,591
Net increase (decrease) in net assets from operations		49,753,187			36,121,213			11,743,716			27,818,371
Distributions to shareholders:
Core Class		—			—			(9,860,244	)		(27,557,392	)
Class VI		(48,827,021	)		(45,077,214	)		—			—
Class I		(249,504	)*		—			—			—
Total distributions		(49,076,525	)		(45,077,214	)		(9,860,244	)		(27,557,392	)
Net share transactions (Note 9):
Core Class		—			—			(414,899,246	)		(1,689,189,143	)
Class VI		(176,144,018	)		(197,886,568	)		—			—
Class I		22,560,690	*		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(153,583,328	)		(197,886,568	)		(414,899,246	)		(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		(153,262,570	)		(195,852,468	)		(414,899,246	)		(1,689,189,143	)
Total increase (decrease) in net assets		(152,585,908	)		(204,808,469	)		(413,015,774	)		(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	$	848,559,892		$	1,001,145,800		$	222,761,627		$	635,777,401

* Period from November 5, 2019 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Statement of Cash Flows — Year Ended February 29, 2020

	Emerging Country Debt Fund
Cash flows from operating activities
Net increase (decrease) in net assets resulting from operations	$	360,096,466
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(27,585,038	)
Net realized (gain) loss		(111,192,411	)
Cost of purchased investments held long		(1,968,958,499	)
Proceeds from sale of investments held long		1,877,842,464
Net amortization of discount and accretion of premium		(18,274,221	)
Short-term investments, net		103,575,447
Gain (loss) from derivatives:
Swap contracts		(20,261,233	)
Forward currency contracts		1,645,100
Foreign currency and foreign currency related transactions		29,456
Change in assets and liabilities:
(Increase) decrease in due from broker		(9,029,301	)
(Increase) decrease in dividends and interest receivable		(7,860,806	)
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		(4,713	)
(Increase) decrease in interest receivable for open OTC swap contracts		919,034
Increase (decrease) in payable to affiliate for:
Management fee		120,562
Shareholder service fee		33,144
Increase (decrease) in payable to agents unaffiliated with the GMO		150
Increase (decrease) in payable for closed swap contracts		413,542
Increase (decrease) in payable to Trustees and related expenses		2,093
Increase (decrease) in interest payable for open OTC swap contracts		16,997
Increase (decrease) in accrued expenses		24,957
Net Cash Provided by Operating Activities		181,553,190
Cash flows from financing activities:
Proceeds from shares sold		769,872,099
Shares repurchased		(890,916,733	)
Cash distributions Paid		(31,320,480	)
Purchase premiums and redemption fees		3,790,592
Increase (decrease) in payable for reverse repurchase agreements		(44,592,190	)
Net cash provided by (used in) financing activities		(193,166,712	)
Net increase (decrease) in cash		(11,613,522	)
Cash, beginning of year		12,605,389
Cash, end of year	$	991,867

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	21.61			$	21.95			$	22.15			$	22.16			$	26.36			$	21.67			$	22.02			$	22.23			$	22.21			$	26.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.55				0.54				0.33				0.18				0.01				0.56				0.57				0.36				0.21				0.06
Net realized and unrealized gain (loss)			1.52				0.18				(0.31	)			(0.19	)			(2.58	)			1.53				0.18				(0.33	)			(0.19	)			(2.61	)
Total from investment operations			2.07				0.72				0.02				(0.01	)			(2.57	)			2.09				0.75				0.03				0.02				(2.55	)
Less distributions to shareholders:
From net investment income			(1.02	)			(1.06	)			(0.22	)			—				(1.63	)			(1.04	)			(1.10	)			(0.24	)			—				(1.64	)
Total distributions			(1.02	)			(1.06	)			(0.22	)			—				(1.63	)			(1.04	)			(1.10	)			(0.24	)			—				(1.64	)
Net asset value, end of period		$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21
Total Return(b)			9.74	%			3.37	%			0.07	%			(0.05	)%			(9.88	)%			9.83	%			3.48	%			0.12	%			0.09	%			(9.79	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	41,124			$	82,801			$	207,008			$	282,272			$	352,828			$	192,410			$	305,842			$	1,019,135			$	1,209,721			$	1,888,505
Net operating expenses to average daily net assets			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.40	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			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	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.02	%
Total net expenses to average daily net assets			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.42	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			0.31	%(c)			0.33	%(c)
Net investment income (loss) to average daily net assets(a)			2.49	%			2.48	%			1.50	%			0.81	%			0.03	%			2.49	%			2.57	%			1.59	%			0.94	%			0.27	%
Portfolio turnover rate			16	%(f)			59	%(f)			89	%			130	%(f)			177	%			16	%(f)			59	%(f)			89	%			130	%(f)			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	%			0.06	%(g)			0.04	%			0.02	%			0.02	%			0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to 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 years ended February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 37%, 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.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017(a)				2016(a)				2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	20.88			$	20.93			$	21.10			$	21.39			$	23.43			$	20.94			$	20.98			$	21.15			$	21.45			$	23.49
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.53				0.51				0.41				0.26				0.24				0.54				0.48				0.46				0.24				0.27
Net realized and unrealized gain (loss)			2.01				0.49				(0.06	)			0.25				(1.14	)			2.02				0.53				(0.10	)			0.29				(1.17	)
Total from investment operations			2.54				1.00				0.35				0.51				(0.90	)			2.56				1.01				0.36				0.53				(0.90	)
Less distributions to shareholders:
From net investment income			(0.64	)			(1.05	)			(0.52	)			(0.80	)			(1.14	)			(0.65	)			(1.05	)			(0.53	)			(0.83	)			(1.14	)
From net realized gains			(0.59	)			—				—				—				—				(0.59	)			—				—				—				—
Total distributions			(1.23	)			(1.05	)			(0.52	)			(0.80	)			(1.14	)			(1.24	)			(1.05	)			(0.53	)			(0.83	)			(1.14	)
Net asset value, end of period		$	22.19			$	20.88			$	20.93			$	21.10			$	21.39			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45
Total Return(c)			12.38	%			4.88	%			1.61	%			2.44	%			(3.93	)%			12.44	%			4.93	%			1.68	%			2.55	%			(3.91	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	80,639			$	84,163			$	34,641			$	22,172			$	52,187			$	449,655			$	580,456			$	920,637			$	566,433			$	215,060
Net operating expenses to average daily net assets(d)			0.29	%			0.29	%			0.29	%			0.35	%			0.35	%			0.24	%			0.24	%			0.24	%			0.30	%			0.30	%
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)			0.01	%
Total net expenses to average daily net assets(d)			0.29	%			0.29	%			0.29	%			0.35	%			0.36	%			0.24	%			0.24	%			0.24	%			0.30	%			0.31	%
Net investment income (loss) to average daily net assets(b)			2.43	%			2.41	%			1.91	%			1.21	%			1.14	%			2.47	%			2.29	%			2.14	%			1.10	%			1.17	%
Portfolio turnover rate			215	%(g)			201	%(g)			198	%(g)			216	%(g)			21	%			215	%(g)			201	%(g)			198	%(g)			216	%(g)			21	%
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	%			0.16	%			0.15	%			0.14	%			0.26	%			0.21	%

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 285%, 250%, 221% and 325%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017(a)				2016(a)				2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	26.82			$	28.62			$	28.99			$	26.01			$	28.47			$	26.77			$	28.57			$	28.95			$	25.98			$	28.44
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.44				1.36				1.36				1.94				1.53				1.43				1.37				1.39				1.95				1.53
Net realized and unrealized gain (loss)			0.91				(1.19	)			0.32				3.01	(c)			(2.04	)			0.94				(1.19	)			0.29				3.01	(c)			(2.01	)
Total from investment operations			2.35				0.17				1.68				4.95				(0.51	)			2.37				0.18				1.68				4.96				(0.48	)
Less distributions to shareholders:
From net investment income			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)
Total distributions			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)
Net asset value, end of period		$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98
Total Return(d)			8.97	%			0.97	%			5.81	%			19.47	%			(1.77	)%			9.08	%			1.02	%			5.83	%			19.50	%			(1.73	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,133,945			$	1,294,577			$	1,273,188			$	1,067,086			$	827,667			$	3,219,098			$	2,849,316			$	2,862,977			$	3,018,159			$	3,099,809
Net operating expenses to average daily net assets(e)			0.53	%			0.52	%			0.53	%			0.54	%			0.54	%			0.48	%			0.47	%			0.48	%			0.49	%			0.49	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.01	%			0.02	%			0.00	%(g)			—				0.00	%(g)			0.01	%			0.02	%			0.00	%(f)			—				0.00	%(f)
Total net expenses to average daily net assets(e)			0.54	%			0.54	%			0.53	%			0.54	%			0.54	%			0.49	%			0.49	%			0.48	%			0.49	%			0.49	%
Net investment income (loss) to average daily net assets(b)			5.23	%			4.99	%			4.57	%			6.76	%			5.58	%			5.22	%			5.04	%			4.67	%			6.81	%			5.60	%
Portfolio turnover rate			41	%(h)			15	%(h)			34	%(h)			21	%(h)			20	%			41	%(h)			15	%(h)			34	%(h)			21	%(h)			20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.03			$	0.03			$	0.04	(a)		$	0.04	(a)		$	0.03			$	0.03			$	0.03			$	0.04	(a)		$	0.04	(a)

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

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

^(c)  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.

^(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)  Rounds to less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 40%, 15%, 33% and 23%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Year Ended February 29, 2020				Period From June 25, 2018 (commencement 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)†			0.48				0.27
Net realized and unrealized gain (loss)			0.82				0.71
Total from investment operations			1.30				0.98
Less distributions to shareholders:
From net investment income			(1.57	)			(0.61	)
From net realized gains			—				(0.16	)
Total distributions			(1.57	)			(0.77	)
Net asset value, end of period		$	19.94			$	20.21
Total Return(b)			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	161,449			$	212,762
Net operating expenses to average daily net assets(c)			0.52	%(d)			0.51	%*(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.03	%			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)			2.34	%			2.00	%*
Portfolio turnover rate(f)			105	%			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 year ended February 29, 2020 and period ended February 28, 2019, including transactions in USTF, was 214% and 159%, respectively, of the average value of its portfolio.

^(g)  Rounds to 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.

70 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																				Class I Shares
	Year Ended February 28/29,																				Period from November 5, 2019 (commencement of operations) through February 29, 2020
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	26.21			$	26.41			$	25.78			$	24.57			$	24.80			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.46				1.32				1.15				0.96				0.53				0.54
Net realized and unrealized gain (loss)			(0.06	)			(0.38	)			0.18				0.89				(0.34	)			(0.08	)
Total from investment operations			1.40				0.94				1.33				1.85				0.19				0.46
Less distributions to shareholders:
From net investment income			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(1.19	)
From net realized gains			—				—				—				—				—				—
Total distributions			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(1.19	)
Net asset value, end of period		$	26.15			$	26.21			$	26.41			$	25.78			$	24.57	(b)		$	26.12
Total Return(c)			5.45	%			3.58	%			5.18	%			7.62	%			0.77	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	825,876			$	1,001,146			$	1,205,954			$	1,510,894			$	1,648,019			$	22,684
Net operating expenses to average daily net assets(d)			0.47	%			0.49	%			0.47	%			0.33	%			0.31	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%*(e)
Total net expenses to average daily net assets(d)			0.47	%			0.49	%			0.47	%			0.33	%			0.31	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			5.50	%			4.99	%			4.39	%			3.82	%			2.13	%			6.55	%*
Portfolio turnover rate			47	%(g)			75	%(g)			152	%(g)			66	%(g)			66	%			47	%**(g)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(h)			0.04	%			0.03	%			0.04	%			0.03	%			0.07	%*(h)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.05			$	0.04			$	0.03			$	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)  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.

^(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)  Rounds to less than 0.01%.

^(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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years/period ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 48%, 83%, 175% and 75%, respectively, of the average value of its portfolio.

^(h)  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)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2020				2019(a)				2018(a)				2017(a)				2016(a)
Net asset value, beginning of period		$	5.00			$	5.00			$	5.01			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.10				0.10				0.05				0.02				0.01
Net realized and unrealized gain (loss)			0.02				0.01				(0.01	)			0.00	(b)			0.00	(b)
Total from investment operations			0.12				0.11				0.04				0.02				0.01
Less distributions to shareholders:
From net investment income			(0.10	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)
From net realized gains			—				—				—				(0.00	)(b)			(0.00	)(b)
Total distributions			(0.10	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)
Net asset value, end of period		$	5.02			$	5.00			$	5.00			$	5.01			$	5.01
Total Return(c)			2.47	%			2.16	%			0.96	%			0.54	%			0.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	222,762			$	635,777			$	2,324,706			$	2,666,697			$	4,033,504
Net expenses to average daily net assets			0.06	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			2.03	%			1.97	%			1.06	%			0.47	%			0.16	%
Portfolio turnover rate(e)			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.10	%			0.09	%			0.10	%			0.10	%

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

^(b)  Rounds to less than $0.01.

^(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)  Rounds to less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 29, 2020

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.

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 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

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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.

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.

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 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 year ended February 29, 2020, 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.

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 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.

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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; and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2020:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	224,018,639		$	—	$	224,018,639
TOTAL DEBT OBLIGATIONS		—		224,018,639			—		224,018,639
Mutual Funds		8,656,379		—			—		8,656,379
Short-Term Investments		416,342		—			—		416,342
Total Investments		9,072,721		224,018,639			—		233,091,360
Total	$	9,072,721	$	224,018,639		$	—	$	233,091,360
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	47,669,108		$	—	$	47,669,108
U.S. Government		90,076,129		—			—		90,076,129
U.S. Government Agency		—		79,943,428			—		79,943,428
TOTAL DEBT OBLIGATIONS		90,076,129		127,612,536			—		217,688,665
Investment Funds		120,389,699		—			—		120,389,699
Mutual Funds		142,229,239		—			—		142,229,239
Short-Term Investments		1,088,103		118,896,930			—		119,985,033
Purchased Options		—		50,858			—		50,858
Total Investments		353,783,170		246,560,324			—		600,343,494
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,816,027			—		2,816,027
Futures Contracts
Interest Rate Risk		1,913,611		—			—		1,913,611
Swap Contracts
Interest Rate Risk		—		14,683,646			—		14,683,646
Total	$	355,696,781	$	264,059,997		$	—	$	619,756,778
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(4,008,336	)	$	—	$	(4,008,336	)
Swap Contracts
Interest Rate Risk		—		(9,585,530	)		—		(9,585,530	)
Total	$	—	$	(13,593,866	)	$	—	$	(13,593,866	)

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February 29, 2020

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	34,687,234		$	—		$	34,687,234
Corporate Debt		—		67,526,590			29,902,115			97,428,705
Foreign Government Agency		—		881,950,102			170,402,802			1,052,352,904
Foreign Government Obligations		—		2,171,936,790			173,035,182			2,344,971,972
U.S. Government		479,878,898		80,011,264			—			559,890,162
TOTAL DEBT OBLIGATIONS		479,878,898		3,236,111,980			373,340,099			4,089,330,977
Loan Assignments		—		—			14,402,514			14,402,514
Loan Participations		—		—			47,750,729			47,750,729
Mutual Funds		74,487,484		—			—			74,487,484
Rights/Warrants		—		17,091,904			2,082,394			19,174,298
Short-Term Investments		4,182,862		—			—			4,182,862
Total Investments		558,549,244		3,253,203,884			437,575,736			4,249,328,864
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,413,885			—			2,413,885
Options
Credit Risk		—		—			1,096,669			1,096,669
Swap Contracts
Credit Risk		—		40,244,272			—			40,244,272
Interest Rate Risk		—		662,028			—			662,028
Total	$	558,549,244	$	3,296,524,069		$	438,672,405		$	4,293,745,718
Liability Valuation Inputs
Derivatives^
Options
Credit Risk	$	—	$	—		$	(60,500	)	$	(60,500	)
Swap Contracts
Credit Risk		—		(2,824,384	)		—			(2,824,384	)
Interest Rate Risk		—		(9,992,349	)		—			(9,992,349	)
Total	$	—	$	(12,816,733	)	$	(60,500	)	$	(12,877,233	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	45,081,026		$	—		$	45,081,026
U.S. Government		3,048,499		—			—			3,048,499
TOTAL DEBT OBLIGATIONS		3,048,499		45,081,026			—			48,129,525
Investment Funds		62,884,055		—			—			62,884,055
Mutual Funds		385,180		—			—			385,180
Short-Term Investments		13,454,889		36,480,024			—			49,934,913
Total Investments		79,772,623		81,561,050			—			161,333,673
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		73,968			—			73,968
Futures Contracts
Interest Rate Risk		71,632		—			—			71,632
Swap Contracts
Credit Risk		—		801,610			—			801,610
Interest Rate Risk		—		4,326			—			4,326
Total	$	79,844,255	$	82,440,954		$	—		$	162,285,209

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February 29, 2020

Description	Level 1		Level 2			Level 3		Total
High Yield Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(693,657	)	$	—	$	(693,657	)
Swap Contracts
Interest Rate Risk		—		(139,080	)		—		(139,080	)
Total	$	—	$	(832,737	)	$	—	$	(832,737	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	725,999,333		$	25,989,481	$	751,988,814
U.S. Government		15,807,292		—			—		15,807,292
U.S. Government Agency		—		—			12,228,802		12,228,802
TOTAL DEBT OBLIGATIONS		15,807,292		725,999,333			38,218,283		780,024,908
Mutual Funds		10,256,103		—			—		10,256,103
Short-Term Investments		1,931,122		40,999,182			—		42,930,304
Purchased Options		—		1,555,412			—		1,555,412
Total Investments		27,994,517		768,553,927			38,218,283		834,766,727
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		16,629			—		16,629
Futures Contracts
Interest Rate Risk		61,980		—			—		61,980
Swap Contracts
Credit Risk		—		20,325,447			—		20,325,447
Interest Rate Risk		—		610,627			—		610,627
Total	$	28,056,497	$	789,506,630		$	38,218,283	$	855,781,410
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(47,595	)	$	—	$	(47,595	)
Written Options
Credit Risk		—		(1,828,819	)		—		(1,828,819	)
Swap Contracts
Credit Risk		—		(10,551,744	)		—		(10,551,744	)
Interest Rate Risk		—		(4,473,054	)		—		(4,473,054	)
Total	$	—	$	(16,901,212	)	$	—	$	(16,901,212	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	234,043,004	$	—		$	—	$	234,043,004
Total Investments		234,043,004		—			—		234,043,004
Total	$	234,043,004	$	—		$	—	$	234,043,004

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.

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The underlying funds held at year 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 and a Republic of Kenya loan agreement, which is valued by applying 300 basis point yield spread to a comparable bond. 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 and an asset backed security which was adjusted for additional cashflow projections discounted for timing and likelihood of receipt. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 29, 2020.

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balance 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		Balance as of February 29, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 29, 2020
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	24,697,310		$	—	$	—		$	(1,524	)	$	—		$	5,206,329		$	—		$	—	$	29,902,115	$	5,206,329
Foreign Government Agency		130,262,106			8,816,000		(11,924,274	)		2,297,753			3,322,932			8,458,709			29,169,576	‡		—		170,402,802		8,458,709
Foreign Government Obligations		116,011,870			61,950		(6,412,672	)		4,521,186			—			8,032,843			50,820,005	‡		—		173,035,182		8,032,843
Loan Assignments		7,965,089			6,958,733		(1,132,081	)		55,346						555,427						—		14,402,514		538,115
Loan Participations		58,083,336			—		(11,394,396	)		2,299,980			—			(1,238,191	)		—			—		47,750,729		(1,232,294	)
Rights/Warrants		2,736,698			—		—			—			—			(654,304	)		—			—		2,082,394		(654,304	)
Total Investments		339,756,409			15,836,683		(30,863,423	)		9,172,741			3,322,932			20,360,813			79,989,581			—		437,575,736		20,349,398
Derivatives
Options		(993,146	)		—		—			—			(739,072	)		2,768,387			—			—		1,036,169		2,768,387
Total	$	338,763,263		$	15,836,683	$	(30,863,423	)#	$	9,172,741		$	2,583,860		$	23,129,200		$	79,989,581		$	—	$	438,611,905	$	23,117,785
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	30,514,634		$	1,276,335	$	(10,415,650	)	$	56,463		$	(614,201	)	$	(708,080	)	$	5,879,980	‡	$	—	$	25,989,481	$	(708,080	)
U.S. Government Agency		14,579,868			—		(2,442,500	)		32,811			—			58,623			—			—		12,228,802		58,623
Total	$	45,094,502		$	1,276,335	$	(12,858,150	)##	$	89,274		$	(614,201	)	$	(649,457	)	$	5,879,980		$	—	$	38,218,283	$	(649,457	)

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

# Includes $23,029,756 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $10,039,352 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.

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Due to/from broker

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

Foreign currency translation

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

Indexed investments

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

Loan assignments and participations

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

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 year, 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.

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February 29, 2020

As of February 29, 2020, 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 year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty		Gross Value ($)		Net Value (with related collateral) ($)		Weighted Average Maturity (days)
Opportunistic Income Fund		Nomura Securities International, Inc.		40,999,182		42,594,505		11.0

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 February 29, 2020, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
High Yield Fund		674,715		771,458

As of February 29, 2020, High Yield Fund had investments in reverse repurchase agreements with Barclays Bank PLC with a gross value of $674,715. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 29, 2020, the reverse repurchase agreements held by High Yield Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the year, 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:

	February 29, 2020
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
High Yield Fund
Reverse Repurchase Agreements
Corporate Debt	$	—	$	—	$	—	$	—	$	674,715	$	674,715
Total borrowings	$	—	$	—	$	—	$	—	$	674,715	$	674,715

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

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

Delayed delivery commitments and when-issued securities

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

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 year ended February 29, 2020, 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

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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.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	Asset Allocation Bond Fund	Core Plus Bond Fund	Emerging Country Debt Fund	High Yield Fund	Opportunistic Income Fund	U.S. Treasury Fund
Interest, accretion and amortization	X		X		X
Capital loss carry forwards	X	X	X		X	X
Defaulted bonds			X
Derivative contract transactions	X	X	X	X	X
Foreign currency transactions	X	X	X	X
Late-year ordinary losses	X	X
Losses on wash sale transactions	X	X	X	X
Losses related to debt obligations					X
Post-October capital losses	X		X	X
In-kind purchase transactions				X

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

	Tax year ended February 29, 2020						Tax year ended February 28, 2019
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		13,375,216		—		13,375,216		22,803,935		—		22,803,935
Core Plus Bond Fund		30,152,164		1,784,113		31,936,277		33,283,227		—		33,283,227
Emerging Country Debt Fund		271,475,423		—		271,475,423		287,890,398		—		287,890,398
High Yield Fund		16,679,907		—		16,679,907		8,072,368		83,385		8,155,753
Opportunistic Income Fund		49,076,525		—		49,076,525		45,077,214		—		45,077,214
U.S. Treasury Fund		9,860,244		—		9,860,244		27,557,392		—		27,557,392

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 29, 2020, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		—		—		(166,200)		(67,174,904)		—
Core Plus Bond Fund		3,159,361		8,549,870		(1,188,513)		(25,020,146)		—
Emerging Country Debt Fund		51,721,901		50,846,487		—		—		—
High Yield Fund		1,074,358		167,535		—		—		—
Opportunistic Income Fund		5,409,488		—		—		(66,270,766)		—
U.S. Treasury Fund		—		—		—		(967,217)		(29,427)

As of February 29, 2020, 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 29, 2020, 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		(27,013,502)		(40,161,402)
Core Plus Bond Fund		(291,118)		(24,729,028)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Opportunistic Income Fund		—		(66,270,766)
U.S. Treasury Fund		(941,359)		(25,858)

As of February 29, 2020, 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		218,872,149		14,219,211		—		14,219,211			—
Core Plus Bond Fund		588,722,784		17,792,960		(6,172,250)		11,620,710			2,978,211
Emerging Country Debt Fund		4,494,636,779		345,970,388		(591,278,303)		(245,307,915	)		11,569,204
High Yield Fund		161,425,303		1,474,087		(1,565,717)		(91,630)			(876,137)
Opportunistic Income Fund		840,920,394		29,952,399		(36,106,066)		(6,153,667)			(17,085,626)
U.S. Treasury Fund		233,368,796		677,769		(3,561)		674,208			—

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

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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/deflation 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.

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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 February 29, 2020, 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.

Recently-issued accounting guidance

In August 2018, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2018-13, “Fair Value Measurement (Topic 820) Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). The amendments in ASU 2018-13 apply to all entities that are required, under existing U.S. GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in ASU 2018-13 modify, remove and add certain disclosure requirements from FASB Accounting Standards Codification 820, Fair Value Measurement. The amendments in ASU 2018-13 are effective for all public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 with early adoption permitted. The Funds have early adopted the modifications and removals under this amendment and GMO is currently evaluating the impact, if any, of the new disclosure requirements on the Funds’ financial statements.

In March 2017, the FASB issued a new Accounting Standards Update No. 2017-08, “Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount. The Funds adopted ASU 2017-08 effective March 1, 2019. The adoption of ASU 2017-08 did not materially impact the Funds’ financial statements.

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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.

	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

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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

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.

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

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

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “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

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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.

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.

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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 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.

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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 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.)

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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) 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.”

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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 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

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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 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 losses (including capital loss carryforwards) to offset 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

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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.

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

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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 the recent past) 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. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. 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 would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.

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

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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.

An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a 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,

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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”) 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.

• 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 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.

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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.

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.

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

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, 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 year ended February 29, 2020, 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
Hedge non-core equity exposure				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.

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

Futures contracts

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

Options

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

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

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

Swap contracts

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

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

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

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

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

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

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

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fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

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

***

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 February 29, 2020 and the Statements of Operations for the year ended February 29, 2020^:

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	)	$	(137,302	)	$	—	$	(222,045	)
Forward Currency Contracts		—		—		592,313			—			—		592,313
Written Options		—		—		26,925			—			—		26,925
Swap Contracts		—		—		—			1,526,196			—		1,526,196
Total	$	—	$	—	$	534,495		$	1,388,894		$	—	$	1,923,389
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
Investments, at value (purchased options)	$	—		$	—	$	50,858		$	—		$	—	$	50,858
Unrealized Appreciation on Forward Currency Contracts		—			—		2,816,027			—			—		2,816,027
Unrealized Appreciation on Futures Contracts¤		—			—		—			1,913,611			—		1,913,611
Swap Contracts, at value¤		—			—		—			14,683,646			—		14,683,646
Total	$	—		$	—	$	2,866,885		$	16,597,257		$	—	$	19,464,142
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(4,008,336	)	$	—		$	—	$	(4,008,336	)
Swap Contracts, at value¤		—			—		—			(9,585,530	)		—		(9,585,530	)
Total	$	—		$	—	$	(4,008,336	)	$	(9,585,530	)	$	—	$	(13,593,866	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(202,051	)	$	(326,169	)	$	—	$	(528,220	)
Forward Currency Contracts		—			—		1,120,344			—			—		1,120,344
Futures Contracts		—			—		—			8,088,238			—		8,088,238
Written Options		—			—		64,197			—			—		64,197
Swap Contracts		—			—		—			5,625,601			—		5,625,601
Total	$	—		$	—	$	982,490		$	13,387,670		$	—	$	14,370,160
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	197,450		$	291,202		$	—	$	488,652
Forward Currency Contracts		—			—		(1,970,496	)		—			—		(1,970,496	)
Futures Contracts		—			—		—			2,142,312			—		2,142,312
Written Options		—			—		(64,197	)		—			—		(64,197	)
Swap Contracts		—			—		—			3,102,045			—		3,102,045
Total	$	—		$	—	$	(1,837,243	)	$	5,535,559		$	—	$	3,698,316
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	2,413,885		$	—		$	—	$	2,413,885
Options, at value		1,096,669			—		—			—			—		1,096,669
Swap Contracts, at value¤		40,244,272			—		—			662,028			—		40,906,300
Total	$	41,340,941		$	—	$	2,413,885		$	662,028		$	—	$	44,416,854
Liability Derivatives
Options, at value	$	(60,500	)	$	—	$	—		$	—		$	—	$	(60,500	)
Swap Contracts, at value¤		(2,824,384	)		—		—			(9,992,349	)		—		(12,816,733	)
Total	$	(2,884,884	)	$	—	$	—		$	(9,992,349	)	$	—	$	(12,877,233	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	1,645,100		$	—		$	—	$	1,645,100
Options		(739,072	)		—		—			—			—		(739,072	)
Swap Contracts		9,921,596			—		—			(6,404,368	)		—		3,517,228
Total	$	9,182,524		$	—	$	1,645,100		$	(6,404,368	)	$	—	$	4,423,256
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	5,246,715		$	—		$	—	$	5,246,715
Options		2,768,387			—		—			—			—		2,768,387
Swap Contracts		7,235,194			—		—			(6,442,830	)		—		792,364
Total	$	10,003,581		$	—	$	5,246,715		$	(6,442,830	)	$	—	$	8,807,466

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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 Forward Currency Contracts	$	—		$	—	$	73,968		$	—		$	—	$	73,968
Unrealized Appreciation on Futures Contracts¤		—			—		—			71,632			—		71,632
Swap Contracts, at value¤		801,610			—		—			4,326			—		805,936
Total	$	801,610		$	—	$	73,968		$	75,958		$	—	$	951,536
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(693,657	)	$	—		$	—	$	(693,657	)
Swap Contracts, at value¤		—			—		—			(139,080	)		—		(139,080	)
Total	$	—		$	—	$	(693,657	)	$	(139,080	)	$	—	$	(832,737	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—			—	$	907,215		$	—		$	—	$	907,215
Futures Contracts		—			—		—			1,246,174			—		1,246,174
Swap Contracts		2,391,009			—		—			7,721,620			—		10,112,629
Total	$	2,391,009		$	—	$	907,215		$	8,967,794		$	—	$	12,266,018
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	(1,106,391	)	$	—		$	—	$	(1,106,391	)
Futures Contracts		—			—		—			144,811			—		144,811
Swap Contracts		(208,689	)		—		—			(2,395,782	)		—		(2,604,471	)
Total	$	(208,689	)	$	—	$	(1,106,391	)	$	(2,250,971	)	$	—	$	(3,566,051	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	1,555,412		$	—	$	—		$	—		$	—	$	1,555,412
Unrealized Appreciation on Forward Currency Contracts		—			—		16,629			—			—		16,629
Unrealized Appreciation on Futures Contracts¤		—			—		—			61,980			—		61,980
Swap Contracts, at value¤		20,325,447			—		—			610,627			—		20,936,074
Total	$	21,880,859		$	—	$	16,629		$	672,607		$	—	$	22,570,095
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(47,595	)	$	—		$	—	$	(47,595	)
Written Options, at value		(1,828,819	)		—		—			—			—		(1,828,819	)
Swap Contracts, at value¤		(10,551,744	)		—		—			(4,473,054	)		—		(15,024,798	)
Total	$	(12,380,563	)	$	—	$	(47,595	)	$	(4,473,054	)	$	—	$	(16,901,212	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(1,953,584	)	$	—	$	—		$	—		$	—	$	(1,953,584	)
Forward Currency Contracts		—			—		(60,218	)		—			—		(60,218	)
Futures Contracts		—			—		—			6,839,209			—		6,839,209
Written Options		697,822			—		—			—			—		697,822
Swap Contracts		(2,510,724	)		—		—			(3,958,624	)		—		(6,469,348	)
Total	$	(3,766,486	)	$	—	$	(60,218	)	$	2,880,585		$	—	$	(946,119	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	1,870,144		$	—	$	—		$	—		$	—	$	1,870,144
Forward Currency Contracts		—			—		(30,432	)		—			—		(30,432	)
Futures Contracts		—			—		—			422,225			—		422,225
Written Options		(1,648,251	)		—		—			—			—		(1,648,251	)
Swap Contracts		1,788,224			—		—			(3,399,148	)		—		(1,610,924	)
Total	$	2,010,117		$	—	$	(30,432	)	$	(2,976,923	)	$	—	$	(997,238	)

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

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

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 February 29, 2020, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 29, 2020:

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
Citibank N.A.	$	91,167	$	—		$	91,167		$	—
Deutsche Bank AG		48,365		—			(19,468	)		28,897
Goldman Sachs International		4,247,358		(3,570,000	)		(462,339	)		215,019
JPMorgan Chase Bank, N.A.		431,762		—			431,762			—
Morgan Stanley & Co. International PLC		2,288,816		(122,664	)		(2,166,152	)		—	*
Total	$	7,107,468	$	(3,692,664	)	$	(2,125,030	)	$	243,916

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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.	$	233,110	$	—		$	—		$	233,110
Barclays Bank PLC		98,128		(98,128	)		—			—	*
Citibank N.A.		201,427		—			(91,167	)		110,260
Deutsche Bank AG		19,468		—			19,468			—
Goldman Sachs International		462,339		—			462,339			—
JPMorgan Chase Bank, N.A.		827,712		(395,950	)		(431,762	)		—	*
Morgan Stanley & Co. International PLC		2,166,152		—			2,166,152			—
Total	$	4,008,336	$	(494,078	)	$	2,125,030		$	343,370

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.	$	13,302,042	$	(12,524,463	)	$	—		$	777,579
Barclays Bank PLC		997,608		(740,000	)		—			257,608
Citibank N.A.		7,371,941		(7,060,000	)		—			311,941
Credit Suisse International		642,386		—			—			642,386
Deutsche Bank AG		2,378,661		—			(1,733,278	)		645,383
Goldman Sachs International		6,355,269		(473,979	)		(5,881,290	)		—	*
JPMorgan Chase Bank, N.A.		662,028		—			662,028			—
Morgan Stanley & Co. International PLC		2,192,754		(1,539,000	)		—			653,754
Total	$	33,902,689	$	(22,337,442	)	$	(6,952,540	)	$	3,288,651
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	1,733,278	$	—		$	1,733,278		$	—
Goldman Sachs International		5,881,290		—			5,881,290			—
JPMorgan Chase Bank, N.A.		1,026,326		—			(662,028	)		364,298
Total	$	8,640,894	$	—		$	6,952,540		$	364,298

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Citibank N.A.	$	73,968	$	—	$	—	$	73,968
JPMorgan Chase Bank, N.A.		4,326		—		4,326		—
Total	$	78,294	$	—	$	4,326	$	73,968

109

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Notes to Financial Statements — (Continued)

February 29, 2020

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
Goldman Sachs International	$	565,966	$	—	$	—		$	565,966
JPMorgan Chase Bank, N.A.		156,840		—		(4,326	)		152,514
Morgan Stanley & Co. International PLC		109,931		—		—			109,931
Total	$	832,737	$	—	$	(4,326	)	$	828,411

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.	$	2,186,526	$	(1,895,691	)	$	(290,835	)	$	—	*
Citigroup Global Markets Inc.		311,060		—			(190,013	)		121,047
Credit Suisse International		107,309		—			107,309			—
Deutsche Bank AG		1,028,526		(319,402	)		(664,655	)		44,469
Goldman Sachs International		10,587,364		(8,430,771	)		(2,156,593	)		—	*
JPMorgan Chase Bank, N.A.		6,089,257		(3,608,923	)		(2,480,334	)		—	*
Morgan Stanley & Co. International PLC		14,728		—			14,728			—
Morgan Stanley Capital Services LLC		1,941,995		(850,000	)		(583,947	)		508,048
Total	$	22,266,765	$	(15,104,787	)	$	(6,244,340	)	$	673,564
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.	$	290,835	$	—		$	290,835		$	—
Barclays Bank PLC		1,093,478		(1,093,478	)		—			—	*
Citibank N.A.		26,831		—			—			26,831
Citigroup Global Markets Inc.		190,013		—			190,013			—
Credit Suisse International		213,459		—			(107,309	)		106,150
Deutsche Bank AG		664,655		—			664,655			—
Goldman Sachs International		2,156,593		—			2,156,593			—
JPMorgan Chase Bank, N.A.		2,480,334		—			2,480,334			—
Morgan Stanley & Co. International PLC		840,118		(673,420	)		(14,728	)		151,970
Morgan Stanley Capital Services LLC		583,947		—			583,947			—
Total	$	8,540,263	$	(1,766,898	)	$	6,244,340		$	284,951

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

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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 year ended February 29, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)			Swap Contracts ($)
Asset Allocation Bond Fund		32,980,089		—		210,874	*		39,109,785
Core Plus Bond Fund		482,256,423		128,462,342		887,760			652,609,001
Emerging Country Debt Fund		139,428,688		—		275,543,000			1,140,475,382
High Yield Fund		42,054,688		30,108,098		—			119,644,964
Opportunistic Income Fund		4,224,544		107,211,901		652,271,929			670,871,880

* During the year ended February 29, 2020, 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 February 29, 2020.

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

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

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

For the year ended February 29, 2020, GMO recouped the following previously recorded waivers and/or reimbursements.

	Recoupment Amount ($)
High Yield Fund, Class VI		73,030

On February 29, 2020, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2021		Expiring the year ending February 28, 2022		Expiring the year ending February 28, 2023
High Yield Fund, Class VI		$        —		$92,527		$        —

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 III, IV, V, VI, 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 III, IV, V, VI, 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. 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.

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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 year ended February 29, 2020 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		7,325		1,528
Core Plus Bond Fund		17,621		1,820
Emerging Country Debt Fund		120,758		11,506
High Yield Fund		6,361		588
Opportunistic Income Fund		26,862		2,685
U.S. Treasury Fund		12,960		3,085

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2020, the Funds below 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		0.127%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 29, 2020, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2020 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		48,368,790		66,002,829		194,711,386		87,090,000
Core Plus Bond Fund		1,149,060,680		470,443,656		1,273,433,946		535,257,262
Emerging Country Debt Fund		392,737,884		1,441,282,926		469,713,683		1,165,069,852
High Yield Fund		23,311,484		268,053,614		84,551,402		205,690,501
Opportunistic Income Fund		110,287,152		318,991,536		102,237,307		520,335,139
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.

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

8. Principal shareholders and related parties as of February 29, 2020

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		3‡		82.34%		<0.01%		99.98%
Core Plus Bond Fund		4#		80.46%		0.01%		96.85%
Emerging Country Debt Fund		—		—		0.14%		15.83%
High Yield Fund		2‡		99.99%		—		99.99%
Opportunistic Income Fund		3§		85.94%		0.86%		95.94%
U.S. Treasury Fund		2‡		46.00%		1.67%		98.05%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

§ Three of the shareholders are other funds of the Trust.

9. Share transactions

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

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		110,325		$	2,474,600			323,246		$	7,094,871
Shares issued to shareholders in reinvestment of distributions		126,900			2,798,964			217,076			4,658,802
Shares repurchased		(2,253,855	)		(50,054,998	)		(6,141,016	)		(136,252,051	)
Net increase (decrease)		(2,016,630	)	$	(44,781,434	)		(5,600,694	)	$	(124,498,378	)
Class VI:
Shares sold		202,925		$	4,483,781			559,591		$	12,172,474
Shares issued to shareholders in reinvestment of distributions		414,203			9,160,744			766,638			16,505,943
Shares repurchased		(6,261,332	)		(140,077,926	)		(33,498,610	)		(740,235,562	)
Net increase (decrease)		(5,644,204	)	$	(126,433,401	)		(32,172,381	)	$	(711,557,145	)
Core Plus Bond Fund
Class III:
Shares sold		171,785		$	3,857,759			2,392,287		$	50,128,789
Shares issued to shareholders in reinvestment of distributions		197,461			4,223,692			100,928			2,073,392
Shares repurchased		(765,786	)		(17,018,076	)		(118,350	)		(2,499,196	)
Net increase (decrease)		(396,540	)	$	(8,936,625	)		2,374,865		$	49,702,985
Class IV:
Shares sold		360,886		$	7,771,423			9,700,548		$	203,400,272
Shares issued to shareholders in reinvestment of distributions		1,233,567			26,460,017			1,452,774			29,943,776
Shares repurchased		(9,111,663	)		(200,655,846	)		(27,325,419	)		(575,500,755	)
Net increase (decrease)		(7,517,210	)	$	(166,424,406	)		(16,172,097	)	$	(342,156,707	)

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund
Class III:
Shares sold		7,880,299		$	217,000,478			4,223,809		$	113,980,360
Shares issued to shareholders in reinvestment of distributions		2,957,296			79,423,521			2,995,477			76,849,920
Shares repurchased		(17,701,435	)		(490,147,602	)		(3,437,900	)		(93,037,193	)
Purchase premiums		—			446,109			—			717,117
Redemption fees		—			739,018			—			729,206
Net increase (decrease)		(6,863,840	)	$	(192,538,476	)		3,781,386		$	99,239,410
Class IV:
Shares sold		19,712,189		$	544,492,697			12,706,912		$	341,918,055
Shares issued to shareholders in reinvestment of distributions		5,991,783			160,731,422			7,021,515			179,598,243
Shares repurchased		(14,371,734	)		(394,762,711	)		(13,508,216	)		(366,101,076	)
Purchase premiums		—			993,428			—			1,575,671
Redemption fees		—			1,612,037			—			1,569,189
Net increase (decrease)		11,332,238		$	313,066,873			6,220,211		$	158,560,082
High Yield Fund
Class VI:*
Shares sold		98,276		$	2,056,846			24,418,763	(a)	$	489,560,914	(a)
Shares issued to shareholders in reinvestment of distributions		820,617			16,679,907			422,797			8,155,753
Shares repurchased		(3,348,294	)		(68,220,577	)		(14,314,817	)		(286,953,319	)
Net increase (decrease)		(2,429,401	)	$	(49,483,824	)		10,526,743		$	210,763,348
Opportunistic Income Fund
Class VI:
Shares sold		702,105		$	18,486,845			5,491,424		$	146,241,083
Shares issued to shareholders in reinvestment of distributions		1,589,564			41,113,159			1,432,303			37,450,244
Shares repurchased		(8,905,218	)		(235,744,022	)		(14,383,492	)		(381,577,895	)
Purchase premiums		—			69,702			—			547,528
Redemption fees		—			251,056			—			1,486,572
Net increase (decrease)		(6,613,549	)	$	(175,823,260	)		(7,459,765	)	$	(195,852,468	)
Class I:**
Shares sold		880,843			22,880,307
Shares issued to shareholders in reinvestment of distributions		9,193			236,179
Shares repurchased		(21,627	)		(555,796	)
Net increase (decrease)		868,409		$	22,560,690
U.S. Treasury Fund
Core Class:
Shares sold		785,807,533		$	3,930,131,346			441,036,241	(b)	$	5,077,646,036
Shares issued to shareholders in reinvestment of distributions		1,061,376			5,309,001			1,124,838	(b)		19,828,549
Shares repurchased		(869,725,175	)		(4,350,339,593	)		(408,046,941	)(b)(c)		(6,786,663,728	)(c)
Net increase (decrease)		(82,856,266	)	$	(414,899,246	)		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.

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

** The period under the heading “Year Ended February 29, 2020” represents the period from November 5, 2019 (commencement of operations) through February 29, 2020.

^(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.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2020 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	$	66,002,829	$	87,090,000	$	272,581	$	17,929		$	19,842		$	8,656,379
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	34,628,088	$	—	$	6,100,000	$	2,023,855	$	(234,151	)	$	1,022,720		$	29,316,657
GMO Opportunistic Income Fund, Class VI		135,749,920		—		27,500,000		6,701,931		886,467			(740,935	)		108,395,452
GMO U.S. Treasury Fund		39,599,632		420,920,000		456,030,000		165,146		23,480			4,018			4,517,130
Totals	$	209,977,640	$	420,920,000	$	489,630,000	$	8,890,932	$	675,796		$	285,803		$	142,229,239
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,190,722	$	—	$	—	$	1,515,361	$	—		$	296,762		$	74,487,484
High Yield Fund
GMO U.S. Treasury Fund	$	3,539,546	$	147,613,475	$	150,768,903	$	66,536	$	1,062		$	—		$	385,180
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	17,465,242	$	15,000,000	$	22,250,000	$	222,550	$	(2,899	)	$	43,760		$	10,256,103

11. Subsequent events

Effective March 1, 2020, GMO Emerging Country Debt Fund’s investment objective is “total return in excess of that of its benchmark, the J.P. Morgan EMBI Global Diversified”. GMO Emerging Country Debt Fund’s purchase premium and redemption fees were changed to 1.15% effective March 16, 2020 and to 2.00% effective March 25, 2020.

Subsequent to February 29, 2020, GMO Asset Allocation Bond Fund and GMO Core Plus Bond Fund received redemption requests in the amounts of $72,684,333 and $143,158,904, respectively.

116

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations for the year ended February 29, 2020, the statements of changes in net assets for each of the periods indicated in the table below, the statement of cash flows for GMO Emerging Country Debt Fund for the year ended February 20, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods indicated in the table below, the cash flows of GMO Emerging Country Debt Fund for the year ended February 29, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund, GMO Opportunistic Income Fund, GMO U.S. Treasury Fund	Statements of changes in net assets for each of the two years in the period ended February 29, 2020
GMO High Yield Fund	Statement of changes in net assets for the year ended February 29, 2020 and for the period June 25, 2018 (commencement of operations) through February 28, 2019

Basis for Opinions

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 24, 2020

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

117

GMO Trust Funds

Fund Expenses

February 29, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2020.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2019 through February 29, 2020.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,023.80		$2.01		$1,000.00		$1,022.87		$2.01		0.40%
Class VI		$1,000.00		$1,024.40		$1.56		$1,000.00		$1,023.32		$1.56		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$1,028.30		$2.12		$1,000.00		$1,022.78		$2.11		0.42%
Class IV		$1,000.00		$1,028.60		$1.87		$1,000.00		$1,023.02		$1.86		0.37%
Emerging Country Debt Fund
Class III		$1,000.00		$1,038.00		$2.74		$1,000.00		$1,022.18		$2.72		0.54%
Class IV		$1,000.00		$1,038.70		$2.48		$1,000.00		$1,022.43		$2.46		0.49%
High Yield Fund
Class VI		$1,000.00		$1,013.40		$2.70		$1,000.00		$1,022.18		$2.72		0.54%
Opportunistic Income Fund
Class VI		$1,000.00		$1,023.00		$2.36		$1,000.00		$1,022.53		$2.36		0.47%
Class I(a)		$1,000.00		$1,018.00		$2.11		$1,000.00		$1,021.58		$3.32		0.66%
U.S. Treasury Fund
Core		$1,000.00		$1,012.50		$0.40		$1,000.00		$1,024.47		$0.40		0.08%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2020, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

^(a) For the period November 5, 2019 (commencement of operations) through February, 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the year ended February 29, 2020, multiplied by the average account value over the period, multiplied by 116 days in the period, divided by 366 days in the year.

118

GMO Trust Funds

Tax Information for the Tax Year Ended February 29, 2020 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 29, 2020:

Fund Name	U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short-Term Capital  Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)
Asset Allocation Bond Fund		57.02%		7,313,120		—		—
Core Plus Bond Fund		10.94%		10,110,351		13,451,848		1,784,113
Emerging Country Debt Fund		6.13%		16,785,173		—		—
High Yield Fund		14.22%		4,707,348		—		—
Opportunistic Income Fund		1.18%		38,200,585		—		—
U.S. Treasury Fund		93.56%		9,860,244		—		—

⁽¹⁾  Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾  All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾  These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds.

In early 2021, the Funds will notify applicable shareholders of amounts for use in preparing 2020 U.S. federal income tax forms.

119

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2020. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		31	Director, BeiGene Ltd. (biotech research).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		31	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		31	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).
Interested Trustee and Officer
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016)		46	None.

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

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

120

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016).
Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 –November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser. With the exception of Mr. Feigelson and Ms. Saw, each officer listed in the table above also serves as an officer of GMO Series Trust.

121

GMO Trust

Annual Report

February 29, 2020

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-Port, which is available on the Commission’s website at www.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
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance	8
Performance Graph	9
Investment Concentration Summary	10
Schedule of Investments	11
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	16
Performance Graph	17
Investment Concentration Summary	18
Schedule of Investments	19
International Equity Fund
Management Discussion and Analysis of Fund Performance	26
Performance Graph	27
Investment Concentration Summary	28
Schedule of Investments	29
Quality Fund
Management Discussion and Analysis of Fund Performance	34
Performance Graph	35
Investment Concentration Summary	36
Schedule of Investments	37
Resources Fund
Management Discussion and Analysis of Fund Performance	40
Performance Graph	41
Investment Concentration Summary	42
Schedule of Investments	43
Risk Premium Fund
Management Discussion and Analysis of Fund Performance	46
Performance Graph	47
Investment Concentration Summary	48
Schedule of Investments	49
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance	50
Performance Graph	51
Investment Concentration Summary	52
Schedule of Investments	53
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	58
Performance Graph	59
Investment Concentration Summary	60
Schedule of Investments	61
U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	66
Performance Graph	67
Investment Concentration Summary	68
Schedule of Investments	69
Portfolio, Counterparty and Currency Abbreviations	73
Fund Financial Statements:
Statements of Assets and Liabilities	74
Statements of Operations	80
Statements of Changes in Net Assets	83
Financial Highlights	88
Notes to Financial Statements	99
Report of Independent Registered Public Accounting Firm	149
Fund Expenses	150
Tax Information	152
Trustees and Officers	153

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion or the Fund’s performance relative to the MSCI ACWI is included for comparative purposes.

Class III shares of GMO Climate Change Fund returned +5.66% (net) for the fiscal year ended February 29, 2020, as compared with +3.89% for the MSCI ACWI.

The Fund’s clean energy exposure contributed to performance. Solar and other clean energy companies performed well during the year. SolarEdge Technologies Inc. and Renewable Energy Group Inc. were among the largest contributors.

The Fund’s copper exposure negatively impacted performance. Copper prices declined approximately 14% during the year. Freeport-McMoRan, Inc. was among the largest detractors.

The Fund’s agriculture exposure negatively impacted performance. In particular, the Fund’s agricultural productivity exposure detracted. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was among the worst performers.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

2

GMO Climate Change Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

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

3

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.7	%
Mutual Funds		6.9
Preferred Stocks		3.0
Other		(5.6	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		42.4	%
Japan		8.7
France		8.1
Russia		4.3
Other Emerging		3.7	†
United Kingdom		3.2
China		3.1
Canada		3.1
Spain		3.1
Italy		2.9
Denmark		2.9
Chile		2.8
Mexico		2.4
Germany		2.1
Other Developed		2.0	‡
Norway		1.8
Switzerland		1.2
Israel		1.1
Australia		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		41.4	%
Energy Efficiency		21.2
Agriculture		15.1
Copper		8.7
Electric Grid		6.8
Water		6.8
		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.

4

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Argentina — 0.9%
	174,815	Adecoagro SA *		1,143,290
		Australia — 1.2%
	854,189	Infigen Energy		358,985
	19,699	OZ Minerals Ltd		116,770
	238,096	Sandfire Resources NL (a)		669,032
	120,420	Tassal Group Ltd		304,374
		Total Australia		1,449,161
		Brazil — 1.0%
	194,700	Sao Martinho SA		1,153,336
	24,700	SLC Agricola SA		111,407
		Total Brazil		1,264,743
		Canada — 3.3%
	89,463	Canadian Solar Inc * (a)		1,825,045
	1,708,600	Largo Resources Ltd *		1,145,644
	52,600	Lundin Mining Corp		268,437
	29,900	NFI Group Inc (a)		655,806
	10,000	TransAlta Renewables Inc (a)		122,258
		Total Canada		4,017,190
		China — 3.3%
	1,193,000	CGN Power Co Ltd – Class H		293,437
	1,179,000	Chaowei Power Holdings Ltd		375,506
	179,000	China Everbright International Ltd		121,176
	1,558,000	China Suntien Green Energy Corp Ltd – Class H		385,526
	586,000	China Water Affairs Group Ltd.		470,662
	43,700	Hollysys Automation Technologies Ltd		661,618
	168,000	MMG Ltd *		35,313
	910,000	Tianneng Power International Ltd		678,475
	848,000	Wasion Group Holdings Ltd		347,183
	335,774	Zhengzhou Yutong Bus Co Ltd – Class A		732,943
		Total China		4,101,839
		Denmark — 3.0%
	38,651	Vestas Wind Systems A/S		3,729,059
		Finland — 0.4%
	34,839	Kemira Oyj		443,584
		France — 8.5%
	13,260	Albioma SA		437,970
	59,520	Electricite de France SA		835,450
	16,659	Nexans SA		767,938
	12,308	Schneider Electric SE		1,250,486
	35,995	STMicroelectronics NV		988,839
	98,076	Suez		1,557,329
	71,129	Valeo SA		1,808,189

Shares		Description	Value ($)
		France — continued
	81,320	Veolia Environnement SA		2,342,906
	11,700	Vilmorin & Cie SA		520,504
		Total France		10,509,611
		Germany — 2.3%
	13,683	CENTROTEC Sustainable AG		222,308
	98,604	E.ON SE		1,145,410
	39,459	K+S AG (Registered)		326,715
	209	Knorr-Bremse AG		21,365
	10,603	Siemens AG (Registered)		1,090,744
		Total Germany		2,806,542
		India — 0.1%
	609,266	Jain Irrigation Systems Ltd *		46,044
	253,775	Rashtriya Chemicals & Fertilizers Ltd		135,631
		Total India		181,675
		Israel — 1.2%
	411,325	Israel Chemicals Ltd		1,496,150
		Italy — 3.1%
	298,591	Enel SPA		2,506,129
	54,669	Prysmian SPA		1,306,006
		Total Italy		3,812,135
		Japan — 9.2%
	5,900	Central Japan Railway Co		969,897
	900	Daikin Industries Ltd		121,252
	13,500	East Japan Railway Co (a)		1,031,168
	35,900	Ebara Corp		845,367
	49,700	GS Yuasa Corp		872,903
	153,400	Hitachi Zosen Corp		533,709
	101,700	Kubota Corp		1,426,012
	21,600	Kurita Water Industries Ltd		557,098
	7,900	METAWATER Co Ltd		279,405
	47,700	Osaki Electric Co Ltd		241,009
	188,800	Panasonic Corp		1,790,776
	110,900	Renesas Electronics Corp *		675,399
	15,100	Sanken Electric Co Ltd		358,318
	41,700	Takuma Co Ltd		453,368
	7,600	Tsukishima Kikai Co Ltd		87,208
	14,600	West Japan Railway Co		1,031,317
		Total Japan		11,274,206
		Malaysia — 0.1%
	724,600	George Kent Malaysia Berhad		142,576
		Mexico — 2.5%
	1,323,400	Grupo Mexico SAB de CV		3,127,132
		Netherlands — 0.9%
	46,972	Arcadis NV (a)		1,066,662

See accompanying notes to the financial statements. 5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Norway — 1.9%
	150,531	Austevoll Seafood ASA		1,335,885
	31,611	Borregaard ASA		335,700
	27,157	Grieg Seafood ASA		346,851
	1,183	Mowi ASA		25,062
	7,586	Yara International ASA		278,516
		Total Norway		2,322,014
		Pakistan — 0.5%
	827,000	Fauji Fertilizer Co Ltd		551,976
		Portugal — 0.9%
	227,793	EDP – Energias de Portugal SA		1,063,496
		Russia — 4.6%
	97,118	MMC Norilsk Nickel PJSC ADR		2,936,542
	146,588	PhosAgro PJSC GDR (Registered)		1,630,485
	116,061	Ros Agro Plc GDR (Registered)		1,061,366
		Total Russia		5,628,393
		Spain — 3.2%
	6,288	Acciona SA (a)		796,891
	2,409	Construcciones y Auxiliar de Ferrocarriles SA		103,885
	60,707	Endesa SA		1,562,113
	11,949	Fomento de Construcciones y Contratas SA		141,475
	71,034	Iberdrola SA		813,211
	29,287	Red Electrica Corp SA		559,770
		Total Spain		3,977,345
		Switzerland — 1.2%
	690	Gurit Holding AG		1,027,998
	5,869	Landis+Gyr Group AG *		481,069
		Total Switzerland		1,509,067
		Taiwan — 0.2%
	58,000	Delta Electronics Inc		262,947
		Thailand — 0.3%
	564,300	SPCG Pcl		316,316
		Ukraine — 0.7%
	82,762	Kernel Holding SA		913,445
		United Kingdom — 3.4%
	16,800	Abengoa Yield Plc		485,688
	95,792	Drax Group Plc		332,634
	27,798	Go-Ahead Group Plc		706,766
	135,910	KAZ Minerals Plc		727,566
	77,381	Polypipe Group Plc		537,973
	159,653	Renewables Infrastructure Group Ltd (The)		275,234
	961,840	Renewi Plc		448,628

Shares		Description	Value ($)
		United Kingdom — continued
	375,079	Stagecoach Group Plc		633,210
		Total United Kingdom		4,147,699
		United States — 37.8%
	17,200	AGCO Corp.		1,039,396
	45,500	Albemarle Corp. (a)		3,724,175
	71,239	BorgWarner, Inc.		2,251,152
	5,200	CORTEVA, Inc. *		141,440
	58,500	Delphi Technologies Plc *		826,020
	12,900	Eaton Corp Plc		1,170,288
	8,600	Edison International		577,834
	5,400	EnerSys		332,532
	26,500	Exelon Corp.		1,142,415
	33,700	First Solar, Inc. *		1,542,449
	566,627	Freeport-McMoRan, Inc.		5,643,605
	20,300	FutureFuel Corp.		206,451
	271,456	GrafTech International Ltd. (a)		2,215,081
	27,700	Johnson Controls International Plc		1,012,989
	120,100	Livent Corp. * (a)		1,072,493
	235,940	Mosaic Co. (The)		4,018,058
	12,500	MYR Group, Inc. *		318,875
	50,200	ON Semiconductor Corp. *		936,732
	29,500	Owens Corning		1,666,455
	274,763	Renewable Energy Group, Inc. * (a)		7,267,481
	4,800	REX American Resources Corp. *		336,048
	8,200	Rexnord Corp.		239,112
	4,600	Sensata Technologies Holding Plc *		187,680
	63,595	SolarEdge Technologies, Inc. * (a)		7,931,569
	8,200	TE Connectivity Ltd.		679,534
	700	Valmont Industries, Inc.		81,354
		Total United States		46,561,218
		TOTAL COMMON STOCKS (COST $115,135,807)		117,819,471
		PREFERRED STOCKS (b) — 3.0%
		Chile — 3.0%
	133,200	Sociedad Quimica y Minera de Chile SA Sponsored ADR		3,647,016
		TOTAL PREFERRED STOCKS (COST $5,641,897)		3,647,016

6 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 6.9%
		United States — 6.9%
		Affiliated Issuers — 6.9%
	1,702,193	GMO U.S. Treasury Fund (c)		8,545,006
		TOTAL MUTUAL FUNDS (COST $8,530,139)		8,545,006
		TOTAL INVESTMENTS — 105.6% (Cost $129,307,843)		130,011,493
		Other Assets and Liabilities (net) — (5.6%)		(6,857,712	)
		TOTAL NET ASSETS — 100.0%		$123,153,781

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

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 73.

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes.

Class II shares of GMO Emerging Domestic Opportunities Fund returned +2.39% (net) for the fiscal year ended February 29, 2020, as compared with -1.88% for the MSCI Emerging Markets Index.

Country-sector allocation contributed to the Fund’s relative returns for the fiscal year. The Fund’s overweight in India Financials and underweight in South Africa Financials helped relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. The Fund’s stock selection in India Industrials and China Consumer Discretionary hurt relative performance.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

8

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Domestic Opportunities Class II Shares and the MSCI Emerging Markets Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

* For the period from March 1, 2011 to March 24, 2011, no Class II shares were outstanding. Performance for that period is that of Class V, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class II expenses had been applied throughout.

** For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

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

9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		79.8	%
Investment Funds		12.3
Mutual Funds		1.9
Preferred Stocks		1.9
Debt Obligations		1.1
Short-Term Investments		0.6
Futures Contracts		0.1
Swap Contracts		0.1
Forward Currency Contracts		0.0	^
Other		2.2
		100.0	%
Country/Region Summary¤	% of Investments
China		35.7	%
Taiwan		10.7
India		8.9
United States		8.5	*
South Korea		7.5
Brazil		4.8
Russia		4.7
Indonesia		3.5
Thailand		3.0
Switzerland		2.5
Philippines		2.2
Vietnam		2.1
Mexico		2.0
Hong Kong		1.0
South Africa		1.0
Turkey		1.0
Chile		0.4
Poland		0.2
United Kingdom		0.1	*
Peru		0.1
Belgium		0.1
Hungary		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		24.3	%
Media & Entertainment		12.3
Retailing		12.2
Technology Hardware & Equipment		10.2
Semiconductors & Semiconductor Equipment		7.8
Food, Beverage & Tobacco		6.4
Insurance		4.4
Diversified Financials		3.8
Consumer Services		3.3
Consumer Durables & Apparel		2.1
Food & Staples Retailing		2.1
Real Estate		1.9
Materials		1.9
Transportation		1.8
Capital Goods		1.5
Household & Personal Products		1.5
Telecommunication Services		0.8
Health Care Equipment & Services		0.7
Energy		0.5
Commercial & Professional Services		0.3
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).

¤ 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%.

10

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 79.8%
		Belgium — 0.1%
	13,582	Anheuser-Busch InBev SA/NV		784,781
		Brazil — 2.8%
	389,800	Atacadao SA		1,803,475
	427,600	B3 SA – Brasil Bolsa Balcao		4,589,727
	857,500	BR Malls Participacoes SA		3,133,243
	308,390	Localiza Rent a Car SA		3,416,365
	325,800	Lojas Renner SA		3,883,168
	781,200	Rumo SA *		3,689,471
	920,900	Via Varejo SA *		2,843,898
	96,100	XP, Inc. – Class A *		3,329,865
		Total Brazil		26,689,212
		Chile — 0.4%
	79,737,822	Banco Santander Chile		3,568,119
		China — 32.7%
	464,750	A-Living Services Co Ltd – Class H		2,133,001
	320,376	Alibaba Group Holding Ltd Sponsored ADR *		66,638,208
	202,500	Alibaba Group Holding Ltd. *		5,195,638
	492,500	Anhui Conch Cement Co Ltd – Class H		3,688,424
	313,100	ASM Pacific Technology Ltd		3,786,427
	25,500	Baidu Inc Sponsored ADR *		3,059,490
	115,100	Bilibili, Inc. Sponsored ADR *		2,955,768
	697,000	Budweiser Brewing Co. APAC Ltd. *		2,127,679
	2,995,004	China Construction Bank Corp – Class H		2,462,586
	3,604,800	China International Capital Corp Ltd – Class H		6,805,141
	1,525,000	China Mengniu Dairy Co Ltd *		5,573,398
	2,025,500	China Merchants Bank Co Ltd – Class H		9,744,474
	1,046,000	China Resources Land Ltd		4,966,824
	42,700	Huazhu Group Ltd. ADR		1,441,125
	164,700	JD.com Inc ADR *		6,342,597
	472,219	Jiangsu Hengli Hydraulic Co Ltd – Class A		3,965,986
	39,087	Kweichow Moutai Co Ltd – Class A		5,965,768
	854,500	Longfor Group Holdings Ltd		4,041,532
	3,101,600	MGM China Holdings Ltd.		4,287,554
	1,562,682	Midea Group Co Ltd – Class A		12,100,417
	30,700	NetEase Inc ADR		9,784,397
	39,800	New Oriental Education & Technology Group Inc Sponsored ADR *		5,090,022
	1,533,000	Nine Dragons Paper Holdings Ltd		1,841,565
	4,024,251	Ping An Bank Co Ltd – Class A		8,494,404
	1,790,905	Ping An Insurance Group Co of China Ltd – Class H		20,402,689
	2,136,000	Shenzhen International Holdings Ltd		4,130,831
	164,783	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		5,679,792
	361,600	Shenzhou International Group Holdings Ltd		4,576,330
	3,252,500	Sun Art Retail Group Ltd		4,203,652

Shares		Description	Value ($)
		China — continued
	101,800	TAL Education Group ADR *		5,536,902
	1,423,184	Tencent Holdings Ltd		72,162,121
	94,169	Wuliangye Yibin Co Ltd – Class A		1,647,005
	2,153,400	Xiaomi Corp. – Class B *		3,532,758
	358,000	Yihai International Holding Ltd. *		2,424,687
	119,500	Yum China Holdings Inc		5,232,905
	599,000	Zhongsheng Group Holdings Ltd		2,306,526
		Total China		314,328,623
		Hong Kong — 1.0%
	967,481	AIA Group Ltd		9,696,523
		Hungary — 0.0%
	4,453	OTP Bank Plc		195,456
		India — 8.7%
	98,843	Asian Paints Ltd		2,489,207
	71,539	Bajaj Finance Ltd		4,506,823
	858,846	Bharti Airtel Ltd *		6,241,903
	795,919	CMI Ltd (a)		325,809
	1,048,219	Coffee Day Enterprises Ltd *		425,579
	10,683,040	Gayatri Highways Ltd *		43,229
	11,052,457	Gayatri Projects Ltd * (a)		3,380,455
	322,980	HDFC Bank Ltd		5,306,527
	26,900	HDFC Bank Ltd ADR		1,475,465
	236,000	Hindustan Unilever Ltd		7,154,406
	257,916	Housing Development Finance Corp Ltd		7,862,621
	2,022,751	ICICI Bank Ltd		14,092,393
	107,900	ICICI Bank Ltd Sponsored ADR		1,496,573
	694,425	ICICI Prudential Life Insurance Co Ltd		4,552,914
	160,214	Jubilant Foodworks Ltd		3,957,836
	233,309	Kotak Mahindra Bank Ltd		5,278,716
	517,284	Muthoot Finance Ltd		6,387,183
	324,368	SBI Card & Payment Services Ltd * (b)		3,393,464
	35,351	UltraTech Cement Ltd		2,080,554
	294,343	Voltas Ltd		2,786,941
		Total India		83,238,598
		Indonesia — 3.4%
	13,640,964	Bank Central Asia Tbk PT		30,131,649
	20,180,500	Uni-Charm Indonesia Tbk PT *		2,264,548
		Total Indonesia		32,396,197
		Mexico — 1.4%
	582,600	Fomento Economico Mexicano SAB de CV		4,750,663
	144,045	Grupo Aeroportuario del Sureste SAB de CV – Class B		2,398,555
	297,100	Grupo Financiero Banorte SAB de CV – Class O		1,624,442
	1,574,600	Wal-Mart de Mexico SAB de CV		4,432,687
		Total Mexico		13,206,347

See accompanying notes to the financial statements. 11

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Peru — 0.1%
	4,540	Credicorp Ltd		822,966
		Philippines — 1.6%
	3,189,532	BDO Unibank Inc		8,721,707
	3,653,440	Puregold Price Club Inc		2,653,736
	9,925,400	Semirara Mining & Power Corp		3,777,037
		Total Philippines		15,152,480
		Poland — 0.2%
	79,579	Bank Polska Kasa Opieki SA		1,800,781
		Russia — 1.8%
	579,930,000	Federal Grid Co Unified Energy System PJSC		1,811,599
	723,616	Sberbank of Russia PJSC Sponsored ADR		10,325,021
	124,100	Yandex NV – Class A *		5,039,701
		Total Russia		17,176,321
		South Africa — 1.0%
	240,335	FirstRand Ltd		858,074
	54,502	Naspers Ltd – N Shares		8,521,716
		Total South Africa		9,379,790
		South Korea — 7.2%
	23,323	Kakao Corp		3,345,486
	1,064	LG Household & Health Care Ltd		1,074,108
	1,341,548	Samsung Electronics Co Ltd		60,384,884
	65,886	SK Hynix Inc		4,868,354
		Total South Korea		69,672,832
		Switzerland — 2.4%
	229,897	Nestle SA (Registered)		23,657,721
		Taiwan — 10.4%
	99,000	Airtac International Group		1,536,878
	15,036,000	CTBC Financial Holding Co Ltd		11,159,183
	1,521,000	Delta Electronics Inc		6,895,558
	4,664,575	E.Sun Financial Holding Co Ltd		4,447,428
	1,104,000	Hon Hai Precision Industry Co Ltd		2,880,843
	47,000	Largan Precision Co Ltd		6,648,170
	213,000	MediaTek Inc		2,476,197
	8,827,000	Mega Financial Holding Co Ltd		9,346,871
	3,426,486	Taiwan Cement Corp		4,732,046
	4,464,800	Taiwan Semiconductor Manufacturing Co Ltd		46,031,175
	73,200	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		3,941,088
		Total Taiwan		100,095,437
		Thailand — 1.2%
	1,590,400	CP ALL Pcl (Foreign Registered)		3,351,698
	7,784,200	Quality Houses Leasehold Property Fund		3,084,321

Shares		Description	Value ($)
		Thailand — continued
	1,689,900	Tisco Financial Group Pcl (Foreign Registered)		5,318,195
		Total Thailand		11,754,214
		Turkey — 1.0%
	8,603,786	Akbank TAS *		9,328,042
		United Kingdom — 0.1%
	19,551	Unilever Plc		1,051,059
		United States — 0.3%
	25,300	PepsiCo, Inc.		3,340,359
		Vietnam — 2.0%
	5,521,000	Bank for Foreign Trade of Vietnam JSC		19,695,349
		TOTAL COMMON STOCKS (COST $761,741,775)		767,031,207
		PREFERRED STOCKS (c) — 1.9%
		Brazil — 1.9%
	1,169,960	Banco Bradesco SA		7,987,406
	1,429,050	Itau Unibanco Holding SA		10,225,989
		Total Brazil		18,213,395
		TOTAL PREFERRED STOCKS (COST $24,211,916)		18,213,395
		INVESTMENT FUNDS — 12.3%
		China — 2.1%
	3,591,800	iShares FTSE A50 China Index ETF		6,608,983
	211,600	iShares MSCI China ETF		13,146,708
		Total China		19,755,691
		Mexico — 0.6%
	140,700	iShares MSCI Mexico Capped ETF		5,855,934
		Russia — 2.8%
	1,232,000	VanEck Vectors Russia ETF		26,327,840
		Thailand — 3.7%
	71,367,490	Digital Telecommunications Infrastructure Fund		35,843,526
		United States — 3.1%
	617,833	iShares Core MSCI Emerging Markets ETF		30,094,646
		TOTAL INVESTMENT FUNDS (COST $122,464,634)		117,877,637

12 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†/ Shares		Description	Value ($)
		DEBT OBLIGATIONS — 1.1%
		United States — 1.1%
	10,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20 (d)		10,000,602
		TOTAL DEBT OBLIGATIONS (COST $10,000,903)		10,000,602
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers — 1.9%
	3,708,233	GMO U.S. Treasury Fund		18,615,329
		TOTAL MUTUAL FUNDS (COST $18,598,239)		18,615,329

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.6%
		U.S. Government — 0.6%
	6,000,000	U.S. Treasury Bill, 1.30%, due 04/23/20 (e)		5,988,341
		Total U.S. Government		5,988,341
		TOTAL SHORT-TERM INVESTMENTS (COST $5,986,379)		5,988,341
		TOTAL INVESTMENTS — 97.6% (Cost $943,003,846)		937,726,511
		Other Assets and Liabilities (net) — 2.4%		23,139,023
		TOTAL NET ASSETS — 100.0%		$960,865,534

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Cost		Value as a Percentage of Fund’s Net Assets	Value as of February 29, 2020
SBI Card & Payment Services Ltd	02/28/20	$	3,393,464	0.35%	$	3,393,464

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
02/25/2021	MSCI		THB	1,537,784,049		USD	48,609,987		(405,915	)
								$	(405,915	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 342	Mini MSCI Emerging Markets	March 2020	$	17,250,480	$	(1,588,160	)
Sales 3,350	SET 50	March 2020	$	19,256,785	$	2,815,286

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 13

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total return on MSCI Daily TR Gross Emerging Markets Philippines Index	3 Month USD LIBOR plus a spread of (0.50)%	GS	USD	9,975,399		02/24/2021	Quarterly		—		539,284		539,284
Total return on MSCI TR Gross Emerging Market Philippines Index	3 Month USD LIBOR plus a spread of (0.50)%	GS	USD	4,987,754		02/26/2021	Quarterly		—		79,658		79,658
								$	—	$	618,942	$	618,942

As of February 29, 2020, 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) The security is restricted as to resale.

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

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

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

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 73.

14 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned -0.11% (net) for the fiscal year ended February 29, 2020, as compared with -1.88% for the MSCI Emerging Markets Index.

Country allocation contributed to the Fund’s relative returns for the fiscal year. In particular, the Fund’s overweight positions in Russia Energy and Taiwan Information Technology added to relative performance.

Stock selection detracted from the Fund’s relative returns for the fiscal year. Fund stock selection in Taiwan Information Technology and India Industrials hurt relative performance.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

16

GMO Emerging Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Emerging Markets Fund Class II Shares, the MSCI Emerging Markets Index and

the S&P/IFCI Composite

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

* For the period 2/26/2019 to 2/26/2020, no Class V shares were outstanding. Performance for that period is that of Class III shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

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

17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investments Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.1	%
Preferred Stocks		4.0
Investment Funds		2.7
Short-Term Investments		1.2
Debt Obligations		0.8
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
China		41.8	%
Taiwan		17.6
Russia		15.8
United States		5.7	*
South Korea		4.3
Poland		3.8
India		2.2
South Africa		1.5
Turkey		1.2
Mexico		1.1
Thailand		0.9
Qatar		0.7
United Kingdom		0.7	*
Pakistan		0.6
Kuwait		0.6
Indonesia		0.5
United Arab Emirates		0.3
Philippines		0.2
Argentina		0.2
Vietnam		0.1
Chile		0.1
Colombia		0.1
Sri Lanka		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.7	%
Energy		13.6
Technology Hardware & Equipment		13.2
Materials		9.3
Real Estate		8.6
Insurance		7.1
Semiconductors & Semiconductor Equipment		5.9
Retailing		5.7
Capital Goods		3.5
Utilities		2.9
Consumer Durables & Apparel		2.5
Automobiles & Components		2.3
Diversified Financials		1.6
Media & Entertainment		1.2
Food, Beverage & Tobacco		1.0
Household & Personal Products		0.9
Transportation		0.8
Telecommunication Services		0.7
Consumer Services		0.2
Software & Services		0.2
Pharmaceuticals, Biotechnology & Life Sciences		0.1
Commercial & Professional Services		0.0	^
Health Care Equipment & Services		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%.

18

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 91.1%
		Argentina — 0.2%
	290,000	Banco BBVA Argentina SA ADR		1,168,700
	177,300	Banco Macro SA ADR		5,138,154
	100	Grupo Financiero Galicia SA ADR		1,264
		Total Argentina		6,308,118
		Chile — 0.1%
	1,323,396	Aguas Andinas SA – Class A		454,678
	5,361,664	Banco de Chile		473,634
	305	Banco Santander Chile		14
	69,280	Inversiones La Construccion SA		521,518
	253,501	Parque Arauco SA		524,780
		Total Chile		1,974,624
		China — 41.8%
	4,972,000	361 Degrees International Ltd		906,032
	72,500	AAC Technologies Holdings Inc		484,090
	3,456,000	Agile Group Holdings Ltd		4,941,242
	6,787,600	Agricultural Bank of China Ltd – Class A		3,333,854
	83,212,290	Agricultural Bank of China Ltd – Class H		33,766,458
	570,126	Alibaba Group Holding Ltd Sponsored ADR *		118,586,208
	1,760,000	Angang Steel Co Ltd – Class H		598,275
	5,191,460	Anhui Conch Cement Co Ltd – Class A		41,359,253
	4,435,500	Anhui Conch Cement Co Ltd – Class H		33,218,287
	1,709,499	Anhui Expressway Co Ltd – Class A		1,279,972
	107,000	ANTA Sports Products Ltd		873,193
	593,000	Asia Cement China Holdings Corp		801,116
	31,700	Bank of China Ltd – Class A		16,219
	105,495,682	Bank of China Ltd – Class H		42,160,270
	309,500	Baoye Group Co Ltd – Class H *		176,350
	1,060,000	Beijing Capital International Airport Co Ltd – Class H		834,671
	1,174,000	Beijing Enterprises Water Group Ltd *		552,928
	8,602,892	Beijing North Star Co Ltd – Class A		3,425,312
	642,500	Budweiser Brewing Co APAC Ltd *		1,961,311
	4,500	BYD Electronic International Co Ltd		8,699
	314,000	CGN Power Co Ltd – Class H		77,233
	70,500	Changyou.com Ltd ADR		758,580
	85,600	Cheetah Mobile Inc ADR		249,096
	200,000	China Aoyuan Group Ltd		295,469
	900	China Communications Construction Co Ltd – Class A		1,140
	18,550,560	China Communications Services Corp Ltd – Class H		14,575,721
	3,556,700	China Construction Bank Corp – Class A		3,336,235
	114,730,906	China Construction Bank Corp – Class H		94,335,328
	209,400	China Gas Holdings Ltd		778,079
	2,127,276	China International Travel Service Corp Ltd – Class A		24,356,892
	13,226,000	China Jinmao Holdings Group Ltd		9,865,459

Shares		Description	Value ($)
		China — continued
	200,000	China Kepei Education Group Ltd		117,221
	2,559,000	China Lesso Group Holdings Ltd		3,905,855
	9,465,000	China Machinery Engineering Corp – Class H		3,526,200
	923,000	China Medical System Holdings Ltd		1,167,146
	3,256,928	China Merchants Bank Co Ltd – Class A		16,196,999
	529,500	China Merchants Bank Co Ltd – Class H		2,547,370
	1,659,437	China Mobile Ltd		13,206,814
	65,300	China Mobile Ltd Sponsored ADR		2,600,246
	6,118,671	China National Chemical Engineering Co Ltd – Class A		6,177,577
	4,812,000	China Oriental Group Co Ltd		1,663,651
	1,580,000	China Overseas Grand Oceans Group Ltd		1,104,482
	8,468,000	China Overseas Land & Investment Ltd		28,999,853
	3,261,800	China Pacific Insurance Group Co Ltd – Class A		15,164,840
	1,623,800	China Pacific Insurance Group Co Ltd – Class H		5,447,267
	9,820,000	China Resources Cement Holdings Ltd		12,617,074
	1,258,000	China Resources Gas Group Ltd		6,340,242
	6,908,000	China Resources Land Ltd		32,801,931
	1,964,000	China SCE Group Holdings Ltd		1,087,567
	12,590,296	China Shenhua Energy Co Ltd – Class A		29,070,377
	16,836,000	China Shenhua Energy Co Ltd – Class H		29,602,546
	1,248,000	China State Construction International Holdings Ltd		1,026,032
	1,227,000	China Taiping Insurance Holdings Co Ltd		2,566,120
	7,239,921	China Vanke Co Ltd – Class A		31,173,575
	9,375,257	China Yangtze Power Co Ltd – Class A		22,975,049
	655,500	China Yongda Automobiles Services Holdings Ltd		646,057
	38,000	CIFI Holdings Group Co Ltd		29,876
	17,763,000	CNOOC Ltd		24,710,311
	1,400	CNOOC Ltd Sponsored ADR		193,662
	12,411,714	Country Garden Holdings Co Ltd		16,862,018
	1,270,000	Dali Foods Group Co Ltd		844,487
	7,764,120	Daqin Railway Co Ltd – Class A		7,907,897
	3,163,000	Dongyue Group Ltd		1,673,535
	159,200	ENN Energy Holdings Ltd		1,795,840
	27,400	Fanhua Inc Sponsored ADR		556,220
	718,000	Fu Shou Yuan International Group Ltd		619,598
	10,257,000	Geely Automobile Holdings Ltd		18,736,899
	3,630,000	Gemdale Properties & Investment Corp Ltd		654,113
	548,882	Gree Electric Appliances Inc of Zhuhai – Class A		4,739,225
	2,127,000	Greenland Hong Kong Holdings Ltd		842,812
	18,996,000	Guangdong Investment Ltd		36,074,769
	556,729	Guangdong Provincial Expressway Development Co Ltd – Class A		603,112
	236,000	Haier Electronics Group Co Ltd		688,180
	209,000	Haitian International Holdings Ltd		416,675
	557,922	Hangzhou Robam Appliances Co Ltd – Class A		2,516,071
	1,305,000	Hebei Construction Group Corp Ltd – Class H		788,033
	9,135,355	Hisense Home Appliances Group Co Ltd – Class A		13,123,701

See accompanying notes to the financial statements. 19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		China — continued
	209,000	HLA Corp Ltd – Class A		205,468
	217,800	Hollysys Automation Technologies Ltd		3,297,492
	388,000	Hopson Development Holdings Ltd		354,717
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		683,638
	10,149,000	Huabao International Holdings Ltd		4,041,620
	3,830,150	Huaxin Cement Co Ltd – Class A		13,593,923
	1,036,461	Huayu Automotive Systems Co Ltd – Class A		4,240,784
	632,000	IGG Inc		466,353
	2,280,600	Industrial & Commercial Bank of China Ltd – Class A		1,740,367
	97,443,647	Industrial & Commercial Bank of China Ltd – Class H		67,128,847
	71,100	Jiangsu Expressway Co Ltd – Class A		102,954
	25,270	Jumei International Holding Ltd ADR *		489,480
	1,057,000	Kaisa Group Holdings Ltd		481,189
	164,000	Kingboard Holdings Ltd		439,522
	1,949,500	Kingboard Laminates Holdings Ltd		1,993,541
	3,018,000	Kunlun Energy Co Ltd		2,135,035
	137,207	Kweichow Moutai Co Ltd – Class A		20,941,620
	196,792	Lao Feng Xiang Co Ltd – Class A		1,238,284
	6,074,000	Logan Property Holdings Co Ltd		10,609,748
	2,232,000	Longfor Group Holdings Ltd		10,556,700
	1,888,000	Lonking Holdings Ltd		533,935
	1,168,506	Midea Group Co Ltd – Class A (b)		9,048,168
	2,765,222	Midea Group Co Ltd – Class A (b)		21,412,122
	12,700	NetEase Inc ADR		4,047,617
	37,900	New China Life Insurance Co Ltd – Class A		244,529
	1,787,300	New China Life Insurance Co Ltd – Class H		6,986,780
	417,000	Nexteer Automotive Group Ltd		311,461
	1,553,000	PAX Global Technology Ltd		776,968
	30,919,000	PICC Property & Casualty Co Ltd – Class H		32,696,142
	4,537,250	Ping An Insurance Group Co of China Ltd – Class A		51,599,995
	987,500	Ping An Insurance Group Co of China Ltd – Class H		11,249,986
	13,820,000	Postal Savings Bank of China Co Ltd – Class H		8,817,002
	473,000	Powerlong Real Estate Holdings Ltd		300,981
	217,400	Qingdao Port International Co Ltd – Class A		183,810
	5,848,400	Qingling Motors Co Ltd – Class H		1,280,966
	1,323,000	Redsun Properties Group Ltd		418,467
	298,000	Road King Infrastructure Ltd		514,307
	2,227,552	SAIC Motor Corp Ltd -– Class A		7,170,110
	541,547	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		900,144
	1,237,537	Shenzhen Expressway Co Ltd – Class A		1,698,375
	210,000	Shenzhen Expressway Co Ltd – Class H		255,706
	4,342,789	Shenzhen Investment Ltd		1,467,830
	478,300	Shenzhou International Group Holdings Ltd		6,053,259
	3,558,000	Shimao Property Holdings Ltd		13,041,154
	2,486,500	Shui On Land Ltd		498,151
	3,005,464	Sinoma International Engineering Co – Class A		2,659,979

Shares		Description	Value ($)
		China — continued
	2,041,500	Sinopec Engineering Group Co Ltd – Class H		1,016,291
	7,426,499	Sinopec Shanghai Petrochemical Co Ltd – Class A		4,273,987
	24,424,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		6,332,236
	2,660,000	Sinotruk Hong Kong Ltd		5,170,988
	7,328,103	Suning Universal Co Ltd – Class A		3,342,699
	110,600	Sunny Optical Technology Group Co Ltd		1,796,965
	617,365	Tencent Holdings Ltd		31,303,309
	1,822,000	Tianneng Power International Ltd		1,358,442
	175,000	Times China Holdings Ltd		333,226
	432,655	Wangfujing Group Co Ltd - Class A		760,385
	4,851,000	Want Want China Holdings Ltd		3,807,650
	8,049,298	Weifu High-Technology Group Co Ltd – Class A		22,737,092
	1,546,000	Xinyi Glass Holdings Ltd		1,935,669
	1,811,500	Xtep International Holdings Ltd		743,427
	2,964,000	Yadea Group Holdings Ltd		810,635
	34,584,200	Yangzijiang Shipbuilding Holdings Ltd		23,995,660
	755,168	Youngor Group Co Ltd – Class A		711,725
	1,268,000	Yuexiu Property Co Ltd		262,580
	638,000	Yuexiu Transport Infrastructure Ltd		497,438
	76,200	Yum China Holdings Inc		3,336,798
	9,985,707	Yuzhou Properties Co Ltd		4,991,865
	7,022,000	Zhejiang Expressway Co Ltd – Class H		5,350,289
	500,500	Zhejiang Supor Co Ltd – Class A		5,307,362
	3,315,111	Zhejiang Weixing New Building Materials Co Ltd – Class A		5,676,236
	234,700	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		195,549
	414,000	Zhenro Properties Group Ltd		270,946
	98,000	Zhongsheng Group Holdings Ltd		377,362
	190,700	Zhuzhou CRRC Times Electric Co Ltd – Class H		677,302
		Total China		1,310,305,436
		India — 2.3%
	256,987	Asian Paints Ltd		6,471,819
	73,773	CMI Ltd		30,199
	129	Coal India Ltd		302
	12,264,578	Gayatri Highways Ltd * (c)		49,629
	16,772,852	Gayatri Projects Ltd * (c)		5,130,069
	481,244	HDFC Bank Ltd		7,906,787
	197,971	Hindustan Unilever Ltd		6,001,546
	252,428	Housing Development Finance Corp Ltd		7,695,318
	1,332,810	ICICI Bank Ltd		9,285,613
	687,098	Indiabulls Housing Finance Ltd		2,724,761
	3,013,682	Jai Balaji Industries Ltd *		1,057,148
	1,322,083	Kiri Industries Ltd		7,017,405
	386,197	Kotak Mahindra Bank Ltd		8,737,872
	337,877	SBI Card & Payment Services Ltd * (d)		3,534,792

20 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		India — continued
	312,651	Titan Co Ltd		5,474,138
		Total India		71,117,398
		Indonesia — 0.5%
	999,900	Bank Central Asia Tbk PT		2,208,688
	3,633,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		156,422
	17,394,500	Bank Rakyat Indonesia Persero Tbk PT		5,197,943
	5,573,691	Indo Tambangraya Megah Tbk PT		4,469,848
	205,673,700	Panin Financial Tbk PT *		3,652,627
		Total Indonesia		15,685,528
		Kuwait — 0.6%
	1,651,226	Alimtiaz Investment Group KSC		656,152
	96,920	Humansoft Holding Co KSC		988,003
	2,190,838	Kuwait Finance House KSCP		5,538,718
	507,450	Kuwait Projects Co Holding KSCP		339,293
	3,582,177	National Bank of Kuwait SAKP		11,722,745
		Total Kuwait		19,244,911
		Mexico — 1.1%
	510,000	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		654,504
	296,300	Concentradora Fibra Danhos SA de CV REIT		413,974
	228,300	Corp Inmobiliaria Vesta SAB de CV		362,928
	671,000	Credito Real SAB de CV SOFOM ER		712,147
	11,564,900	Fibra Uno Administracion SA de CV (REIT)		17,515,098
	855,200	Gentera SAB de CV		822,918
	91,000	Grupo Aeroportuario del Centro Norte SAB de CV		595,709
	9,400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		489,552
	1,983,300	Grupo Financiero Banorte SAB de CV – Class O		10,844,015
	302,300	Qualitas Controladora SAB de CV		1,297,787
	389,800	Unifin Financiera SAB de CV SOFOM ENR		605,603
		Total Mexico		34,314,235
		Pakistan — 0.6%
	930,610	Engro Corp Ltd		1,875,146
	7,210,000	Engro Fertilizers Ltd		2,951,731
	1,236,000	Fauji Fertilizer Co Ltd		824,961
	507,500	Nishat Mills Ltd		335,422
	7,433,500	Oil & Gas Development Co Ltd		5,666,426
	939,900	Pakistan Oilfields Ltd		2,229,831
	2,462,120	Pakistan Petroleum Ltd		1,776,622
	892,520	Pakistan State Oil Co Ltd		946,247
	642,700	Searle Co Ltd (The)		729,781
	1,364,500	SUI Northern Gas Pipeline		580,136
	1,312,500	United Bank Ltd		1,412,028
		Total Pakistan		19,328,331

Shares		Description	Value ($)
		Philippines — 0.2%
	76,400	Ayala Land Inc		58,839
	3,671,900	DMCI Holdings Inc		383,124
	357,700	Manila Electric Co		1,896,153
	16,354,800	Megaworld Corp		1,095,243
	24,118,000	Metro Pacific Investments Corp		1,454,779
	6,401,200	Semirara Mining & Power Corp		2,435,929
		Total Philippines		7,324,067
		Poland — 3.9%
	297,190	Alior Bank SA *		1,603,899
	223,020	Bank Millennium SA *		276,976
	923,062	Bank Polska Kasa Opieki SA		20,887,833
	46,942	Budimex SA		2,089,152
	226,579	Grupa Lotos SA		3,462,316
	390,152	Jastrzebska Spolka Weglowa SA		1,376,142
	21,747	KRUK SA		772,590
	67,344	Lubelski Wegiel Bogdanka SA		284,328
	1,510,768	Polski Koncern Naftowy ORLEN SA		22,821,773
	12,869,950	Polskie Gornictwo Naftowe i Gazownictwo SA		10,468,625
	1,409,217	Powszechna Kasa Oszczednosci Bank Polski SA		11,283,257
	4,917,979	Powszechny Zaklad Ubezpieczen SA		43,854,680
	27,997	Santander Bank Polska SA		1,809,196
	14,179	Stalprodukt SA		587,292
	135,779	Warsaw Stock Exchange		1,324,120
		Total Poland		122,902,179
		Qatar — 0.7%
	6,648,431	Barwa Real Estate Co		5,571,209
	1,456,860	Doha Bank QPSC		916,233
	119,334	Qatar Electricity & Water Co QSC		485,821
	3,619,547	Qatar Gas Transport Co Ltd		2,135,221
	2,491,763	Qatar National Bank QPSC		12,721,081
	1,027,776	Qatar National Cement Co QSC		1,153,665
	1,600,278	United Development Co QSC		522,940
		Total Qatar		23,506,170
		Russia — 14.4%
	23,087,030	Alrosa PJSC		24,773,851
	79,740	Detsky Mir PJSC		134,131
	31,310,000	Federal Grid Co Unified Energy System PJSC		97,807
	910,770	Gazprom Neft PJSC		5,479,917
	6,771	Gazprom Neft PJSC Sponsored ADR		200,016
	680,233	Globaltrans Investment Plc Sponsored GDR (Registered)		5,030,126
	72,754,000	Inter RAO UES PJSC		5,735,164
	93,867	LSR Group PJSC		1,173,486
	43,820	LSR Group PJSC GDR (Registered)		101,538
	974,220	LUKOIL PJSC Sponsored ADR		84,034,652
	619,147	M.Video PJSC		4,484,664

See accompanying notes to the financial statements. 21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Russia — continued
	7,645,900	Magnitogorsk Iron & Steel Works PJSC		4,656,643
	137,059	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,041,743
	1,557,125	MMC Norilsk Nickel PJSC ADR		47,082,543
	8,070,347	Moscow Exchange MICEX-RTS PJSC		12,150,725
	165,468	Novatek PJSC Sponsered GDR (Registered)		24,142,830
	504,210	Novolipetsk Steel PJSC		950,658
	1,297,368	Novolipetsk Steel PJSC GDR		24,910,803
	35,602	PhosAgro PJSC GDR (Registered)		395,998
	269,915	QIWI Plc Sponsored ADR		4,707,318
	412,980	Raspadskaya OJSC		592,452
	3,962,705	Rostelecom PJSC		5,188,407
	33,228	Rostelecom PJSC Sponsored ADR		260,500
	171,050	Safmar Financial Investment		1,302,974
	5,681,366	Sberbank of Russia PJSC Sponsored ADR		81,065,406
	836,726	Severstal PJSC GDR (Registered)		10,257,833
	17,894,200	Surgutneftegas PJSC		10,470,713
	3,337,804	Surgutneftegas PJSC Sponsored ADR		19,455,762
	519,740	Tatneft PJSC		5,311,631
	978,325	Tatneft PJSC Sponsored ADR		58,828,589
	257,967	TCS Group Holding Plc GDR (Registered)		5,643,884
	43,580,000	Unipro PJSC		1,972,640
		Total Russia		451,635,404
		South Africa — 1.5%
	56,443	Astral Foods Ltd		676,119
	209,092	Barloworld Ltd		1,087,684
	128	Discovery Ltd		798
	1,688,726	Emira Property Fund Ltd (REIT)		1,303,510
	6,764,089	Growthpoint Properties Ltd (REIT)		7,749,969
	296,009	Lewis Group Ltd		521,433
	155,959	Liberty Holdings Ltd		950,997
	824,921	Mr Price Group Ltd		8,102,216
	7,316,977	Old Mutual Ltd		7,443,624
	1,249,498	SA Corporate Real Estate Ltd (REIT)		169,295
	1,791,603	Sanlam Ltd		7,525,641
	19,251	Tiger Brands Ltd		189,332
	193,431	Transaction Capital Ltd		232,930
	3,455,484	Truworths International Ltd		10,237,438
	377,930	Wilson Bayly Holmes-Ovcon Ltd		2,408,483
		Total South Africa		48,599,469
		South Korea — 2.3%
	2,640	Celltrion Pharm Inc *		88,128
	219,674	DB Insurance Co Ltd		7,843,479
	1,125,505	Dongwon Development Co Ltd		3,540,202
	2,273	Hankook Shell Oil Co Ltd		485,828
	199,187	Hanwha Life Insurance Co Ltd		272,410
	25,418	HDC Hyundai Development Co-Engineering & Construction *		379,933

Shares		Description	Value ($)
		South Korea — continued
	17,507	Hyundai Marine & Fire Insurance Co Ltd		326,383
	48,459	Hyundai Mobis Co Ltd		8,470,083
	560,960	Korea Asset In Trust Co Ltd REIT		1,150,601
	41,408	Meritz Fire & Marine Insurance Co Ltd		506,221
	694,228	Samsung Electronics Co Ltd		31,248,138
	14,427	Samsung Electronics Co Ltd GDR		16,269,668
	23,801	Shinhan Financial Group Co Ltd		636,547
	31	Woori Financial Group Inc		246
		Total South Korea		71,217,867
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		485,306
		Taiwan — 17.9%
	1,096,532	Advantech Co Ltd		10,491,345
	323,000	Amazing Microelectronic Corp		948,168
	1,026,000	AmTRAN Technology Co Ltd *		309,665
	113,000	Arcadyan Technology Corp		287,608
	6,531,560	Asustek Computer Inc		43,695,034
	433,000	Aten International Co Ltd		1,203,910
	129,200	Aurora Corp		369,861
	7,930,000	Catcher Technology Co Ltd		59,491,385
	1,551,153	Cathay Financial Holding Co Ltd		2,032,409
	3,930,332	Chailease Holding Co Ltd		14,625,895
	468,000	Chicony Electronics Co Ltd		1,268,110
	1,961,100	Chin-Poon Industrial Co Ltd		1,903,595
	20,462,000	China Development Financial Holding Corp		6,145,120
	31,000	China Life Insurance Co Ltd *		24,332
	449,800	China Motor Corp *		520,654
	796,000	Chong Hong Construction Co Ltd		2,139,948
	273,000	Cleanaway Co Ltd		1,429,262
	881,000	Compal Electronics Inc		531,152
	4,568,400	Coretronic Corp *		5,505,946
	47,503,720	CTBC Financial Holding Co Ltd		35,255,565
	27,000	Eclat Textile Co Ltd		314,605
	1,410,000	Elite Material Co Ltd		5,511,200
	3,692,000	Farglory Land Development Co Ltd		4,571,076
	3,428,000	FLEXium Interconnect Inc		12,485,267
	469,000	Formosa Chemicals & Fibre Corp		1,259,236
	1,681,000	Formosa Plastics Corp		5,018,178
	3,281,075	Foxconn Technology Co Ltd		6,369,435
	6,577,000	Fubon Financial Holding Co Ltd		9,520,379
	183,000	Gigabyte Technology Co Ltd		308,386
	2,470,000	Grand Pacific Petrochemical *		1,324,865
	427,000	Greatek Electronics Inc		657,932
	3,616,754	Highwealth Construction Corp		5,331,079
	1,442,000	Holtek Semiconductor Inc		3,071,717
	187,000	Holy Stone Enterprise Co Ltd		601,034
	17,271,532	Hon Hai Precision Industry Co Ltd		45,069,354
	2,120,000	Huaku Development Co Ltd		6,012,002

22 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Taiwan — continued
	1,431,806	IEI Integration Corp *		2,138,090
	199,000	Innodisk Corp		1,173,627
	267,000	Kung Long Batteries Industrial Co Ltd		1,302,771
	3,305,000	Lite-On Technology Corp		4,705,287
	20,000	Lotes Co Ltd		190,992
	1,280,425	Mercuries Life Insurance Co Ltd *		491,456
	1,076,000	Merry Electronics Co Ltd		4,877,913
	1,517,000	Micro-Star International Co Ltd		4,440,417
	175,000	Mitac Holdings Corp		193,159
	1,009,000	Nantex Industry Co Ltd		1,001,681
	9,716,000	Nanya Technology Corp		24,184,776
	89,000	Nichidenbo Corp		151,982
	1,373,810	Novatek Microelectronics Corp		8,645,877
	397,000	On-Bright Electronics Inc		2,876,552
	281,000	Pegatron Corp		571,749
	737,000	Phison Electronics Corp		7,873,430
	180,000	Quanta Computer Inc		363,079
	1,698,000	Quanta Storage Inc		1,673,920
	10,850,870	Radiant Opto-Electronics Corp		34,372,753
	1,276,090	Ruentex Development Co Ltd *		1,718,404
	911,000	Shinkong Insurance Co Ltd		1,157,751
	489,000	Sigurd Microelectronics Corp		541,987
	1,460,068	Simplo Technology Co Ltd		13,383,971
	327,200	Sitronix Technology Corp		1,516,529
	2,361,250	Syncmold Enterprise Corp		6,607,255
	160,000	Synnex Technology International Corp		196,781
	199,000	Taiflex Scientific Co Ltd		304,201
	266,000	Taiwan PCB Techvest Co Ltd		278,134
	7,999,000	Taiwan Semiconductor Manufacturing Co Ltd		82,468,054
	172,710	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,298,706
	76,000	Taiwan Union Technology Corp		323,057
	443,000	Test Research Inc		736,358
	76,000	Thinking Electronic Industrial Co Ltd		206,773
	396,981	Topco Scientific Co Ltd		1,345,064
	1,395,000	Transcend Information Inc		3,568,004
	1,804,160	Tripod Technology Corp		6,475,835
	530,000	TXC Corp		818,978
	1,488,400	United Integrated Services Co Ltd		8,850,551
	1,511,000	Walsin Technology Corp		10,339,356
	522,000	Wistron Corp		458,033
	36,000	Wiwynn Corp		840,739
	733,000	Yageo Corp		9,466,712
	1,220,000	YC INOX Co Ltd		1,026,592
	143,000	Yulon Nissan Motor Co Ltd		1,174,682
	323,000	Zeng Hsing Industrial Co Ltd		1,363,678
	180,000	Zhen Ding Technology Holding Ltd		677,142
		Total Taiwan		561,977,547

Shares		Description	Value ($)
		Thailand — 0.6%
	330,300	Amata Corp Pcl (Foreign Registered)		154,478
	889,000	Bangkok Bank Pcl NVDR		3,728,471
	273,700	Bangkok Life Assurance Pcl NVDR		135,772
	1,376,100	Beauty Community Pcl		82,858
	1,010,800	Kasikornbank Pcl NVDR		3,851,185
	491,400	Krung Thai Bank Pcl (Foreign Registered)		219,840
	6,234,600	Land & Houses Pcl (Foreign Registered)		1,682,663
	4,087,400	Pruksa Holding Pcl (Foreign Registered)		1,867,452
	7,249,692	Quality Houses Pcl (Foreign Registered)		523,037
	151,400	Ratch Group Pcl (Foreign Registered)		285,422
	839,900	Siam Commercial Bank Pcl (The) (Foreign Registered)		2,357,780
	641,600	SPCG Pcl		359,646
	3,673,075	Supalai Pcl (Foreign Registered)		1,910,962
	775,900	Thanachart Capital Pcl (Foreign Registered)		1,311,920
	29,100	Tisco Financial Group Pcl (Foreign Registered)		91,579
	2,763,800	Univentures Pcl NVDR		281,833
	1,197,900	WHA Corp Pcl (Foreign Registered)		105,647
		Total Thailand		18,950,545
		Turkey — 1.3%
	2,340,643	Akbank TAS *		2,537,675
	141,951	Aksa Akrilik Kimya Sanayii AS		180,256
	1,714,904	Dogan Sirketler Grubu Holding AS		477,008
	2,807,799	Enerjisa Enerji AS		3,506,138
	1,227,523	Enka Insaat ve Sanayi AS		1,271,061
	1,440,338	Eregli Demir ve Celik Fabrikalari TAS		1,921,719
	703,019	Selcuk Ecza Deposu Ticaret ve Sanayi AS		749,839
	8,320,220	Soda Sanayii AS		7,713,952
	3,979,183	Tekfen Holding AS		9,511,821
	7,364,578	Turkiye Is Bankasi – Class C *		6,781,818
	16,452,879	Turkiye Sinai Kalkinma Bankasi AS *		2,911,204
	2,323,115	Turkiye Vakiflar Bankasi TAO – Class D *		1,976,311
		Total Turkey		39,538,802
		United Arab Emirates — 0.3%
	1,101,601	Al Waha Capital PJSC		246,602
	1,809,366	DAMAC Properties Dubai Co PJSC *		316,655
	1,169,410	Dubai Islamic Bank PJSC		1,700,322
	393,578	Emaar Development PJSC		379,438
	4,781,183	Emaar Properties PJSC		4,401,528
	11,102,376	RAK Properties PJSC *		1,301,652
		Total United Arab Emirates		8,346,197
		United Kingdom — 0.7%
	386,665	Unilever Plc		20,787,061
		Vietnam — 0.1%
	1,594,290	Kinh Bac City Development Share Holding Corp		966,094

See accompanying notes to the financial statements. 23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Vietnam — continued
	184,860	PetroVietnam Gas JSC		609,889
	1,473,040	PetroVietnam Power Corp *		629,357
	1,923,000	PetroVietnam Technical Services Corp		1,249,305
	138,320	Pha Lai Thermal Power JSC		165,057
	380,860	Vinh Hoan Corp		511,205
		Total Vietnam		4,130,907
		TOTAL COMMON STOCKS (COST $2,980,694,451)		2,857,680,102
		PREFERRED STOCKS (e) — 4.0%
		Colombia — 0.1%
	60,938	Banco Davivienda SA		727,267
	2,347,227	Grupo Aval Acciones y Valores SA		967,117
		Total Colombia		1,694,384
		Russia — 1.7%
	232,304	Bashneft PJSC		5,834,167
	98,683,100	Surgutneftegas PJSC		48,472,207
		Total Russia		54,306,374
		South Korea — 2.1%
	1,747,590	Samsung Electronics Co Ltd		66,716,587
		Taiwan — 0.1%
	605,412	CTBC Financial Holding Co Ltd		1,325,452
		TOTAL PREFERRED STOCKS (COST $110,236,736)		124,042,797
		INVESTMENT FUNDS — 2.7%
		Thailand — 0.4%
	22,546,425	Digital Telecommunications Infrastructure Fund		11,323,691
		United States — 2.3%
	1,506,410	iShares Core MSCI Emerging Markets ETF		73,377,231
		TOTAL INVESTMENT FUNDS (COST $90,519,587)		84,700,922

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.8%
		United States — 0.8%
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 1.66%, due 01/31/22		24,994,672
		TOTAL DEBT OBLIGATIONS (COST $25,032,936)		24,994,672
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	12,711	HDC Hyundai Development Co. – Class E, Expires 03/06/20 *		29,148
		TOTAL RIGHTS/WARRANTS (COST $0)		29,148
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.6%
	20,868,473	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (f)		20,868,473
		Total Money Market Funds		20,868,473
		U.S. Government — 0.6%
	18,000,000	U.S. Treasury Bill, 1.32%, due 04/07/20 (g)		17,974,750
		Total U.S. Government		17,974,750
		TOTAL SHORT-TERM INVESTMENTS (COST $38,840,442)		38,843,223
		TOTAL INVESTMENTS — 99.8% (Cost $3,245,324,152)		3,130,290,864
		Other Assets and Liabilities (net) — 0.2%		4,951,205
		TOTAL NET ASSETS — 100.0%		$3,135,242,069

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Cost		Value as a Percentage of Fund’s Net Assets	Value as of February 29, 2020
SBI Card & Payment Services Ltd	02/28/20	$	3,534,792	0.11%	$	3,534,792

24 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,688	Mini MSCI Emerging Markets	March 2020	$	85,142,720	$	(7,037,224	)

+ Buys - Fund is long the futures contract.
Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 5.70%)

Appreciation on Total Return on CSI 500 Index

GS

USD

30,574,806

12/07/2020

At Maturity

$

—

$

826,118

$

826,118

As of February 29, 2020, 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) Investment valued using significant unobservable inputs (Note 2).

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

(c) Affiliated company (Note 10).

(d) The security is restricted as to resale.

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

(f) The rate disclosed is the 7 day net yield as of February 29, 2020.

(g) 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 73.

See accompanying notes to the financial statements. 25

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO International Equity Fund returned +2.19% (net) for the fiscal year ended February 29, 2020, as compared with -0.57% for the MSCI EAFE Index.

The Fund added value primarily from stock selection decisions, with additional contributions from sector allocation. Stock selection was strong despite valuation headwinds, the magnitude of the headwind is illustrated by the 12% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the year ended February 29, 2020. Outperformance of the portfolio was underpinned by a range of models including growth and quality-oriented signals.

Areas of notable positive stock selection included the U.K., Italy, France, Consumer Staples, Utilities, and Consumer Discretionary. The breadth of this strength was reflected in the portfolio’s top contributors, which included overweight positioning in Enel SpA (Italy Utilities), Itochu Corporation (Japan Industrials), Persimmon Plc (U.K. Consumer Discretionary), and STMicroelectronics NV (France Information Technology). Underweight positioning toward Royal Dutch Shell (U.K. Energy) and the broader Energy sector, also added value.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

26

GMO International Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Equity Fund Class II Shares and the MSCI EAFE Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

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

27

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.5	%
Short-Term Investments		3.7
Preferred Stocks		0.0	^
Futures Contracts		(0.3	)
Other		1.1
		100.0	%
Country/Region Summary¤	% of Investments
Japan		20.0	%
United Kingdom		19.1
France		9.4
Netherlands		6.3
Spain		5.9
Switzerland		5.9
Italy		5.4
Germany		5.1
Singapore		4.2
Sweden		4.1
Australia		3.4
Portugal		3.2
European Union		2.9
Hong Kong		2.1
Norway		2.0
Other Developed		1.0	‡
		100.0	%
Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		13.2	%
Food, Beverage & Tobacco		9.2
Capital Goods		8.2
Utilities		7.8
Materials		7.3
Banks		6.0
Transportation		5.1
Consumer Durables & Apparel		5.0
Technology Hardware & Equipment		4.8
Diversified Financials		4.5
Insurance		4.2
Telecommunication Services		3.9
Retailing		3.1
Semiconductors & Semiconductor Equipment		3.1
Automobiles & Components		2.9
Household & Personal Products		2.9
Software & Services		2.2
Commercial & Professional Services		1.6
Energy		1.5
Health Care Equipment & Services		1.2
Food & Staples Retailing		1.0
Real Estate		0.9
Media & Entertainment		0.2
Consumer Services		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).

¤ 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%.

28

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 95.5%
		Australia — 3.3%
	278,576	Abacus Property Group (REIT)		679,768
	770,084	Austal Ltd		1,778,454
	1,522,250	Beach Energy Ltd		1,799,411
	24,542	BHP Group Ltd		533,431
	111,567	Credit Corp Group Ltd		2,425,904
	643,574	CSR Ltd		1,780,422
	314,031	Downer EDI Ltd		1,186,087
	109,237	Elders Ltd		559,105
	4,430,378	Fortescue Metals Group Ltd		29,592,142
	26,966	JB Hi-Fi Ltd		652,097
	375,008	New Hope Corp Ltd		356,221
	504,302	Pact Group Holdings Ltd *		656,768
	929,623	Rio Tinto Ltd		53,420,601
	971,320	Sandfire Resources NL		2,729,336
	330,056	Super Retail Group Ltd		1,765,769
	316,437	Tassal Group Ltd		799,828
		Total Australia		100,715,344
		Austria — 0.1%
	68,989	Oesterreichische Post AG		2,203,017
		Belgium — 0.3%
	536,482	AGFA-Gevaert NV *		2,388,804
	18,982	D’Ieteren SA		1,114,941
	785	Elia System Operator SA/NV		78,279
	79,080	Orange Belgium SA		1,509,200
	51,292	UCB SA		4,748,917
		Total Belgium		9,840,141
		Denmark — 0.0%
	11,091	Per Aarsleff Holding A/S		322,635
	7,534	Schouw & Co AB		567,771
		Total Denmark		890,406
		France — 9.2%
	31,823	Alten SA		3,563,971
	8,791	BNP Paribas SA		426,718
	10,536	Christian Dior SE		4,500,954
	139,085	CNP Assurances		2,185,898
	586	Dassault Systemes SE		92,977
	52,580	Gaztransport Et Technigaz SA		4,709,327
	125	Hermes International		88,174
	15,078	IPSOS		467,254
	301,208	L’Oreal SA		80,959,994
	207,927	Metropole Television SA		3,060,694
	16,695	Nexans SA		769,598
	1,850,292	Peugeot SA		35,856,930
	157,216	Safran SA		21,763,144
	805,947	Sanofi		75,167,274

Shares		Description	Value ($)
		France — continued
	210,828	Sanofi ADR		9,750,795
	10,572	Schneider Electric SE		1,074,109
	1,356,922	STMicroelectronics NV – NY Shares		37,179,663
		Total France		281,617,474
		Germany — 5.0%
	10,576	ADIDAS AG		2,977,654
	114,319	ADVA Optical Networking SE *		767,357
	10,326	AIXTRON SE *		106,108
	232,760	Allianz SE (Registered)		50,706,734
	7,571	Bayer AG (Registered)		550,609
	83,435	Bayerische Motoren Werke AG		5,505,266
	4,328	Bechtle AG		575,999
	23,472	Carl Zeiss Meditec AG		2,497,046
	778,150	CECONOMY AG *		3,752,470
	5,144	Cewe Stiftung & Co KGaA		552,052
	13,281	Daimler AG (Registered Shares)		558,794
	632,962	Deutsche Lufthansa AG (Registered)		8,370,861
	696,080	Deutsche Pfandbriefbank AG		9,880,345
	148,037	Deutz AG		705,585
	451,740	Dialog Semiconductor Plc *		15,584,079
	3,538	Hannover Rueck SE		640,617
	7,202	Henkel AG & Co KGaA		615,559
	6,074	Indus Holding AG		220,786
	9,536	Merck KGaA		1,160,381
	5,410	Rheinmetall AG		502,246
	101,913	RHOEN-KLINIKUM AG		2,030,567
	34,759	Siltronic AG		3,301,181
	122,249	Software AG		4,021,882
	164,557	Talanx AG *		7,350,577
	173,119	Volkswagen AG		29,406,226
		Total Germany		152,340,981
		Hong Kong — 2.1%
	322,000	ASM Pacific Technology Ltd		3,894,058
	2,523,640	Champion (REIT)		1,469,690
	2,065,814	Dah Sing Banking Group Ltd		2,578,215
	411,515	Dah Sing Financial Holdings Ltd		1,457,703
	4,603,096	Esprit Holdings Ltd *		773,133
	4,988,469	I-CABLE Communications Ltd *		44,281
	802,257	Luk Fook Holdings International Ltd		1,970,622
	1,419,647	Pacific Textiles Holdings Ltd		890,569
	1,336,673	SmarTone Telecommunications Holdings Ltd		949,058
	381,680	Television Broadcasts Ltd		543,144
	73,100	VTech Holdings Ltd		647,229
	45,499,920	WH Group Ltd		47,748,101
	740,122	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		106,955
		Total Hong Kong		63,072,758

See accompanying notes to the financial statements. 29

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Ireland — 0.5%
	408,300	CRH Plc Sponsored ADR		13,833,204
	165	Flutter Entertainment Plc		17,752
	5,284	Kerry Group Plc – Class A		671,241
		Total Ireland		14,522,197
		Italy — 5.3%
	129,162	Anima Holding SPA		570,249
	180,922	Assicurazioni Generali SPA		3,265,885
	25,461	Azimut Holding SPA		542,923
	858,962	Banca Mediolanum SPA		7,020,348
	27,124	Buzzi Unicem SPA		594,962
	36,281	De’ Longhi SPA		632,772
	9,647,244	Enel SPA		80,971,083
	645,616	EXOR NV		46,108,771
	481,473	Hera SPA		2,066,571
	1,016,012	Iren SPA		3,145,006
	45,129	La Doria SPA		410,009
	8,543	Reply SPA		649,678
	663,883	Saras SPA		784,949
	1,258,755	Societa Cattolica di Assicurazioni SC		9,255,642
	797,232	Unipol Gruppo SPA		3,972,253
	1,017,157	UnipolSai Assicurazioni SPA		2,541,342
		Total Italy		162,532,443
		Japan — 19.8%
	22,100	Amano Corp		543,561
	73,153	AOKI Holdings Inc		618,030
	3,421,776	Asahi Kasei Corp		28,024,226
	4,481,850	Astellas Pharma Inc		70,244,950
	111,627	Autobacs Seven Co Ltd		1,427,784
	1,737,021	Brother Industries Ltd		30,767,967
	45,536	Cawachi Ltd		847,813
	86,619	Daiwabo Holdings Co Ltd		4,368,784
	707,162	DCM Holdings Co Ltd		6,412,517
	81,185	Dexerials Corp		592,177
	61,678	Doutor Nichires Holdings Co Ltd		1,031,828
	30,366	DTS Corp		551,567
	6,621	Ehime Bank Ltd (The)		62,013
	123,292	Fancl Corp		3,075,186
	515,045	Fuji Electric Co Ltd		14,125,846
	53,600	Fuji Media Holdings Inc		629,765
	289,796	Fujitsu Ltd		30,218,819
	30,089	Fuyo General Lease Co Ltd		1,693,054
	148,512	Geo Holdings Corp		1,606,088
	20,335	Gunze Ltd		721,891
	109,900	Hakuhodo DY Holdings Inc		1,270,058
	26,167	Hanwa Co Ltd		534,994
	10,000	Hitachi High-Tech Corp		742,751
	1,861,978	Hitachi Ltd		62,182,546
	68,949	House Foods Group Inc		2,028,732

Shares		Description	Value ($)
		Japan — continued
	1,457,368	ITOCHU Corp		33,025,980
	22,900	Itochu Techno-Solutions Corp		641,414
	161,211	Kanematsu Corp		1,750,447
	1,163,500	KDDI Corp		32,873,012
	104,117	Keihin Corp		2,494,824
	53,469	Kohnan Shoji Co Ltd		1,076,823
	1,726,200	Konica Minolta Inc		9,445,868
	50,567	Mandom Corp		1,071,621
	5,794,656	Mitsubishi Chemical Holdings Corp		38,739,443
	55,041	Mitsubishi Gas Chemical Co Inc		823,538
	3,178	Mitsui Sugar Co Ltd		55,828
	79,950	Modec Inc		1,339,120
	76,266	Namura Shipbuilding Co Ltd		143,368
	216,000	NEC Corp		8,109,209
	151,557	Nichias Corp		3,110,244
	111,009	Nippo Corp		2,504,642
	68,033	Nippon Signal Co Ltd		719,860
	3,171,088	Nippon Telegraph & Telephone Corp		73,980,758
	104,212	Nishi-Nippon Financial Holdings Inc		586,821
	98,500	NS Solutions Corp		2,757,708
	607	NuFlare Technology Inc		67,535
	381,800	Obayashi Corp		3,851,622
	133,992	Okinawa Electric Power Co (The)		2,299,668
	94,802	Press Kogyo Co Ltd		270,952
	210,296	Prima Meat Packers Ltd		4,325,494
	37,857	San-A Co Ltd		1,366,055
	99,887	Seiko Holdings Corp		1,929,178
	482,228	Sekisui Chemical Co Ltd		7,212,642
	209,900	Showa Corp		4,486,833
	6,110,587	Sojitz Corp		17,710,099
	50,500	SUMCO Corp		764,670
	9,907,063	Sumitomo Chemical Co Ltd		36,101,249
	141,803	T-Gaia Corp		2,686,998
	116,000	Tokyo Electron Ltd		24,233,743
	43,261	Tokyo Seimitsu Co Ltd		1,364,949
	150,895	Tokyu Construction Co Ltd		940,773
	145,511	Towa Pharmaceutical Co Ltd		2,879,489
	27,982	TPR Co Ltd		384,375
	227,667	TS Tech Co Ltd		5,887,747
	76,619	TSI Holdings Co Ltd		297,581
	197,214	Valor Holdings Co Ltd		2,982,532
	23,304	Warabeya Nichiyo Holdings Co Ltd		351,618
	26,746	Yahagi Construction Co Ltd		196,228
		Total Japan		602,165,505
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—
		Netherlands — 6.2%
	2,117	ASML Holding NV		587,030
	492,286	ASR Nederland NV		16,566,499

30 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Netherlands — continued
	18,661	BE Semiconductor Industries NV		725,792
	16,777	Corbion NV		609,987
	210,836	Heineken Holding NV		18,721,732
	4,929,844	ING Groep NV		47,207,355
	318,302	Koninklijke Ahold Delhaize NV		7,436,253
	545,908	Koninklijke Philips NV		23,378,072
	107,137	Randstad NV		5,520,005
	1,002,386	Signify NV		29,867,550
	532,789	Wolters Kluwer NV		38,979,631
		Total Netherlands		189,599,906
		New Zealand — 0.1%
	479,293	Air New Zealand Ltd		682,360
	206,898	Chorus Ltd		865,360
		Total New Zealand		1,547,720
		Norway — 2.0%
	537,650	BW LPG Ltd		3,356,223
	2,694,504	DNB ASA		45,131,044
	81,675	Gjensidige Forsikring ASA		1,659,924
	1,099,499	Orkla ASA		9,351,752
	10,853	SpareBank 1 Nord Norge		83,948
		Total Norway		59,582,891
		Portugal — 3.1%
	129,846	Altri SGPS SA		705,630
	290,049	CTT-Correios de Portugal SA		748,236
	9,292,433	EDP – Energias de Portugal SA		43,383,532
	2,152,635	Galp Energia SGPS SA		29,693,872
	907,537	Jeronimo Martins SGPS SA		16,042,949
	156,055	Navigator Co SA (The) *		482,223
	641,809	NOS SGPS SA		2,534,974
	636,720	REN – Redes Energeticas Nacionais SGPS SA		1,767,199
		Total Portugal		95,358,615
		Singapore — 4.1%
	966,500	AEM Holdings Ltd		1,527,912
	502,800	CapitaLand Commercial Trust (REIT)		674,095
	3,332,900	CapitaLand Ltd		8,538,462
	4,819,900	ComfortDelGro Corp Ltd		6,833,797
	2,530,100	DBS Group Holdings Ltd		44,236,792
	3,641,100	Frasers Logistics & Industrial Trust (REIT)		3,251,137
	740,800	Hi-P International Ltd		579,313
	961,700	Lendlease Global Commercial (REIT)		597,504
	1,041,532	Mapletree Commercial Trust (REIT)		1,578,650
	3,611,400	Mapletree Greater China Commercial Trust (REIT)		2,867,585
	2,197,900	Mapletree Industrial Trust (REIT)		4,241,469
	1,731,700	Mapletree Logistics Trust (REIT)		2,308,266
	2,020,700	Singapore Exchange Ltd		12,477,960

Shares		Description	Value ($)
		Singapore — continued
	1,352,100	Singapore Technologies Engineering Ltd		4,095,789
	775,100	United Overseas Bank Ltd		13,834,401
	622,800	Venture Corp Ltd		7,506,181
	871,900	Wilmar International Ltd		2,516,659
	11,087,700	Yangzijiang Shipbuilding Holdings Ltd		7,693,012
	81,474	Yanlord Land Group Ltd		68,717
		Total Singapore		125,427,701
		Spain — 5.8%
	358,709	Aena SME SA		57,776,292
	284,666	Cia de Distribucion Integral Logista Holdings SA		5,811,315
	392,752	Ebro Foods SA		7,452,400
	1,564,963	Endesa SA		40,269,636
	4,701,857	Iberdrola SA		53,827,754
	163,653	Industria de Diseno Textil SA		5,105,802
	3,254,591	Mapfre SA		7,320,597
	115,077	Mediaset Espana Comunicacion SA		581,551
		Total Spain		178,145,347
		Sweden — 4.0%
	52,282	Atlas Copco AB – B Shares		1,620,235
	400,182	Betsson AB *		2,050,587
	24,793	JM AB		682,153
	234,575	Resurs Holding AB		1,269,752
	745,223	Swedish Match AB		43,725,591
	4,585,090	Volvo AB – B Shares		71,970,524
		Total Sweden		121,318,842
		Switzerland — 5.8%
	51,443	Ascom Holding AG (Registered)		455,746
	6,092	Autoneum Holding AG		598,044
	1,561	Banque Cantonale Vaudoise (Registered)		1,260,800
	8,426	Kardex AG (Registered)		1,331,938
	4,787	Komax Holding AG (Registered)		919,264
	217,829	Nestle SA (Registered)		22,415,854
	324,191	Novartis AG (Registered)		27,271,992
	41,267	Roche Holding AG		13,109,831
	317,655	Roche Holding AG – Genusschein		102,136,766
	53,724	Vontobel Holding AG (Registered)		3,560,241
	71,987	Wizz Air Holdings Plc *		3,203,248
	4,556	Zehnder Group AG		213,393
		Total Switzerland		176,477,117
		United Kingdom — 18.8%
	2,938,460	3i Group Plc		38,679,476
	239,906	Ashtead Group Plc		7,521,416
	241,908	Avast Plc		1,233,212
	163,987	AVEVA Group Plc		9,328,669
	89,193	BAE Systems Plc		705,524
	3,519,919	Barratt Developments Plc		34,747,157

See accompanying notes to the financial statements. 31

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United Kingdom — continued
	226,610	Bellway Plc		10,967,135
	304,772	Berkeley Group Holdings Plc (The)		18,795,597
	1,253,764	British American Tobacco Plc		49,572,886
	691,200	British American Tobacco Plc Sponsored ADR		27,509,760
	307,297	Coca-Cola HBC AG		9,799,817
	30,379	Dart Group Plc		486,536
	27,699	Diageo Plc Sponsored ADR		3,930,765
	529,643	Dunelm Group Plc		7,561,039
	1,400,478	Electrocomponents Plc		10,990,443
	2,408,728	Ferrexpo Plc		4,029,689
	6,544,890	Firstgroup Plc *		9,944,383
	267,268	Galliford Try Holdings Plc		537,231
	8,169	Games Workshop Group Plc		668,945
	3,771,204	GlaxoSmithKline Plc		76,100,512
	72,415	Grafton Group Plc		806,210
	128,120	Greggs Plc		3,452,500
	117,113	Halfords Group Plc		225,064
	77,768	Halma Plc		1,954,375
	80,495	Howden Joinery Group Plc		665,747
	293,313	Hunting Plc		1,216,334
	1,426,657	IG Group Holdings Plc		12,446,017
	861,333	Inchcape Plc		6,438,403
	144,308	Intermediate Capital Group Plc		2,984,454
	8,022,465	International Consolidated Airlines Group SA		49,166,694
	1,363,643	JD Sports Fashion Plc		13,044,857
	19,708	Jupiter Fund Management Plc		77,078
	4,987,575	Legal & General Group Plc		16,897,273
	355,258	National Express Group Plc		1,937,343
	419,414	Next Plc		33,056,597
	99,942	Pagegroup Plc		521,706
	1,640,107	Persimmon Plc		60,637,814
	182,145	Pets at Home Group Plc		608,968
	58,120	Phoenix Group Holdings Plc		521,891
	772,694	Plus500 Ltd		9,504,715
	578,240	QinetiQ Group Plc		2,588,143
	61,685	Savills Plc		863,080
	64,700	Smith & Nephew Plc Sponsored ADR		2,916,676
	131,083	Softcat Plc		1,793,750
	151,816	Spectris Plc		5,354,303
	781,973	Spirent Communications Plc		2,109,792
	1,696,827	Tate & Lyle Plc		15,472,487
	312,317	Vesuvius Plc		1,713,881
	26,832	Vistry Group Plc		444,037
		Total United Kingdom		572,530,381
		TOTAL COMMON STOCKS (COST $3,059,523,042)		2,909,888,786

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 0.0%
		Germany — 0.0%
	62,166	Schaeffler AG		566,716
		TOTAL PREFERRED STOCKS (COST $631,373)		566,716
		SHORT-TERM INVESTMENTS — 3.7%
		Money Market Funds — 0.9%
	27,522,670	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (c)		27,522,670
		Total Money Market Funds		27,522,670
		U.S. Government — 2.8%
	44,000,000	U.S. Treasury Bill, 1.10%, due 08/13/20 (d)		43,780,012
	42,500,000	U.S. Treasury Bill, 1.32%, due 04/23/20 (d)		42,417,417
		Total U.S. Government		86,197,429
		TOTAL SHORT-TERM INVESTMENTS (COST $113,621,580)		113,720,099
		TOTAL INVESTMENTS — 99.2% (Cost $3,173,775,995)		3,024,175,601
		Other Assets and Liabilities (net) — 0.8%		23,438,472
		TOTAL NET ASSETS — 100.0%		$3,047,614,073

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
953	Mini MSCI EAFE		March 2020	$	86,532,400	$	(8,650,678	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2020, 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.

32 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2020.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 73.

See accompanying notes to the financial statements. 33

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO Quality Fund returned +10.64% (net) for the fiscal year ended February 29, 2020, as compared with +8.19% for the S&P 500 Index.

Relative to the S&P 500, sector allocation contributed to returns this period. The Information Technology (overweight) and Energy (underweight) allocations made the largest positive impact while Health Care (overweight) and Utilities (underweight) detracted.

Security selection within sectors detracted from relative returns. Selection results in Health Care and Communication Services made the largest positive impact while Information Technology and Financials reduced returns. Sector allocation mattered more than stock selection.

The allocation to non-U.S. stocks added value.

Overweight positions in Taiwan Semiconductor, Microsoft, and Apple were significant single-stock contributors. Positions in 3M, Cognizant, and Wells Fargo detracted from returns.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

34

GMO Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Quality Fund Class III Shares and the S&P 500 Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

35

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Debt Obligations		1.3
Mutual Funds		0.3
Short-Term Investments		0.1
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
United States		84.3	%
Switzerland		5.8
United Kingdom		4.3
Taiwan		3.0
Germany		2.6
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		19.5	%
Health Care Equipment & Services		14.8
Pharmaceuticals, Biotechnology & Life Sciences		13.1
Media & Entertainment		8.3
Food, Beverage & Tobacco		7.8
Technology Hardware & Equipment		6.8
Capital Goods		6.2
Banks		6.1
Semiconductors & Semiconductor Equipment		5.7
Household & Personal Products		3.3
Retailing		3.1
Diversified Financials		2.4
Consumer Services		1.0
Food & Staples Retailing		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 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.

36

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Banks — 5.9%
	3,959,241	US Bancorp		183,867,151
	4,634,337	Wells Fargo & Co.		189,312,667
		Total Banks		373,179,818
		Capital Goods — 6.1%
	1,144,211	3M Co.		170,762,049
	515,894	Honeywell International, Inc.		83,662,530
	583,441	Knorr-Bremse AG		59,642,823
	506,844	United Technologies Corp.		66,188,758
		Total Capital Goods		380,256,160
		Consumer Services — 1.0%
	2,749,551	Compass Group Plc		60,579,288
		Diversified Financials — 2.4%
	1,349,671	American Express Co.		148,369,333
		Food & Staples Retailing — 0.9%
	210,202	Costco Wholesale Corp.		59,096,190
		Food, Beverage & Tobacco — 7.7%
	3,807,642	Coca-Cola Co. (The)		203,670,771
	1,115,293	Nestle SA (Registered)		114,770,050
	1,994,278	Philip Morris International, Inc.		163,271,540
		Total Food, Beverage & Tobacco		481,712,361
		Health Care Equipment & Services — 14.5%
	1,165,756	Abbott Laboratories		89,798,185
	291,591	Alcon, Inc. *		17,831,193
	649,892	Anthem, Inc.		167,080,734
	268,167	Becton Dickinson and Co.		63,775,476
	239,998	Humana, Inc.		76,722,561
	2,149,848	Medtronic Plc		216,425,198
	195,200	Quest Diagnostics, Inc.		20,702,912
	1,022,062	UnitedHealth Group, Inc.		260,584,927
		Total Health Care Equipment & Services		912,921,186
		Household & Personal Products — 3.3%
	1,102,359	Reckitt Benckiser Group Plc		81,456,435
	2,313,323	Unilever Plc		124,363,950
		Total Household & Personal Products		205,820,385
		Media & Entertainment — 8.1%
	148,506	Alphabet, Inc. – Class A *		198,886,661
	114,788	Alphabet, Inc. – Class C *		153,739,012
	808,019	Facebook, Inc. – Class A *		155,519,417
		Total Media & Entertainment		508,145,090

Shares / Par Value†		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 12.8%
	1,194,596	Eli Lilly & Co.		150,674,393
	1,760,613	Johnson & Johnson		236,767,236
	2,437,127	Merck & Co., Inc.		186,586,443
	721,370	Roche Holding AG – Genusschein		231,944,718
		Total Pharmaceuticals, Biotechnology & Life Sciences		805,972,790
		Retailing — 3.0%
	26,197	Booking Holdings, Inc. *		44,421,205
	2,447,729	TJX Cos, Inc. (The)		146,374,194
		Total Retailing		190,795,399
		Semiconductors & Semiconductor Equipment — 5.6%
	18,405,790	Taiwan Semiconductor Manufacturing Co Ltd		189,759,931
	1,437,781	Texas Instruments, Inc.		164,108,323
		Total Semiconductors & Semiconductor Equipment		353,868,254
		Software & Services — 19.1%
	1,024,922	Accenture Plc – Class A		185,090,664
	2,109,312	Cognizant Technology Solutions Corp. – Class A		128,520,380
	2,575,837	Microsoft Corp.		417,311,352
	5,586,250	Oracle Corp.		276,295,925
	815,173	SAP SE		101,768,193
	507,142	Visa, Inc. – Class A		92,178,130
		Total Software & Services		1,201,164,644
		Technology Hardware & Equipment — 6.7%
	1,143,525	Apple, Inc.		312,593,994
	2,682,316	Cisco Systems, Inc.		107,104,878
		Total Technology Hardware & Equipment		419,698,872
		Transportation — 0.8%
	1,375,528	Lyft, Inc. – Class A*		52,435,127
		TOTAL COMMON STOCKS (COST $4,180,992,367)		6,154,014,897
		DEBT OBLIGATIONS — 1.3%
		U.S. Government — 1.3%
	28,000,000	U.S. Treasury Note, 1.63%, due 11/30/20		28,095,156
	25,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		25,060,547
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.63%, due 01/31/21		30,018,716
		Total U.S. Government		83,174,419
		TOTAL DEBT OBLIGATIONS (COST $82,923,772)		83,174,419

See accompanying notes to the financial statements. 37

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		Affiliated Issuers — 0.3%
	3,141,064	GMO U.S. Treasury Fund		15,768,140
		TOTAL MUTUAL FUNDS (COST $15,705,282)		15,768,140
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,862,490	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (a)		4,862,490
		TOTAL SHORT-TERM INVESTMENTS (COST $4,862,490)		4,862,490
		TOTAL INVESTMENTS — 99.6% (Cost $4,284,483,911)		6,257,819,946
		Other Assets and Liabilities (net) — 0.4%		25,048,742
		TOTAL NET ASSETS — 100.0%		$6,282,868,688

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 73.

38 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI ACWI Commodity Producers Index is included for comparative purposes.

Class III shares of GMO Resources Fund returned -8.14% (net) for the fiscal year ended February 29, 2020, as compared with -20.24% for the MSCI ACWI Commodity Producers Index.

The Fund’s underweight to Energy provided positive allocation and selection impacts, resulting in a positive net impact. Both clean energy and fossil fuels contributed to performance. SolarEdge Technology Inc. and Renewable Energy Group Inc. were among the largest contributors.

The Fund’s overweight to industrial metals provided positive allocation and muted, yet positive, selection impacts. In particular, the diversified metals & mining exposure contributed, as Norilsk Nickel was among the largest contributors.

The Fund’s overweight to agriculture provided positive allocation and negative selection impacts, resulting in a slightly positive net impact. The Fund’s farming exposure contributed, while agricultural productivity detracted. The Mosaic Company was among the largest detractors.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

40

GMO Resources Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Resources Fund Class III Shares and the MSCI ACWI Commodity Producers

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .30% on the purchase and .30% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

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

41

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.3	%
Preferred Stocks		8.6
Short-Term Investments		2.8
Mutual Funds		0.4
Rights/Warrants		0.0	^
Other		(1.1	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		25.8	%
Russia		14.8
United Kingdom		11.6
Brazil		5.5
Other Emerging		4.4	†
China		3.6
Japan		3.6
France		3.2
Norway		3.2
Chile		3.0
Mexico		2.9
Canada		2.7
Australia		2.4
Israel		2.2
Thailand		1.9
Other Developed		1.9	‡
India		1.8
Denmark		1.7
Sweden		1.4
Spain		1.2
Argentina		1.2
		100.0	%
Industry Group Summary	% of Equity Investments#
Industrial Metals		41.8	%
Energy		39.1
Agriculture		15.0
Water		3.8
Clean Energy		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%.

42

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 89.3%
		Argentina — 1.2%
	937,754	Adecoagro SA *		6,132,911
		Australia — 2.4%
	1,927,203	Jupiter Mines Ltd		304,216
	281,295	Mineral Resources Ltd (a)		3,072,344
	946,257	Sandfire Resources NL		2,658,911
	3,323,101	South32 Ltd		4,722,597
	589,067	Tassal Group Ltd		1,488,929
		Total Australia		12,246,997
		Austria — 0.7%
	92,797	OMV AG		3,886,524
		Brazil — 0.9%
	824,857	Sao Martinho SA		4,886,170
		Canada — 2.6%
	200,900	Canadian Solar Inc * (a)		4,098,360
	104,600	Enerflex Ltd		576,674
	175,500	Frontera Energy Corp		992,397
	7,744,100	Largo Resources Ltd * (a)		5,192,542
	528,300	Peyto Exploration & Development Corp (a)		865,904
	408,500	Seven Generations Energy Ltd – Class A *		1,679,955
		Total Canada		13,405,832
		China — 3.5%
	2,150,000	China Everbright International Ltd		1,455,458
	9,894,500	China Petroleum & Chemical Corp – Class A		6,583,463
	1,678,000	China Water Affairs Group Ltd		1,347,730
	3,748,000	CNOOC Ltd		5,213,885
	3,080,783	Inner Mongolia Eerduosi Resources Co Ltd – Class A		3,488,780
		Total China		18,089,316
		Colombia — 0.8%
	4,545,997	Ecopetrol SA		4,010,946
		Denmark — 1.7%
	10,425	Maersk Drilling A/S *		461,629
	84,628	Vestas Wind Systems A/S		8,164,933
		Total Denmark		8,626,562
		Finland — 0.1%
	52,293	Kemira Oyj		665,815
		France — 3.2%
	24,854	Eramet (a)		821,169
	297,258	Suez		4,720,099

Shares		Description	Value ($)
		France — continued
	50,100	TOTAL SA		2,165,439
	222,502	Veolia Environnement SA		6,410,494
	48,070	Vilmorin & Cie SA		2,138,514
		Total France		16,255,715
		Germany — 0.3%
	216,062	K+S AG (Registered) (a)		1,788,964
		Hungary — 0.6%
	389,925	MOL Hungarian Oil & Gas Plc		3,022,207
		India — 1.8%
	2,531,881	Oil & Natural Gas Corp Ltd		3,255,087
	786,286	Oil India Ltd		1,184,738
	2,940,747	Vedanta Ltd		4,686,686
		Total India		9,126,511
		Israel — 2.2%
	45,198	Equital Ltd *		1,092,290
	1,797,699	Israel Chemicals Ltd		6,538,935
	25,244	Israel Corp Ltd (The) *		3,495,137
		Total Israel		11,126,362
		Japan — 3.5%
	93,200	Ebara Corp		2,194,657
	329,400	Hitachi Zosen Corp		1,146,048
	40,000	Japan Petroleum Exploration Co Ltd		871,058
	178,500	Kubota Corp		2,502,883
	48,300	Kurita Water Industries Ltd		1,245,733
	245,500	Mitsubishi Materials Corp		5,569,416
	41,500	Nittetsu Mining Co Ltd		1,469,493
	75,300	Sumitomo Metal Mining Co Ltd		1,854,839
	96,400	Takuma Co Ltd		1,048,074
		Total Japan		17,902,201
		Mexico — 2.8%
	6,187,900	Grupo Mexico SAB de CV		14,621,716
		Norway — 3.2%
	631,786	Austevoll Seafood ASA		5,606,776
	113,362	Borregaard ASA		1,203,874
	23,824	BW Energy Ltd *		43,118
	116,753	BW Offshore Ltd *		463,760
	1,585,270	DNO ASA (a)		1,140,247
	314,100	Equinor ASA		4,837,856
	111,753	Grieg Seafood ASA		1,427,315
	28,566	TGS NOPEC Geophysical Co ASA		666,557
	23,518	Yara International ASA		863,451
		Total Norway		16,252,954

See accompanying notes to the financial statements. 43

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Pakistan — 0.4%
	1,572,000	Fauji Fertilizer Co Ltd		1,049,222
	1,396,600	Oil & Gas Development Co Ltd		1,064,603
		Total Pakistan		2,113,825
		Poland — 0.4%
	2,578,081	Polskie Gornictwo Naftowe i Gazownictwo SA		2,097,053
		Russia — 13.3%
	1,636,830	Gazprom Neft PJSC		9,848,472
	699,380	Gazprom PJSC		2,155,312
	172,933	LUKOIL PJSC Sponsored ADR		14,916,923
	479,544	MMC Norilsk Nickel PJSC ADR		14,499,896
	92,799	Novatek PJSC Sponsered GDR (Registered)		13,539,962
	504,304	PhosAgro PJSC GDR (Registered)		5,609,326
	575,419	Ros Agro Plc GDR (Registered)		5,262,149
	411,269	Rosneft Oil Co PJSC GDR (Registered)		2,518,613
		Total Russia		68,350,653
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (b)		—
		South Africa — 0.9%
	136,592	African Rainbow Minerals Ltd		1,230,850
	1,597,160	Sibanye Stillwater Ltd *		3,221,963
		Total South Africa		4,452,813
		South Korea — 0.1%
	1,358	Young Poong Corp *		664,536
		Spain — 1.2%
	548,254	Repsol SA		6,195,448
		Sweden — 1.4%
	342,314	Boliden AB		7,189,006
		Switzerland — 0.6%
	2,094	Gurit Holding AG *		3,119,749
		Thailand — 1.9%
	1,178,464	PTT Exploration & Production Pcl (Foreign Registered)		4,020,966
	4,509,610	PTT Pcl (Foreign Registered)		5,653,476
		Total Thailand		9,674,442
		Turkey — 0.6%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,986,987
		Ukraine — 0.6%
	267,341	Kernel Holding SA *		2,950,647

Shares		Description	Value ($)
		United Kingdom — 11.4%
	425,096	Anglo American Plc		10,001,426
	516,009	BHP Group Plc		9,430,495
	511,256	BP Plc		2,656,285
	339,132	Central Asia Metals Plc		821,218
	1,577,470	Diversified Gas & Oil Plc		1,621,287
	2,565,559	EnQuest Plc *		689,435
	2,074,149	Ferrexpo Plc		3,469,954
	5,641,938	Glencore Plc *		14,241,094
	231,196	KAZ Minerals Plc		1,237,659
	196,203	Petrofac Ltd		818,467
	119,080	Polypipe Group Plc		827,875
	695,442	Premier Oil Plc *		708,264
	208,833	Rio Tinto Plc		9,831,775
	90,720	Royal Dutch Shell Plc – A Shares		1,958,326
		Total United Kingdom		58,313,560
		United States — 25.0%
	73,900	AGCO Corp.		4,465,777
	189,800	Albemarle Corp. (a)		15,535,130
	49,000	Bonanza Creek Energy, Inc. *		798,210
	367,000	Centennial Resource Development Inc/DE – Class A *		869,790
	275,300	CNX Resources Corp. *		1,461,843
	1,333,108	Denbury Resources, Inc. * (a)		1,003,030
	81,200	First Solar, Inc. * (a)		3,716,524
	2,495,371	Freeport-McMoRan, Inc.		24,853,895
	164,624	GrafTech International Ltd.		1,343,332
	342,600	Gulfport Energy Corp. * (a)		280,795
	622,800	Laredo Petroleum, Inc. *		672,624
	510,900	Livent Corp. * (a)		4,562,337
	214,400	Magnolia Oil & Gas Corp. – Class A * (a)		1,610,144
	1,039,182	Mosaic Co. (The)		17,697,269
	102,300	ProPetro Holding Corp. *		896,148
	959,100	Renewable Energy Group, Inc. *		25,368,195
	15,100	REX American Resources Corp. *		1,057,151
	21,400	Rexnord Corp.		624,024
	109,200	Select Energy Services, Inc. – Class A *		709,800
	145,955	SolarEdge Technologies, Inc. * (a)		18,203,508
	943,100	Southwestern Energy Co. * (a)		1,339,202
	35,500	Talos Energy, Inc. *		504,100
	172,300	W&T Offshore, Inc. *		447,980
		Total United States		128,020,808
		TOTAL COMMON STOCKS (COST $475,379,937)		458,177,230

44 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (c) — 8.6%
		Brazil — 4.5%
	3,062,599	Bradespar SA		22,867,278
		Chile — 2.9%
	551,112	Sociedad Quimica y Minera de Chile SA Sponsored ADR		15,089,446
		Russia — 1.2%
	55,697	Bashneft PJSC		1,398,795
	5,091,084	Surgutneftegas PJSC		2,500,692
	230,971	Tatneft PJSC		2,315,411
		Total Russia		6,214,898
		TOTAL PREFERRED STOCKS (COST $39,687,637)		44,171,622
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 * (b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	365,112	GMO U.S. Treasury Fund (d)		1,832,863
		TOTAL MUTUAL FUNDS (COST $1,825,561)		1,832,863
		SHORT-TERM INVESTMENTS — 2.8%
		Money Market Funds — 1.8%
	9,208,215	State Street Institutional Treasury Money Market Fund – Premier Class,1.50% (e)		9,208,215
		U.S. Government — 1.0%
	5,000,000	U.S. Treasury Bill, 1.10%, due 08/13/20 (f)		4,975,002
		TOTAL SHORT-TERM INVESTMENTS (COST $14,173,611)		14,183,217
		TOTAL INVESTMENTS — 101.1% (Cost $531,066,746)		518,364,932
		Other Assets and Liabilities (net) — (1.1%)		(5,529,378	)
		TOTAL NET ASSETS — 100.0%		$512,835,554

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 February 29, 2020.

(f) 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 73.

See accompanying notes to the financial statements. 45

GMO Risk Premium Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the CBOE S&P 500 PutWrite Index is included for comparative purposes.

Class III shares of GMO Risk Premium Fund returned -0.37% (net) for the fiscal year ended February 29, 2020, as compared with -0.22% for the CBOE S&P 500 PutWrite Index.

Because the Fund gains its investment exposure by writing (selling) options on equity indices, the Fund typically benefits (relative to equity markets) in a sharply or modestly declining market, a trending market, or a modestly climbing market. In line with these scenarios, the Fund delivered its strongest relative performance in May 2019 and February 2020, months in which broader equity markets (as measured by the MSCI World Index) were down sharply.

The Fund’s strategy of actively allocating across global equity markets produced mixed results in the period. The Fund’s exposure during the fiscal year was mainly to the S&P 500, EURO STOXX, and FTSE 100. Positions in the EURO STOXX made the largest positive contributions to relative performance toward the middle of the period and FTSE 100 positions detracted late in calendar 2019.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

46

GMO Risk Premium Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Risk Premium Fund Class III Shares, the CBOE S&P 500 PutWrite Index and
the MSCI World Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not includethe effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

* For the period from November 15, 2012 to December 14, 2012, no Class III shares were outstanding. Performance for that period is that of Class VI, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class III expenses had been applied throughout.

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

47

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		55.7	%
Short-Term Investments		2.5
Written Options		(11.0	)
Other		52.8
		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).

48

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 55.7%
		U.S. Government — 55.7%
	20,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20 (a)		20,301,222
		TOTAL DEBT OBLIGATIONS (COST $20,299,827)		20,301,222
		SHORT-TERM INVESTMENTS — 2.5%
		Money Market Funds — 1.3%
	477,205	State Street Institutional Treasury Money Market Fund-Premier Class, 1.50% (b)		477,205
		U.S. Government — 1.2%
	450,000	U.S. Treasury Bill, 1.10%, due 08/13/20 (c)		447,750
		TOTAL SHORT-TERM INVESTMENTS (COST $924,090)		924,955
		TOTAL INVESTMENTS — 58.2% (Cost $21,223,917)		21,226,177
		Other Assets and Liabilities (net) — 41.8%		15,243,660
		TOTAL NET ASSETS — 100.0%		$36,469,837

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Written Options — Puts

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount				Value ($)
S&P 500 Index	2,950.00		03/20/20		30		USD	(8,862,660	)		(324,000	)
S&P 500 Index	3,340.00		03/20/20		100		USD	(29,542,200	)		(3,700,000	)
			TOTAL WRITTEN INDEX OPTIONS – PUTS (Premiums $2,046,755)							$	(4,024,000	)

As of February 29, 2020, 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 February 29, 2020.

(c) 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 73.

See accompanying notes to the financial statements. 49

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Tax-Managed International Equities Fund returned +2.31% (net) for the fiscal year ended February 29, 2020, as compared with -0.57% for the MSCI EAFE Index.

The Fund added value primarily from stock selection decisions, with additional contributions from sector allocation. Stock selection was strong despite valuation headwinds, the magnitude of the headwind is illustrated by the 12% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the year ended February 29, 2020. Outperformance of the portfolio was underpinned by a range of models including growth- and quality-oriented signals.

Areas of notable positive stock selection included the U.K., Italy, Consumer Staples, Utilities, and Energy. The breadth of this strength was reflected in the portfolio’s top contributors, which included overweight positioning in Enel SpA (Italy Utilities), Itochu Corporation (Japan Industrials), and Persimmon Plc (U.K. Consumer Discretionary). The Energy sector was also a notable area of added value from a mix of stock selection, including overweight positioning in Gazprom PJSC (Russia), and underweight positioning toward the sector as a whole.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

50

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Tax-Managed International Equities Fund Class III Shares, the MSCI EAFE Index (After Tax) and the MSCI EAFE Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

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

51

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		1.2
Mutual Funds		1.0
Preferred Stocks		0.1
Futures Contracts		0.0	^
Other		(0.2	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		20.7	%
United Kingdom		15.0
France		9.6
Netherlands		7.0
Spain		6.2
Switzerland		5.8
Germany		5.1
Italy		4.9
Australia		3.5
Sweden		2.6
Portugal		2.6
China		2.2
Other Emerging		2.2	†
Singapore		2.0
South Korea		1.9
Brazil		1.9
Hong Kong		1.8
Other Developed		1.8	‡
Taiwan		1.2
Ireland		1.0
United States		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		11.7	%
Capital Goods		8.7
Utilities		8.0
Food, Beverage & Tobacco		7.4
Consumer Durables & Apparel		7.0
Materials		6.9
Banks		5.7
Telecommunication Services		4.9
Diversified Financials		4.5
Technology Hardware & Equipment		4.3
Insurance		4.2
Automobiles & Components		3.4
Software & Services		3.2
Transportation		2.9
Semiconductors & Semiconductor Equipment		2.8
Household & Personal Products		2.8
Commercial & Professional Services		2.7
Health Care Equipment & Services		2.2
Retailing		2.1
Real Estate		1.6
Food & Staples Retailing		1.4
Energy		1.3
Consumer Services		0.2
Media & Entertainment		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).

¤ 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%.

52

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Australia — 3.5%
	18,037	Accent Group Ltd		19,561
	8,938	Adairs Ltd		14,222
	27,727	Australian Pharmaceutical Industries Ltd		21,732
	1,660	Caltex Australia Ltd		35,699
	92,957	Fortescue Metals Group Ltd		620,894
	2,986	IDP Education Ltd		42,240
	205	Macquarie Group Ltd		18,227
	6,929	Mirvac Group (REIT)		13,783
	8,093	Rio Tinto Ltd		465,063
	4,335	Super Retail Group Ltd		23,192
		Total Australia		1,274,613
		Austria — 0.1%
	773	Vienna Insurance Group AG Wiener Versicherung Gruppe		18,800
		Belgium — 0.2%
	1,593	AGFA-Gevaert NV *		7,093
	736	UCB SA		68,143
		Total Belgium		75,236
		Brazil — 1.8%
	33,000	Banco do Brasil SA		345,799
	55,500	JBS SA		281,726
	1,500	Mahle-Metal Leve SA		9,040
	5,600	MRV Engenharia e Participacoes SA		24,407
		Total Brazil		660,972
		China — 2.2%
	20,000	Agile Group Holdings Ltd		28,595
	13,000	BAIC Motor Corp Ltd – Class H		6,467
	334,000	Bank of China Ltd – Class H		133,480
	50,000	China CITIC Bank Corp Ltd – Class H		26,196
	90,000	China Lesso Group Holdings Ltd		137,369
	31,000	China Railway Construction Corp Ltd – Class H		35,865
	74,000	China SCE Group Holdings Ltd		40,977
	9,000	China Shineway Pharmaceutical Group Ltd		7,887
	42,400	Guangzhou R&F Properties Co Ltd – Class H		66,851
	10,000	Huabao International Holdings Ltd		3,982
	8,000	Kingboard Holdings Ltd		21,440
	37,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		69,819
	44,500	Shimao Property Holdings Ltd		163,106
	14,000	Times China Holdings Ltd		26,658
	13,000	Weichai Power Co Ltd – Class H		26,083
		Total China		794,775
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		34,957

Shares		Description	Value ($)
		France — 9.6%
	751	Alten SA		84,107
	224	BNP Paribas SA		10,873
	1,002	Dassault Systemes SE		158,981
	563	Gaztransport Et Technigaz SA		50,425
	96	Hermes International		67,718
	705	Kaufman & Broad SA		28,493
	3,572	L’Oreal SA		960,098
	241	LVMH Moet Hennessy Louis Vuitton SE		100,577
	26,909	Peugeot SA		521,471
	1,207	Quadient		26,074
	3,000	Safran SA		415,285
	11,213	Sanofi		1,045,789
	100	Sanofi ADR		4,625
		Total France		3,474,516
		Germany — 5.0%
	770	adidas AG		216,792
	3,452	Allianz SE (Registered)		752,018
	2,043	Bayer AG (Registered)		148,579
	205	Bechtle AG		27,283
	508	Carl Zeiss Meditec AG		54,043
	5,627	CECONOMY AG *		27,135
	5,402	Deutsche Pfandbriefbank AG		76,678
	5,370	Dialog Semiconductor Plc *		185,254
	160	Eckert & Ziegler Strahlen- und Medizintechnik AG		27,209
	806	Elmos Semiconductor AG		19,095
	371	Hannover Rueck SE		67,176
	294	Merck KGaA		35,775
	100	Siemens AG (Registered)		10,287
	456	Siltronic AG		43,308
	459	Talanx AG		20,503
	679	Volkswagen AG		115,336
		Total Germany		1,826,471
		Hong Kong — 1.8%
	11,200	Dah Sing Banking Group Ltd		13,978
	485,000	WH Group Ltd		508,964
	18,000	Wheelock & Co Ltd		138,306
		Total Hong Kong		661,248
		Hungary — 0.2%
	12,105	Magyar Telekom Telecommunications Plc		15,776
	1,137	MOL Hungarian Oil & Gas Plc		8,813
	2,515	Richter Gedeon Nyrt		51,227
		Total Hungary		75,816
		India — 0.4%
	27,323	Power Finance Corp Ltd		41,767
	2,716	Rajesh Exports Ltd		24,963

See accompanying notes to the financial statements. 53

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		India — continued
	51,151	REC Ltd		84,401
		Total India		151,131
		Ireland — 1.0%
	4,560	CRH Plc Sponsored ADR		154,493
	122	Flutter Entertainment Plc		13,126
	6,190	Smurfit Kappa Group Plc		208,540
		Total Ireland		376,159
		Italy — 4.9%
	11,005	Arnoldo Mondadori Editore SPA *		18,882
	3,748	Assicurazioni Generali SPA		67,656
	495	ASTM SPA		12,309
	5,207	Banca Mediolanum SPA		42,557
	114,068	Enel SPA		957,394
	9,278	EXOR NV		662,619
	883	Leonardo SPA		9,056
		Total Italy		1,770,473
		Japan — 20.7%
	500	Adastria Co Ltd		8,077
	900	Arakawa Chemical Industries Ltd		10,658
	19,700	Asahi Kasei Corp		161,342
	50,900	Astellas Pharma Inc		797,766
	3,900	Bandai Namco Holdings Inc		195,315
	8,600	Brother Industries Ltd		152,332
	100	Disco Corp		20,274
	1,100	Fuji Electric Co Ltd		30,169
	6,400	FUJIFILM Holdings Corp		310,799
	4,300	Fujitsu Ltd		448,388
	500	Fujiya Co Ltd		8,864
	1,000	Furuno Electric Co Ltd		8,434
	11,300	Haseko Corp		145,633
	200	Hitachi High-Tech Corp		14,855
	20,100	Hitachi Ltd		671,259
	1,000	Hokuetsu Industries Co Ltd		10,257
	8,300	Honda Motor Co Ltd		212,932
	21,900	ITOCHU Corp		496,284
	400	Itochu Techno-Solutions Corp		11,204
	2,400	Kajima Corp		25,722
	1,400	Kamei Corp		12,617
	30,400	KDDI Corp		858,908
	300	Makino Milling Machine Co Ltd		10,089
	59,300	Mitsubishi Chemical Holdings Corp		396,443
	6,100	NEC Corp		229,010
	2,200	NET One Systems Co Ltd		45,994
	1,000	Nichias Corp		20,522
	36,200	Nippon Telegraph & Telephone Corp		844,538
	500	Nomura Research Institute Ltd		10,977
	300	NS Solutions Corp		8,399

Shares		Description	Value ($)
		Japan — continued
	6,100	Obayashi Corp		61,537
	500	Rohto Pharmaceutical Co Ltd		14,240
	1,100	Shimizu Corp		10,002
	1,600	Shionogi & Co Ltd		86,128
	1,100	Showa Corp		23,514
	64,500	Sojitz Corp		186,938
	1,700	SUMCO Corp		25,741
	27,100	Sumitomo Chemical Co Ltd		98,752
	3,100	Teijin Ltd		50,833
	2,200	Tokyo Electron Ltd		459,605
	13,400	Tosoh Corp		181,344
	3,600	Toyota Tsusho Corp		108,181
		Total Japan		7,484,876
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—
		Mexico — 0.0%
	6,300	ALEATICA SAB de CV		9,154
		Netherlands — 7.0%
	3,499	ASR Nederland NV		117,749
	258	BE Semiconductor Industries NV		10,034
	1,363	Heineken Holding NV		121,031
	16,519	ING Groep NV		158,183
	12,355	Koninklijke Ahold Delhaize NV		288,641
	11,314	Koninklijke Philips NV		484,513
	3,260	Randstad NV		167,965
	12,405	Signify NV		369,625
	10,939	Wolters Kluwer NV		800,313
		Total Netherlands		2,518,054
		Norway — 0.7%
	2,834	BW LPG Ltd		17,691
	3,856	DNB ASA		64,585
	568	Gjensidige Forsikring ASA		11,544
	1,958	Grieg Seafood ASA		25,008
	9,645	Orkla ASA		82,035
	35	Salmar ASA		1,582
	2,884	SpareBank 1 Nord Norge		22,307
	2,652	SpareBank 1 SR-Bank ASA		25,398
		Total Norway		250,150
		Philippines — 0.0%
	305	Globe Telecom Inc		10,658
		Poland — 0.2%
	807	Asseco Poland SA		12,602
	2,613	Polski Koncern Naftowy ORLEN SA		39,472
		Total Poland		52,074

54 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Portugal — 2.6%
	1,570	Altri SGPS SA		8,532
	109,426	EDP – Energias de Portugal SA		510,877
	15,119	Galp Energia SGPS SA		208,554
	10,055	Jeronimo Martins SGPS SA		177,747
	2,795	Navigator Co SA (The)		8,637
	3,531	NOS SGPS SA		13,946
		Total Portugal		928,293
		Russia — 0.3%
	17,157	Gazprom PJSC Sponsored ADR		105,014
	72,000	Inter RAO UES PJSC		5,676
	557	Novolipetsk Steel PJSC GDR		10,695
		Total Russia		121,385
		Singapore — 2.0%
	7,100	AEM Holdings Ltd		11,224
	2,500	CapitaLand Ltd		6,405
	18,600	DBS Group Holdings Ltd		325,206
	6,700	Mapletree Industrial Trust (REIT)		12,930
	30,400	Mapletree Logistics Trust (REIT)		40,522
	16,000	Singapore Exchange Ltd		98,801
	10,400	Singapore Technologies Engineering Ltd		31,504
	3,800	United Overseas Bank Ltd		67,824
	5,600	Venture Corp Ltd		67,493
	7,500	Wilmar International Ltd		21,648
	26,400	Yanlord Land Group Ltd		22,266
		Total Singapore		705,823
		South Africa — 0.4%
	16,012	Absa Group Ltd		137,793
	2,040	Reunert Ltd		7,417
	3,263	Sappi Ltd *		6,138
	4,338	Telkom SA SOC Ltd		7,380
		Total South Africa		158,728
		South Korea — 1.9%
	195	DongKook Pharmaceutical Co Ltd		13,566
	9,512	Hana Financial Group Inc		246,328
	149	Hyundai Home Shopping Network Corp		9,077
	7,216	Industrial Bank of Korea		56,908
	9,612	Kia Motors Corp		290,040
	293	Sebang Global Battery Co Ltd		7,623
	2,044	Shinhan Financial Group Co Ltd		54,666
	8	Taekwang Industrial Co Ltd *		5,313
	2,099	Woori Financial Group Inc		16,674
		Total South Korea		700,195
		Spain — 6.2%
	4,468	Aena SME SA		719,649
	2,208	Almirall SA		28,932

Shares		Description	Value ($)
		Spain — continued
	699	Cia de Distribucion Integral Logista Holdings SA		14,270
	16,890	Endesa SA		434,614
	80,992	Iberdrola SA		927,212
	2,126	Industria de Diseno Textil SA		66,329
	22,739	Mapfre SA		51,147
	1,950	Mediaset Espana Comunicacion SA		9,854
		Total Spain		2,252,007
		Sweden — 2.6%
	779	Atrium Ljungberg AB – B Shares		15,839
	2,177	Axfood AB		40,594
	1,647	Bufab AB		18,378
	328	JM AB		9,025
	1,400	Lindab International AB		16,693
	4,486	Swedish Match AB		263,214
	2,991	Volvo AB – A Shares		46,826
	33,044	Volvo AB – B Shares		518,680
		Total Sweden		929,249
		Switzerland — 5.8%
	522	ALSO Holding AG (Registered) *		89,334
	379	Galenica AG *		25,627
	173	Huber + Suhner AG (Registered)		11,610
	2,397	Nestle SA (Registered)		246,665
	2,831	Novartis AG (Registered)		238,153
	295	Roche Holding AG		93,716
	4,188	Roche Holding AG – Genusschein		1,346,583
	7	Vetropack Holding AG		18,733
	495	Wizz Air Holdings Plc *		22,026
		Total Switzerland		2,092,447
		Taiwan — 1.2%
	7,900	Feng TAY Enterprise Co Ltd		43,489
	62,000	Inventec Corp		46,456
	12,000	Novatek Microelectronics Corp		75,520
	1,000	Phison Electronics Corp		10,683
	89,000	Pou Chen Corp		98,814
	44,000	Radiant Opto-Electronics Corp		139,381
	7,000	Ruentex Industries Ltd *		15,412
	11,000	Sunplus Technology Co Ltd *		3,895
	4,595	TOPBI International Holdings Ltd		11,315
		Total Taiwan		444,965
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		10,330
		Turkey — 0.5%
	7,481	KOC Holding AS		20,847
	2,461	TAV Havalimanlari Holding AS		8,062
	67,960	Turkiye Garanti Bankasi AS *		104,039

See accompanying notes to the financial statements. 55

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Turkey — continued
	30,516	Turkiye Is Bankasi – Class C *		28,101
	24,133	Turkiye Vakiflar Bankasi TAO – Class D *		20,530
	24,612	Yapi ve Kredi Bankasi AS *		9,054
		Total Turkey		190,633
		United Kingdom — 15.0%
	46,182	3i Group Plc		607,902
	1,907	Ashmore Group Plc		11,519
	1,522	Ashtead Group Plc		47,717
	1,000	AVEVA Group Plc		56,887
	27,858	BAE Systems Plc		220,359
	52,176	Barratt Developments Plc		515,059
	3,162	Bellway Plc		153,030
	4,531	Berkeley Group Holdings Plc (The)		279,431
	7,700	British American Tobacco Plc Sponsored ADR		306,460
	342	Burberry Group Plc		7,370
	1,945	Coca-Cola HBC AG		62,027
	1,582	Computacenter Plc		33,538
	12,692	Diageo Plc		452,845
	4,640	Dunelm Group Plc		66,239
	10,293	Electrocomponents Plc		80,776
	331	Ferguson Plc		28,840
	17,524	Ferrexpo Plc		29,317
	173	Games Workshop Group Plc		14,167
	8,749	GlaxoSmithKline Plc		176,549
	245	Greggs Plc		6,602
	16,247	Inchcape Plc		121,445
	741	Intermediate Capital Group Plc		15,325
	35,437	International Consolidated Airlines Group SA		217,180
	3,923	International Personal Finance Plc		7,498
	16,768	JD Sports Fashion Plc		160,406
	6,108	John Laing Group Plc		26,608
	111,776	Legal & General Group Plc		378,683
	4,509	Meggitt Plc		31,753
	3,284	Morgan Advanced Materials Plc		11,724
	1,218	Morgan Sindall Group Plc		27,751
	4,354	National Express Group Plc		23,744
	2,686	Next Plc		211,700
	2,347	OneSavings Bank Plc		12,255
	14,107	Persimmon Plc		521,562
	2,787	Phoenix Group Holdings Plc		25,026
	3,048	Plus500 Ltd		37,493
	14,587	QinetiQ Group Plc		65,290
	2,200	Smith & Nephew Plc Sponsored ADR		99,176
	937	Softcat Plc		12,822
	10,383	Spirent Communications Plc		28,014
	24,069	Tate & Lyle Plc		219,473
	1,700	WPP Plc		16,334
		Total United Kingdom		5,427,896
		TOTAL COMMON STOCKS (COST $29,979,796)		35,482,084

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 0.1%
		Brazil — 0.0%
	2,300	Banco do Estado do Rio Grande do Sul SA – Class B		9,335
		Germany — 0.1%
	130	Bayerische Motoren Werke AG		6,741
	98	Henkel AG & Co KGaA		9,130
		Total Germany		15,871
		South Korea — 0.0%
	28	Samsung Electronics Co Ltd		1,069
		TOTAL PREFERRED STOCKS (COST $31,757)		26,275
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers — 1.0%
	73,445	GMO U.S. Treasury Fund		368,696
		TOTAL MUTUAL FUNDS (COST $367,797)		368,696
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	424,200	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (c)		424,200
		TOTAL SHORT-TERM INVESTMENTS (COST $424,200)		424,200
		TOTAL INVESTMENTS — 100.2% (Cost $30,803,550)		36,301,255
		Other Assets and Liabilities (net) — (0.2%)		(73,664	)
		TOTAL NET ASSETS — 100.0%		$36,227,591

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 3	Mini MSCI EAFE	March 2020	$	272,400	$	1,840

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

56 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

As of February 29, 2020, 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 February 29, 2020.

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 73.

See accompanying notes to the financial statements. 57

GMO U.S. Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO U.S. Equity Fund returned +2.51% (net) for the fiscal year ended February 29, 2020, as compared with +6.90% for the Russell 3000 Index.

Over the period, U.S. underperformance largely came from being overweight where we believed the valuations were quite compelling, while maintaining underweight positions in stocks which performed well despite being relatively expensive. The magnitude of the valuation headwind is illustrated by the 14% underperformance of the Russell 3000 Value Index when compared to the Russell 3000 Growth Index for the year ended February 29, 2020. Despite these headwinds, our approach of looking for a mix of value, quality, attractive fundamental growth, and few red flags from corporate alerts helped performance relative to simple, reported, multiple-driven measures of value.

Stock selection detracted from relative performance, while sector allocation was incrementally additive over the period. Top detractors included underweight positioning in large cap Information Technology names Apple and Microsoft. Overweight positioning in stocks viewed as attractively valued also detracted, including Pfizer (Health Care) and Xilinx (Information Technology). Value added from an underweight allocation toward Energy, including an underweight positioning in Exxon Mobile Corporation, was a performance highlight for the period.

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

58

GMO U.S. Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO U.S. Equity Fund Class III Shares and the Russell 3000 Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

For Russell disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

59

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		0.3
Short-Term Investments		0.3
Futures Contracts		0.0	^
Other		0.7
		100.0	%
Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		11.7	%
Capital Goods		10.5
Software & Services		9.4
Technology Hardware & Equipment		9.3
Semiconductors & Semiconductor Equipment		8.0
Retailing		6.7
Health Care Equipment & Services		5.6
Food, Beverage & Tobacco		5.4
Consumer Durables & Apparel		4.9
Media & Entertainment		4.6
Diversified Financials		4.3
Household & Personal Products		4.2
Insurance		3.5
Telecommunication Services		2.1
Materials		2.0
Banks		1.9
Commercial & Professional Services		1.6
Automobiles & Components		1.3
Real Estate		1.0
Energy		0.9
Consumer Services		0.7
Utilities		0.2
Food & Staples Retailing		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%.

60

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 1.3%
	33,000	Aptiv Plc		2,577,631
	35,200	BorgWarner, Inc.		1,112,320
	32,700	Dana, Inc.		470,226
	31,400	Gentex Corp.		838,380
	4,800	Standard Motor Products, Inc.		211,200
	11,100	Stoneridge, Inc. *		245,310
	6,200	Visteon Corp. *		403,248
		Total Automobiles & Components		5,858,315
		Banks — 1.9%
	3,519	American National Bankshares, Inc.		108,702
	13,600	BankUnited, Inc.		403,920
	22,854	Citizens Financial Group, Inc.		724,243
	3,744	CNB Financial Corp.		93,862
	10,700	Essent Group Ltd.		466,948
	1,561	Federal Agricultural Mortgage Corp. – Class C		117,169
	48,200	Fifth Third Bancorp		1,176,080
	3,200	Financial Institutions, Inc.		86,112
	2,723	First Bancorp, Inc.		69,437
	5,700	First Defiance Financial Corp.		136,315
	8,200	International Bancshares Corp.		279,620
	21,200	JPMorgan Chase & Co.		2,461,532
	15,761	Popular, Inc.		756,213
	38,500	Radian Group, Inc.		817,740
	30,967	Regions Financial Corp.		418,674
	4,084	Territorial Bancorp, Inc.		103,815
	6,000	Walker & Dunlop, Inc.		389,100
		Total Banks		8,609,482
		Capital Goods — 10.4%
	14,000	AGCO Corp.		846,020
	2,100	Allied Motion Technologies, Inc.		80,934
	38,000	Arconic, Inc.		1,115,300
	12,300	Atkore International Group, Inc. *		453,993
	12,300	BMC Stock Holdings, Inc. *		301,719
	43,400	Builders FirstSource, Inc. *		985,614
	6,400	Crane Co.		434,880
	14,726	Cummins, Inc.		2,227,896
	9,800	Curtiss-Wright Corp.		1,175,412
	5,700	Douglas Dynamics, Inc.		248,121
	29,700	Eaton Corp Plc		2,694,384
	6,700	EMCOR Group, Inc.		515,364
	20,194	Federal Signal Corp.		585,626
	3,300	Gorman-Rupp Co. (The)		105,567
	8,200	Griffon Corp.		142,680
	11,424	ITT, Inc.		687,154
	15,800	L3Harris Technologies, Inc.		3,124,134
	16,900	Lockheed Martin Corp.		6,250,803
	3,200	Miller Industries, Inc.		95,072

Shares		Description	Value ($)
		Capital Goods — continued
	8,396	Moog, Inc. – Class A		647,499
	13,000	Mueller Industries, Inc.		363,740
	8,700	Northrop Grumman Corp.		2,860,908
	11,631	Oshkosh Corp.		839,177
	16,100	Owens Corning		909,489
	13,400	PACCAR, Inc.		896,460
	11,704	SPX Corp. *		490,749
	7,600	Stanley Black & Decker, Inc.		1,092,120
	7,723	Teledyne Technologies, Inc. *		2,605,122
	39,691	Textron, Inc.		1,611,455
	13,379	Timken Co. (The)		599,914
	82,500	United Technologies Corp.		10,773,675
	18,196	Universal Forest Products, Inc.		852,665
	3,300	Vectrus, Inc. *		171,897
		Total Capital Goods		46,785,543
		Commercial & Professional Services — 1.5%
	37,799	ACCO Brands Corp.		302,770
	1,900	Barrett Business Services, Inc.		113,810
	18,609	Brady Corp. – Class A		880,950
	13,700	CBIZ, Inc. *		356,748
	6,000	Cimpress Plc *		698,460
	2,500	CRA International, Inc.		116,275
	12,700	Deluxe Corp.		422,910
	6,900	Ennis, Inc.		138,690
	8,946	FTI Consulting, Inc. *		1,007,230
	28,604	Herman Miller, Inc.		979,401
	10,900	HNI Corp.		357,847
	3,200	ICF International, Inc.		243,136
	15,800	Interface, Inc.		230,522
	11,600	Kimball International, Inc. – Class B		187,688
	16,704	Knoll, Inc.		294,659
	2,500	SP Plus Corp. *		91,275
	31,600	Steelcase, Inc. – Class A		512,552
		Total Commercial & Professional Services		6,934,923
		Consumer Durables & Apparel — 4.9%
	14,545	Acushnet Holdings Corp.		370,170
	5,360	Bassett Furniture Industries, Inc.		52,903
	19,699	Callaway Golf Co.		334,489
	5,530	Culp, Inc.		50,434
	5,100	Deckers Outdoor Corp. *		886,380
	29,600	DR Horton, Inc.		1,576,792
	3,569	Flexsteel Industries, Inc.		49,038
	34,487	Garmin Ltd.		3,048,306
	56,300	Hanesbrands, Inc.		745,412
	4,100	Helen of Troy Ltd. *		674,860
	18,800	KB Home		612,692
	12,800	La-Z-Boy, Inc.		366,720
	7,600	M/I Homes, Inc. *		282,948
	16,000	MDC Holdings, Inc.		629,440

See accompanying notes to the financial statements. 61

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	77,500	NIKE, Inc. – Class B		6,926,950
	330	NVR, Inc. *		1,210,169
	40,500	PulteGroup, Inc.		1,628,100
	26,800	Skechers U.S.A., Inc. – Class A *		886,544
	33,100	TRI Pointe Group, Inc. *		507,423
	3,100	Universal Electronics, Inc. *		130,882
	7,200	Whirlpool Corp.		920,592
		Total Consumer Durables & Apparel		21,891,244
		Consumer Services — 0.7%
	23,984	Bloomin’ Brands, Inc.		431,472
	11,400	Brinker International, Inc.		391,590
	1,048	Graham Holdings Co. – Class B		527,018
	37,600	H&R Block, Inc.		777,192
	20,900	Perdoceo Education Corp. *		312,037
	14,900	Wyndham Destinations Corp.		594,510
		Total Consumer Services		3,033,819
		Diversified Financials — 4.2%
	45,600	American Express Co.		5,012,808
	23,214	Ameriprise Financial, Inc.		3,280,138
	8,500	Artisan Partners Asset Management, Inc. – Class A		242,930
	11,130	Enova International, Inc. *		213,919
	26,400	Federated Investors, Inc. – Class B		761,640
	3,600	INTL. FCStone, Inc. *		163,980
	22,300	Legg Mason, Inc.		1,110,986
	12,400	LPL Financial Holdings, Inc.		985,552
	55,500	Navient Corp.		623,265
	22,700	OneMain Holdings, Inc.		834,225
	15,200	Raymond James Financial, Inc.		1,271,176
	12,600	S&P Global, Inc.		3,350,466
	20,600	SEI Investments Co.		1,127,026
		Total Diversified Financials		18,978,111
		Energy — 0.9%
	40,904	Phillips 66		3,062,073
	25,800	World Fuel Services Corp.		729,624
		Total Energy		3,791,697
		Food & Staples Retailing — 0.2%
	24,600	US Foods Holding Corp. *		827,544
		Food, Beverage & Tobacco — 5.4%
	54,500	General Mills, Inc.		2,670,500
	18,900	Hershey Co. (The)		2,721,411
	101,800	Mondelez International, Inc. – Class A		5,375,040
	80,100	PepsiCo, Inc.		10,575,603
	40,900	Tyson Foods, Inc.– Class A		2,774,247
		Total Food, Beverage & Tobacco		24,116,801

Shares		Description	Value ($)
		Health Care Equipment & Services — 5.5%
	18,700	AmerisourceBergen Corp.		1,576,784
	39,400	Baxter International, Inc.		3,288,718
	81,000	Boston Scientific Corp. *		3,028,590
	9,700	HCA Healthcare, Inc.		1,231,997
	23,700	Hologic, Inc. *		1,116,744
	16,578	McKesson Corp.		2,318,599
	99,500	Medtronic Plc		10,016,665
	7,100	STERIS Plc		1,126,202
	7,700	West Pharmaceutical Services, Inc.		1,159,312
		Total Health Care Equipment & Services		24,863,611
		Household & Personal Products — 4.2%
	56,500	Colgate-Palmolive Co.		3,817,705
	41,147	Estee Lauder Cos, Inc. (The) – Class A		7,554,589
	3,764	Inter Parfums, Inc.		226,066
	54,300	Kimberly-Clark Corp.		7,123,617
		Total Household & Personal Products		18,721,977
		Insurance — 3.4%
	33,902	Allstate Corp. (The)		3,568,186
	25,100	Arch Capital Group Ltd. *		1,014,793
	5,000	Employers Holdings, Inc.		192,700
	38,900	Fidelity National Financial, Inc.		1,507,764
	28,004	First American Financial Corp.		1,599,028
	4,900	Hanover Insurance Group, Inc. (The)		580,846
	26,900	Hartford Financial Services Group, Inc. (The)		1,343,655
	51,280	Old Republic International Corp.		1,011,242
	27,400	Principal Financial Group, Inc.		1,216,286
	46,607	Progressive Corp. (The)		3,409,768
		Total Insurance		15,444,268
		Materials — 1.9%
	7,500	Avery Dennison Corp.		858,675
	6,300	Boise Cascade Co.		223,524
	35,000	Huntsman Corp.		662,900
	7,300	Innospec, Inc.		631,742
	5,800	Koppers Holdings, Inc. *		126,788
	31,079	LyondellBasell Industries NV – Class A		2,220,905
	24,600	PolyOne Corp.		609,096
	14,100	Reliance Steel & Aluminum Co.		1,442,289
	7,000	Schweitzer-Mauduit International, Inc.		236,040
	20,000	Sealed Air Corp.		606,200
	5,100	Stepan Co.		447,933
	7,900	Tredegar Corp.		134,774
	27,300	Valvoline, Inc.		532,350
		Total Materials		8,733,216
		Media & Entertainment — 4.5%
	45,000	Activision Blizzard, Inc.		2,615,850
	1,200	Alphabet, Inc. – Class C *		1,607,196

62 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)

February 29, 2020

Shares		Description	Value ($)
		Media & Entertainment — continued
	179,400	Comcast Corp. – Class A		7,253,142
	34,200	DHI Group, Inc. *		77,976
	48,800	Electronic Arts, Inc. *		4,946,856
	58,600	Interpublic Group of Cos., Inc. (The)		1,251,696
	24,789	Omnicom Group, Inc.		1,717,382
	55,085	TEGNA, Inc.		788,817
		Total Media & Entertainment		20,258,915
		Pharmaceuticals, Biotechnology & Life Sciences — 11.6%
	43,800	Amgen, Inc.		8,748,174
	20,000	Biogen, Inc. *		6,167,800
	154,500	Bristol-Myers Squibb Co.		9,124,770
	13,797	Bruker Corp.		600,997
	41,400	Eli Lilly & Co.		5,221,782
	46,100	Gilead Sciences, Inc.		3,197,496
	156,831	Merck & Co., Inc.		12,006,982
	204,738	Pfizer, Inc.		6,842,344
		Total Pharmaceuticals, Biotechnology & Life Sciences		51,910,345
		Real Estate — 0.9%
	30,349	CBRE Group, Inc. – Class A *		1,703,793
	9,900	CorePoint Lodging, Inc. (REIT)		78,804
	82,181	Host Hotels & Resorts, Inc. (REIT)		1,189,981
	6,088	Jones Lang LaSalle, Inc.		899,623
	35,900	Newmark Group, Inc. – Class A		342,845
		Total Real Estate		4,215,046
		Retailing — 6.7%
	600	Amazon.com, Inc. *		1,130,250
	7,100	Asbury Automotive Group, Inc. *		629,344
	15,600	AutoNation, Inc. *		666,588
	65,240	Best Buy Co., Inc.		4,935,406
	11,200	Core-Mark Holding Co., Inc.		257,712
	36,300	Designer Brands, Inc. – Class A		490,413
	20,500	Dick’s Sporting Goods, Inc.		746,405
	130,855	eBay, Inc.		4,532,817
	8,389	Group 1 Automotive, Inc.		714,995
	6,200	Lithia Motors, Inc. – Class A		738,792
	45,900	Lowe’s Cos., Inc.		4,891,563
	7,200	Murphy U.S.A, Inc. *		702,000
	22,500	Sally Beauty Holdings, Inc. *		279,900
	6,700	Sleep Number Corp. *		295,135
	13,600	Sonic Automotive, Inc. – Class A		380,800
	77,900	Target Corp.		8,023,700
	7,600	Williams-Sonoma, Inc.		474,164
		Total Retailing		29,889,984
		Semiconductors & Semiconductor Equipment — 7.9%
	31,200	Amkor Technology, Inc. *		325,572
	117,200	Applied Materials, Inc.		6,811,664

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	12,400	Brooks Automation, Inc.		427,924
	20,100	Entegris, Inc.		1,071,732
	188,600	Intel Corp.		10,471,072
	16,300	KLA Corp.		2,505,473
	19,300	Lam Research Corp.		5,663,199
	22,500	Maxim Integrated Products, Inc.		1,251,450
	59,600	Micron Technology, Inc. *		3,132,576
	7,000	MKS Instruments, Inc.		701,330
	30,100	ON Semiconductor Corp. *		561,666
	9,300	Qorvo, Inc. *		935,394
	3,100	Skyworks Solutions, Inc.		310,558
	20,600	Teradyne, Inc.		1,210,456
		Total Semiconductors & Semiconductor Equipment		35,380,066
		Software & Services — 9.3%
	23,720	Amdocs Ltd.		1,512,150
	23,600	Booz Allen Hamilton Holding Corp.		1,682,680
	4,700	CACI International, Inc. – Class A *		1,151,594
	71,305	Cadence Design Systems, Inc. *		4,716,113
	24,227	Citrix Systems, Inc.		2,504,829
	11,500	EVERTEC, Inc.		341,320
	24,000	Genpact Ltd.		923,040
	22,395	Intuit, Inc.		5,953,711
	9,100	j2 Global, Inc.		794,703
	6,200	MAXIMUS, Inc.		390,724
	46,953	Microsoft Corp.		7,606,855
	20,700	NIC, Inc.		378,603
	143,000	Oracle Corp.		7,072,780
	15,648	Progress Software Corp.		583,514
	10,510	Sykes Enterprises, Inc. *		332,957
	42,219	Synopsys, Inc. *		5,823,267
		Total Software & Services		41,768,840
		Technology Hardware & Equipment — 9.1%
	29,555	Apple, Inc.		8,079,155
	16,533	Arrow Electronics, Inc. *		1,108,703
	21,500	Avnet, Inc.		659,620
	17,900	CDW Corp.		2,044,538
	31,900	Ciena Corp. *		1,226,555
	55,800	Flex Ltd. *		619,938
	247,214	Hewlett Packard Enterprise Co.		3,161,867
	228,240	HP, Inc.		4,745,109
	11,120	Insight Enterprises, Inc. *		612,601
	6,500	Itron, Inc. *		492,960
	30,400	Jabil, Inc.		974,320
	102,100	Juniper Networks, Inc.		2,166,562
	34,607	Motorola Solutions, Inc.		5,733,688
	18,400	National Instruments Corp.		741,152
	18,600	NCR Corp. *		468,720
	21,500	NetApp, Inc.		1,004,480
	3,300	PC Connection, Inc.		134,211

See accompanying notes to the financial statements. 63

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	20,200	Sanmina Corp. *		531,058
	41,600	Seagate Technology Plc		1,994,720
	6,000	SYNNEX Corp.		750,180
	31,000	TE Connectivity Ltd.		2,568,970
	38,300	Xerox Holdings Corp.		1,233,260
		Total Technology Hardware & Equipment		41,052,367
		Telecommunication Services — 2.1%
	175,300	Verizon Communications, Inc.		9,494,248
		Utilities — 0.2%
	9,500	DTE Energy Co.		1,060,865
		TOTAL COMMON STOCKS (COST $435,864,856)		443,621,227
		MUTUAL FUNDS — 0.3%
		Affiliated Security — 0.3%
	292,825	GMO U.S. Treasury Fund		1,469,983
		TOTAL MUTUAL FUNDS (COST $1,467,054)		1,469,983

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	1,103,375	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (a)		1,103,375
		TOTAL SHORT-TERM INVESTMENTS (COST $1,103,375)		1,103,375
		TOTAL INVESTMENTS — 99.3% (Cost $438,435,285)		446,194,585
		Other Assets and Liabilities (net) — 0.7%		3,236,237
		TOTAL NET ASSETS — 100.0%		$449,430,822

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 20	S&P 500 E-Mini	March 2020	$	2,951,100	$	(71,416	)

+ Buys - Fund is long the futures contract.

Sales  - Fund is short the futures contract.

As of February 29, 2020, 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 February 29, 2020.

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 73.

64 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO U.S. Small Cap Value Fund returned -8.95% (net) for the period from the Fund’s inception on July 2, 2019 until the end of the fiscal year on February 29, 2020, as compared with -7.35% for the Russell 2000 Value Index over the same period.

Relative performance for the portfolio was initially positive but moved into negative territory in February 2020 as coronavirus concerns led to a drop in equity markets. In this environment the portfolio’s approach to seeking stocks with an attractive mix of value, quality, growth, positive sentiment from other asset classes, and few red flags from corporate alert signals faced challenges.

Over the period, stock selection detracted from relative performance, while sector allocation was incrementally additive. Information Technology and Real Estate were two of the most challenging areas for stock selection. Overweight positioning in stocks viewed as attractively valued with positive sentiment from other asset classes also detracted, including World Fuel Services Corporation (Energy) and Telephone and Data Systems (Communication Services). In contrast, value added from an underweight allocation toward Energy and an overweight allocation toward Information Technology were highlights of the period.

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

66

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

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

GMO U.S. Small Cap Value Fund Class VI Shares, and the Russell 2000 Value Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

For Russell disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

67

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.0	%
Mutual Funds		1.5
Short-Term Investments		0.4
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		2.3
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		18.5	%
Capital Goods		11.1
Technology Hardware & Equipment		8.2
Real Estate		7.4
Diversified Financials		7.3
Materials		7.1
Commercial & Professional Services		6.1
Retailing		4.8
Consumer Durables & Apparel		4.4
Utilities		3.3
Media & Entertainment		2.8
Software & Services		2.5
Energy		2.5
Consumer Services		2.5
Semiconductors & Semiconductor Equipment		2.3
Automobiles & Components		1.8
Pharmaceuticals, Biotechnology & Life Sciences		1.4
Food, Beverage & Tobacco		1.4
Telecommunication Services		1.3
Health Care Equipment & Services		1.2
Insurance		0.8
Household & Personal Products		0.7
Food & Staples Retailing		0.4
Specialized Finance		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%.

68

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 96.0%
		Automobiles & Components — 1.7%
	266,000	Dana, Inc.		3,825,080
	28,300	Standard Motor Products, Inc.		1,245,200
	82,900	Stoneridge, Inc. *		1,832,090
	3,300	Visteon Corp. *		214,632
		Total Automobiles & Components		7,117,002
		Banks — 17.8%
	1,600	1st Source Corp.		67,280
	22,200	Amalgamated Bank – Class A		355,422
	98,800	Associated Banc – Corp.		1,672,684
	3,500	BancFirst Corp.		179,550
	24,500	Bancorp, Inc. (The) *		298,165
	33,200	Brookline Bancorp, Inc.		460,484
	2,600	Century Bancorp, Inc. – Class A		187,980
	9,100	Civista Bancshares, Inc.		174,174
	1,200	CNB Financial Corp.		30,084
	1,700	Community Trust Bancorp, Inc.		65,756
	84,700	Dime Community Bancshares, Inc.		1,421,266
	1,200	ESSA Bancorp, Inc.		19,848
	161,400	Essent Group Ltd.		7,043,496
	3,400	Farmers National Banc Corp.		51,102
	9,500	Federal Agricultural Mortgage Corp. – Class C		713,070
	14,900	Financial Institutions, Inc.		400,959
	7,776	First Community Bankshares, Inc.		203,420
	65,644	First Defiance Financial Corp.		1,569,876
	4,400	First Financial Corp.		175,780
	207,200	Flagstar Bancorp, Inc.		6,605,536
	22,500	Flushing Financial Corp.		408,487
	179,800	Fulton Financial Corp.		2,598,110
	12,000	Great Southern Bancorp, Inc.		615,720
	265,400	Hilltop Holdings, Inc.		5,528,282
	9,000	HomeTrust Bancshares, Inc.		213,840
	13,315	Independent Bank Corp.		260,575
	89,900	International Bancshares Corp.		3,065,590
	237,300	Investors Bancorp, Inc.		2,501,142
	1,700	LCNB Corp.		26,911
	4,400	Macatawa Bank Corp.		42,416
	9,800	Mercantile Bank Corp.		281,162
	4,900	Merchants Bancorp		88,298
	25,500	Meridian Bancorp, Inc.		421,005
	1,400	MutualFirst Financial, Inc.		46,900
	2,700	Nicolet Bankshares, Inc. *		179,415
	4,100	Northrim BanCorp, Inc.		143,295
	229,000	Northwest Bancshares, Inc.		3,180,810
	217,700	OFG Bancorp		3,644,298
	204,900	PennyMac Financial Services, Inc.		7,224,774
	4,000	Peoples Bancorp, Inc.		114,200
	22,200	Popular, Inc.		1,065,156
	1,800	Premier Financial Bancorp, Inc.		29,970

Shares		Description	Value ($)
		Banks — continued
	367,100	Radian Group, Inc.		7,797,204
	1,639	Republic Bancorp, Inc. – Class A		58,578
	41,400	Sandy Spring Bancorp, Inc.		1,273,464
	5,200	Sierra Bancorp		123,864
	2,700	Territorial Bancorp, Inc.		68,634
	600	Timberland Bancorp, Inc.		13,950
	35,600	TriCo Bancshares		1,203,992
	12,800	TrustCo Bank Corp.		87,808
	18,300	Trustmark Corp.		492,270
	5,700	Univest Financial Corp.		133,380
	97,700	Walker & Dunlop, Inc.		6,335,845
	62,000	Washington Federal, Inc.		1,859,380
	58,003	Waterstone Financial, Inc.		964,590
		Total Banks		73,789,247
		Capital Goods — 10.6%
	3,300	Allied Motion Technologies, Inc.		127,182
	280,000	Builders FirstSource, Inc. *		6,358,800
	1,600	Douglas Dynamics, Inc.		69,648
	23,500	Ducommun, Inc. *		1,049,275
	8,300	EnPro Industries, Inc.		447,785
	212,200	Federal Signal Corp.		6,153,800
	24,625	Gorman-Rupp Co. (The)		787,754
	97,800	Griffon Corp.		1,701,720
	4,900	Hurco Cos, Inc.		138,082
	41,700	Hyster-Yale Materials Handling, Inc.		2,007,438
	201,100	Meritor, Inc. *		4,562,959
	3,000	Miller Industries, Inc.		89,130
	82,400	Moog, Inc. – Class A		6,354,688
	63,000	Mueller Industries, Inc.		1,762,740
	12,800	Park-Ohio Holdings Corp.		313,856
	2,800	Preformed Line Products Co.		136,640
	58,543	SPX Corp. *		2,454,708
	19,900	Systemax, Inc.		415,114
	17,100	Timken Co. (The)		766,764
	113,300	Universal Forest Products, Inc.		5,309,238
	61,000	Vectrus, Inc. *		3,177,490
		Total Capital Goods		44,184,811
		Commercial & Professional Services — 5.9%
	385,929	ACCO Brands Corp.		3,091,291
	127,700	Brady Corp. – Class A		6,045,318
	48,500	CBIZ, Inc. *		1,262,940
	14,000	CRA International, Inc.		651,140
	68,100	Deluxe Corp.		2,267,730
	19,800	Ennis, Inc.		397,980
	11,900	Heidrick & Struggles International, Inc.		265,370
	169,500	Herman Miller, Inc.		5,803,680
	49,700	Kelly Services, Inc. – Class A		825,517
	93,400	Kimball International, Inc. – Class B		1,511,212

See accompanying notes to the financial statements. 69

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	47,000	Knoll, Inc.		829,080
	48,300	Pitney Bowes, Inc.		165,186
	54,900	Resources Connection, Inc.		687,897
	18,700	SP Plus Corp. *		682,737
		Total Commercial & Professional Services		24,487,078
		Consumer Durables & Apparel — 4.2%
	144,300	Acushnet Holdings Corp.		3,672,435
	2,900	Bassett Furniture Industries, Inc.		28,623
	96,000	Callaway Golf Co.		1,630,080
	5,400	Clarus Corp.		62,424
	166,400	Ethan Allen Interiors, Inc.		2,196,480
	30,600	G-III Apparel Group Ltd. *		684,216
	14,100	Hooker Furniture Corp.		265,221
	35,100	Johnson Outdoors, Inc. – Class A		2,190,591
	69,300	La-Z-Boy, Inc.		1,985,445
	10,600	M/I Homes, Inc. *		394,638
	65,200	MDC Holdings, Inc.		2,564,968
	21,400	Rocky Brands, Inc.		521,090
	2,400	Universal Electronics, Inc. *		101,328
	121,400	Vera Bradley, Inc. *		1,002,764
	43,900	ZAGG, Inc. *		295,008
		Total Consumer Durables & Apparel		17,595,311
		Consumer Services — 2.4%
	128,900	Bloomin’ Brands, Inc.		2,318,911
	149,500	Brinker International, Inc.		5,135,325
	10,600	Carriage Services, Inc.		224,190
	2,424	K12, Inc. *		48,189
	87,700	Laureate Education, Inc. – Class A *		1,639,990
	38,500	Regis Corp. *		491,260
		Total Consumer Services		9,857,865
		Diversified Financials — 7.0%
	51,300	Artisan Partners Asset Management, Inc. – Class A		1,466,154
	90,200	Curo Group Holdings Corp.		832,546
	122,000	Donnelley Financial Solutions, Inc. *		1,061,400
	199,600	Ellington Financial, Inc.		3,299,388
	42,300	Encore Capital Group, Inc. *		1,571,868
	225,817	Enova International, Inc. *		4,340,203
	23,800	Federated Investors, Inc. – Class B		686,630
	42,100	INTL. FCStone, Inc. *		1,917,655
	5,200	Invesco Mortgage Capital, Inc. (REIT)		83,616
	84,600	Legg Mason, Inc.		4,214,772
	36,300	Oppenheimer Holdings, Inc. – Class A		861,399
	358,500	PennyMac Mortgage Investment Trust (REIT)		7,420,950
	1,800	Piper Jaffray Cos.		126,144
	5,900	Regional Management Corp. *		151,335
	14,500	Waddell & Reed Financial, Inc. – Class A		199,520
	31,000	Westwood Holdings Group, Inc.		786,780
		Total Diversified Financials		29,020,360

Shares		Description	Value ($)
		Energy — 2.4%
	20,400	Bonanza Creek Energy, Inc. *		332,316
	53,200	Evolution Petroleum Corp.		250,572
	23,100	Geospace Technologies Corp. *		284,823
	1,025,100	Laredo Petroleum, Inc. *		1,107,108
	28,380	Matrix Service Co. *		342,830
	49,100	Penn Virginia Corp. *		780,690
	2,500	REX American Resources Corp. *		175,025
	47,000	SM Energy Co.		308,790
	23,500	Talos Energy, Inc. *		333,700
	66,400	W&T Offshore, Inc. *		172,640
	205,500	World Fuel Services Corp.		5,811,540
		Total Energy		9,900,034
		Food & Staples Retailing — 0.4%
	29,200	Ingles Markets, Inc. – Class A		1,044,484
	8,000	Village Super Market, Inc. – Class A		164,400
	10,300	Weis Markets, Inc.		383,675
		Total Food & Staples Retailing		1,592,559
		Food, Beverage & Tobacco — 1.3%
	5,416	Seneca Foods Corp. – Class A *		188,044
	109,000	Universal Corp.		5,379,150
		Total Food, Beverage & Tobacco		5,567,194
		Health Care Equipment & Services — 1.2%
	43,600	Computer Programs & Systems, Inc.		1,167,608
	17,300	FONAR Corp. *		345,654
	20,800	HealthStream, Inc. *		505,856
	25,800	Integer Holdings Corp. *		2,326,386
	25,700	RTI Surgical Holdings, Inc. *		95,090
	2,100	Tenet Healthcare Corp. *		55,188
	15,700	Varex Imaging Corp. *		364,554
		Total Health Care Equipment & Services		4,860,336
		Household & Personal Products — 0.7%
	46,600	Inter Parfums, Inc.		2,798,796
		Insurance — 0.8%
	19,800	American Equity Investment Life Holding Co.		500,544
	28,400	Employers Holdings, Inc.		1,094,536
	11,600	FedNat Holding Co.		151,264
	5,000	Hallmark Financial Services, Inc. *		70,900
	64,500	National General Holdings Corp.		1,255,815
	5,600	State Auto Financial Corp.		139,888
		Total Insurance		3,212,947
		Materials — 6.8%
	8,300	American Vanguard Corp.		126,575
	19,000	Carpenter Technology Corp.		698,250
	76,000	Greif, Inc. – Class A		2,685,840

70 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)

February 29, 2020

Shares		Description	Value ($)
		Materials — continued
	68,400	Innospec, Inc.		5,919,336
	51,400	Koppers Holdings, Inc. *		1,123,604
	22,300	Kraton Corp. *		225,676
	66,700	Materion Corp.		3,024,178
	94,300	PolyOne Corp.		2,334,868
	28,800	Ryerson Holding Corp. *		239,904
	114,500	Schweitzer-Mauduit International, Inc.		3,860,940
	86,300	Silgan Holdings, Inc.		2,470,769
	27,929	Stepan Co.		2,453,004
	77,600	Tredegar Corp.		1,323,856
	92,300	Warrior Met Coal, Inc.		1,635,556
	7,700	Worthington Industries, Inc.		244,860
		Total Materials		28,367,216
		Media & Entertainment — 2.7%
	245,900	DHI Group, Inc. *		560,652
	118,800	Liberty TripAdvisor Holdings, Inc. – Class A *		517,374
	71,900	Marchex, Inc. – Class B *		186,221
	98,500	National CineMedia, Inc.		757,465
	37,200	Scholastic Corp.		1,193,748
	493,700	TEGNA, Inc.		7,069,784
	59,800	Tribune Publishing Co.		685,906
	19,600	WideOpenWest, Inc. *		123,284
		Total Media & Entertainment		11,094,434
		Pharmaceuticals, Biotechnology & Life Sciences — 1.3%
	13,300	Enanta Pharmaceuticals, Inc. *		676,704
	5,700	KalVista Pharmaceuticals, Inc. *		76,665
	128,000	Prestige Consumer Healthcare, Inc. *		4,782,080
		Total Pharmaceuticals, Biotechnology & Life Sciences		5,535,449
		Real Estate — 7.1%
	384,900	CoreCivic, Inc. (REIT)		5,700,369
	268,300	CorePoint Lodging, Inc. (REIT)		2,135,668
	34,200	Cushman & Wakefield Plc *		622,098
	65,500	iStar, Inc. (REIT)		991,015
	573,000	Newmark Group, Inc. – Class A		5,472,150
	164,100	Realogy Holdings Corp.		1,521,207
	145,100	Retail Properties of America, Inc. – Class A (REIT)		1,519,197
	446,600	Summit Hotel Properties, Inc. (REIT)		4,139,982
	428,400	Sunstone Hotel Investors, Inc. (REIT)		4,690,980
	192,000	Xenia Hotels & Resorts, Inc. (REIT)		2,872,320
		Total Real Estate		29,664,986
		Retailing — 4.6%
	75,600	Core-Mark Holding Co., Inc.		1,739,556
	27,000	Designer Brands, Inc. – Class A		364,770
	80,800	Group 1 Automotive, Inc.		6,886,584
	110,813	Haverty Furniture Cos, Inc.		1,863,875

Shares		Description	Value ($)
		Retailing — continued
	78,100	Shoe Carnival, Inc.		2,335,971
	154,900	Sonic Automotive, Inc. – Class A		4,337,200
	2,400	Weyco Group, Inc.		52,656
	53,100	Zumiez, Inc. *		1,408,743
		Total Retailing		18,989,355
		Semiconductors & Semiconductor Equipment — 2.2%
	14,400	Advanced Energy Industries, Inc. *		856,440
	70,400	Alpha & Omega Semiconductor Ltd. *		763,136
	157,900	Amkor Technology, Inc. *		1,647,686
	3,800	Axcelis Technologies, Inc. *		91,162
	24,500	Brooks Automation, Inc.		845,495
	18,900	Cohu, Inc.		386,883
	99,200	DSP Group, Inc. *		1,350,112
	24,600	FormFactor, Inc. *		550,302
	38,801	Onto Innovation, Inc. *		1,186,147
	24,100	Semtech Corp. *		951,709
	32,000	Xperi Corp.		550,080
		Total Semiconductors & Semiconductor Equipment		9,179,152
		Software & Services — 2.4%
	8,000	Cerence, Inc. *		173,680
	9,200	ChannelAdvisor Corp. *		87,584
	40,800	CSG Systems International, Inc.		1,805,400
	14,000	Hackett Group, Inc. (The)		215,600
	59,200	NIC, Inc.		1,082,768
	9,100	Perspecta, Inc.		227,227
	120,500	Progress Software Corp.		4,493,445
	66,900	Sykes Enterprises, Inc. *		2,119,392
		Total Software & Services		10,205,096
		Specialized Finance — 0.2%
	43,900	Diamond Eagle Acquisition Corp. – Class A *		703,278
		Technology Hardware & Equipment — 7.9%
	94,646	ADTRAN, Inc.		761,427
	27,300	Arlo Technologies, Inc. *		89,544
	173,800	AVX Corp.		3,778,412
	182,600	Benchmark Electronics, Inc.		4,963,068
	114,800	Comtech Telecommunications Corp.		3,216,696
	39,200	CTS Corp.		1,021,944
	96,900	Digi International, Inc. *		1,282,956
	8,400	ePlus, Inc. *		636,384
	115,200	Insight Enterprises, Inc. *		6,346,368
	3,200	Itron, Inc. *		242,688
	28,000	Kimball Electronics, Inc. *		379,400
	12,800	Methode Electronics, Inc.		392,448
	16,000	MTS Systems Corp.		642,240
	44,100	PC Connection, Inc.		1,793,547
	9,700	Plexus Corp. *		643,595

See accompanying notes to the financial statements. 71

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	241,200	Sanmina Corp. *		6,341,148
	3,000	ScanSource, Inc. *		85,290
	7,326	Vishay Precision Group, Inc. *		201,245
		Total Technology Hardware & Equipment		32,818,400
		Telecommunication Services — 1.2%
	54,300	IDT Corp. – Class B *		418,110
	14,300	Ooma, Inc. *		183,469
	119,788	Spok Holdings, Inc.		1,193,089
	165,300	Telephone & Data Systems, Inc.		3,329,142
		Total Telecommunication Services		5,123,810
		Utilities — 3.2%
	63,600	Avista Corp.		2,998,740
	4,700	Consolidated Water Co. Ltd.		75,952
	82,100	Genie Energy Ltd. – Class B		568,132
	11,200	Otter Tail Corp.		544,432
	95,800	PNM Resources, Inc.		4,510,264
	71,400	Portland General Electric Co.		3,884,874
	9,800	Unitil Corp.		552,132
		Total Utilities		13,134,526
		TOTAL COMMON STOCKS (COST $444,844,400)		398,799,242
		MUTUAL FUNDS — 1.5%
		Affiliated Issuers — 1.5%
	1,251,089	GMO U.S. Treasury Fund		6,280,467
		TOTAL MUTUAL FUNDS (COST $6,264,468)		6,280,467

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
		Achillion Pharmaceuticals, Inc. CVR (b)*		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	1,583,115	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (a)		1,583,115
		TOTAL SHORT-TERM INVESTMENTS (COST $1,583,115)		1,583,115
		TOTAL INVESTMENTS — 97.9% (Cost $452,725,425)		406,699,174
		Other Assets and Liabilities (net) — 2.1%		8,809,134
		TOTAL NET ASSETS — 100.0%		$415,508,308

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 201	E-mini Russell 2000 Index	March 2020	$	14,822,745	$	(790,370	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2020, 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 February 29, 2020.

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

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 73.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

February 29, 2020

Portfolio Abbreviations:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

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 February 29, 2020, 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:

THB - Thai Baht

USD - United States Dollar

See accompanying notes to the financial statements. 73

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020

	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)	$	8,545,006	$	22,321,593	$	5,665,004	$	—
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		121,466,487		915,404,918		3,124,625,860		3,024,175,601
Foreign currency, at value (Note 2)(d)		14,532		4,368,355		17,855,937		344,813
Cash		70,476		11,747,900		—		—
Receivable for investments sold		—		29,588,967		6,424,754		—
Receivable for Fund shares sold		—		—		15,642,293		17,867,171
Dividends and interest receivable		132,375		1,253,141		1,625,196		1,982,945
Dividend withholding tax receivable		22,816		201,339		220,687		1,517,782
Foreign capital gains tax refund receivable (Note 2)		—		5,292,004		3,998,775		—
Due from broker (Note 2)		—		—		6,161,295		4,304,354
Receivable for variation margin on open futures contracts (Note 4)		—		815,753		—		—
Receivable for open OTC swap contracts (Note 4)		—		618,942		826,118		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		26,089		15,608		390,935		121,742
Total assets		130,277,781		991,628,520		3,183,436,854		3,050,314,408
Liabilities:
Due to custodian		—		1,057,694		11,041,426		—
Due to broker (Note 2)		—		259,085		—		—
Payable for cash collateral from securities loaned (Note 2)		5,501,628		—		—		—
Payable for investments purchased		1,433,567		27,470,915		6,235,206		65
Payable for Fund shares repurchased		—		—		26,439,558		23,686
Accrued foreign capital gains tax payable (Note 2)		—		446,384		18,515		—
Payable to affiliate for (Note 5):
Management fee		62,586		617,394		1,967,750		1,294,642
Shareholder service fee		15,646		109,393		229,540		257,876
Payable to agents unaffiliated with GMO		23		328		952		890
Payable for variation margin on open futures contracts (Note 4)		—		61,560		303,840		643,272
Unrealized depreciation on open forward currency contracts (Note 4)		—		405,915		—		—
Payable to Trustees and related expenses		387		3,163		10,775		10,640
Accrued expenses		110,163		331,155		1,036,841		469,264
Miscellaneous payable		—		—		910,382		—
Total liabilities		7,124,000		30,762,986		48,194,785		2,700,335
Net assets	$	123,153,781	$	960,865,534	$	3,135,242,069	$	3,047,614,073
(a)  Cost of investments – affiliated issuers:	$	8,530,139	$	30,859,141	$	18,088,913	$	—
(b)  Cost of investments – unaffiliated issuers:	$	120,777,704	$	912,144,705	$	3,227,235,239	$	3,173,775,995
(c)  Includes securities on loan at value (Note 2):	$	23,155,458	$	—	$	—	$	—
(d)  Cost of foreign currency:	$	14,608	$	4,407,750	$	17,875,023	$	346,158

74 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			International Equity Fund
Net assets consist of:
Paid-in capital	$	125,984,854		$	1,066,468,130		$	4,592,780,044		$	4,234,676,859
Distributable earnings (accumulated loss)		(2,831,073	)		(105,602,596	)		(1,457,537,975	)		(1,187,062,786	)
	$	123,153,781		$	960,865,534		$	3,135,242,069		$	3,047,614,073
Net assets attributable to:
Class II	$	—		$	292,418,414		$	397,797,611		$	10,801,690
Class III	$	121,062,271		$	103,062,890		$	333,779,029		$	452,164,772
Class IV	$	—		$	—		$	—		$	2,584,647,611
Class V	$	—		$	565,384,230		$	204,614,768		$	—
Class VI	$	—		$	—		$	2,182,893,056		$	—
Class R6	$	1,129,392		$	—		$	—		$	—
Class I	$	962,118		$	—		$	16,157,605		$	—
Shares outstanding:
Class II		—			13,834,093			12,937,923			544,646
Class III		5,413,505			4,877,796			10,821,473			22,509,112
Class IV		—			—			—			128,889,114
Class V		—			26,764,520			6,704,011			—
Class VI		—			—			71,517,920			—
Class R6		50,513			—			—			—
Class I		43,031			—			525,480			—
Net asset value per share:
Class II	$	—		$	21.14		$	30.75		$	19.83
Class III	$	22.36		$	21.13		$	30.84		$	20.09
Class IV	$	—		$	—		$	—		$	20.05
Class V	$	—		$	21.12		$	30.52		$	—
Class VI	$	—		$	—		$	30.52		$	—
Class R6	$	22.36		$	—		$	—		$	—
Class I	$	22.36		$	—		$	30.75		$	—

See accompanying notes to the financial statements. 75

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Quality Fund		Resources Fund		Risk Premium Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	15,768,140	$	1,832,863	$	—
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		6,242,051,806		516,532,069		21,226,177
Foreign currency, at value (Note 2)(d)		16		203,123		—
Cash		11		—		—
Receivable for investments sold		64,303,815		1,663,084		1,714,957
Receivable for Fund shares sold		17,257,614		22,500		17,280,000
Dividends and interest receivable		10,461,211		1,025,524		27,430
Dividend withholding tax receivable		3,788,056		94,486		—
Due from broker (Note 2)		—		—		319,483
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		161,837		1,011		7,045
Total assets		6,353,792,506		521,374,660		40,575,092
Liabilities:
Due to custodian		—		1,663,084		—
Payable for cash collateral from securities loaned (Note 2)		—		1,773,262		—
Payable for investments purchased		66,976,143		4,663,309		—
Payable for Fund shares repurchased		1,049,927		—		—
Payable to affiliate for (Note 5):
Management fee		1,820,416		223,224		4,116
Shareholder service fee		616,453		53,419		915
Payable to agents unaffiliated with GMO		1,745		132		—
Payable to Trustees and related expenses		21,389		1,810		61
Written options outstanding, at value (Note 4)(e)		—		—		4,024,000
Accrued expenses		437,745		160,866		76,163
Total liabilities		70,923,818		8,539,106		4,105,255
Net assets	$	6,282,868,688	$	512,835,554	$	36,469,837
(a)  Cost of investments – affiliated issuers:	$	15,705,282	$	1,825,561	$	—
(b)  Cost of investments – unaffiliated issuers:	$	4,268,778,629	$	529,241,185	$	21,223,917
(c)  Includes securities on loan at value (Note 2):	$	—	$	36,663,936	$	—
(d)  Cost of foreign currency:	$	16	$	204,403	$	—
(e)  Premiums on written options:	$	—	$	—	$	2,046,755

76 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Quality Fund		Resources Fund			Risk Premium Fund
Net assets consist of:
Paid-in capital	$	4,081,432,182	$	550,137,263		$	35,750,463
Distributable earnings (accumulated loss)		2,201,436,506		(37,301,709	)		719,374
	$	6,282,868,688	$	512,835,554		$	36,469,837
Net assets attributable to:
Class III	$	3,195,240,130	$	201,320,320		$	2,477,469
Class IV	$	852,866,250	$	311,515,234		$	—
Class VI	$	2,077,276,686	$	—		$	33,992,368
Class R6	$	77,375,185	$	—		$	—
Class I	$	80,110,437	$	—		$	—
Shares outstanding:
Class III		140,322,327		11,115,058			95,685
Class IV		37,379,147		17,250,357			—
Class VI		91,211,777		—			1,324,241
Class R6		3,399,746		—			—
Class I		3,521,394		—			—
Net asset value per share:
Class III	$	22.77	$	18.11		$	25.89
Class IV	$	22.82	$	18.06		$	—
Class VI	$	22.77	$	—		$	25.67
Class R6	$	22.76	$	—		$	—
Class I	$	22.75	$	—		$	—

See accompanying notes to the financial statements. 77

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (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)	$	368,696	$	1,469,983	$	6,280,467
Investments in unaffiliated issuers, at value (Note 2)(b)		35,932,559		444,724,602		400,418,707
Foreign currency, at value (Note 2)(c)		24,913		—		—
Cash		—		—		6
Receivable for investments sold		4,496		—		—
Receivable for Fund shares sold		—		2,500,000		8,325,000
Dividends and interest receivable		40,554		986,140		518,550
Dividend withholding tax receivable		32,353		—		—
Due from broker (Note 2)		1,130		23,965		282,011
Receivable for variation margin on open futures contracts (Note 4)		1,840		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		24,799		7,374		337
Total assets		36,431,340		449,712,064		415,825,078
Liabilities:
Due to custodian		—		8,326		—
Payable for investments purchased		—		—		7,284
Payable for Fund shares repurchased		10,300		—		—
Payable to affiliate for (Note 5):
Management fee		16,167		123,797		112,747
Shareholder service fee		4,850		29,004		20,004
Payable to agents unaffiliated with GMO		8		149		25
Payable for variation margin on open futures contracts (Note 4)		—		8,677		66,455
Payable to Trustees and related expenses		131		1,638		1,995
Accrued expenses		172,293		109,651		108,260
Total liabilities		203,749		281,242		316,770
Net assets	$	36,227,591	$	449,430,822	$	415,508,308
(a)  Cost of investments – affiliated issuers:	$	367,797	$	1,467,054	$	6,264,468
(b)  Cost of investments – unaffiliated issuers:	$	30,435,753	$	436,968,231	$	446,460,957
(c)  Cost of foreign currency:	$	25,322	$	—	$	—

78 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	36,555,546		$	417,820,216	$	464,172,315
Distributable earnings (accumulated loss)		(327,955	)		31,610,606		(48,664,007	)
	$	36,227,591		$	449,430,822	$	415,508,308
Net assets attributable to:
Class III	$	36,227,591		$	83,738,247	$	—
Class VI	$	—		$	365,692,575	$	415,508,308
Shares outstanding:
Class III		2,669,460			7,044,658		—
Class VI		—			31,039,824		23,006,049
Net asset value per share:
Class III	$	13.57		$	11.89	$	—
Class VI	$	—		$	11.78	$	18.06

See accompanying notes to the financial statements. 79

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020

	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)	$	2,900,163		$	30,016,391		$	147,093,846		$	142,465,350
Dividends from affiliated issuers (Note 10)		60,492			739,622			1,350,640			1,091,265
Interest		349			421,405			601,613			73,856
Non-cash paid in-kind dividends from unaffiliated issuers		—			3,404,981			—			—
Securities lending income from affiliated issuers (net)		118,891			—			—			—
Securities lending income (net)		1,449			—			—			—
Total investment income		3,081,344			34,582,399			149,046,099			143,630,471
Expenses:
Management fee (Note 5)		708,078			9,100,298			24,890,716			17,461,068
Shareholder service fee – Class II (Note 5)		—			880,400			1,081,580			35,386
Shareholder service fee – Class III (Note 5)		176,788			248,823			412,865			766,232
Shareholder service fee – Class IV (Note 5)		—			34,765	***		—			2,668,777
Shareholder service fee – Class V (Note 5)		—			522,070			1,444	****		—
Shareholder service fee – Class VI (Note 5)		—			—			1,401,821			—
Shareholder service fee – Class R6 (Note 5)		219	*		—			—			—
Shareholder service fee – Class I (Note 5)		13	**		—			3,141	*****		—
Audit and tax fees		91,962			139,004			353,482			188,180
Custodian, fund accounting agent and transfer agent fees		73,514			651,207			2,368,076			637,170
Legal fees		23,304			66,858			120,750			139,258
Registration fees		692			5,072			33,814			17,459
Trustees’ fees and related expenses (Note 5)		3,582			33,406			93,668			98,698
Miscellaneous		17,046			27,749			83,712			105,647
Total expenses		1,095,198			11,709,652			30,845,069			22,117,875
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(182,604	)		(193,433	)		(4,726,709	)		(953,096	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(3,676	)		(16,084	)		(48,035	)		(32,393	)
Net expenses		908,918			11,500,135			26,070,325			21,132,386
Net investment income (loss)		2,172,426			23,082,264			122,975,774			122,498,085
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		1,036,081			71,050,564			147,932,037			25,900,327
Investments in affiliated issuers		7,909			(1,167,618	)		293,846			182,330
Futures contracts		—			(834,797	)		5,567,512			4,336,034
Swap contracts		—			—			25,172,139			—
Forward currency contracts		—			(634,544	)		—			—
Foreign currency and foreign currency related transactions		(16,950	)		(1,306,544	)		(3,518,751	)		160,381
Net realized gain (loss)		1,027,040			67,107,061			175,446,783			30,579,072
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		2,823,821			(35,701,871	)		(252,168,026	)		(42,721,382	)
Investments in affiliated issuers		14,872			(19,974,631	)		(30,329,465	)		—
Futures contracts		—			236,414			(16,122,892	)		(10,687,846	)
Swap contracts		—			618,942			1,725,850			—
Forward currency contracts		—			149,888			—			—
Foreign currency and foreign currency related transactions		(1,584	)		(173,284	)		(153,237	)		26,227
Net change in unrealized appreciation (depreciation)		2,837,109			(54,844,542	)		(297,047,770	)		(53,383,001	)
Net realized and unrealized gain (loss)		3,864,149			12,262,519			(121,600,987	)		(22,803,929	)
Net increase (decrease) in net assets resulting from operations	$	6,036,575		$	35,344,783		$	1,374,787		$	99,694,156
(a)   Withholding tax:	$	264,397		$	3,411,389		$	19,392,617		$	13,611,981
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	115,102		$	14,448		$	—
(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	446,384		$	—		$	—
*    Period from January 16, 2020 (commencement of operations) through February 29, 2020.
**    Period from February 25, 2020 (commencement of operations) through February 29, 2020.
***   For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.
****   Period from February 26, 2020 through February 29, 2020.
*****  Period from January 14, 2020 (commencement of operations) through February 29, 2020.

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020 — (Continued)

	Quality Fund			Resources Fund			Risk Premium Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	125,395,210		$	20,719,444		$	33,019
Dividends from affiliated issuers (Note 10)		320,784			192,534			—
Interest		2,475,295			2,662			6,584,144
Securities lending income from affiliated issuers (net)		—			333,999			—
Securities lending income (net)		—			5,839			—
Total investment income		128,191,289			21,254,478			6,617,163
Expenses:
Management fee (Note 5)		21,913,008			2,633,691			716,382
Shareholder service fee – Class III (Note 5)		4,898,665			289,165			6,825
Shareholder service fee – Class IV (Note 5)		1,109,284			333,962			—
Shareholder service fee – Class VI (Note 5)		1,251,604			—			155,102
Shareholder service fee – Class R6 (Note 5)		38,579	*		—			—
Shareholder service fee – Class I (Note 5)		25,058	**		—			—
Audit and tax fees		109,167			93,209			57,052
Custodian, fund accounting agent and transfer agent fees		847,537			254,529			54,052
Legal fees		250,211			34,088			2,603
Registration fees		21,467			2,255			306
Trustees’ fees and related expenses (Note 5)		189,660			15,963			9,189
Miscellaneous		46,089			19,551			21,538
Total expenses		30,700,329			3,676,413			1,023,049
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(1,161,510	)		—			(140,801	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(8,382	)		(13,867	)		—
Net expenses		29,530,437			3,662,546			882,248
Net investment income (loss)		98,660,852			17,591,932			5,734,915
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		659,437,864			20,021,403			501,658
Investments in affiliated issuers		—			57,947			—
Written options		—			—			19,414,570
Foreign currency and foreign currency related transactions		(117,804	)		(74,284	)		(12,956	)
Net realized gain (loss)		659,320,060	***		20,005,066			19,903,272
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(90,509,798	)		(82,393,365	)		113,881
Investments in affiliated issuers		62,821			7,302			—
Written options		—			—			(3,523,983	)
Foreign currency and foreign currency related transactions		193,908			(60,773	)		(2	)
Net change in unrealized appreciation (depreciation)		(90,253,069	)		(82,446,836	)		(3,410,104	)
Net realized and unrealized gain (loss)		569,066,991			(62,441,770	)		16,493,168
Net increase (decrease) in net assets resulting from operations	$	667,727,843		$	(44,849,838	)	$	22,228,083
(a)   Withholding tax:	$	4,209,820		$	1,600,097		$	—
*    Period from November 12, 2019 (commencement of operations) through February 29, 2020.
**   Period from September 26, 2019 (commencement of operations) through February 29, 2020.
***   For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020 — (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)	$	1,778,233		$	14,277,095		$	5,633,039
Dividends from affiliated issuers (Note 10)		12,633			192,117			63,913
Interest		2,431			5,321			6,521
Total investment income		1,793,297			14,474,533			5,703,473
Expenses:
Management fee (Note 5)		219,748			2,116,883			829,478
Shareholder service fee – Class III (Note 5)		65,924			168,443			—
Shareholder service fee – Class VI (Note 5)		—			313,814			147,165
Organizational expenses		—			—			33,074
Audit and tax fees		148,312			65,993			71,688
Custodian, fund accounting agent and transfer agent fees		96,394			93,642			62,987
Legal fees		16,056			32,982			13,769
Registration fees		2,792			15,669			8,493
Trustees’ fees and related expenses (Note 5)		1,187			18,982			8,037
Miscellaneous		41,483	**		10,591			7,651
Total expenses		591,896			2,836,999			1,182,342
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(237,988	)		(203,957	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(363	)		(4,464	)		(2,786	)
Net expenses		353,545			2,628,578			1,179,556
Net investment income (loss)		1,439,752			11,845,955			4,523,917
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		2,777,845			66,355,941			(2,997,024	)
Investments in affiliated issuers		1,131			28,714			17,448
Futures contracts		95,005			1,440,421			393,168
Foreign currency and foreign currency related transactions		(3,467	)		—			—
Net realized gain (loss)		2,870,514			67,825,076			(2,586,408	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,946,309	)		(43,217,302	)		(46,042,250	)
Investments in affiliated issuers		864			2,929			15,999
Futures contracts		(18,682	)		(353,593	)		(790,370	)
Foreign currency and foreign currency related transactions		(557	)		—			—
Net change in unrealized appreciation (depreciation)		(2,964,684	)		(43,567,966	)		(46,816,621	)
Net realized and unrealized gain (loss)		(94,170	)		24,257,110			(49,403,029	)
Net increase (decrease) in net assets resulting from operations	$	1,345,582		$	36,103,065		$	(44,879,112	)
(a)   Withholding tax:	$	170,973		$	5,089		$	3,702
(b)   Foreign capital gains tax on net realized gain (loss):	$	(1,738	)	$	—		$	—
*    Period from July 2, 2019 (commencement of operations) through February 29, 2020.
**   Includes $26,776 of pricing related fees.

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund						Emerging Domestic Opportunities Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,172,426		$	1,346,161		$	23,082,264		$	20,044,450
Net realized gain (loss)		1,027,040			(1,431,314	)		67,107,061			(127,744,286	)
Change in net unrealized appreciation (depreciation)		2,837,109			(3,616,090	)		(54,844,542	)		(244,700,095	)
Net increase (decrease) in net assets from operations		6,036,575			(3,701,243	)		35,344,783			(352,399,931	)
Distributions to shareholders:
Class II		—			—			(16,547,112	)		(58,173,249	)
Class III		(4,994,590	)		(2,281,150	)		(7,732,788	)		(16,664,610	)
Class IV		—			—			—	***		(30,066,257	)
Class V		—			—			(27,277,084	)		(110,722,387	)
Total distributions		(4,994,590	)		(2,281,150	)		(51,556,984	)		(215,626,503	)
Net share transactions (Note 9):
Class II		—			—			(170,009,264	)		(74,397,372	)
Class III		6,871,328			92,288,039			(71,925,343	)		95,093,123
Class IV		—			—			(114,489,235	)***		(116,279,994	)
Class V		—			—			(179,544,003	)		(232,636,815	)
Class R6		1,239,895	*		—			—			—
Class I		1,000,842	**		—			—			—
Increase (decrease) in net assets resulting from net share transactions		9,112,065			92,288,039			(535,967,845	)		(328,221,058	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			852,111			1,071,821
Class III		—			—			352,337			288,278
Class IV		—			—			9,845	***		521,236
Class V		—			—			1,096,979			1,798,611
Increase in net assets resulting from purchase premiums and redemption fees		—			—			2,311,272			3,679,946
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		9,112,065			92,288,039			(533,656,573	)		(324,541,112	)
Total increase (decrease) in net assets		10,154,050			86,305,646			(549,868,774	)		(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	$	123,153,781		$	112,999,731		$	960,865,534		$	1,510,734,308

*   Period from January 16, 2020 (commencement of operations) through February 29, 2020.

**  Period from February 25, 2020 (commencement of operations) through February 29, 2020.

***  For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.

See accompanying notes to the financial statements. 83

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						International Equity Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	122,975,774		$	127,751,642		$	122,498,085		$	117,777,794
Net realized gain (loss)		175,446,783			24,002,542			30,579,072			212,193,225
Change in net unrealized appreciation (depreciation)		(297,047,770	)		(592,502,767	)		(53,383,001	)		(855,916,408	)
Net increase (decrease) in net assets from operations		1,374,787			(440,748,583	)		99,694,156			(525,945,389	)
Distributions to shareholders:
Class II		(24,874,314	)		(10,504,612	)		(508,765	)		(599,500	)
Class III		(12,473,933	)		(9,094,066	)		(19,312,559	)		(14,500,679	)
Class IV		—			(2,729,727	)***		(102,795,751	)		(110,761,371	)
Class V		—	*		(1,128,252	)****		—			—
Class VI		(121,480,286	)		(91,069,785	)		—			—
Total distributions		(158,828,533	)		(114,526,442	)		(122,617,075	)		(125,861,550	)
Net share transactions (Note 9):
Class II		(35,761,782	)		23,280,305			(7,576,940	)		(2,297,231	)
Class III		73,786,338			(72,497,701	)		(53,558,079	)		95,774,741
Class IV		—			(454,910,684	)***		(550,484,729	)		(827,198,795	)
Class V		210,170,738	*		(140,260,973	)****		—			—
Class VI		(390,152,634	)		(497,156,348	)		—			—
Class I		17,404,620	**		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(124,552,720	)		(1,141,545,401	)		(611,619,748	)		(733,721,285	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		275,184			946,045			—			—
Class III		157,429			779,646			—			—
Class IV		—			335,561	***		—			—
Class V		—	*		341,514	****		—			—
Class VI		1,473,861			7,722,684			—			—
Increase in net assets resulting from purchase premiums and redemption fees		1,906,474			10,125,450			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(122,646,246	)		(1,131,419,951	)		(611,619,748	)		(733,721,285	)
Total increase (decrease) in net assets		(280,099,992	)		(1,686,694,976	)		(634,542,667	)		(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	$	3,135,242,069		$	3,415,342,061		$	3,047,614,073		$	3,682,156,740
*   Period from February 26, 2020 through February 29, 2020.
**   Period from January 14, 2020 (commencement of operations) through February 29, 2020.
***  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.

84 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Fund						Resources Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	98,660,852		$	103,643,153		$	17,591,932		$	12,729,959
Net realized gain (loss)		659,320,060			930,959,502			20,005,066			13,387,616
Change in net unrealized appreciation (depreciation)		(90,253,069	)		(562,001,027	)		(82,446,836	)		(20,698,398	)
Net increase (decrease) in net assets from operations		667,727,843			472,601,628			(44,849,838	)		5,419,177
Distributions to shareholders:
Class III		(264,047,724	)		(530,443,143	)		(6,468,905	)		(4,879,976	)
Class IV		(78,540,885	)		(184,871,739	)		(10,675,296	)		(11,890,739	)
Class V		—			(19,533,549	)***		—			—
Class VI		(181,579,983	)		(418,506,416	)		—			—
Class R6		(5,847,564	)*		—			—			—
Class I		(1,788,658	)**		—			—			—
Total distributions		(531,804,814	)		(1,153,354,847	)		(17,144,201	)		(16,770,715	)
Net share transactions (Note 9):
Class III		66,851,883			(140,991,013	)		55,398,679			116,726,107
Class IV		(315,166,090	)		306,012,923			12,711,805			50,370,121
Class V		—			(146,462,078	)***		—			—
Class VI		(209,718,124	)		(1,106,099,682	)		—			—
Class R6		85,664,922	*		—			—			—
Class I		87,540,552	**		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(284,826,857	)		(1,087,539,850	)		68,110,484			167,096,228
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			90,346			117,010
Class IV		—			—			151,328			382,165
Increase in net assets resulting from purchase premiums and redemption fees		—			—			241,674			499,175
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(284,826,857	)		(1,087,539,850	)		68,352,158			167,595,403
Total increase (decrease) in net assets		(148,903,828	)		(1,768,293,069	)		6,358,119			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	$	6,282,868,688		$	6,431,772,516		$	512,835,554		$	506,477,435

*   Period from November 12, 2019 (commencement of operations) through February 29, 2020.

**   Period from September 26, 2019 (commencement of operations) through February 29, 2020.

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

See accompanying notes to the financial statements. 85

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Risk Premium Fund						Tax-Managed International Equities Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,734,915		$	6,686,064		$	1,439,752		$	1,254,251
Net realized gain (loss)		19,903,272			(5,493,380	)		2,870,514			7,665,771
Change in net unrealized appreciation (depreciation)		(3,410,104	)		1,178,150			(2,964,684	)		(15,716,656	)
Net increase (decrease) in net assets from operations		22,228,083			2,370,834			1,345,582			(6,796,634	)
Distributions to shareholders:
Class III		(50,962	)		(206,499	)		(1,766,064	)		(2,943,415	)
Class VI		(16,150,902	)		(5,195,070	)		—			—
Total distributions		(16,201,864	)		(5,401,569	)		(1,766,064	)		(2,943,415	)
Net share transactions (Note 9):
Class III		(8,781,400	)		8,376,914			(12,091,123	)		(10,302,487	)
Class VI		(421,310,127	)		309,502,515			—			—
Increase (decrease) in net assets resulting from net share transactions		(430,091,527	)		317,879,429			(12,091,123	)		(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		(430,091,527	)		317,894,282			(12,091,123	)		(10,302,487	)
Total increase (decrease) in net assets		(424,065,308	)		314,863,547			(12,511,605	)		(20,042,536	)
Net assets:
Beginning of period		460,535,145			145,671,598			48,739,196			68,781,732
End of period	$	36,469,837		$	460,535,145		$	36,227,591		$	48,739,196

86 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Fund						U.S. Small Cap Value Fund
	Year Ended February 28/29,						Period from July 2, 2019 (commencement of operations) through February 29, 2020
	2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	11,845,955		$	17,688,297		$	4,523,917
Net realized gain (loss)		67,825,076			117,016,371			(2,586,408	)
Change in net unrealized appreciation (depreciation)		(43,567,966	)		(106,845,488	)		(46,816,621	)
Net increase (decrease) in net assets from operations		36,103,065			27,859,180			(44,879,112	)
Distributions to shareholders:
Class III		(12,516,573	)		(13,063,087	)		—
Class IV		—			(6,281,717	)*		—
Class V		—			(6,695,554	)**		—
Class VI		(55,465,712	)		(143,083,400	)		(3,801,218	)
Total distributions		(67,982,285	)		(169,123,758	)		(3,801,218	)
Net share transactions (Note 9):
Class III		(39,804,661	)		65,735,804			—
Class IV		—			(30,951,432	)*		—
Class V		—			(52,152,440	)**		—
Class VI		(368,797,179	)		(325,171,818	)		464,188,638
Increase (decrease) in net assets resulting from net share transactions		(408,601,840	)		(342,539,886	)		464,188,638
Total increase (decrease) in net assets		(440,481,060	)		(483,804,464	)		415,508,308
Net assets:
Beginning of period		889,911,882			1,373,716,346			—
End of period	$	449,430,822		$	889,911,882		$	415,508,308
*   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. 87

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares												Class R6 Shares				Class I Shares
	Year Ended February 28/29,								Period from April 5, 2017 (commencement of operations) through February 28, 2018				Period from January 16, 2020 (commencement of operations) through February 29, 2020				Period from February 25, 2020 (commencement of operations) through February 29, 2020
	2020				2019
Net asset value, beginning of period		$	22.04			$	23.81			$	20.00			$	24.55			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.41				0.36				0.23				0.01				0.01
Net realized and unrealized gain (loss)			0.87				(1.61	)			4.41				(2.20	)			(1.02	)
Total from investment operations			1.28				(1.25	)			4.64				(2.19	)			(1.01	)
Less distributions to shareholders:
From net investment income			(0.45	)			(0.26	)			(0.22	)			—				—
From net realized gains			(0.51	)			(0.26	)			(0.61	)			—				—
Total distributions			(0.96	)			(0.52	)			(0.83	)			—				—
Net asset value, end of period		$	22.36			$	22.04			$	23.81			$	22.36			$	22.36
Total Return(b)			5.66	%			(5.22	)%			23.28	%**			(8.92	)%**			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	121,062			$	113,000			$	26,694			$	1,129			$	962
Net expenses to average daily net assets(c)			0.77	%			0.75	%			0.78	%*			0.77	%*			0.87	%*
Net investment income (loss) to average daily net assets(a)			1.84	%			1.61	%			1.09	%*			0.40	%*			1.93	%*
Portfolio turnover rate(d)			62	%			29	%			44	%**			62	%**			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.16	%(e)			0.26	%			0.73	%*			0.23	%(e)*			0.43	%(e)*

^(a) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019 and the period ended February 28, 2018, including transactions in USTF was 173%, 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.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	21.61			$	28.86			$	22.64			$	19.36			$	23.99			$	21.60			$	28.86			$	22.64			$	19.35			$	23.98
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.40				0.24				0.25				0.25				0.34				0.43				0.26				0.27				0.27				0.36
Net realized and unrealized gain (loss)			0.18				(4.58	)			6.33				3.68				(4.60	)			0.17				(4.59	)			6.32				3.68				(4.60	)
Total from investment operations			0.58				(4.34	)			6.58				3.93				(4.26	)			0.60				(4.33	)			6.59				3.95				(4.24	)
Less distributions to shareholders:
From net investment income			(1.05	)			(0.17	)			(0.36	)			(0.65	)			(0.37	)			(1.07	)			(0.19	)			(0.37	)			(0.66	)			(0.39	)
From net realized gains			—				(2.74	)			—				—				—				—				(2.74	)			—				—				—
Total distributions			(1.05	)			(2.91	)			(0.36	)			(0.65	)			(0.37	)			(1.07	)			(2.93	)			(0.37	)			(0.66	)			(0.39	)
Net asset value, end of period		$	21.14			$	21.61			$	28.86			$	22.64			$	19.36			$	21.13			$	21.60			$	28.86			$	22.64			$	19.35
Total Return(b)			2.39	%			(15.48	)%			29.10	%			20.62	%			(17.91	)%			2.49	%			(15.43	)%			29.17	%			20.73	%			(17.86	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	292,418			$	467,336			$	700,211			$	603,565			$	556,539			$	103,063			$	176,770			$	121,511			$	129,068			$	242,740
Net expenses to average daily net assets(c)			1.03	%			1.04	%			1.06	%			1.06	%			1.07	%			0.96	%			0.97	%			0.99	%			0.99	%			1.00	%
Net investment income (loss) to average daily net assets(a)			1.81	%			1.00	%			0.96	%			1.12	%			1.51	%			1.94	%			1.11	%			1.05	%			1.26	%			1.61	%
Portfolio turnover rate			186	%(d)			238	%(d)			201	%(d)			227	%(d)			250	%			186	%(d)			238	%(d)			201	%(d)			227	%(d)			250	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)			0.01	%			0.02	%			0.04	%			0.04	%			0.02	%(e)			0.01	%			0.02	%			0.05	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.05			$	0.05			$	0.03			$	0.02			$	0.04			$	0.05			$	0.05			$	0.02			$	0.02			$	0.03

	Class V Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	21.60			$	28.85			$	22.62			$	19.35			$	23.98
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.43				0.28				0.29				0.23				0.37
Net realized and unrealized gain (loss)			0.17				(4.60	)			6.33				3.73				(4.59	)
Total from investment operations			0.60				(4.32	)			6.62				3.96				(4.22	)
Less distributions to shareholders:
From net investment income			(1.08	)			(0.19	)			(0.39	)			(0.69	)			(0.41	)
From net realized gains			—				(2.74	)			—				—				—
Total distributions			(1.08	)			(2.93	)			(0.39	)			(0.69	)			(0.41	)
Net asset value, end of period		$	21.12			$	21.60			$	28.85			$	22.62			$	19.35
Total Return(b)			2.50	%			(15.37	)%			29.31	%			20.78	%			(17.79	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	565,384			$	755,613			$	1,280,851			$	948,052			$	322,379
Net expenses to average daily net assets(c)			0.89	%			0.90	%			0.92	%			0.93	%			0.94	%
Net investment income (loss) to average daily net assets(a)			1.94	%			1.19	%			1.09	%			1.04	%			1.65	%
Portfolio turnover rate			186	%(d)			238	%(d)			201	%(d)			227	%(d)			250	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)			0.01	%			0.02	%			0.05	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.05			$	0.03			$	0.03			$	0.04

^(a) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 235%, 254%, 254% and 271%, 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.

See accompanying notes to the financial statements. 89

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017(a)				2016(a)				2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	32.23			$	36.42			$	29.98			$	22.80			$	30.48			$	32.32			$	36.51			$	30.05			$	22.83			$	30.57
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.13				1.01				0.75				0.57				0.72				1.21				1.01				0.72				0.57				0.66
Net realized and unrealized gain (loss)			(1.02	)			(4.22	)			6.58				7.22				(7.59	)			(1.09	)			(4.21	)			6.64				7.27				(7.56	)
Total from investment operations			0.11				(3.21	)			7.33				7.79				(6.87	)			0.12				(3.20	)			7.36				7.84				(6.90	)
Less distributions to shareholders:
From net investment income			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)
Total distributions			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)
Net asset value, end of period		$	30.75			$	32.23			$	36.42			$	29.98			$	22.80			$	30.84			$	32.32			$	36.51			$	30.05			$	22.83
Total Return(c)			(0.11	)%			(8.57	)%			24.66	%			34.47	%			(22.76	)%			(0.08	)%			(8.51	)%			24.71	%			34.67	%			(22.80	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	397,798			$	451,720			$	479,640			$	498,564			$	532,366			$	333,779			$	277,824			$	390,827			$	301,786			$	189,907
Net expenses to average daily net assets(d)			0.93	%			0.93	%			0.96	%			1.07	%			1.09	%			0.88	%			0.88	%			0.91	%			1.01	%			1.04	%
Net investment income (loss) to average daily net assets(b)			3.44	%			3.09	%			2.25	%			2.08	%			2.57	%			3.68	%			3.08	%			2.14	%			2.07	%			2.45	%
Portfolio turnover rate			100	%(e)			98	%(e)			87	%(e)			62	%(e)			104	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)			104	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%(f)			0.13	%			0.13	%			0.04	%			0.03	%			0.11	%(f)			0.11	%			0.11	%			0.03	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.08			$	0.11			$	0.09	(a)		$	0.10	(a)		$	0.02			$	0.08			$	0.11			$	0.09	(a)		$	0.10	(a)

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

^(b) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 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.

90 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class V Shares																					Class VI Shares
	Period from February 26, 2020 through February 29, 2020(a)			Period from March 1, 2018 through February 26, 2019(a)			Year Ended February 28/29,															Year Ended February 28/29,
							2018			2017(b)			2016(b)			2015(b)			2014(b)			2020			2019			2018			2017(b)			2016(b)
Net asset value, beginning of period	$	31.35		$	36.07		$	29.70		$	22.59		$	30.24		$	30.39		$	34.98		$	32.00		$	36.16		$	29.77		$	22.62		$	30.30
Income (loss) from investment operations:
Net investment income (loss)(c)†		0.00	(d)		1.40			0.77			0.61			0.72			0.87			0.78			1.23			1.06			0.78			0.63			0.69
Net realized and unrealized gain (loss)		(0.83	)		(4.14	)		6.53			7.15			(7.50	)		0.00	(d)		(4.50	)		(1.07	)		(4.19	)		6.56			7.17			(7.50	)
Total from investment operations		(0.83	)		(2.74	)		7.30			7.76			(6.78	)		0.87			(3.72	)		0.16			(3.13	)		7.34			7.80			(6.81	)
Less distributions to shareholders:
From net investment income		—			(0.99	)		(0.93	)		(0.65	)		(0.87	)		(1.02	)		(0.87	)		(1.64	)		(1.03	)		(0.95	)		(0.65	)		(0.87	)
Total distributions		—			(0.99	)		(0.93	)		(0.65	)		(0.87	)		(1.02	)		(0.87	)		(1.64	)		(1.03	)		(0.95	)		(0.65	)		(0.87	)
Net asset value, end of period	$	30.52		$	32.34		$	36.07		$	29.70		$	22.59		$	30.24		$	30.39		$	30.52		$	32.00		$	36.16		$	29.77		$	22.62
Total Return(e)		(2.65	)%**		(7.31	)%**		24.83	%		34.67	%		(22.67	)%		2.93	%		(10.74	)%		0.05	%		(8.39	)%		24.90	%		34.83	%		(22.71	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	204,615		$	27,261		$	170,962		$	110,257		$	269,570		$	170,125		$	406,384		$	2,182,893		$	2,685,798		$	3,575,505		$	3,524,022		$	3,661,271
Net expenses to average daily net assets(f)		0.74	%*		0.78	%*		0.81	%		0.91	%		0.94	%		0.92	%		0.91	%(g)		0.75	%		0.75	%		0.78	%		0.89	%		0.91	%
Net investment income (loss) to average daily net assets(c)		0.00	%(h)*		4.27	%*		2.29	%		2.24	%		2.69	%		2.77	%		2.39	%		3.76	%		3.25	%		2.36	%		2.32	%		2.61	%
Portfolio turnover rate		100	%(i)**		98	%(i)**		87	%(i)		62	%(i)		104	%		94	%		98	%		100	%(i)		98	%(i)		87	%(i)		62	%(i)		104	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.15	%(j)*		0.14	%*		0.14	%		0.06	%		0.04	%		0.04	%		0.04	%		0.15	%(j)		0.14	%		0.14	%		0.06	%		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		—		$	0.09		$	0.11		$	0.08	(b)	$	0.10	(b)	$	0.10	(b)	$	0.10	(b)	$	0.02		$	0.08		$	0.11		$	0.08	(b)	$	0.09	(b)

	Class I Shares
	Period from January 14, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	35.29
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.00	(d)
Net realized and unrealized gain (loss)			(4.54	)
Total from investment operations			(4.54	)
Net asset value, end of period		$	30.75
Total Return(e)			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	16,158
Net expenses to average daily net assets(f)			0.94	%*
Net investment income (loss) to average daily net assets(c)			(0.05	)%*
Portfolio turnover rate(i)			100	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.19	%(j)*

^(a) For period from February 27, 2019 to February 25, 2020, Class V had no shareholders.

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

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

^(d) Rounds to less than $0.01.

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

^(h) Rounds to less than 0.01%.

⁽ⁱ⁾ The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio.

^(j)  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. 91

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	20.08			$	23.63			$	20.18			$	18.17			$	23.43			$	20.33			$	23.92			$	20.41			$	18.38			$	23.70
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.72				0.57				0.41				0.70				0.57				0.70				0.57				0.61				0.63				0.59
Net realized and unrealized gain (loss)			(0.22	)			(3.45	)			3.78				2.07				(5.19	)			(0.17	)			(3.47	)			3.64				2.19				(5.25	)
Total from investment operations			0.50				(2.88	)			4.19				2.77				(4.62	)			0.53				(2.90	)			4.25				2.82				(4.66	)
Less distributions to shareholders:
From net investment income			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)
Total distributions			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)
Net asset value, end of period		$	19.83			$	20.08			$	23.63			$	20.18			$	18.17			$	20.09			$	20.33			$	23.92			$	20.41			$	18.38
Total Return(b)			2.19	%			(12.07	)%			20.85	%			15.45	%			(19.99	)%			2.29	%			(12.02	)%			20.96	%			15.53	%			(19.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	10,802			$	18,202			$	23,736			$	10,302			$	81,206			$	452,165			$	507,195			$	485,782			$	731,060			$	1,043,305
Net expenses to average daily net assets(c)			0.73	%			0.73	%			0.72	%			0.72	%			0.72	%			0.66	%			0.66	%			0.65	%			0.65	%			0.65	%
Net investment income (loss) to average daily net assets(a)			3.52	%			2.64	%			1.77	%			3.62	%			2.65	%			3.36	%			2.64	%			2.68	%			3.16	%			2.70	%
Portfolio turnover rate			46	%(d)			41	%(d)			45	%(d)			27	%(d)			75	%			46	%(d)			41	%(d)			45	%(d)			27	%(d)			75	%
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	%			0.03	%(e)			0.02	%			0.04	%			0.04	%			0.04	%

	Class IV Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	20.29			$	23.87			$	20.38			$	18.36			$	23.66
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.74				0.63				0.56				0.63				0.62
Net realized and unrealized gain (loss)			(0.20	)			(3.51	)			3.69				2.19				(5.25	)
Total from investment operations			0.54				(2.88	)			4.25				2.82				(4.63	)
Less distributions to shareholders:
From net investment income			(0.78	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)
Total distributions			(0.78	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)
Net asset value, end of period		$	20.05			$	20.29			$	23.87			$	20.38			$	18.36
Total Return(b)			2.34	%			(11.95	)%			20.98	%			15.57	%			(19.85	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,584,648			$	3,156,760			$	4,558,167			$	5,072,024			$	7,051,400
Net expenses to average daily net assets(c)			0.60	%			0.60	%			0.59	%			0.59	%			0.59	%
Net investment income (loss) to average daily net assets(a)			3.53	%			2.89	%			2.45	%			3.19	%			2.80	%
Portfolio turnover rate			46	% (d)			41	%(d)			45	%(d)			27	%(d)			75	%
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	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 65%, 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.

92 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	22.28			$	25.13			$	22.05			$	18.99			$	22.98			$	22.32			$	25.17			$	22.08			$	19.01			$	23.01
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.35				0.36				0.35				0.38				0.37				0.36				0.37				0.36				0.39
Net realized and unrealized gain (loss)			2.15				1.21				4.70				3.44				(1.04	)			2.14				1.22				4.70				3.45				(1.05	)
Total from investment operations			2.50				1.56				5.06				3.79				(0.66	)			2.51				1.58				5.07				3.81				(0.66	)
Less distributions to shareholders:
From net investment income			(0.36	)			(0.39	)			(0.41	)			(0.35	)			(0.42	)			(0.36	)			(0.41	)			(0.41	)			(0.36	)			(0.43	)
From net realized gains			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)
Total distributions			(2.01	)			(4.41	)			(1.98	)			(0.73	)			(3.33	)			(2.01	)			(4.43	)			(1.98	)			(0.74	)			(3.34	)
Net asset value, end of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.82			$	22.32			$	25.17			$	22.08			$	19.01
Total Return(b)			10.64	%			6.86	%			23.32	%			20.25	%			(2.89	)%			10.70	%			6.91	%			23.37	%			20.33	%			(2.88	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,195,240			$	3,065,461			$	3,524,103			$	3,587,627			$	3,968,156			$	852,866			$	1,139,024			$	957,900			$	1,222,874			$	1,294,033
Net expenses to average daily net assets(c)			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.44	%			1.42	%			1.48	%			1.72	%			1.79	%			1.52	%			1.46	%			1.53	%			1.76	%			1.83	%
Portfolio turnover rate			17	%(d)			18	%(d)			10	%(d)			29	%(d)			37	%			17	%(d)			18	%(d)			10	%(d)			29	%(d)			37	%
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	%(e)			0.02	%			0.02	%			0.02	%			0.02	%

	Class VI Shares																				Class R6 Shares				Class I Shares
	Year Ended February 28/29,																				Period from November 12, 2019 (Commencement of operations) through February 29, 2020				Period from September 26, 2019 (Commencement of operations) through February 29, 2020
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	22.28			$	25.13			$	22.05			$	18.99			$	22.99			$	25.21			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.37				0.38				0.38				0.36				0.40				0.10				0.12
Net realized and unrealized gain (loss)			2.15				1.21				4.70				3.46				(1.04	)			(0.83	)			0.39
Total from investment operations			2.52				1.59				5.08				3.82				(0.64	)			(0.73	)			0.51
Less distributions to shareholders:
From net investment income			(0.38	)			(0.42	)			(0.43	)			(0.38	)			(0.45	)			(0.32	)			(0.31	)
From net realized gains			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(1.40	)			(1.40	)
Total distributions			(2.03	)			(4.44	)			(2.00	)			(0.76	)			(3.36	)			(1.72	)			(1.71	)
Net asset value, end of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.76			$	22.75
Total Return(b)			10.73	%			6.96	%			23.43	%			20.39	%			(2.83	)%			(3.39	)%**			1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,077,277			$	2,227,287			$	3,561,976			$	3,359,025			$	1,732,420			$	77,375			$	80,110
Net expenses to average daily net assets(c)			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%			0.49	%*			0.57	%*
Net investment income (loss) to average daily net assets(a)			1.55	%			1.54	%			1.57	%			1.73	%			1.88	%			1.31	%*			1.13	%*
Portfolio turnover rate			17	%(d)			18	%(d)			10	%(d)			29	%(d)			37	%			17	%**			17	%**
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	%(e)*			0.02	%(e)*

^(a) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

^(e) 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. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	20.31			$	20.88			$	17.31			$	11.74			$	16.33			$	20.24			$	20.81			$	17.25			$	11.71			$	16.28
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.65				0.54				0.33				0.30				0.47				0.68				0.62				0.38				0.34				0.46
Net realized and unrealized gain (loss)			(2.22	)			(0.37	)			4.02				5.75				(4.67	)			(2.22	)			(0.46	)			3.97				5.68				(4.63	)
Total from investment operations			(1.57	)			0.17				4.35				6.05				(4.20	)			(1.54	)			0.16				4.35				6.02				(4.17	)
Less distributions to shareholders:
From net investment income			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)
Total distributions			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)
Net asset value, end of period		$	18.11			$	20.31			$	20.88			$	17.31			$	11.74			$	18.06			$	20.24			$	20.81			$	17.25			$	11.71
Total Return(b)			(8.14	)%			0.99	%			26.00	%			51.75	%			(25.76	)%			(8.03	)%			0.98	%			26.12	%			51.72	%			(25.68	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	201,320			$	169,523			$	54,037			$	22,562			$	13,864			$	311,515			$	336,954			$	296,196			$	190,260			$	170,919
Net expenses to average daily net assets(c)			0.73	%			0.74	%(d)			0.76	%(d)			0.77	%			0.77	%			0.68	%			0.70	%(d)			0.71	%(d)			0.72	%			0.72	%
Net investment income (loss) to average daily net assets(a)			3.24	%			2.68	%			1.77	%			1.99	%			3.36	%			3.40	%			3.06	%			2.04	%			2.26	%			3.31	%
Portfolio turnover rate			37	%(e)			35	%(e)			48	%(e)			29	%(e)			130	%			37	%(e)			35	%(e)			48	%(e)			29	%(e)			130	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(a)			0.00	%(f)(g)			—				0.06	%			0.10	%			0.10	%			0.00	%(f)(g)			—				0.06	%			0.10	%			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.05			$	0.02			$	0.03			$	0.01			$	0.02			$	0.04			$	0.02			$	0.02

^(a) Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

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

^(g) Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

94 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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017(a)				2016(a)				2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	26.79			$	26.74			$	29.93			$	26.91			$	29.73			$	26.94			$	26.88			$	30.07			$	27.00			$	29.82
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.55				0.46				0.10				(0.05	)			(0.12	)			0.55				0.49				0.14				(0.02	)			(0.12	)
Net realized and unrealized gain (loss)			(0.60	)			(0.05	)			1.78				5.22				(0.30	)			(0.54	)			(0.04	)			1.78				5.24				(0.30	)
Total from investment operations			(0.05	)			0.41				1.88				5.17				(0.42	)			0.01				0.45				1.92				5.22				(0.42	)
Less distributions to shareholders:
From net investment income			(0.12	)			(0.36	)			(0.06	)			—				—				(0.55	)			(0.39	)			(0.10	)			—				—
From net realized gains			(0.73	)			—				(5.01	)			(2.15	)			(2.40	)			(0.73	)			—				(5.01	)			(2.15	)			(2.40	)
Total distributions			(0.85	)			(0.36	)			(5.07	)			(2.15	)			(2.40	)			(1.28	)			(0.39	)			(5.11	)			(2.15	)			(2.40	)
Net asset value, end of period		$	25.89			$	26.79			$	26.74			$	29.93			$	26.91			$	25.67			$	26.94			$	26.88			$	30.07			$	27.00
Total Return(c)			(0.37	)%			1.57	%			6.09	%			19.50	%			(1.66	)%			(0.22	)%			1.69	%			6.17	%			19.62	%			(1.65	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,477			$	10,922			$	3,434			$	5,049			$	6,807			$	33,992			$	449,614			$	142,238			$	155,375			$	223,854
Net expenses to average daily net assets			0.40	%			0.50	%			0.60	%			0.61	%			0.60	%			0.31	%			0.40	%			0.51	%			0.51	%			0.51	%
Net investment income (loss) to average daily net assets(b)			2.03	%			1.70	%			0.34	%			(0.16	)%			(0.45	)%			2.00	%			1.80	%			0.47	%			(0.07	) %			(0.37	) %
Portfolio turnover rate			42	%			16	%			0	%			0	%			0	%			42	%			16	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.08	%			0.06	%			0.05	%			0.05	%			0.04	%			0.08	%			0.06	%			0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			—			$	0.00	(d)		$	0.01			$	0.02	(a)		$	0.08	(a)			—			$	0.00	(d)		$	0.01			$	0.02	(a)		$	0.07	(a)

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

^(b) Net investment income is affected by the timing of the declaration of dividends by the 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) Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	13.82			$	17.00			$	14.28			$	12.92			$	16.80
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.46				0.37				0.38				0.41				0.40
Net realized and unrealized gain (loss)			(0.10	)			(2.63	)			2.84				1.50				(3.82	)
Total from investment operations			0.36				(2.26	)			3.22				1.91				(3.42	)
Less distributions to shareholders:
From net investment income			(0.61	)			(0.39	)			(0.50	)			(0.55	)			(0.46	)
From net realized gains			—				(0.53	)			—				—				—
Total distributions			(0.61	)			(0.92	)			(0.50	)			(0.55	)			(0.46	)
Net asset value, end of period		$	13.57			$	13.82			$	17.00			$	14.28			$	12.92
Total Return(b)			2.31	%			(13.50	)%			22.70	%			15.05	%			(20.63	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	36,228			$	48,739			$	68,782			$	115,733			$	215,977
Net expenses to average daily net assets(c)			0.80	%			0.79	%			0.70	%			0.68	%			0.66	%
Net investment income (loss) to average daily net assets(a)			3.28	%			2.47	%			2.35	%			2.95	%			2.59	%
Portfolio turnover rate			52	%(d)			63	%(d)			43	%(d)			47	%(d)			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.54	%(e)			0.54	%			0.34	%			0.23	%			0.14	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 65%, 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.

96 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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016				2020				2019				2018				2017				2016
Net asset value, beginning of period		$	13.07			$	15.41			$	15.14			$	13.79			$	16.61			$	12.97			$	15.31			$	15.06			$	13.73			$	16.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.22				0.23				0.27				0.27				0.24				0.23				0.24				0.29				0.27				0.26
Net realized and unrealized gain (loss)			0.21				(0.04	)(b)			1.73				2.89				(1.20	)			0.20				(0.04	)(b)			1.71				2.89				(1.19	)
Total from investment operations			0.43				0.19				2.00				3.16				(0.96	)			0.43				0.20				2.00				3.16				(0.93	)
Less distributions to shareholders:
From net investment income			(0.32	)			(0.26	)			(0.28	)			(0.34	)			(0.26	)			(0.33	)			(0.27	)			(0.30	)			(0.36	)			(0.28	)
From net realized gains			(1.29	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)
Total distributions			(1.61	)			(2.53	)			(1.73	)			(1.81	)			(1.86	)			(1.62	)			(2.54	)			(1.75	)			(1.83	)			(1.88	)
Net asset value, end of period		$	11.89			$	13.07			$	15.41			$	15.14			$	13.79			$	11.78			$	12.97			$	15.31			$	15.06			$	13.73
Total Return(c)			2.51	%			1.94	%			13.76	%			23.59	%			(6.17	)%			2.53	%			2.05	%			13.84	%			23.68	%			(6.02	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	83,738			$	131,198			$	77,297			$	109,726			$	194,615			$	365,693			$	758,714			$	1,200,008			$	1,469,935			$	3,838,628
Net expenses to average daily net assets(d)			0.46	%			0.46	%			0.46	%			0.46	%			0.46	%			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.64	%			1.62	%			1.78	%			1.80	%			1.57	%			1.75	%			1.68	%			1.88	%			1.87	%			1.68	%
Portfolio turnover rate			72	%(e)			89	%(e)			79	%(e)			66	%(e)			89	%			72	%(e)			89	%(e)			79	%(e)			66	%(e)			89	%
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	%			0.03	%(f)			0.03	%			0.02	%			0.02	%			0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 88%, 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.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Period from July 2, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.23
Net realized and unrealized gain (loss)			(1.99	)
Total from investment operations			(1.76	)
Less distributions to shareholders:
From net investment income			(0.18	)
Total distributions			(0.18	)
Net asset value, end of period		$	18.06
Total Return(b)			(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	415,508
Net expenses to average daily net assets(c)			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.69	%*
Portfolio turnover rate(d)			56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(e)(f)*

^(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 February 29, 2020, including transactions in USTF, was 69% of the average value of its portfolio.

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

^(f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

98 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 29, 2020

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.

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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.

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 year ended February 29, 2020, 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.

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 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; certain equity securities valued based on the last traded exchange price adjusted for the movement in

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2020:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,143,290	$	—	$	—	$	1,143,290
Australia		—		1,449,161		—		1,449,161
Brazil		—		1,264,743		—		1,264,743
Canada		4,017,190		—		—		4,017,190
China		661,618		3,440,221		—		4,101,839
Denmark		—		3,729,059		—		3,729,059
Finland		—		443,584		—		443,584
France		—		10,509,611		—		10,509,611
Germany		—		2,806,542		—		2,806,542
India		—		181,675		—		181,675
Israel		—		1,496,150		—		1,496,150
Italy		—		3,812,135		—		3,812,135
Japan		—		11,274,206		—		11,274,206
Malaysia		—		142,576		—		142,576
Mexico		3,127,132		—		—		3,127,132
Netherlands		—		1,066,662		—		1,066,662
Norway		—		2,322,014		—		2,322,014
Pakistan		—		551,976		—		551,976
Portugal		—		1,063,496		—		1,063,496
Russia		—		5,628,393		—		5,628,393
Spain		—		3,977,345		—		3,977,345
Switzerland		—		1,509,067		—		1,509,067
Taiwan		—		262,947		—		262,947
Thailand		—		316,316		—		316,316
Ukraine		—		913,445		—		913,445
United Kingdom		485,688		3,662,011		—		4,147,699
United States		46,561,218		—		—		46,561,218
TOTAL COMMON STOCKS		55,996,136		61,823,335		—		117,819,471
Preferred Stocks
Chile		3,647,016		—		—		3,647,016
TOTAL PREFERRED STOCKS		3,647,016		—		—		3,647,016
Mutual Funds
United States		8,545,006		—		—		8,545,006
TOTAL MUTUAL FUNDS		8,545,006		—		—		8,545,006
Total Investments		68,188,158		61,823,335		—		130,011,493
Total	$	68,188,158	$	61,823,335	$	—	$	130,011,493

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	784,781	$	—	$	784,781
Brazil		3,329,865		23,359,347		—		26,689,212
Chile		—		3,568,119		—		3,568,119
China		106,081,414		208,247,209		—		314,328,623
Hong Kong		—		9,696,523		—		9,696,523
Hungary		—		195,456		—		195,456
India		2,972,038		80,266,560		—		83,238,598
Indonesia		—		32,396,197		—		32,396,197
Mexico		13,206,347		—		—		13,206,347
Peru		822,966		—		—		822,966
Philippines		—		15,152,480		—		15,152,480
Poland		—		1,800,781		—		1,800,781
Russia		5,039,701		12,136,620		—		17,176,321
South Africa		—		9,379,790		—		9,379,790
South Korea		—		69,672,832		—		69,672,832
Switzerland		—		23,657,721		—		23,657,721
Taiwan		3,941,088		96,154,349		—		100,095,437
Thailand		—		11,754,214		—		11,754,214
Turkey		—		9,328,042		—		9,328,042
United Kingdom		—		1,051,059		—		1,051,059
United States		3,340,359		—		—		3,340,359
Vietnam		—		19,695,349		—		19,695,349
TOTAL COMMON STOCKS		138,733,778		628,297,429		—		767,031,207
Preferred Stocks
Brazil		—		18,213,395		—		18,213,395
TOTAL PREFERRED STOCKS		—		18,213,395		—		18,213,395
Investment Funds
China		13,146,708		6,608,983		—		19,755,691
Mexico		5,855,934		—		—		5,855,934
Russia		26,327,840		—		—		26,327,840
Thailand		—		35,843,526		—		35,843,526
United States		30,094,646		—		—		30,094,646
TOTAL INVESTMENT FUNDS		75,425,128		42,452,509		—		117,877,637
Debt Obligations
United States		10,000,602		—		—		10,000,602
TOTAL DEBT OBLIGATIONS		10,000,602		—		—		10,000,602
Mutual Funds
United States		18,615,329		—		—		18,615,329
TOTAL MUTUAL FUNDS		18,615,329		—		—		18,615,329
Short-Term Investments		5,988,341		—		—		5,988,341
Total Investments		248,763,178		688,963,333		—		937,726,511
Derivatives^
Futures Contracts
Equity Risk		—		2,815,286		—		2,815,286
Swap Contracts
Equity Risk		—		618,942		—		618,942
Total	$	248,763,178	$	692,397,561	$	—	$	941,160,739

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(405,915	)	$	—	$	(405,915	)
Futures Contracts
Equity Risk		(1,588,160	)		—			—		(1,588,160	)
Total	$	(1,588,160	)	$	(405,915	)	$	—	$	(1,994,075	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,308,118		$	—		$	—	$	6,308,118
Chile		—			1,974,624			—		1,974,624
China		134,115,399			1,175,506,399			683,638		1,310,305,436
India		—			71,117,398			—		71,117,398
Indonesia		—			15,685,528			—		15,685,528
Kuwait		—			19,244,911			—		19,244,911
Mexico		34,314,235			—			—		34,314,235
Pakistan		—			19,328,331			—		19,328,331
Philippines		—			7,324,067			—		7,324,067
Poland		—			122,902,179			—		122,902,179
Qatar		—			23,506,170			—		23,506,170
Russia		4,707,318			446,928,086			—		451,635,404
South Africa		—			48,599,469			—		48,599,469
South Korea		—			71,217,867			—		71,217,867
Sri Lanka		—			485,306			—		485,306
Taiwan		9,298,706			552,678,841			—		561,977,547
Thailand		—			18,950,545			—		18,950,545
Turkey		—			39,538,802			—		39,538,802
United Arab Emirates		—			8,346,197			—		8,346,197
United Kingdom		—			20,787,061			—		20,787,061
Vietnam		—			4,130,907			—		4,130,907
TOTAL COMMON STOCKS		188,743,776			2,668,252,688			683,638		2,857,680,102
Preferred Stocks
Colombia		1,694,384			—			—		1,694,384
Russia		—			54,306,374			—		54,306,374
South Korea		—			66,716,587			—		66,716,587
Taiwan		—			1,325,452			—		1,325,452
TOTAL PREFERRED STOCKS		1,694,384			122,348,413			—		124,042,797
Investment Funds
Thailand		—			11,323,691			—		11,323,691
United States		73,377,231			—			—		73,377,231
TOTAL INVESTMENT FUNDS		73,377,231			11,323,691			—		84,700,922
Debt Obligations
United States		24,994,672			—			—		24,994,672
TOTAL DEBT OBLIGATIONS		24,994,672			—			—		24,994,672
Rights/Warrants
South Korea		29,148			—			—		29,148
TOTAL RIGHTS/WARRANTS		29,148			—			—		29,148
Short-Term Investments		38,843,223			—			—		38,843,223
Total Investments		327,682,434			2,801,924,792			683,638		3,130,290,864

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2		Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Swap Contracts
Equity Risk	$	—		$	826,118	$	—		$	826,118
Total	$	327,682,434		$	2,802,750,910	$	683,638		$	3,131,116,982
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(7,037,224	)	$	—	$	—		$	(7,037,224	)
Total	$	(7,037,224	)	$	—	$	—		$	(7,037,224	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	100,715,344	$	—		$	100,715,344
Austria		—			2,203,017		—			2,203,017
Belgium		—			9,840,141		—			9,840,141
Denmark		—			890,406		—			890,406
France		46,930,458			234,687,016		—			281,617,474
Germany		—			152,340,981		—			152,340,981
Hong Kong		—			63,072,758		—			63,072,758
Ireland		13,833,204			688,993		—			14,522,197
Italy		—			162,532,443		—			162,532,443
Japan		—			602,165,505		—			602,165,505
Malta		—			—		0	§		0	§
Netherlands		—			189,599,906		—			189,599,906
New Zealand		—			1,547,720		—			1,547,720
Norway		—			59,582,891		—			59,582,891
Portugal		—			95,358,615		—			95,358,615
Singapore		—			125,427,701		—			125,427,701
Spain		—			178,145,347		—			178,145,347
Sweden		—			121,318,842		—			121,318,842
Switzerland		—			176,477,117		—			176,477,117
United Kingdom		34,357,201			538,173,180		—			572,530,381
TOTAL COMMON STOCKS		95,120,863			2,814,767,923		0	§		2,909,888,786
Preferred Stocks
Germany		—			566,716		—			566,716
TOTAL PREFERRED STOCKS		—			566,716		—			566,716
Short-Term Investments		113,720,099			—		—			113,720,099
Total Investments		208,840,962			2,815,334,639		0	§		3,024,175,601
Total	$	208,840,962		$	2,815,334,639	$	0	§	$	3,024,175,601
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(8,650,678	)	$	—	$	—		$	(8,650,678	)

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1		Level 2		Level 3			Total
Quality Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—	$	161,411,016	$	—		$	161,411,016
Switzerland		—		364,545,961		—			364,545,961
Taiwan		—		189,759,931		—			189,759,931
United Kingdom		—		266,399,673		—			266,399,673
United States		5,171,898,316		—		—			5,171,898,316
TOTAL COMMON STOCKS		5,171,898,316		982,116,581		—			6,154,014,897
Debt Obligations
United States		83,174,419		—		—			83,174,419
TOTAL DEBT OBLIGATIONS		83,174,419		—		—			83,174,419
Mutual Funds
United States		15,768,140		—		—			15,768,140
TOTAL MUTUAL FUNDS		15,768,140		—		—			15,768,140
Short-Term Investments		4,862,490		—		—			4,862,490
Total Investments		5,275,703,365		982,116,581		—			6,257,819,946
Total	$	5,275,703,365	$	982,116,581	$	—		$	6,257,819,946
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,132,911	$	—	$	—		$	6,132,911
Australia		—		12,246,997		—			12,246,997
Austria		—		3,886,524		—			3,886,524
Brazil		—		4,886,170		—			4,886,170
Canada		13,405,832		—		—			13,405,832
China		—		18,089,316		—			18,089,316
Colombia		4,010,946		—		—			4,010,946
Denmark		—		8,626,562		—			8,626,562
Finland		—		665,815		—			665,815
France		—		16,255,715		—			16,255,715
Germany		—		1,788,964		—			1,788,964
Hungary		—		3,022,207		—			3,022,207
India		—		9,126,511		—			9,126,511
Israel		—		11,126,362		—			11,126,362
Japan		—		17,902,201		—			17,902,201
Mexico		14,621,716		—		—			14,621,716
Norway		—		16,252,954		—			16,252,954
Pakistan		—		2,113,825		—			2,113,825
Poland		—		2,097,053		—			2,097,053
Russia		—		68,350,653		—			68,350,653
Singapore		—		—		0	§		0	§
South Africa		—		4,452,813		—			4,452,813
South Korea		—		664,536		—			664,536
Spain		—		6,195,448		—			6,195,448
Sweden		—		7,189,006		—			7,189,006
Switzerland		—		3,119,749		—			3,119,749
Thailand		—		9,674,442		—			9,674,442
Turkey		—		2,986,987		—			2,986,987
Ukraine		—		2,950,647		—			2,950,647
United Kingdom		—		58,313,560		—			58,313,560
United States		128,020,808		—		—			128,020,808
TOTAL COMMON STOCKS		166,192,213		291,985,017		0	§		458,177,230

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February 29, 2020

Description	Level 1			Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—		$	22,867,278	$	—		$	22,867,278
Chile		15,089,446			—		—			15,089,446
Russia		—			6,214,898		—			6,214,898
TOTAL PREFERRED STOCKS		15,089,446			29,082,176		—			44,171,622
Rights/Warrants
Singapore		—			—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—		0	§		0	§
Mutual Funds
United States		1,832,863			—		—			1,832,863
TOTAL MUTUAL FUNDS		1,832,863			—		—			1,832,863
Short-Term Investments		14,183,217			—		—			14,183,217
Total Investments		197,297,739			321,067,193		0	§		518,364,932
Total	$	197,297,739		$	321,067,193	$	0	§	$	518,364,932
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	20,301,222		$	—	$	—		$	20,301,222
TOTAL DEBT OBLIGATIONS		20,301,222			—		—			20,301,222
Short-Term Investments		924,955			—		—			924,955
Total Investments		21,226,177			—		—			21,226,177
Total	$	21,226,177		$	—	$	—		$	21,226,177
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(4,024,000	)	$	—	$	—		$	(4,024,000	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,274,613	$	—		$	1,274,613
Austria		—			18,800		—			18,800
Belgium		—			75,236		—			75,236
Brazil		—			660,972		—			660,972
China		—			794,775		—			794,775
Denmark		—			34,957		—			34,957
France		4,625			3,469,891		—			3,474,516
Germany		—			1,826,471		—			1,826,471
Hong Kong		—			661,248		—			661,248
Hungary		—			75,816		—			75,816
India		—			151,131		—			151,131
Ireland		154,493			221,666		—			376,159
Italy		—			1,770,473		—			1,770,473
Japan		—			7,484,876		—			7,484,876
Malta		—			—		0	§		0	§
Mexico		9,154			—		—			9,154

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February 29, 2020

Description	Level 1			Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Netherlands	$	—		$	2,518,054	$	—		$	2,518,054
Norway		—			250,150		—			250,150
Philippines		—			10,658		—			10,658
Poland		—			52,074		—			52,074
Portugal		—			928,293		—			928,293
Russia		—			121,385		—			121,385
Singapore		—			705,823		—			705,823
South Africa		—			158,728		—			158,728
South Korea		—			700,195		—			700,195
Spain		—			2,252,007		—			2,252,007
Sweden		—			929,249		—			929,249
Switzerland		—			2,092,447		—			2,092,447
Taiwan		—			444,965		—			444,965
Thailand		—			10,330		—			10,330
Turkey		—			190,633		—			190,633
United Kingdom		405,636			5,022,260		—			5,427,896
TOTAL COMMON STOCKS		573,908			34,908,176		0	§		35,482,084
Preferred Stocks
Brazil		—			9,335		—			9,335
Germany		—			15,871		—			15,871
South Korea		—			1,069		—			1,069
TOTAL PREFERRED STOCKS		—			26,275		—			26,275
Mutual Funds
United States		368,696			—		—			368,696
TOTAL MUTUAL FUNDS		368,696			—		—			368,696
Short-Term Investments		424,200			—		—			424,200
Total Investments		1,366,804			34,934,451		0	§		36,301,255
Derivatives^
Futures Contracts
Equity Risk		1,840			—		—			1,840
Total	$	1,368,644		$	34,934,451	$	0	§	$	36,303,095
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	443,621,227		$	—	$	—		$	443,621,227
Mutual Funds		1,469,983			—		—			1,469,983
Short-Term Investments		1,103,375			—		—			1,103,375
Total Investments		446,194,585			—		—			446,194,585
Total	$	446,194,585		$	—	$	—		$	446,194,585
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(71,416	)	$	—	$	—		$	(71,416	)
Total	$	(71,416	)	$	—	$	—		$	(71,416	)

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February 29, 2020

Description	Level 1			Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	398,799,242		$	—	$	—	$	398,799,242
Mutual Funds		6,280,467			—		—		6,280,467
Rights/Warrants		—			—		36,350		36,350
Short-Term Investments		1,583,115			—		—		1,583,115
Total Investments		406,662,824			—		36,350		406,699,174
Total	$	406,662,824		$	—	$	36,350	$	406,699,174
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(790,370	)	$	—	$	—	$	(790,370	)
Total	$	(790,370	)	$	—	$	—	$	(790,370	)

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 February 29, 2020.

The underlying funds held at year 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 February 29, 2020, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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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February 29, 2020

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 year, 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 or securities 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 and/or 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 February 29, 2020, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Climate Change Fund		23,155,458		5,501,628		18,169,556		23,671,184
Resources Fund		36,663,936		1,773,262		36,061,447		37,834,709

* Non-cash collateral is comprised of U.S Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

Information regarding the value of the securities loaned and the value of cash 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.

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

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February 29, 2020

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 year ended February 29, 2020, 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.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:	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
Capital loss carry forwards	X	X	X	X		X	X	X		X
Derivative contract transactions		X	X	X			X	X	X	X
Dividend income and withholding tax reclaim reserves			X	X		X		X
Foreign currency transactions		X	X
Late-year ordinary losses		X				X		X
Losses on wash sale transactions	X	X	X	X	X	X		X	X
Passive foreign investment company transactions	X	X	X	X		X		X
Post-October capital losses	X	X	X	X		X	X		X
Redemption in-kind transactions					X
Partnership interest tax allocations			X
In-kind purchase transaction										X

110

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February 29, 2020

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

	Tax year ended February 29, 2020						Tax year ended February 28, 2019
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		3,590,555		1,404,035		4,994,590		1,882,618		398,532		2,281,150
Emerging Domestic Opportunities Fund		51,556,984		—		51,556,984		75,761,025		139,865,478		215,626,503
Emerging Markets Fund		158,828,533		—		158,828,533		114,526,442		—		114,526,442
International Equity Fund		122,617,075		—		122,617,075		125,861,550		—		125,861,550
Quality Fund		132,495,166		399,309,648		531,804,814		131,525,838		1,021,829,009		1,153,354,847
Resources Fund		17,144,201		—		17,144,201		16,770,715		—		16,770,715
Risk Premium Fund		11,401,279		4,800,585		16,201,864		5,401,569		—		5,401,569
Tax-Managed International Equities Fund		1,766,064		—		1,766,064		1,170,737		1,772,678		2,943,415
U.S. Equity Fund		13,879,421		54,102,864		67,982,285		17,710,730		151,413,028		169,123,758
U.S. Small Cap Value Fund		3,801,218		—		3,801,218		—		—		—

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 29, 2020, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Loss Deferral ($)
Climate Change Fund		312,617		2,119,046		—		(3,654,354)		—
Emerging Domestic Opportunities Fund		—		—		(4,232,323)		(86,448,639)		—
Emerging Markets Fund		12,727,510		—		—		(1,322,018,597)		—
International Equity Fund		824,187		—		—		(1,022,822,659)		—
Quality Fund		17,325,054		215,911,692		—		—		—
Resources Fund		—		—		(587,787)		(15,989,881)		(3,496)
Risk Premium Fund		257,867		459,365		—		—		—
Tax-Managed International Equities Fund		—		—		(109,804)		(5,109,986)		—
U.S. Equity Fund		10,681,713		13,828,066		—		—		—
U.S. Small Cap Value Fund		646,735		—		—		(3,877,827)		—

As of February 29, 2020, 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

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February 29, 2020

losses realized subsequent to February 29, 2020, 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		(1,674,056)		(1,980,298)
Emerging Domestic Opportunities Fund		(62,062,022)		(24,386,617)
Emerging Markets Fund		(175,917,907)		(1,146,100,690)
International Equity Fund		(793,540,682)		(229,281,977)
Quality Fund		—		—
Resources Fund		(15,989,881)		—
Risk Premium Fund		—		—
Tax-Managed International Equities Fund		(5,109,986)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		(3,815,247)		(62,580)

As of February 29, 2020, 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		131,578,382		13,453,691		(15,020,580)		(1,566,889)		—
Emerging Domestic Opportunities Fund		953,859,308		45,349,511		(61,482,308)		(16,132,797)		2,408,053
Emerging Markets Fund		3,274,333,665		196,565,095		(340,607,896)		(144,042,801)		—
International Equity Fund		3,180,778,658		207,540,824		(364,143,881)		(156,603,057)		—
Quality Fund		4,288,104,712		2,109,220,394		(139,505,160)		1,969,715,234		—
Resources Fund		538,619,009		70,343,778		(90,597,855)		(20,254,077)		—
Risk Premium Fund		21,224,035		2,142		—		2,142		—
Tax-Managed International Equities Fund		31,126,047		6,299,430		(1,124,222)		5,175,208		—
U.S. Equity Fund		439,093,758		32,791,428		(25,690,601)		7,100,827		—
U.S. Small Cap Value Fund		452,132,089		7,536,528		(52,969,443)		(45,432,915)		—

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.

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February 29, 2020

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/deflation 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. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Quality Fund, U.S. Equity Fund and Risk Premium Fund. 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 February 29, 2020, 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	—	—	—	—	—	0.30%	—	—	—	—
Redemption Fee	—	—	—	—	—	0.30%	—	—	—	—

^(a)  For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. 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 February 29, 2020, though in recognition of the potential liability, a portion of that amount is included as a 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.

Recently-issued accounting guidance

In August 2018, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2018-13, “Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). The amendments in ASU 2018-13 apply to all entities that are required, under existing U.S. GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in ASU 2018-13 modify, remove and add certain disclosure requirements from FASB Accounting Standards Codification 820, Fair Value Measurement. The amendments in ASU 2018-13 are effective for all public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 with early adoption permitted. The Funds have early adopted the modifications and removals under this amendment and GMO is currently evaluating the impact, if any, of the new disclosure requirements on the Funds’ financial statements.

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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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

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

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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”).

• 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

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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, 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

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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 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

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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 reproposed 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 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

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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.

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

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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 safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

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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.

• 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

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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. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital losses (including capital loss carryforwards) to offset 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

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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 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,

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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 the recent past) 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. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. 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 would be significantly disrupted. On January 31, 2020, the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. The consequences of the United Kingdom’s or another country’s exit from the European Union also could threaten the stability of the Euro and could negatively affect the financial markets of other countries in the European region and beyond, which may include companies or assets held or considered for prospective investment by GMO.

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

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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.

An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a 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

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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.

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

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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.

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

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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 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.

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

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 year ended February 29, 2020, 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

U.S. Small Cap Value Fund

Forward currency contracts

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

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

Options (Written)

Substitute for direct equity investment

X

Swap contracts

Substitute for direct equity investment

X

X

Achieve returns comparable to holding and lending a direct equity position

X

X

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

Futures contracts

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

Options

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

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

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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.

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 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.

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

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

***

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 February 29, 2020 and the Statements of Operations for the year ended February 29, 2020^:

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¤	$	—	$	2,815,286		$	—		$	—	$	—	$	2,815,286
Swap Contracts, at value¤		—		618,942			—			—		—		618,942
Total	$	—	$	3,434,228		$	—		$	—	$	—	$	3,434,228
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(405,915	)	$	—	$	—	$	(405,915	)
Unrealized Depreciation on Futures Contracts¤		—		(1,588,160	)		—			—		—		(1,588,160	)
Total	$	—	$	(1,588,160	)	$	(405,915	)	$	—	$	—	$	(1,994,075	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—			(634,544	)	$	—	$	—	$	(634,544	)
Futures Contracts		—		(834,797	)		—			—		—		(834,797	)
Total	$	—	$	(834,797	)	$	(634,544	)	$	—	$	—	$	(1,469,341	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	149,888		$	—	$	—	$	149,888
Futures Contracts		—		236,414			—			—		—		236,414
Swap Contracts		—		618,942			—			—		—		618,942
Total	$	—	$	855,356		$	149,888		$	—	$	—	$	1,005,244

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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¤	$	—	$	826,118		$	—	$	—	$	—	$	826,118
Total	$	—	$	826,118		$	—	$	—	$	—	$	826,118
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(7,037,224	)	$	—	$	—	$	—	$	(7,037,224	)
Total	$	—	$	(7,037,224	)	$	—	$	—	$	—	$	(7,037,224	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	5,567,512		$	—	$	—	$	—	$	5,567,512
Swap Contracts		—		25,172,139			—		—		—		25,172,139
Total	$	—	$	30,739,651		$	—	$	—	$	—	$	30,739,651
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(16,122,892	)	$	—	$	—	$	—	$	(16,122,892	)
Swap Contracts		—		1,725,850			—		—		—		1,725,850
Total	$	—	$	(14,397,042	)	$	—	$	—	$	—	$	(14,397,042	)
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(8,650,678	)	$	—	$	—	$	—	$	(8,650,678	)
Total	$	—	$	(8,650,678	)	$	—	$	—	$	—	$	(8,650,678	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	4,336,034		$	—	$	—	$	—	$	4,336,034
Total	$	—	$	4,336,034		$	—	$	—	$	—	$	4,336,034
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(10,687,846	)	$	—	$	—	$	—	$	(10,687,846	)
Total	$	—	$	(10,687,846	)	$	—	$	—	$	—	$	(10,687,846	)
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(4,024,000	)	$	—	$	—	$	—	$	(4,024,000	)
Total	$	—	$	(4,024,000	)	$	—	$	—	$	—	$	(4,024,000	)
Net Realized Gain (Loss) on
Written Options	$	—	$	19,414,570		$	—	$	—	$	—	$	19,414,570
Total	$	—	$	19,414,570		$	—	$	—	$	—	$	19,414,570
Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	(3,523,983	)	$	—	$	—	$	—	$	(3,523,983	)
Total	$	—	$	(3,523,983	)	$	—	$	—	$	—	$	(3,523,983	)

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
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	$	—	$	95,005		$	—	$	—	$	—	$	95,005
Total	$	—	$	95,005		$	—	$	—	$	—	$	95,005
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(18,682	)	$	—	$	—	$	—	$	(18,682	)
Total	$	—	$	(18,682	)	$	—	$	—	$	—	$	(18,682	)
U.S. Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(71,416	)	$	—	$	—	$	—	$	(71,416	)
Total	$	—	$	(71,416	)	$	—	$	—	$	—	$	(71,416	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	1,440,421		$	—	$	—	$	—	$	1,440,421
Total	$	—	$	1,440,421		$	—	$	—	$	—	$	1,440,421
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(353,593	)	$	—	$	—	$	—	$	(353,593	)
Total	$	—	$	(353,593	)	$	—	$	—	$	—	$	(353,593	)
U.S. Small Cap Value Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(790,370	)	$	—	$	—	$	—	$	(790,370	)
Total	$	—	$	(790,370	)	$	—	$	—	$	—	$	(790,370	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	393,168		$	—	$	—	$	—	$	393,168
Total	$	—	$	393,168		$	—	$	—	$	—	$	393,168
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(790,370	)	$	—	$	—	$	—	$	(790,370	)
Total	$	—	$	(790,370	)	$	—	$	—	$	—	$	(790,370	)

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

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

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

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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 February 29, 2020, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 29, 2020:

Emerging Domestic Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Goldman Sachs International	$	618,942	$	(410,000	)	$	—	$	208,942
Total	$	618,942	$	(410,000	)	$	—	$	208,942
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	405,915	$	—		$	—	$	405,915
Total	$	405,915	$	—		$	—	$	405,915

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	$	826,118	$	(826,118	)	$	—	$	—	*
Total	$	826,118	$	(826,118	)	$	—	$	—

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February 29, 2020

Risk Premium Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	4,024,000	$	(4,024,000	)	$	—	$	—	*
Total	$	4,024,000	$	(4,024,000	)	$	—	$	—

* 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 year ended February 29, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Contracts)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		11,458,579		27,411,237		—		1,246,929
Emerging Markets Fund		—		71,626,515		—		60,087,686
International Equity Fund		—		40,174,515		—		—
Risk Premium Fund		—		—		1,235		—
Tax-Managed International Equities Fund		—		358,257		—		—
U.S. Equity Fund		—		6,174,763		—		—
U.S. Small Cap Value Fund		—		4,313,879		—		—

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%*

0.22%*

0.22%*

Emerging Markets Fund

0.22%

0.15%

0.105%*

0.085%

0.055%

0.22%*

0.22%

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 February 29, 2020.

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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February 29, 2020

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 year ended February 29, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.

As of February 29, 2020, there were no waivers and/or reimbursements subject to possible future recoupment.

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, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I 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. Effective January 27^th 2020, GMO has contractually agreed to reimburse Class I assets for Emerging Markets Fund and Emerging Domestic Opportunities Fund to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.05% and 0.03%, respectively, of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI 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 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. 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.

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February 29, 2020

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 year ended February 29, 2020 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		3,582		306
Emerging Domestic Opportunities Fund		33,406		3,804
Emerging Markets Fund		93,668		9,493
International Equity Fund		98,698		10,031
Quality Fund		189,660		18,497
Resources Fund		15,963		1,416
Risk Premium Fund		9,189		768
Tax-Managed International Equities Fund		1,187		122
U.S. Equity Fund		18,982		2,166
U.S. Small Cap Value Fund		8,037		853

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2020, 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 year ended February 29, 2020, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2020 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		—		223,168,668		—		209,835,995
Emerging Domestic Opportunities Fund		—		2,786,811,756		—		3,343,263,050
Emerging Markets Fund		25,033,775		3,956,734,819		—		4,132,062,999
International Equity Fund		—		2,224,829,542		—		2,967,540,508
Quality Fund		94,898,680		989,770,172		27,998,727		1,746,073,693
Resources Fund		—		598,818,693		—		537,474,644
Risk Premium Fund		104,145,682		—		441,830,794		—
Tax-Managed International Equities Fund		—		28,077,328		—		40,637,565
U.S. Equity Fund		—		598,412,795		—		1,059,484,874
U.S. Small Cap Value Fund		—		717,669,838		—		260,778,608

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February 29, 2020

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 year ended February 29, 2020. 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 ($)
Quality Fund		21,424,883			165,586,344		73,553,708
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 February 29, 2020

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			15.02%		15.74%		9.76%
Emerging Domestic Opportunities Fund*		1			46.35%		1.90%		0.52%
Emerging Markets Fund*		1	‡		12.96%		0.89%		69.50%
International Equity Fund		3	§		50.35%		0.02%		88.12%
Quality Fund		—			—		0.28%		8.42%
Resources Fund		2	†		84.72%		3.04%		29.75%
Risk Premium Fund		1	‡		86.46%		0.01%		97.36%
Tax-Managed International Equities Fund		2			70.48%		0.21%		—
U.S. Equity Fund		4	#		71.50%		—		94.71%
U.S. Small Cap Value Fund		4	§		82.61%		—		100.00%

* The Fund’s outstanding shares were owned by more than 10 shareholders as of February 29, 2020.

‡ One of the shareholders is another fund of the Trust.

† 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.

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9. Share transactions

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

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		1,335,895		$	29,627,307			3,903,360		$	90,089,432
Shares issued to shareholders in reinvestment of distributions		208,829			4,878,287			103,496			2,222,541
Shares repurchased		(1,258,218	)		(27,634,266	)		(1,218	)		(23,934	)
Net increase (decrease)		286,506		$	6,871,328			4,005,638		$	92,288,039
Class R6:*
Shares sold		50,513			1,239,895
Net increase (decrease)		50,513		$	1,239,895
Class I:**
Shares sold		43,031			1,000,842
Net increase (decrease)		43,031		$	1,000,842
Emerging Domestic Opportunities Fund
Class II:
Shares sold		289,248		$	6,614,135			3,204,901		$	79,061,263
Shares issued to shareholders in reinvestment of distributions		664,068			15,015,951			2,490,941			56,567,432
Shares repurchased		(8,745,485	)		(191,639,350	)		(8,330,784	)		(210,026,067	)
Purchase premiums		—			4,323			—			38,384
Redemption fees		—			847,788			—			1,033,437
Net increase (decrease)		(7,792,169	)	$	(169,157,153	)		(2,634,942	)	$	(73,325,551	)
Class III:
Shares sold		77,711		$	1,718,594			5,850,770		$	140,285,180
Shares issued to shareholders in reinvestment of distributions		227,211			5,137,598			453,611			10,280,699
Shares repurchased		(3,609,060	)		(78,781,535	)		(2,332,378	)		(55,472,756	)
Purchase premiums		—			1,876			—			10,174
Redemption fees		—			350,461			—			278,104
Net increase (decrease)		(3,304,138	)	$	(71,573,006	)		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		4,069,005		$	94,765,020			1,849,860		$	42,178,952
Shares issued to shareholders in reinvestment of distributions		1,207,239			27,262,953			4,876,381			110,661,725
Shares repurchased		(13,489,760	)		(301,571,976	)		(16,151,988	)(a)		(385,477,492	)(a)
Purchase premiums		—			6,412			—			67,764
Redemption fees		—			1,090,567			—			1,730,847
Net increase (decrease)		(8,213,516	)	$	(178,447,024	)		(9,425,747	)	$	(230,838,204	)

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Emerging Markets Fund
Class II:
Shares sold		2,591,221		$	84,009,094			4,401,593		$	143,683,129
Shares issued to shareholders in reinvestment of distributions		645,799			21,903,810			291,349			8,605,697
Shares repurchased		(4,313,640	)		(141,674,686	)		(3,849,640	)		(129,008,521	)
Purchase premiums		—			51,363			—			57,830
Redemption fees		—			223,821			—			888,215
Net increase (decrease)		(1,076,620	)	$	(35,486,598	)		843,302		$	24,226,350
Class III:
Shares sold		3,289,119		$	107,742,551			2,787,118		$	91,244,415
Shares issued to shareholders in reinvestment of distributions		138,763			4,718,700			203,100			6,015,118
Shares repurchased		(1,201,886	)		(38,674,913	)		(5,098,345	)		(169,757,234	)
Purchase premiums		—			29,976			—			48,070
Redemption fees		—			127,453			—			731,576
Net increase (decrease)		2,225,996		$	73,943,767			(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		6,704,011		$	210,170,738			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)		6,704,011		$	210,170,738			(4,740,117	)	$	(139,919,459	)
Class VI:
Shares sold		7,402,013		$	246,827,168			18,836,288		$	615,708,595
Shares issued to shareholders in reinvestment of distributions		3,573,268			120,190,006			3,073,538			90,223,106
Shares repurchased		(23,395,592	)		(757,169,808	)		(36,862,271	)		(1,203,088,049	)
Purchase premiums		—			277,115			—			466,824
Redemption fees		—			1,196,746			—			7,255,860
Net increase (decrease)		(12,420,311	)	$	(388,678,773	)		(14,952,445	)	$	(489,433,664	)
Class I:****
Shares sold		525,691			17,411,530
Shares repurchased		(211	)		(6,910	)
Net increase (decrease)		525,480		$	17,404,620

143

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares sold		—		$	—			11,917		$	233,788
Shares issued to shareholders in reinvestment of distributions		13,808			300,245			18,106			351,230
Shares repurchased		(375,731	)		(7,877,185	)		(128,051	)		(2,882,249	)
Net increase (decrease)		(361,923	)	$	(7,576,940	)		(98,028	)	$	(2,297,231	)
Class III:
Shares sold		2,042,255		$	42,764,756			6,170,386		$	129,662,149
Shares issued to shareholders in reinvestment of distributions		876,701			19,307,608			735,871			14,422,969
Shares repurchased		(5,358,133	)		(115,630,443	)		(2,267,308	)		(48,310,377	)
Net increase (decrease)		(2,439,177	)	$	(53,558,079	)		4,638,949		$	95,774,741
Class IV:
Shares sold		11,741,908		$	249,651,330			13,045,053		$	273,347,845
Shares issued to shareholders in reinvestment of distributions		4,679,297			102,794,963			5,654,415			110,749,922
Shares repurchased		(43,099,517	)		(902,931,022	)		(54,064,238	)(b)		(1,211,296,562	)(b)
Net increase (decrease)		(26,678,312	)	$	(550,484,729	)		(35,364,770	)	$	(827,198,795	)
Quality Fund
Class III:
Shares sold		24,208,061	(c)	$	587,758,048	(c)		16,255,202		$	379,498,126
Shares issued to shareholders in reinvestment of distributions		9,288,097			227,503,802			21,144,460			470,866,346
Shares repurchased		(30,748,307	)		(748,409,967	)		(40,046,730	)		(991,355,485	)
Net increase (decrease)		2,747,851		$	66,851,883			(2,647,068	)	$	(140,991,013	)
Class IV:
Shares sold		5,393,298		$	137,744,836			16,246,296		$	396,671,448
Shares issued to shareholders in reinvestment of distributions		3,200,998			78,540,885			8,375,289			184,871,739
Shares repurchased		(22,245,865	)(d)		(531,451,811	)(d)		(11,645,987	)		(275,530,264	)
Net increase (decrease)		(13,651,569	)	$	(315,166,090	)		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		5,679,207		$	137,503,394			7,869,954		$	186,506,908
Shares issued to shareholders in reinvestment of distributions		7,389,652			180,990,035			18,758,196			417,401,151
Shares repurchased		(21,809,752	)		(528,211,553	)		(68,400,304	)(e)		(1,710,007,741	)(e)
Net increase (decrease)		(8,740,893	)	$	(209,718,124	)		(41,772,154	)	$	(1,106,099,682	)
Class R6:*****
Shares sold		3,486,855			87,903,607
Shares repurchased		(87,109	)		(2,238,685	)
Net increase (decrease)		3,399,746		$	85,664,922
Class I:******
Shares sold		3,566,561			88,681,940
Shares issued to shareholders in reinvestment of distributions		71,643			1,757,400
Shares repurchased		(116,810	)		(2,898,788	)
Net increase (decrease)		3,521,394		$	87,540,552

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Resources Fund
Class III:
Shares sold		2,761,934		$	55,016,482			5,913,886		$	119,547,649
Shares issued to shareholders in reinvestment of distributions		306,986			6,449,418			247,853			4,777,428
Shares repurchased		(302,137	)		(6,067,221	)		(400,869	)		(7,598,970	)
Purchase premiums		—			87,946			—			110,295
Redemption fees		—			2,400			—			6,715
Net increase (decrease)		2,766,783		$	55,489,025			5,760,870		$	116,843,117
Class IV:
Shares sold		382,045		$	7,856,670			1,874,792		$	40,017,125
Shares issued to shareholders in reinvestment of distributions		509,639			10,674,039			613,109			11,888,579
Shares repurchased		(285,769	)		(5,818,904	)		(74,786	)		(1,535,583	)
Purchase premiums		—			147,126			—			365,656
Redemption fees		—			4,202			—			16,509
Net increase (decrease)		605,915		$	12,863,133			2,413,115		$	50,752,286
Risk Premium Fund
Class III:
Shares sold		91,671		$	2,377,913			594,623		$	16,138,183
Shares issued to shareholders in reinvestment of distributions		1,831			50,962			7,902			206,499
Shares repurchased		(405,479	)		(11,210,275	)		(323,281	)		(7,967,768	)
Purchase premiums		—			—			—			1
Redemption fees		—			—			—			364
Net increase (decrease)		(311,977	)	$	(8,781,400	)		279,244		$	8,377,279
Class VI:
Shares sold		608,265		$	15,636,365			16,071,145		$	438,504,961
Shares issued to shareholders in reinvestment of distributions		590,599			16,150,902			197,404			5,195,070
Shares repurchased		(16,562,272	)		(453,097,394	)		(4,871,506	)		(134,197,516	)
Purchase premiums		—			—			—			27
Redemption fees		—			—			—			14,461
Net increase (decrease)		(15,363,408	)	$	(421,310,127	)		11,397,043		$	309,517,003
Tax-Managed International Equities Fund
Class III:
Shares sold		722		$	10,001			1,260,151		$	15,804,345
Shares issued to shareholders in reinvestment of distributions		61,454			905,073			139,568			2,039,645
Shares repurchased		(918,834	)		(13,006,197	)		(1,918,780	)		(28,146,477	)
Net increase (decrease)		(856,658	)	$	(12,091,123	)		(519,061	)	$	(10,302,487	)
U.S. Equity Fund
Class III:
Shares sold		280,647		$	3,693,248			4,165,849		$	54,818,037
Shares issued to shareholders in reinvestment of distributions		959,250			12,501,419			995,861			13,029,413
Shares repurchased		(4,232,533	)		(55,999,328	)		(140,451	)		(2,111,646	)
Net increase (decrease)		(2,992,636	)	$	(39,804,661	)		5,021,259		$	65,735,804

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
U.S. Equity Fund (continued)
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	)
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		765,484		$	9,757,003			4,491,218		$	59,093,282
Shares issued to shareholders in reinvestment of distributions		4,277,949			55,400,367			10,974,139			143,034,255
Shares repurchased		(32,517,831	)		(433,954,549	)		(35,344,226	)(f)		(527,299,355	)(f)
Net increase (decrease)		(27,474,398	)	$	(368,797,179	)		(19,878,869	)	$	(325,171,818	)
U.S. Small Cap Value Fund
Class VI:*******
Shares sold		26,882,418	(g)	$	541,929,344	(g)
Shares issued to shareholders in reinvestment of distributions		177,333			3,801,218
Shares repurchased		(4,053,702	)		(81,541,924	)
Net increase (decrease)		23,006,049		$	464,188,638

* The period under the heading “Year Ended February 29, 2020” represents the period from January 16, 2020 (commencement of operations) through February 29, 2020.

** The period under the heading “Year Ended February 29, 2020” represents the period from February 25, 2020 (commencement of operations) through February 29, 2020.

*** The period under the heading “Year Ended February 29, 2020” represents the period from February 26, 2020 through February 29, 2020.

**** The period under the heading “Year Ended February 29, 2020” represents the period from January 14, 2020 (commencement of operations) through February 29, 2020.

***** The period under the heading “Year Ended February 29, 2020” represents the period from November 12, 2019 (commencement of operations) through February 29, 2020.

****** The period under the heading “Year Ended February 29, 2020” represents the period from September 26, 2019 (commencement of operations) through February 29, 2020.

******* The period under the heading “Year Ended February 29, 2020” represents the period from July 2, 2019 (commencement of operations) through February 29, 2020.

‡ For the period June 25, 2019 to February 29, 2020, 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 25, 2020, Class V had no shareholders. The period under the heading “Year Ended February 29, 2020” represents the period from February 26, 2020 through February 29, 2020.

‡‡‡‡ 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) 838,547 shares and $7,413,522 were purchased in-kind.

(d) 7,413,522 shares and $165,586,344 were redeemed in-kind.

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

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

(g) 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.

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2020 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		$	143,364,279	$	139,437,676	$	60,492	*	$	7,909		$	14,872		$	8,545,006
Emerging Domestic Opportunities Fund
CMI Ltd	$	2,100,445		$	—	$	523,594	$	12,273		$	(1,196,167	)	$	(54,875	)	$	325,809
Gayatri Projects Ltd		23,320,306			—		—		—			—			(19,939,851	)		3,380,455
GMO U.S. Treasury Fund		26,772,924			641,721,561		649,940,000		727,349			40,749			20,095			18,615,329
iShares MSCI Saudi Arabia ETF		—	#		29,021,458		31,136,038		—			(12,200	)		—			—	##
Totals	$	52,193,675		$	670,743,019	$	681,599,632	$	739,622		$	(1,167,618	)	$	(19,974,631	)	$	22,321,593
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	520,683		$	—	$	—	$	—		$	—		$	(35,377	)	$	485,306
Gayatri Highways Ltd		143,172			—		6,843		—			(52,686	)		(34,014	)		49,629
Gayatri Projects Ltd		35,390,143			—		—		—			—			(30,260,074	)		5,130,069
GMO U.S. Treasury Fund		65,931,221			803,331,819		869,609,572		1,350,640			346,532			—			—
Totals	$	101,985,219		$	803,331,819	$	869,616,415	$	1,350,640		$	293,846		$	(30,329,465	)	$	5,665,004
International Equity Fund
GMO U.S. Treasury Fund	$	64,555,168		$	669,610,000	$	734,347,498	$	1,091,265		$	182,330		$	—		$	—
Quality Fund
GMO U.S. Treasury Fund	$	15,705,319		$	—	$	—	$	320,784		$	—		$	62,821		$	15,768,140
Resources Fund
GMO U.S. Treasury Fund	$	5,233,701		$	344,867,317	$	348,333,404	$	192,534	*	$	57,947		$	7,302		$	1,832,863
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	846,701		$	5,930,000	$	6,410,000	$	12,633		$	1,131		$	864		$	368,696
U.S. Equity Fund
GMO U.S. Treasury Fund	$	21,833,340		$	113,715,000	$	134,110,000	$	192,117		$	28,714		$	2,929		$	1,469,983
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	—		$	59,058,020	$	52,811,000	$	63,913		$	17,448		$	15,999		$	6,280,467

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. 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 $118,891 and $333,999 in Climate Change Fund and Resources Fund, respectively, during the year.

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

## Security is no longer an affiliate at year end.

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

11. Subsequent events

Effective April 1, 2020, GMO U.S. Small Cap Value Fund’s investment objective is “total return in excess of its benchmark, the S&P SmallCap 600 Value Index”.

Effective March 9, 2020, GMO Resources Fund no longer charges a purchase premium or redemption fee.

Subsequent to February 29, 2020, GMO Risk Premium Fund and GMO Tax-Managed International Equities Fund received redemption requests in the amounts of $15,733,314 and $9,484,983, respectively.

148

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund (ten of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund	Statements of operations for the year ended February 29, 2020 and the statements of changes in net assets for each of the two years in the period ended February 29, 2020
GMO U.S. Small Cap Value Fund	Statements of operations and changes in net assets for the period July 2, 2019 (commencement of operations) through February 29, 2020

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 24, 2020

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

149

GMO Trust Funds

Fund Expenses

February 29, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2020.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2019 through February 29, 2020.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$1,103.00		$4.03		$1,000.00		$1,021.03		$3.87		0.77%
Class R6(a)		$1,000.00		$910.80		$0.88		$1,000.00		$1,021.03		$3.87		0.77%
Class I(b)		$1,000.00		$956.80		$0.09		$1,000.00		$1,020.49		$4.42		0.88%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,022.00		$5.18		$1,000.00		$1,019.74		$5.17		1.03%
Class III		$1,000.00		$1,022.60		$4.83		$1,000.00		$1,020.09		$4.82		0.96%
Class V		$1,000.00		$1,022.50		$4.53		$1,000.00		$1,020.39		$4.52		0.90%
Emerging Markets Fund
Class II		$1,000.00		$1,031.60		$4.65		$1,000.00		$1,020.29		$4.62		0.92%
Class III		$1,000.00		$1,031.40		$4.39		$1,000.00		$1,020.54		$4.37		0.87%
Class V(c)		$1,000.00		$973.50		$0.06		$1,000.00		$1,021.18		$3.72		0.74%
Class VI		$1,000.00		$1,032.20		$3.74		$1,000.00		$1,021.18		$3.72		0.74%
Class I(d)		$1,000.00		$871.40		$1.11		$1,000.00		$1,020.20		$4.72		0.94%
International Equity Fund
Class II		$1,000.00		$1,058.40		$3.74		$1,000.00		$1,021.23		$3.67		0.73%
Class III		$1,000.00		$1,059.30		$3.38		$1,000.00		$1,021.58		$3.32		0.66%
Class IV		$1,000.00		$1,059.10		$3.07		$1,000.00		$1,021.88		$3.02		0.60%
Quality Fund
Class III		$1,000.00		$1,024.00		$2.47		$1,000.00		$1,022.43		$2.46		0.49%
Class IV		$1,000.00		$1,024.60		$2.21		$1,000.00		$1,022.68		$2.21		0.44%
Class VI		$1,000.00		$1,024.50		$1.96		$1,000.00		$1,022.92		$1.96		0.39%
Class R6(e)		$1,000.00		$966.10		$1.43		$1,000.00		$1,022.43		$2.46		0.49%
Class I(f)		$1,000.00		$1,016.20		$2.45		$1,000.00		$1,022.03		$2.87		0.57%

150

GMO Trust Funds

Fund Expenses — (Continued)

February 29, 2020 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Resources Fund
Class III		$1,000.00		$1,018.90		$3.66		$1,000.00		$1,021.23		$3.67		0.73%
Class IV		$1,000.00		$1,019.20		$3.41		$1,000.00		$1,021.48		$3.42		0.68%
Risk Premium Fund
Class III		$1,000.00		$971.10		$1.96		$1,000.00		$1,022.87		$2.01		0.40%
Class VI		$1,000.00		$972.00		$1.47		$1,000.00		$1,023.37		$1.51		0.30%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,043.70		$4.27		$1,000.00		$1,020.69		$4.22		0.84%
U.S. Equity Fund
Class III		$1,000.00		$991.90		$2.33		$1,000.00		$1,022.53		$2.36		0.47%
Class VI		$1,000.00		$992.30		$1.83		$1,000.00		$1,023.02		$1.86		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$951.00		$2.09		$1,000.00		$1,022.73		$2.16		0.43%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2020, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

^(a)  For the period January 16, 2020 (commencement of operations) through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 44 days in the period, divided by 366 days in the year.

^(b)  For the period February 25, 2020 (commencement of operations) through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 4 days in the period, divided by 366 days in the year.

^(c)  For the period February 26, 2020 through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 3 days in the period, divided by 366 days in the year.

^(d)  For the period January 14, 2020 (commencement of operations) through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 46 days in the period, divided by 366 days in the year.

^(e)  For the period November 12, 2019 (commencement of operations) through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 109 days in the period, divided by 366 days in the year.

^(f)  For the period September 26, 2019 (commencement of operations) through February 29, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 29, 2020, multiplied by the average account value over the period, multiplied by 156 days in the period, divided by 366 days in the year.

151

GMO Trust Funds

Tax Information for the Tax Year Ended February 29, 2020 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 29, 2020:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)		Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short- Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Climate Change Fund		8.84%		74.92%		1.59%		—		1,246,139		1,404,035		252,608		2,875,186		—
Emerging Domestic Opportunities Fund		—		30.65%		1.64%		—		—		—		3,970,134		36,535,392		—
Emerging Markets Fund		—		70.38%		—		—		—		—		18,331,061		166,832,312		—
International Equity Fund		—		100.00%		—		—		—		—		12,927,660		152,100,963		—
Quality Fund		67.88%		92.07%		2.13%		2,022,160		35,800,247		399,309,648		—		—		—
Resources Fund		4.43%		100.00%		—		—		—		—		1,530,725		21,661,482		—
Risk Premium Fund		—		—		62.28%		7,101,170		4,300,109		4,800,585		—		—		—
Tax-Managed International Equities Fund		—		95.17%		—		19,223		—		—		97,194		1,839,851		—
U.S. Equity Fund		100.00%		100.00%		1.50%		—		356,127		54,102,864		—		—		361,477
U.S. Small Cap Value Fund		76.77%		78.32%		1.45%		—		—		—		—		—		474,615

⁽¹⁾  Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾  All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾  These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds.

⁽⁴⁾  The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

⁽⁵⁾  The Funds hereby designate the above qualified business income under Section 199A of the Code.

In early 2021, the Funds will notify applicable shareholders of amounts for use in preparing 2020 U.S. federal income tax forms.

152

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2020. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Heldwith the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		31	Director, BeiGene Ltd. (biotech research).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		31	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		31	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).
Interested Trustee and Officer
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016)		46	None.

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

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

153

Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016).
Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015-present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser. With the exception of Mr. Feigelson and Ms. Saw, each officer listed in the table above also serves as an officer of GMO Series Trust.

154

GMO Trust

Annual Report

February 29, 2020

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-PORT, which is available on the Commission’s website at www.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

Alternative Allocation Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance	12
Performance Graph	13
Investment Concentration Summary	14
Schedule of Investments	15
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance	16
Performance Graph	17
Investment Concentration Summary	18
Schedule of Investments	19
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance	42
Performance Graph	43
Investment Concentration Summary	44
Schedule of Investments	45
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	46
Performance Graph	47
Investment Concentration Summary	48
Schedule of Investments	49
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	50
Performance Graph	51
Investment Concentration Summary	52
Schedule of Investments	53
Implementation Fund
Management Discussion and Analysis of Fund Performance	54
Performance Graph	55
Investment Concentration Summary	56
Schedule of Investments	57
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	88
Performance Graph	89
Investment Concentration Summary	90
Schedule of Investments	91
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	92
Performance Graph	93
Investment Concentration Summary	94
Schedule of Investments	95
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance	96
Performance Graph	97
Investment Concentration Summary	98
Schedule of Investments	99
Special Opportunities Fund
Management Discussion and Analysis of Fund Performance	102
Performance Graph	103
Investment Concentration Summary	104
Schedule of Investments	105

Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance	106
Performance Graph	107
Investment Concentration Summary	108
Schedule of Investments	109
Portfolio, Counterparty and Currency Abbreviations	120
Fund Financial Statements:
Statements of Assets and Liabilities	121
Statements of Operations	127
Statements of Changes in Net Assets	130
Financial Highlights	136
Notes to Financial Statements	149
Report of Independent Registered Public Accounting Firm	213
Fund Expenses	214
Tax Information	216
Trustees and Officers	217

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month T-Bill Index is included for comparative purposes only.

Class VI shares of GMO Alternative Allocation Fund returned -0.21% (net) for the period from inception on May 1, 2019 to the end of the fiscal year on February 29, 2020, as compared with 1.70% for the FTSE 3-Month T-Bill Index.

Two of the underlying strategies, Fixed Income Absolute Returns and Event-Driven enjoyed positive returns for the period. Both are reasonably meaningful exposures and contributed approximately 0.9% and 0.7%, respectively, to total Fund returns. The Asset Allocation Long/Short strategy and the Put Selling strategy were the worst performers in an absolute sense, but because they were more modest exposures, reflecting their potentially higher volatility characteristics, meant that each detracted a little over 50 basis points from total Fund return. Although the Systematic Global Macro strategy performed less negatively from an absolute perspective, it has a significantly higher exposure and detracted almost 1.5% from total Fund returns. The holdings in cash and equivalents, which are needed to collateralize the underlying exposures, generated a modest positive return.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

2

GMO Alternative Allocation Fund

(A Series of GMO Trust)

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

GMO Alternative Allocation Fund Class VI Shares and the FTSE 3-Month Treasury Bill Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		37.3	%
Short-Term Investments		35.5
Debt Obligations		25.7
Investment Funds		5.1
Mutual Funds		2.8
Futures Contracts		1.4
Swap Contracts		1.4
Purchased Options		0.5
Preferred Stocks		0.2
Rights/Warrants		0.1
Forward Currency Contracts		(0.4	)
Written Options		(2.7	)
Securities Sold Short		(9.8	)
Other		2.9
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Canada		34.0	%
Other Developed		0.3	‡
United States		(25.9	)
		8.4	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		19.5	%
Other Developed		2.5	‡
China		2.4
Japan		2.3
Netherlands		2.2
Other Emerging		1.7	†
Canada		1.4
Russia		1.3
Italy		1.1
Taiwan		1.1
Ireland		(1.4	)
		34.1	%

(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.

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

4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 28.3%
		Canada — 1.4%
	138,962	Stars Group Inc (The) *		3,189,178
		France — 1.3%
	3,705	Faurecia SE		169,420
	19,759	Ingenico Group SA		2,816,236
		Total France		2,985,656
		Italy — 0.9%
	166,035	Fiat Chrysler Automobiles NV		2,092,145
		Japan — 1.4%
	26,133	Hitachi Chemical Co Ltd *		1,106,693
	43,920	LINE Corp *		2,183,473
		Total Japan		3,290,166
		Netherlands — 1.9%
	53,900	InterXion Holding NV * (a)		4,575,571
		United States — 21.4%
	141,506	Advanced Disposal Services, Inc. * (b)		4,678,188
	17,009	Allergan Plc (b)		3,243,106
	83,277	Axalta Coating Systems Ltd. * (a) (b) (c)		2,075,263
	39,000	Bristol-Myers Squibb Co.		2,303,340
	17,718	Bunge Ltd. (d)		831,860
	206,199	Caesars Entertainment Corp. * (a) (b)		2,620,789
	112	Centene Corp. *		5,938
	42,593	Charles Schwab Corp. (The) (a)		1,735,665
	151,470	Cypress Semiconductor Corp. (a) (b)		3,497,442
	15,295	DuPont de Nemours, Inc. (a) (c)		656,156
	22,275	E*TRADE Financial Corp.		1,019,750
	2,133	El Paso Electric Co.		144,767
	130,100	Genworth Financial, Inc. – Class A * (a)		507,390
	26,692	IBERIABANK Corp. (b)		1,606,591
	8,694	II-VI, Inc. *		258,125
	138,785	Liberty Global Plc – Series C * (a) (b) (c)		2,580,013
	2,100	Mellanox Technologies Ltd *		250,782
	50,002	NexTier Oilfield Solutions, Inc. *		233,009
	105,284	Nielsen Holdings Plc (a) (d)		1,917,222
	91,863	Pattern Energy Group, Inc. – Class A (b)		2,484,894
	4,863	Prosperity Bancshares, Inc.		314,150
	33,622	Tiffany & Co. (b)		4,491,563
	60	Truist Financial Corp.		2,768
	63,352	ViacomCBS, Inc. – Class B (a) (c)		1,559,093
	26,105	WABCO Holdings, Inc. * (b)		3,526,785
	24,805	Walgreens Boots Alliance, Inc. (a) (c)		1,135,077
	118,737	Wright Medical Group NV * (a)		3,591,794

Shares / Par Value†		Description	Value ($)
		United States — continued
	90,027	Zayo Group Holdings, Inc. * (a) (b)		3,150,045
		Total United States		50,421,565
		TOTAL COMMON STOCKS (COST $69,739,391)		66,554,281
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	39,000	Bristol-Myers Squibb Co. *		130,650
		TOTAL RIGHTS/WARRANTS (COST $83,070)		130,650
		DEBT OBLIGATIONS — 25.6%
		United States — 25.6%
		U.S. Government — 25.6%
	4,700,000	U.S. Treasury Note, 1.38%, due 09/30/20		4,703,121
	5,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		5,005,664
	10,000,000	U.S. Treasury Note, 1.75%, due 10/31/20		10,035,547
	11,500,000	U.S. Treasury Note, 1.38%, due 01/31/21		11,527,851
	4,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		4,007,969
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 1.65%, due 04/30/21 (b)		25,002,536
		TOTAL DEBT OBLIGATIONS (COST $60,140,024)		60,282,688
		MUTUAL FUNDS — 12.5%
		United States — 12.5%
		Affiliated Issuers — 12.5%
	445,468	GMO Emerging Markets Fund, Class VI		13,595,699
	453,720	GMO International Equity Fund, Class IV		9,097,096
	363,692	GMO Resources Fund, Class IV		6,568,271
		TOTAL MUTUAL FUNDS (COST $32,000,000)		29,261,066
		INVESTMENT FUNDS — 4.9%
		United States — 4.9%
	123,500	Altaba, Inc. (d)		2,667,600
	30,000	iShares Core S&P 500 ETF		8,877,300
		Total United States		11,544,900
		TOTAL INVESTMENT FUNDS (COST $12,142,670)		11,544,900
		SHORT-TERM INVESTMENTS — 35.3%
		Foreign Government Obligations — 22.1%
CAD	10,000,000	Canadian Treasury Bill, Zero Coupon, Zero Coupon, due 03/19/20		7,443,844

See accompanying notes to the financial statements. 5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares / Par Value†		Description	Value ($)
		Foreign Government Obligations — continued
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/06/20		11,590,376
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/13/20		11,590,683
JPY	667,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/27/20		6,185,152
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/11/20		10,201,078
JPY	540,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		5,007,983
		TOTAL FOREIGN GOVERNMENT OBLIGATIONS		52,019,116
		Money Market Funds — 0.8%
	151,516	SSgA USD Liquidity Fund — Class D shares, 1.60% (e)		151,516
	1,804,235	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (f)		1,804,235
		Total Money Market Funds		1,955,751

Shares		Description	Value ($)
		Repurchase Agreements — 12.4%
	29,028,904	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/28/20, maturing on 03/02/20 with a maturity value of $29,032,702 and an effective yield of 1.57%, collateralized by a U.S. Treasury Note with maturity date 08/15/25 and a market value of $29,765,429.		29,028,904
		TOTAL SHORT-TERM INVESTMENTS (COST $82,456,614)		83,003,771

PURCHASED OPTIONS — 0.5%

Description

Counterparty

Exercise Price

Expiration Date

Principal Amount

Notional Amount

Value ($)

Currency Options — Puts — 0.0%

EUR Put/CHF Call

CITI

1.06

04/28/20

EUR

8,660,000

EUR

8,660,000

45,640

Total Currency Options — Puts

45,640

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options — Calls — 0.0%
Bunge Ltd. (d)		65.00		07/17/20	USD	94		USD	441,330		470
DuPont de Nemours, Inc. (d)		85.00		06/19/20	USD	101		USD	433,290		303
Total Equity Options — Calls											773
Equity Options — Puts — 0.3%
DuPont de Nemours, Inc. (d)		50.00		06/19/20	USD	407		USD	1,746,030		325,600
PPG Industries, Inc.		110.00		05/15/20	USD	140		USD	1,462,300		139,300
PPG Industries, Inc.		120.00		08/21/20	USD	117		USD	1,222,065		205,920
Total Equity Options — Puts											670,820
Index Options — Puts — 0.2%
S&P 500 Index (d)		3,075.00		06/19/20	USD	1		USD	295,422		20,920
S&P 500 Index (d)		3,125.00		06/19/20	USD	1		USD	295,422		23,380
S&P 500 Index (d)		2,850.00		03/20/20	USD	12		USD	3,545,064		89,400
S&P 500 Index (d)		3,200.00		06/19/20	USD	10		USD	2,954,220		285,300
Total Index Options — Puts											419,000

TOTAL PURCHASED OPTIONS (COST $470,843)	1,136,233
TOTAL INVESTMENTS — 107.2% (Cost $257,032,612)	251,913,589

6 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (9.8)%
			Common Stocks — (9.8)%
			France — (1.8)%
	(95,533	)	Peugeot SA		(1,851,340	)
	(31,050	)	Worldline SA *		(2,395,240	)
			Total France		(4,246,580	)
			Ireland — (1.4)%
	(31,297	)	Flutter Entertainment Plc		(3,367,117	)
			United States — (6.6)%
	(14,653	)	AbbVie, Inc.		(1,255,909	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,303,399	)
	(38,016	)	Digital Realty Trust, Inc. (REIT)		(4,566,102	)
	(18,405	)	Eldorado Resorts, Inc. *		(923,563	)

Shares			Description	Value ($)
			United States — continued
	(122,040	)	First Horizon National Corp.		(1,626,793	)
	(87	)	Global Payments, Inc.		(16,005	)
	(8,716	)	II-VI, Inc. *		(258,778	)
	(63,434	)	Liberty Global Plc– Class A * (d)		(1,238,232	)
	(23,238	)	Morgan Stanley		(1,046,407	)
	(50,061	)	NexTier Oilfield Solutions, Inc. *		(233,284	)
	(4,917	)	Prosperity Bancshares, Inc.		(317,638	)
	(39,306	)	TD Ameritrade Holding Corp.		(1,659,892	)
			Total United States		(15,446,002	)
			TOTAL COMMON STOCKS (PROCEEDS $24,141,869)		(23,059,699	)
			Other Assets and Liabilities (net) — 2.6%		6,187,270
			TOTAL NET ASSETS — 100.0%		$235,041,160

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/23/2020	BCLY		AUD	76,743		USD	51,455		1,436
03/23/2020	MSCI		AUD	2,179,778		USD	1,482,411		61,698
03/23/2020	UBS		AUD	821,541		USD	564,156		28,701
05/06/2020	MSCI		AUD	29,709,000		USD	19,968,181		589,909
05/05/2020	CITI		BRL	866,940		USD	200,000		6,731
05/05/2020	MSCI		BRL	10,764,664		USD	2,534,772		134,979
03/03/2020	MSCI		CAD	11,897,585		USD	9,120,000		256,069
03/06/2020	GS		CAD	1,593,264		USD	1,192,273		5,253
03/06/2020	JPM		CAD	2,495,858		USD	1,871,969		12,495
03/06/2020	MSCI		CAD	4,690,178		USD	3,513,770		19,475
03/06/2020	UBS		CAD	1,165,801		USD	872,589		4,040
03/19/2020	MSCI		CAD	10,000,000		USD	7,601,756		151,399
03/17/2020	BOA		CHF	1,340,173		USD	1,384,591		(5,881	)
03/17/2020	MSCI		CHF	166,082		USD	170,180		(2,135	)
03/17/2020	UBS		CHF	18,633,188		USD	19,085,515		(247,011	)
05/04/2020	JPM		CHF	3,812,257		USD	3,942,711		(25,456	)
05/14/2020	JPM		CHF	22,821,196		USD	23,539,281		(229,910	)
04/07/2020	MSCI		CLP	1,878,139,700		USD	2,476,450		179,807
05/06/2020	JPM		COP	2,107,550,000		USD	610,000		13,307
05/06/2020	MSCI		COP	5,493,833,400		USD	1,620,409		64,984
04/14/2020	MSCI		CZK	31,507,793		USD	1,380,256		13,724
03/23/2020	BOA		EUR	1,963,768		USD	2,170,496		(121	)
03/23/2020	JPM		EUR	25,741,512		USD	28,662,092		209,163
04/17/2020	BOA		EUR	240,008		USD	262,570		(3,105	)
04/17/2020	JPM		EUR	37,491		USD	41,205		(296	)
04/17/2020	MSCI		EUR	175,575		USD	193,522		(830	)
04/27/2020	DB		EUR	2,080,000		USD	2,286,015		(17,722	)
04/27/2020	MSCI		EUR	2,590,000		USD	2,811,393		(57,203	)
04/20/2020	MSCI		GBP	2,092,513		USD	2,715,458		29,146
05/14/2020	JPM		GBP	4,459,000		USD	5,801,449		74,206
04/14/2020	MSCI		HUF	744,646,015		USD	2,500,574		66,716

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/09/2020	MSCI		JPY	61,473,905		USD	560,000		(10,129	)
03/23/2020	BCLY		JPY	2,916,503		USD	26,527		(542	)
04/06/2020	JPM		JPY	1,250,000,000		USD	11,584,280		(26,347	)
04/13/2020	JPM		JPY	625,000,000		USD	5,728,029		(79,205	)
04/13/2020	MSCI		JPY	625,000,000		USD	5,729,258		(77,975	)
04/17/2020	BOA		JPY	324,462,790		USD	2,966,681		(48,659	)
04/17/2020	GS		JPY	24,397,000		USD	224,672		(2,057	)
04/17/2020	MSCI		JPY	520,000		USD	4,745		(87	)
04/27/2020	MSCI		JPY	667,000,000		USD	6,117,047		(84,535	)
05/11/2020	BCLY		JPY	1,100,000,000		USD	10,062,881		(171,299	)
05/18/2020	GS		JPY	540,000,000		USD	4,845,561		(180,077	)
03/05/2020	JPM		KRW	1,228,475,390		USD	1,027,110		12,379
03/05/2020	MSCI		KRW	1,314,764,810		USD	1,112,596		26,590
03/04/2020	JPM		NOK	60,261,073		USD	6,500,000		94,991
03/04/2020	MSCI		NOK	37,347,892		USD	4,040,000		70,379
04/20/2020	JPM		NZD	501,525		USD	313,596		(35	)
04/08/2020	JPM		PEN	1,783,875		USD	525,551		10,141
03/04/2020	JPM		PHP	23,947,170		USD	466,988		(2,652	)
06/02/2020	MSCI		PHP	16,835,870		USD	327,355		(477	)
03/13/2020	CITI		PLN	3,018,221		USD	770,000		397
03/13/2020	MSCI		PLN	6,570,575		USD	1,700,900		25,498
04/30/2020	JPM		RON	2,529,553		USD	570,000		(8,691	)
04/30/2020	MSCI		RON	7,043,996		USD	1,616,968		5,498
04/20/2020	GS		RUB	17,831,441		USD	270,000		5,716
03/06/2020	JPM		SEK	21,409,564		USD	2,200,000		(28,332	)
05/18/2020	JPM		SGD	426,632		USD	307,249		808
03/13/2020	JPM		THB	8,131,136		USD	260,000		2,275
03/13/2020	MSCI		THB	33,441,089		USD	1,060,000		48
04/16/2020	MSCI		TRY	8,439,772		USD	1,407,544		81,292
04/08/2020	JPM		TWD	9,785,080		USD	327,852		2,066
03/23/2020	UBS		USD	2,128,551		AUD	3,078,062		(122,363	)

See accompanying notes to the financial statements. 7

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/06/2020	GS		USD	927,090		AUD	1,370,000		(33,481	)
03/03/2020	MSCI		USD	23,924,977		CAD	31,719,723		(293,171	)
03/06/2020	MSCI		USD	1,556,052		CAD	2,052,197		(27,116	)
03/06/2020	UBS		USD	7,173,814		CAD	9,452,935		(131,150	)
03/30/2020	JPM		USD	2,860,092		CAD	3,766,714		(53,726	)
04/03/2020	BOA		USD	7,027,641		CAD	9,290,647		(105,700	)
03/17/2020	BCLY		USD	1,106,652		CHF	1,071,422		4,983
03/17/2020	BOA		USD	2,144,440		CHF	2,073,466		6,847
03/17/2020	JPM		USD	1,417,516		CHF	1,366,528		301
03/17/2020	MSCI		USD	7,004,053		CHF	6,791,635		42,484
03/17/2020	UBS		USD	1,123,909		CHF	1,080,799		(2,546	)
05/04/2020	JPM		USD	1,810,000		CHF	1,762,235		24,305
04/07/2020	JPM		USD	1,060,000		CLP	840,519,000		(32,189	)
04/07/2020	MSCI		USD	970,000		CLP	778,262,500		(18,319	)
04/14/2020	CITI		USD	340,000		CZK	7,750,715		(3,842	)
03/23/2020	BCLY		USD	284,256		EUR	261,041		4,281
03/23/2020	BOA		USD	1,240,613		EUR	1,122,866		527
03/23/2020	DB		USD	566,315		EUR	522,133		10,815
03/23/2020	GS		USD	1,054,750		EUR	967,595		14,764
03/23/2020	JPM		USD	7,214,980		EUR	6,525,120		(2,552	)
03/23/2020	MSCI		USD	8,593,077		EUR	7,838,464		71,029
03/23/2020	SSB		USD	227,181		EUR	209,971		4,906
03/23/2020	UBS		USD	9,430,133		EUR	8,586,966		61,318
04/27/2020	CITI		USD	1,514,631		EUR	1,370,000		2,735
04/27/2020	JPM		USD	2,058,722		EUR	1,860,000		1,350
04/27/2020	MSCI		USD	6,207,710		EUR	5,600,000		(5,340	)
04/20/2020	GS		USD	2,194,442		GBP	1,692,045		(22,239	)
04/20/2020	JPM		USD	258,812		GBP	199,195		(3,091	)
04/20/2020	MSCI		USD	259,955		GBP	201,272		(1,568	)
05/14/2020	JPM		USD	5,785,365		GBP	4,460,000		(56,838	)
05/20/2020	MSCI		USD	560,506		IDR	7,752,923,000		(32,767	)
05/28/2020	MSCI		USD	1,608,702		ILS	5,498,384		(16,850	)
05/04/2020	CITI		USD	300,000		INR	21,547,140		(4,360	)
05/04/2020	JPM		USD	595,542		INR	42,955,170		(6,171	)
03/09/2020	CITI		USD	1,620,000		JPY	177,066,421		22,173

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/09/2020	JPM		USD	6,100,877		JPY	660,265,190		22,642
03/09/2020	MSCI		USD	5,670,000		JPY	623,316,415		110,844
03/23/2020	MSCI		USD	2,907,406		JPY	317,738,561		41,692
03/05/2020	CITI		USD	320,000		KRW	369,904,000		(14,456	)
03/05/2020	JPM		USD	1,440,000		KRW	1,690,438,200		(43,684	)
03/05/2020	MSCI		USD	410,000		KRW	482,898,000		(11,122	)
04/03/2020	JPM		USD	447,258		KRW	540,131,390		2,476
05/21/2020	MSCI		USD	2,511,023		MXN	47,300,893		(137,267	)
03/04/2020	DB		USD	820,000		NOK	7,300,323		(44,066	)
03/04/2020	MSCI		USD	14,975,634		NOK	135,509,018		(572,696	)
05/11/2020	JPM		USD	6,087,123		NOK	56,075,182		(126,864	)
04/20/2020	BCLY		USD	326,028		NZD	505,130		(10,143	)
05/05/2020	JPM		USD	1,567,320		NZD	2,420,000		(53,743	)
04/08/2020	MSCI		USD	219,740		PEN	731,580		(8,367	)
03/04/2020	JPM		USD	140,000		PHP	7,111,300		(537	)
03/04/2020	MSCI		USD	329,405		PHP	16,835,870		772
03/13/2020	CITI		USD	1,300,000		PLN	4,968,594		(33,080	)
04/20/2020	MSCI		USD	1,554,543		RUB	99,786,130		(75,590	)
03/06/2020	BCLY		USD	4,194,924		SEK	39,661,534		(73,484	)
03/06/2020	BOA		USD	2,110,000		SEK	19,566,619		(66,906	)
03/06/2020	DB		USD	640,000		SEK	6,064,333		(8,817	)
03/06/2020	JPM		USD	3,610,000		SEK	34,512,142		(17,937	)
03/06/2020	MSCI		USD	2,690,000		SEK	25,949,623		10,866
05/04/2020	JPM		USD	2,690,000		SEK	25,890,143		11,612
05/04/2020	MSCI		USD	4,736,937		SEK	45,538,542		14,967
03/13/2020	BOA		USD	1,658,144		THB	50,153,050		(68,488	)
04/16/2020	JPM		USD	390,000		TRY	2,403,381		(12,325	)
04/16/2020	MSCI		USD	320,000		TRY	1,973,696		(9,847	)
04/08/2020	JPM		USD	910,000		TWD	27,177,150		(5,158	)
04/08/2020	MSCI		USD	450,000		TWD	13,324,500		(6,371	)
04/30/2020	BOA		USD	1,447,449		ZAR	21,401,107		(87,135	)
04/30/2020	JPM		ZAR	29,700,565		USD	1,960,525		72,674
04/30/2020	MSCI		ZAR	8,153,946		USD	540,000		21,713
								$	(929,839	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	DAX Index	March 2020		2,639,154		(309,500	)
54	Mini MSCI Emerging Markets	March 2020		2,723,760		(236,735	)
55	MSCI Singapore	March 2020		1,374,474		(56,378	)
2	MSCI Taiwan Index	March 2020		83,020		(5,219	)
			$	6,820,408	$	(607,832	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
175	S&P 500 E-Mini	March 2020		25,822,125		3,063,346
45	TOPIX Index	March 2020		6,226,831		931,084
			$	32,048,956	$	3,994,430

+ Buys - Fund is long the futures contract.
Sales - Fund is short the futures contract.

8 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options — Calls
Axalta Coating Systems Ltd. (d)	30.00		04/17/20		(491	)	USD	(1,223,572)		(12,275	)
Axalta Coating Systems Ltd. (d)	30.00		07/17/20		(325	)	USD	(809,900)		(37,375	)
Bunge Ltd. (d)	55.00		07/17/20		(272	)	USD	(1,277,040)		(24,480	)
Liberty Global Plc (d)	20.00		07/17/20		(427	)	USD	(793,793)		(55,510	)
Nielsen Holdings Plc (d)	21.00		08/21/20		(1,505	)	USD	(2,740,605)		(120,400	)
Walgreens Boots Alliance, Inc. (d)	55.00		07/17/20		(179	)	USD	(819,104)		(13,425	)
			TOTAL WRITTEN EQUITY OPTIONS — CALLS						$	(263,465	)
Equity Options — Puts
Axalta Coating Systems Ltd. (d)	28.00		07/17/20		(145	)	USD	(361,340)		(71,050	)
Bunge Ltd. (d)	50.00		07/17/20		(272	)	USD	(1,277,040)		(165,920	)
DuPont De Nemours, Inc. (d)	60.00		06/19/20		(256	)	USD	(1,098,240)		(447,488	)
Liberty Global Plc (d)	25.00		04/17/20		(274	)	USD	(509,366)		(241,120	)
Liberty Global Plc (d)	22.50		04/17/20		(364	)	USD	(676,676)		(160,160	)
Liberty Global Plc (d)	20.00		07/17/20		(427	)	USD	(793,793)		(111,020	)
Liberty Global Plc (d)	22.50		07/17/20		(143	)	USD	(265,837)		(60,060	)
Nielsen Holdings Plc (d)	18.00		08/21/20		(794	)	USD	(1,445,874)		(134,980	)
Nielsen Holdings Plc (d)	19.00		08/21/20		(711	)	USD	(1,294,731)		(199,080	)
ViacomCBS, Inc. (d)	40.00		06/19/20		(198	)	USD	(487,278)		(316,800	)
ViacomCBS, Inc. (d)	35.00		09/18/20		(267	)	USD	(657,087)		(309,720	)
Walgreens Boots Alliance, Inc. (d)	55.00		06/19/20		(256	)	USD	(1,171,456)		(266,240	)
Walgreens Boots Alliance, Inc. (d)	50.00		07/17/20		(179	)	USD	(819,104)		(124,763	)
			TOTAL WRITTEN EQUITY OPTIONS — PUTS							$(2,608,401)
Index Options — Puts
S&P 500 Index	2,880.00		03/20/20		(21	)	USD	(6,203,862)		(182,280	)
S&P 500 Index	3,340.00		03/20/20		(91	)	USD	(26,883,402)		(3,367,000	)
			TOTAL WRITTEN INDEX OPTIONS — PUTS							(3,549,280)
			TOTAL WRITTEN OPTIONS (Premiums $(2,074,209))							$(6,421,146)

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) ($)
1.22%	6 Month AUD BBSW	AUD	47,170,000		03/18/2030		Semi-Annually		(138,798	)		(887,953	)		(749,155	)
1.50%	6 Month AUD BBSW	AUD	38,870,000		03/18/2030		Semi-Annually		1,448			(1,423,163	)		(1,424,611	)
1.28%	6 Month AUD BBSW	AUD	34,270,000		03/18/2030		Semi-Annually		(27,419	)		(775,750	)		(748,331	)
6 Month CAD LIBOR	2.04%	CAD	5,430,000		03/18/2030		Semi-Annually		—			209,410			209,410
6 Month CAD LIBOR	2.01%	CAD	5,270,000		03/18/2030		Semi-Annually		—			193,980			193,980
6 Month CAD LIBOR	2.05%	CAD	2,740,000		03/18/2030		Semi-Annually		—			107,306			107,306
6 Month CAD LIBOR	2.11%	CAD	10,690,000		03/18/2030		Semi-Annually		—			464,857			464,857
6 Month CAD LIBOR	2.03%	CAD	2,820,000		03/18/2030		Semi-Annually		—			106,971			106,971
6 Month CAD LIBOR	1.88%	CAD	71,880,000		03/18/2030		Semi-Annually		276,336			1,968,829			1,692,493
6 Month CHF LIBOR	(0.21)%	CHF	10,470,000		03/18/2030		Semi-Annually		—			377,711			377,711
6 Month CHF LIBOR	(0.19)%	CHF	10,600,000		03/18/2030		Semi-Annually		—			402,465			402,465
6 Month CAD LIBOR	(0.18)%	CHF	8,170,000		03/18/2030		Semi-Annually		—			321,248			321,248
6 Month CHF LIBOR	(0.15)%	CHF	2,960,000		03/18/2030		Semi-Annually		—			125,353			125,353
6 Month CHF LIBOR	(0.30)%	CHF	10,580,000		03/18/2030		Semi-Annually		79,685			272,394			192,709
(0.38)%	6 Month CHF LIBOR	CHF	1,170,000		03/18/2030		Semi-Annually		—			(20,062	)		(20,062	)
6 Month CAD LIBOR	(0.21)%	CHF	6,440,000		03/18/2030		Semi-Annually		(9,554	)		233,720			243,274

See accompanying notes to the financial statements. 9

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

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) ($)
6 Month CAD LIBOR	(0.18)%	CHF	21,380,000		03/18/2030		Semi-Annually		—			836,046			836,046
3 Month NZD Bank Bill Rate	1.50%	NZD	14,800,000		03/18/2030		Quarterly		—			274,154			274,154
3 Month NZD Bank Bill Rate	1.67%	NZD	5,980,000		03/18/2030		Quarterly		—			171,662			171,662
3 Month NZD Bank Bill Rate	1.66%	NZD	4,970,000		03/18/2030		Quarterly		—			141,181			141,181
3 Month NZD Bank Bill Rate	1.83%	NZD	21,140,000		03/18/2030		Quarterly		21,247			815,766			794,519
3 Month NZD Bank Bill Rate	1.52%	NZD	2,030,000		03/18/2030		Quarterly		—			40,643			40,643
3 Month NZD Bank Bill Rate	1.48%	NZD	6,290,000		03/18/2030		Quarterly		—			111,618			111,618
3 Month NZD Bank Bill Rate	1.48%	NZD	4,330,000		03/18/2030		Quarterly		3,016			76,967			73,951
3 Month NZD Bank Bill Rate	1.50%	NZD	2,730,000		03/18/2030		Quarterly		—			51,388			51,388
3 Month NZD Bank Bill Rate	1.42%	NZD	13,380,000		03/18/2030		Quarterly		45,561			189,748			144,187
3 Month NZD Bank Bill Rate	1.46%	NZD	2,210,000		03/18/2030		Quarterly		—			35,908			35,908
1.43%	3 Month NZD Bank Bill Rate	NZD	22,810,000		03/18/2030		Quarterly		—			(336,459	)		(336,459	)
3 Month SEK STIBOR	0.59%	SEK	201,462,000		03/18/2030		Quarterly		(12,077	)		666,011			678,088
0.48%	3 Month SEK STIBOR	SEK	4,700,000		03/18/2030		Quarterly		—			(10,385	)		(10,385	)
0.33%	3 Month SEK STIBOR	SEK	14,100,000		03/18/2030		Quarterly		—			(8,813	)		(8,813	)
0.32%	3 Month SEK STIBOR	SEK	27,000,000		03/18/2030		Quarterly		—			(16,314	)		(16,314	)
0.59%	3 Month SEK STIBOR	SEK	15,000,000		03/18/2030		Quarterly		—			(50,212	)		(50,212	)
0.62%	3 Month SEK STIBOR	SEK	34,000,000		03/18/2030		Quarterly		—			(123,706	)		(123,706	)
6 Month EURIBOR	(0.13)%	EUR	3,820,000		03/20/2030		Semi-Annually		—			20,522			20,522
6 Month EURIBOR	(0.12)%	EUR	2,040,000		03/20/2030		Semi-Annually		—			14,893			14,893
6 Month EURIBOR	(0.15)%	EUR	2,080,000		03/20/2030		Semi-Annually		—			6,101			6,101
(0.03)%	6 Month EURIBOR	EUR	4,030,000		03/20/2030		Semi-Annually		(5,423	)		(68,510	)		(63,087	)
(0.06)%	6 Month EURIBOR	EUR	2,030,000		03/20/2030		Semi-Annually		—			(28,407	)		(28,407	)
(0.06)%	6 Month EURIBOR	EUR	5,990,000		03/20/2030		Semi-Annually		218			(84,162	)		(84,380	)
6 Month GBP LIBOR	0.81%	GBP	2,360,000		03/20/2030		Semi-Annually		—			53,163			53,163
6 Month GBP LIBOR	0.80%	GBP	1,840,000		03/20/2030		Semi-Annually		—			37,052			37,052
6 Month GBP LIBOR	0.80%	GBP	1,850,000		03/20/2030		Semi-Annually		—			38,650			38,650
6 Month GBP LIBOR	0.76%	GBP	5,760,000		03/20/2030		Semi-Annually		14,767			92,445			77,678
6 Month GBP LIBOR	0.76%	GBP	1,890,000		03/20/2030		Semi-Annually		—			28,670			28,670
6 Month GBP LIBOR	0.69%	GBP	240,000		03/20/2030		Semi-Annually		—			1,512			1,512
6 Month GBP LIBOR	0.62%	GBP	1,880,000		03/20/2030		Semi-Annually		—			(2,575	)		(2,575	)
6 Month GBP LIBOR	0.62%	GBP	1,880,000		03/20/2030		Semi-Annually		—			(3,048	)		(3,048	)
0.90%	6 Month GBP LIBOR	GBP	31,460,000		03/20/2030		Semi-Annually		—			(1,052,930	)		(1,052,930	)
0.84%	6 Month GBP LIBOR	GBP	12,510,000		03/20/2030		Semi-Annually		(56,035	)		(322,718	)		(266,683	)
1.60%Commodity Index (e)	3 Month USD LIBOR	USD	50,000,000		03/20/2030		Quarterly		(282,095	)		(2,442,965	)		(2,160,870	)
3 Month NZD Bank Bill Rate	1.45%	NZD	22,870,000		06/17/2030		Quarterly		—			339,004			339,004
3 Month NZD Bank Bill Rate	1.32%	NZD	1,910,000		06/17/2030		Quarterly		—			13,192			13,192
1.30%	3 Month USD LIBOR	USD	4,834,000		06/19/2030		Quarterly		—			(99,191	)		(99,191	)
1.32%	3 Month USD LIBOR	USD	2,416,000		06/19/2030		Quarterly		—			(53,857	)		(53,857	)
								$	(89,123	)	$	1,029,360		$	1,118,483

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 iShares Core S&P 500 ETF

1 Month USD LIBOR plus a spread of 0.25%

GS

USD 4,936,350

03/02/2020

At Maturity

—

504,230

504,230

Total Return on iShares Core S&P 500 ETF

1 Month USD LIBOR plus a spread of 0.20%

GS

USD 4,857,450

03/26/2020

At Maturity

—

419,290

419,290

Total Return on Bloomberg Commodity Index(e)

1 Month FED Funds Rate minus 0.15%

MSCI

USD 4,874,855

01/11/2021

Monthly

(17,508

)

211,110

228,618

Total Return on MSCI ACWI Commodity Producers Index

3 Month USD LIBOR plus a spread of (0.35)%

MSCI

USD 7,414,458

02/25/2021

Quarterly

—

994,018

994,018

$

(17,508

)

$

2,128,648

$

2,146,156

10 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

As of February 29, 2020, 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) Investment valued using significant unobservable inputs (Note 2).

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

(e) 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.

(f) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 11

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +0.11% (net) for the fiscal year ended February 29, 2020, as compared with +2.35% for the CPI.

The Fund’s exposure to equities, particularly the bias away from the decently performing U.S. market towards emerging markets, which had negative performance, was a primary driver of the modest performance. Fixed income strategies were additive to performance, with the most notable contribution coming from the TIPS exposure, although Emerging Country Debt, Asset- Backed Securities, and High Yield also added. Within alternative strategies, Fixed Income Absolute Return, Event-Driven, and Put Selling had a positive impact on performance, while Systematic Global Macro and the long EAFE Value versus short S&P 500 position detracted modestly. The long U.S. Small Cap Value versus short S&P 500 position was the biggest individual detractor at the total fund level. The cash and short duration bond holdings had a marginal positive impact on performance.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

12

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

Prior to January 1, 2012, the Fund served as a principal component of a broader GMO real return strategy that also included a pooled investment vehicle with a cash-like benchmark. The returns shown for periods prior to January 1, 2012 are for Class III shares of the Fund under the Fund’s prior fee arrangement. Under the Fund’s current fee arrangement, the returns for periods prior to January 1, 2012 would have been lower.

13

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		58.7	%
Debt Obligations		26.8
Short-Term Investments		11.4
Investment Funds		3.0
Preferred Stocks		1.1
Swap Contracts		0.4
Futures Contracts		0.4
Purchased Options		0.1
Mutual Funds		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.1	)
Written/Credit Linked Options		(0.3	)
Securities Sold Short		(2.8	)
Other		1.2
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
New Zealand		5.7	%
Canada		4.6
Other Emerging		2.8	†
United States		2.1
Other Developed		0.3	‡
Euro Region		(0.3	)#
United Kingdom		(2.5	)
		12.7	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		12.3	%
China		10.7
Other Developed		5.2	‡
Taiwan		4.4
Japan		4.1
Other Emerging		3.9	†
United Kingdom		3.7
Russia		3.3
South Korea		2.7
France		1.7
Netherlands		1.6
Brazil		1.4
Italy		1.3
Canada		1.2
Spain		1.2
India		1.1
		59.8	%

& 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 current 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 the represent a large percentage of market value (direct and indirect). Duration based on GMO’s models. The greater the duration of a bond, the greater contribution to the concentration percentage. Credit default swap exposure are factored into the duration adjusted exposure using the reference securities and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposure which may be attributable to derivatives or short sales, if any, the tables 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 attribute the Eurozone and not a particular country.

^ Rounds to 0.0%.

14

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,692,169	GMO Emerging Country Debt Fund, Class IV		264,983,913
	5,525,799	GMO High Yield Fund, Class VI		110,184,438
	558,416,509	GMO Implementation Fund		7,114,226,325
	17,078,034	GMO Opportunistic Income Fund, Class VI		446,590,600
	21,364,317	GMO SGM Major Markets Fund, Class VI		664,643,917
	11,940,908	GMO Special Opportunities Fund, Class VI		195,830,895
		TOTAL MUTUAL FUNDS (COST $9,090,386,242)		8,796,460,088
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	5,154,479	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (a)		5,154,479
		TOTAL SHORT-TERM INVESTMENTS (COST $5,154,479)		5,154,479
		TOTAL INVESTMENTS — 100.1% (Cost $9,095,540,721)		8,801,614,567
		Other Assets and Liabilities (net) — (0.1%)		(4,827,448	)
		TOTAL NET ASSETS — 100.0%		$8,796,787,119

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 15

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Fund returned +0.41% (net) for the fiscal year ended February 29, 2020, as compared with +2.35% for the CPI.

The Fund’s exposure to equities, particularly the bias away from the decently performing U.S. market towards emerging markets, which had negative performance, was a primary driver of the modest performance. Fixed income strategies were additive to performance, with the most notable contribution coming from the TIPS exposure, although Asset-Backed Securities and Emerging Country Debt also added. Within alternative strategies, Put Selling and long Quality versus short S&P 500 had a positive impact on performance, while the long EAFE Value versus short S&P 500 position and the long U.S. Small Cap Value versus short S&P 500 position detracted from performance. The cash and short duration bond holdings had a marginal positive impact on performance.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

16

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		65.3	%
Debt Obligations		22.1
Short-Term Investments		10.9
Preferred Stocks		1.6
Investment Funds		1.3
Futures Contracts		0.4
Swap Contracts		0.3
Mutual Funds		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		(0.1	)
Written/Credit Linked Options		(0.1	)
Securities Sold Short		(1.2	)
Other		(0.6	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		6.4	%
Other Emerging		3.0	†
Other Developed		0.1	‡
Euro Region		(0.1	)#
		9.4	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		13.4	%
United States		9.3
Other Developed		5.7	‡
Taiwan		5.3
United Kingdom		4.7
Japan		4.6
Russia		4.0
Other Emerging		3.7	†
South Korea		3.3
France		2.2
Brazil		1.7
Netherlands		1.5
Spain		1.4
Italy		1.4
India		1.3
Singapore		1.2
Canada		1.2
South Africa		1.1
		67.0	%

& 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.

‡ “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%.

18

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 52.8%
		Argentina — 0.0%
	21,000	Banco BBVA Argentina SA ADR		84,630
	9,400	Banco Macro SA ADR		272,412
	4,365	Transportadora de Gas del Sur SA ADR – Class B		24,488
		Total Argentina		381,530
		Australia — 0.7%
	253,994	Accent Group Ltd		275,452
	38,235	Adairs Ltd		60,841
	57,491	Alliance Aviation Services Ltd		88,642
	60,122	Appen Ltd		832,111
	107,767	Asaleo Care Ltd *		74,062
	120,528	Austal Ltd		278,351
	495,407	Australian Pharmaceutical Industries Ltd		388,286
	57,956	Aventus Group (REIT)		107,278
	83,512	Beach Energy Ltd		98,717
	54,745	Brickworks Ltd		646,271
	29,943	Caltex Australia Ltd		643,942
	77,137	Charter Hall Retail (REIT)		238,794
	40,010	Codan Ltd		188,265
	106,766	CSR Ltd		295,364
	650,425	Fortescue Metals Group Ltd		4,344,430
	141,409	GDI Property Group (REIT)		137,677
	99,212	Genworth Mortgage Insurance Australia Ltd		209,542
	120,361	Harvey Norman Holdings Ltd (a)		294,164
	30,162	JB Hi-Fi Ltd (a)		729,383
	341,323	Mount Gibson Iron Ltd		154,346
	225,121	New Hope Corp Ltd (a)		213,843
	122,602	Rio Tinto Ltd		7,045,300
	186,601	Sandfire Resources NL		524,335
	45,958	Service Stream Ltd		63,618
	305,855	Southern Cross Media Group Ltd		138,631
	45,600	Super Retail Group Ltd		243,956
	13,140	Virtus Health Ltd		35,704
	322,097	Viva Energy (REIT)		571,101
	3,785	Viva Energy Group Ltd		4,375
		Total Australia		18,926,781
		Austria — 0.0%
	11,646	Vienna Insurance Group AG Wiener Versicherung Gruppe		283,244
		Belgium — 0.2%
	20,660	Ageas		961,286
	55,251	AGFA-Gevaert NV *		246,017
	3,214	Barco NV		691,035
	382	Sipef NV *		19,232

Shares		Description	Value ($)
		Belgium — continued
	42,588	UCB SA		3,943,049
		Total Belgium		5,860,619
		Brazil — 1.5%
	163,200	Atacadao SA		755,072
	154,300	Banco do Brasil SA		1,616,874
	481,200	Banco Santander Brasil SA		4,289,146
	39,600	Camil Alimentos SA		74,916
	421,900	Cia de Saneamento Basico do Estado de Sao Paulo		5,542,750
	44,500	Cia Paranaense de Energia		780,459
	514,700	Cia Siderurgica Nacional SA		1,286,779
	118,600	Hypera SA		909,676
	11,800	Instituto Hermes Pardini SA		75,863
	2,011,000	JBS SA		10,208,122
	32,600	JSL SA		202,078
	73,200	Mahle-Metal Leve SA		441,141
	33,000	MRV Engenharia e Participacoes SA		143,825
	1,594,640	Petrobras Distribuidora SA		9,307,029
	106,600	Petroleo Brasileiro SA Sponsored ADR		1,289,860
	12,200	Qualicorp Consultoria e Corretora de Seguros SA		93,439
	82,700	TIM Participacoes SA		298,296
	199,800	Tupy SA		978,023
		Total Brazil		38,293,348
		Canada — 1.2%
	12,800	Absolute Software Corp		90,976
	28,800	AGF Management Ltd – Class B		130,885
	5,300	Atco Ltd – Class I		197,746
	8,400	Bank of Nova Scotia (The)		439,447
	38,400	Bausch Health Cos Inc *		850,822
	26,537	BRP Inc Sub Voting		1,087,972
	28,400	Canaccord Genuity Group Inc		106,004
	29,800	Canfor Pulp Products Inc		158,741
	7,800	Cascades Inc		63,399
	32,500	Celestica Inc *		204,843
	19,700	Centerra Gold Inc *		124,460
	6,900	CGI Inc *		484,812
	19,300	Cogeco Communications Inc		1,527,321
	5,800	Cogeco Inc *		398,146
	21,400	Corus Entertainment Inc – B Shares		67,122
	23,900	Dundee Precious Metals Inc *		93,481
	18,400	Enbridge Inc		688,712
	40,800	Enerflex Ltd		224,936
	4,000	Enghouse Systems Ltd		151,686
	2,300	Exco Technologies Ltd		12,886
	63,800	First Majestic Silver Corp * (a)		481,500
	62,900	Fortuna Silver Mines Inc *		185,555
	4,600	Franco-Nevada Corp		493,842

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Canada — continued
	1,200	Home Capital Group Inc *		25,435
	56,500	iA Financial Corp Inc		2,689,354
	18,000	Labrador Iron Ore Royalty Corp		261,233
	14,000	Magna International Inc		637,184
	5,200	Magna International Inc		238,264
	30,600	Martinrea International Inc		262,172
	5,700	Minto Apartment Real Estate Investment Trust		109,987
	8,400	Morguard North American Residential Real Estate Investment Trust		119,155
	7,600	Real Matters Inc *		76,948
	4,900	Reitmans Canada Ltd – Class A		2,738
	10,300	Rogers Sugar Inc (a)		37,908
	141,500	Royal Bank of Canada		10,523,025
	36,900	Russel Metals Inc (a)		541,576
	88,500	Sun Life Financial Inc (a) (b)		3,823,516
	60,900	Sun Life Financial Inc (a) (b) (c)		2,633,316
	3,200	Teekay Tankers Ltd – Class A * (a)		52,960
	19,000	Teranga Gold Corp *		97,955
	22,800	Toronto-Dominion Bank (The)		1,172,741
	19,200	Transcontinental Inc – Class A		232,016
	11,200	Wajax Corp		109,893
	20,400	Westshore Terminals Investment Corp (a)		214,145
		Total Canada		32,126,815
		Chile — 0.2%
	177,355	Aguas Andinas SA – Class A		60,934
	766,270	Banco de Chile		67,690
	916,139	Banco Santander Chile		40,995
	7,758,113	Enel Americas SA		1,310,949
	282,500	Enel Americas SA ADR		2,429,500
	3,776	Inversiones La Construccion SA		28,425
	14,804	Parque Arauco SA		30,646
		Total Chile		3,969,139
		China — 9.1%
	488,000	7Road Holdings Ltd *		178,559
	12,500	AAC Technologies Holdings Inc		83,464
	2,991,668	Agile Group Holdings Ltd		4,277,360
	951,200	Agricultural Bank of China Ltd – Class A		467,199
	22,629,000	Agricultural Bank of China Ltd – Class H		9,182,552
	29,700	Alibaba Group Holding Ltd Sponsored ADR * (a)		6,177,600
	332,483	Anhui Conch Cement Co Ltd – Class A		2,648,821
	1,946,000	Anhui Conch Cement Co Ltd – Class H		14,573,957
	127,300	Anhui Expressway Co Ltd – Class A		95,315
	9,000	ANTA Sports Products Ltd		73,446
	19,000	Aoyuan Healthy Life Group Co *		20,880
	32,500	Asia Cement China Holdings Corp		43,906
	6,702,000	BAIC Motor Corp Ltd – Class H		3,333,878
	22,900	Bank of China Ltd – Class A		11,717

Shares		Description	Value ($)
		China — continued
	25,161,000	Bank of China Ltd – Class H		10,055,336
	17,144,000	Bank of Communications Co Ltd – Class H		11,155,455
	54,000	Beijing Capital International Airport Co Ltd – Class H		42,521
	30,000	Beijing Enterprises Water Group Ltd *		14,129
	365,300	Beijing North Star Co Ltd – Class A		145,447
	175,000	Cabbeen Fashion Ltd		33,173
	453,000	CGN Power Co Ltd – Class H		111,422
	38,000	China Aoyuan Group Ltd		56,139
	3,346,000	China Cinda Asset Management Co Ltd – Class H		709,534
	6,897,000	China CITIC Bank Corp Ltd – Class H		3,613,446
	2,112,000	China Communications Services Corp Ltd – Class H		1,659,461
	695,100	China Construction Bank Corp – Class A		652,014
	5,819,000	China Construction Bank Corp – Class H		4,784,563
	2,467,000	China Everbright Bank Co Ltd – Class H		996,790
	13,400	China Gas Holdings Ltd		49,791
	1,058,000	China Greenfresh Group Co Ltd *		29,933
	205,000	China Huarong Asset Management Co Ltd – Class H		28,317
	652,000	China Jinmao Holdings Group Ltd		486,336
	26,000	China Kepei Education Group Ltd		15,239
	3,774,000	China Lesso Group Holdings Ltd		5,760,335
	538,000	China Lilang Ltd		351,688
	2,517,000	China Machinery Engineering Corp – Class H		937,712
	1,995,000	China Medical System Holdings Ltd		2,522,705
	172,077	China Merchants Bank Co Ltd – Class A		855,755
	21,000	China Merchants Bank Co Ltd – Class H		101,029
	91,500	China Mobile Ltd		728,213
	10,256,000	China National Building Material Co Ltd – Class H		12,189,533
	446,058	China National Chemical Engineering Co Ltd – Class A		450,352
	292,000	China Oriental Group Co Ltd		100,953
	106,000	China Overseas Grand Oceans Group Ltd		74,098
	440,000	China Overseas Land & Investment Ltd		1,506,842
	75,000	China Overseas Property Holdings Ltd		61,744
	134,200	China Pacific Insurance Group Co Ltd – Class A		623,926
	138,600	China Pacific Insurance Group Co Ltd – Class H		464,953
	4,400	China Petroleum & Chemical Corp ADR		226,776
	19,396,000	China Petroleum & Chemical Corp – Class H		10,038,531
	162,000	China Pioneer Pharma Holdings Ltd		17,796
	8,050,000	China Railway Construction Corp Ltd – Class H		9,313,344
	4,179,042	China Railway Group Ltd – Class H		2,400,775
	287,000	China Reinsurance Group Corp – Class H		39,444
	490,000	China Resources Cement Holdings Ltd		629,569
	64,000	China Resources Gas Group Ltd		322,556

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		China — continued
	352,000	China Resources Land Ltd		1,671,436
	5,092,000	China Resources Pharmaceutical Group Ltd		4,491,414
	1,850,000	China SCE Group Holdings Ltd		1,024,440
	662,179	China Shenhua Energy Co Ltd – Class A		1,528,939
	2,854,000	China Shenhua Energy Co Ltd – Class H		5,018,155
	807,000	China Shineway Pharmaceutical Group Ltd		707,227
	80,000	China State Construction International Holdings Ltd		65,771
	33,200	China Taiping Insurance Holdings Co Ltd		69,434
	19,538,000	China Telecom Corp Ltd – Class H		7,385,504
	443,989	China Vanke Co Ltd – Class A		1,911,723
	781,773	China Yangtze Power Co Ltd – Class A		1,915,817
	19,000	China Yongda Automobiles Services Holdings Ltd		18,726
	28,100	China Yuchai International Ltd		349,002
	188,000	Chongqing Rural Commercial Bank Co Ltd – Class H		85,903
	1,273,000	CNOOC Ltd		1,770,885
	400	CNOOC Ltd Sponsored ADR		55,332
	745,604	Country Garden Holdings Co Ltd		1,012,945
	115,500	Dali Foods Group Co Ltd		76,802
	142,000	Dalian Port PDA Co Ltd – Class H		14,574
	111,800	Dalian Port PDA Co Ltd – Class A		28,647
	1,193,470	Daqin Railway Co Ltd – Class A		1,215,571
	913,000	Dongyue Group Ltd		483,066
	11,600	ENN Energy Holdings Ltd		130,853
	600	Fanhua Inc (a)		12,180
	50,000	Fu Shou Yuan International Group Ltd		43,147
	748,000	Geely Automobile Holdings Ltd		1,366,403
	136,000	Gemdale Properties & Investment Corp Ltd		24,507
	5,500	Gree Electric Appliances Inc of Zhuhai – Class A		47,489
	111,000	Greenland Hong Kong Holdings Ltd		43,983
	29,500	Greentown China Holdings Ltd		39,469
	44,000	Greentown Service Group Co Ltd		55,852
	686,000	Guangdong Investment Ltd		1,302,763
	88,737	Guangdong Provincial Expressway Development Co Ltd – Class A		96,130
	850,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		2,640,803
	4,544,679	Guangzhou R&F Properties Co Ltd – Class H		7,165,466
	200,000	Haier Electronics Group Co Ltd		583,204
	43,000	Haitian International Holdings Ltd		85,727
	43,500	Hebei Construction Group Corp Ltd – Class H		26,268
	333,989	Hisense Home Appliances Group Co Ltd – Class A		479,803
	621,000	Hisense Home Appliances Group Co Ltd – Class H		619,568
	54,583	HLA Corp Ltd – Class A		53,661

Shares		Description	Value ($)
		China — continued
	13,100	Hollysys Automation Technologies Ltd		198,334
	2,214,000	Huabao International Holdings Ltd		881,678
	220,398	Huaxin Cement Co Ltd – Class A		782,234
	66,900	Huayu Automotive Systems Co Ltd – Class A		273,728
	1,776,000	IGG Inc		1,310,512
	1,102,000	Industrial & Commercial Bank of China Ltd – Class A		840,956
	3,991,000	Industrial & Commercial Bank of China Ltd – Class H		2,749,397
	141,000	Kaisa Group Holdings Ltd		64,189
	5,500	Kingboard Holdings Ltd		14,740
	80,000	Kingboard Laminates Holdings Ltd		81,807
	238,000	Kunlun Energy Co Ltd		168,369
	6,189	Lao Feng Xiang Co Ltd – Class A		38,943
	492,384	Livzon Pharmaceutical Group Inc – Class H		1,767,429
	254,400	Logan Property Holdings Co Ltd		444,373
	128,000	Longfor Group Holdings Ltd		605,402
	2,416,000	Lonking Holdings Ltd		683,256
	611,000	Metallurgical Corp of China Ltd – Class H		119,658
	165,787	Midea Group Co Ltd – Class A		1,283,749
	1,100	NetEase Inc ADR(a)		350,581
	7,000	New China Life Insurance Co Ltd – Class A		45,164
	35,800	New China Life Insurance Co Ltd – Class H		139,947
	524,000	Nine Dragons Paper Holdings Ltd		629,472
	81,000	PAX Global Technology Ltd		40,524
	2,690,000	PICC Property & Casualty Co Ltd – Class H		2,844,614
	269,400	Ping An Insurance Group Co of China Ltd – Class A		3,063,759
	11,500	Ping An Insurance Group Co of China Ltd – Class H		131,012
	37,000	Poly Property Group Co Ltd		14,079
	11,435,000	Postal Savings Bank of China Co Ltd – Class H		7,295,399
	594,000	Powerlong Real Estate Holdings Ltd		377,976
	34,000	Q Technology Group Co Ltd *		49,535
	15,070	Qingdao Port International Co Ltd – Class A		12,742
	102,000	Qingling Motors Co Ltd – Class H		22,341
	82,000	Redsun Properties Group Ltd		25,937
	175,000	Road King Infrastructure Ltd		302,026
	316,000	Shanghai Jin Jiang Capital Co Ltd – Class H		55,453
	37,940	Shanghai Lujiazui Finance & Trade Zone Development Co Ltd – Class A		63,063
	3,016,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		5,570,729
	67,684	Shenzhen Expressway Co Ltd – Class A		92,888
	2,000	Shenzhen Expressway Co Ltd – Class H		2,435

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		China — continued
	296,858	Shenzhen Investment Ltd		100,336
	30,000	Shenzhou International Group Holdings Ltd		379,673
	3,911,000	Shimao Property Holdings Ltd		14,335,007
	52,000	Shui On Land Ltd		10,418
	190,000	Sino Biopharmaceutical Ltd		281,605
	223,300	Sinoma International Engineering Co – Class A		197,631
	145,000	Sinopec Engineering Group Co Ltd – Class H		72,183
	288,273	Sinopec Shanghai Petrochemical Co Ltd – Class A		165,903
	6,132,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		1,589,800
	597,000	Sinotruk Hong Kong Ltd		1,160,556
	457,321	Suning Universal Co Ltd – Class A		208,606
	8,600	Sunny Optical Technology Group Co Ltd		139,728
	23,000	Tencent Holdings Ltd		1,166,208
	5,000	Tencent Holdings Ltd ADR		248,250
	245,000	Texhong Textile Group Ltd		259,334
	646,000	Tianjin Port Development Holdings Ltd		57,902
	2,402,000	Tianneng Power International Ltd		1,790,876
	10,000	Times China Holdings Ltd		19,041
	38,400	Wangfujing Group Co Ltd - Class A		67,487
	259,000	Want Want China Holdings Ltd		203,294
	2,437,000	Weichai Power Co Ltd – Class H		4,889,504
	369,126	Weifu High-Technology Group Co Ltd – Class A		1,042,681
	1,188,000	West China Cement Ltd		195,459
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		361,485
	137,500	Xtep International Holdings Ltd		56,429
	32,400	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		200,614
	340,000	Yuexiu Property Co Ltd		70,408
	50,000	Yuexiu Transport Infrastructure Ltd		38,984
	6,100	Yum China Holdings Inc		267,119
	434,911	Yuzhou Properties Co Ltd		217,412
	354,000	Zhejiang Expressway Co Ltd – Class H		269,724
	340,064	Zhejiang Weixing New Building Materials Co Ltd – Class A		582,268
	21,800	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		18,163
	31,000	Zhenro Properties Group Ltd		20,288
	88,000	Zhongsheng Group Holdings Ltd		338,855
	132,000	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		111,370
		Total China		235,817,949
		Denmark — 0.0%
	10,818	Matas A/S		89,966
	1,671	Novo Nordisk A/S – Class B		97,902

Shares		Description	Value ($)
		Denmark — continued
	25,422	Scandinavian Tobacco Group A/S		326,717
		Total Denmark		514,585
		Finland — 0.0%
	4,251	Aktia Bank Oyj		48,383
	14,787	Kemira Oyj		188,274
	9,960	Tokmanni Group Corp		133,572
		Total Finland		370,229
		France — 2.3%
	3,147	AKWEL		51,090
	14,567	Alten SA		1,631,410
	9,015	Arkema		852,815
	902	Assystem SA		26,766
	839	Axway Software SA *		16,063
	43,388	BNP Paribas SA		2,106,066
	721	Boiron SA		25,716
	1,005	Bonduelle SCA		22,693
	357	Caisse Regionale de Credit Agricole Mutuel Nord de France		11,962
	2,381	Christian Dior SE		1,017,157
	683	Cie des Alpes *		17,530
	1,569	Cie Generale des Etablissements Michelin SCA		168,145
	46,077	Coface SA *		506,360
	6,628	Dassault Systemes SE		1,051,621
	29,521	Gaztransport Et Technigaz SA		2,644,048
	1,371	GL Events		25,958
	337	Groupe Crit		22,084
	389	HEXAOM		14,447
	3,802	Interparfums SA		130,679
	24,219	IPSOS (c)		750,526
	4,094	Kaufman & Broad SA		165,463
	53,314	L’Oreal SA (c)		14,329,968
	4,858	Lagardere SCA		84,549
	51,232	Metropole Television SA		754,137
	358	Nexans SA		16,503
	357,650	Peugeot SA (a)		6,930,923
	34,749	Quadient		750,669
	6,283	Rothschild & Co		149,190
	17,591	Safran SA		2,435,092
	147,659	Sanofi		13,771,532
	25,800	Sanofi ADR (c)		1,193,250
	3,740	Schneider Electric SE		379,982
	203,400	STMicroelectronics NV – NY Shares (a)		5,573,160
	695	Synergie SA		18,454
	74,453	Television Francaise 1 *		572,229
	387	Union Financiere de France BQE SA		8,298
	675	Vilmorin & Cie SA		30,029
		Total France		58,256,564
		Germany — 1.2%
	3,841	adidas AG		1,081,427

22 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Germany — continued
	27,063	Allianz SE (Registered)		5,895,671
	1,820	Amadeus Fire AG		256,510
	29,629	Bayer AG (Registered)		2,154,800
	514	Bechtle AG		68,406
	5,206	Beiersdorf AG		549,744
	34,813	Borussia Dortmund GmbH & Co KGaA		296,314
	12,250	Carl Zeiss Meditec AG		1,303,205
	211,014	CECONOMY AG *		1,017,572
	3,324	Cewe Stiftung & Co KGaA		356,730
	9,754	CropEnergies AG		101,265
	65,897	Deutsche Lufthansa AG (Registered)		871,481
	63,886	Deutsche Pfandbriefbank AG (c)		906,815
	158,626	Deutz AG		756,055
	83,446	Dialog Semiconductor Plc *		2,878,711
	486	Draegerwerk AG & Co KGaA		22,388
	2,330	DWS Group GmbH & Co KGaA		85,006
	1,830	Eckert & Ziegler Strahlen- und Medizintechnik AG		311,201
	3,649	Elmos Semiconductor AG		86,450
	417	Grammer AG		11,859
	17,283	Hamburger Hafen und Logistik AG		368,868
	8,260	Hannover Rueck SE		1,495,617
	1,372	Henkel AG & Co KGaA		117,266
	1,105	Hornbach Holding AG & Co KGaA		62,745
	680	KWS Saat SE & Co KGaA		38,305
	1,395	Merck KGaA		169,750
	35,840	METRO AG		418,640
	25,080	Siemens Healthineers AG		1,025,468
	10,911	Siltronic AG		1,036,255
	7,264	Software AG (c)		238,979
	16,086	TAG Immobilien AG		395,284
	14,167	Takkt AG		181,885
	20,740	Talanx AG *		926,433
	6,752	VERBIO Vereinigte BioEnergie AG		71,811
	21,759	Volkswagen AG		3,696,013
	17,540	Wacker Neuson SE		247,612
	654	Washtec AG		35,367
	3,846	Wuestenrot & Wuerttembergische AG		72,625
		Total Germany		29,610,533
		Greece — 0.0%
	12,055	FF Group * (d)		—
	1,566	Motor Oil Hellas Corinth Refineries SA		25,860
		Total Greece		25,860
		Hong Kong — 0.5%
	67,500	ASM Pacific Technology Ltd		816,301
	28,700	Budweiser Brewing Co APAC Ltd *		87,610
	230,000	Cafe de Coral Holdings Ltd		507,959
	455,400	Champion (REIT)		265,211
	1,108,000	CITIC Telecom International Holdings Ltd		405,296

Shares		Description	Value ($)
		Hong Kong — continued
	550,000	CSI Properties Ltd		18,876
	30,100	Dah Sing Banking Group Ltd		37,566
	104,800	Dah Sing Financial Holdings Ltd		371,231
	15,000	Emperor Entertainment Hotel Ltd		2,514
	296,000	Giordano International Ltd		69,775
	247,000	HKT Trust & HKT Ltd – Class SS		371,894
	134,500	Johnson Electric Holdings Ltd		313,376
	54,800	Luk Fook Holdings International Ltd		134,608
	48,000	Pico Far East Holdings Ltd		12,169
	85,000	Prosperity REIT		31,050
	79,000	Regal Real Estate Investment Trust		17,294
	571,000	SJM Holdings Ltd		661,136
	130,000	Sun Hung Kai & Co Ltd		58,326
	5,000	Sunlight Real Estate Investment Trust		2,976
	16,000	TAI Cheung Holdings Ltd		12,394
	74,100	VTech Holdings Ltd		656,083
	5,289,000	WH Group Ltd		5,550,333
	162,500	Wheelock & Co Ltd		1,248,591
	39,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		5,697
	96,000	Xinyi Glass Holdings Ltd		120,197
	200,500	Yue Yuen Industrial Holdings Ltd		486,553
		Total Hong Kong		12,265,016
		Hungary — 0.0%
	727,274	Magyar Telekom Telecommunications Plc		947,805
	6,627	Richter Gedeon Nyrt		134,984
		Total Hungary		1,082,789
		India — 1.1%
	8,637	Asian Paints Ltd		217,509
	98,056	Aurobindo Pharma Ltd		687,318
	15,549	Bajaj Auto Ltd		625,542
	364,498	Balrampur Chini Mills Ltd		735,053
	92,500	Bharat Electronics Ltd		95,683
	3,512	Coal India Ltd		8,227
	3,532	Dr Reddy’s Laboratories Ltd		143,243
	63,000	Dr Reddy’s Laboratories Ltd ADR (a)		2,530,080
	51,665	Granules India Ltd		115,660
	993,495	HCL Technologies Ltd		7,453,246
	15,936	HDFC Bank Ltd		261,827
	2,662	Hero MotoCorp Ltd		75,854
	292,567	Hindustan Petroleum Corp Ltd		804,516
	6,653	Hindustan Unilever Ltd		201,688
	8,484	Housing Development Finance Corp Ltd		258,636
	44,960	ICICI Bank Ltd		313,234
	34,256	Indiabulls Housing Finance Ltd		135,846
	1,430,548	Indian Oil Corp Ltd		2,117,374
	383,651	ITC Ltd		1,050,167
	108,659	Just Dial Ltd *		706,367
	12,917	Kotak Mahindra Bank Ltd		292,253

See accompanying notes to the financial statements. 23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		India — continued
	39,113	Manappuram Finance Ltd		89,917
	30,420	Mphasis Ltd		376,461
	250,130	National Aluminium Co Ltd		116,469
	36,145	PC Jeweller Ltd *		7,758
	49,681	Phillips Carbon Black Ltd		73,951
	6,080	Polycab India Ltd *		90,220
	1,921,552	Power Finance Corp Ltd		2,937,394
	725,397	PTC India Ltd		501,416
	61,576	Rain Industries Ltd		88,595
	12,362	Rajesh Exports Ltd		113,620
	2,408,560	REC Ltd		3,974,207
	39,108	Sonata Software Ltd		181,499
	10,508	Titan Co Ltd		183,982
	69,000	Vedanta Ltd ADR		453,330
	32,283	Welspun Corp Ltd		83,109
		Total India		28,101,251
		Indonesia — 0.0%
	899,200	Adaro Energy Tbk PT		73,689
	92,000	Bank Central Asia Tbk PT		203,220
	55,400	Bank Mandiri Persero Tbk PT		28,813
	24,100	Bank Negara Indonesia Persero Tbk PT		12,072
	189,400	Bank Pembangunan Daerah Jawa Timur Tbk PT		8,154
	1,188,000	Bank Rakyat Indonesia Persero Tbk PT		355,006
	409,800	Indo Tambangraya Megah Tbk PT		328,641
	1,112,400	Mitra Pinasthika Mustika Tbk PT		46,286
	999,700	Panin Financial Tbk PT *		17,754
	794,000	Ramayana Lestari Sentosa Tbk PT		58,038
		Total Indonesia		1,131,673
		Ireland — 0.2%
	43,807	AIB Group Plc		102,219
	97,803	Bank of Ireland Group Plc		366,203
	66,700	CRH Plc Sponsored ADR		2,259,796
	9,518	Glanbia Plc		111,820
	183,304	Hibernia REIT Plc		247,541
	109,446	Irish Residential Properties REIT Plc		170,513
	1,699	Kerry Group Plc – Class A		215,829
	41,242	Origin Enterprises Plc		127,649
	32,738	Permanent TSB Group Holdings Plc *		29,923
	41,960	Smurfit Kappa Group Plc		1,413,628
	28,153	Total Produce Plc		37,657
		Total Ireland		5,082,778
		Israel — 0.0%
	5,581	AudioCodes Ltd		118,570
	8,692	Discount Investment Corp Ltd (Registered) *		16,857
	2,045	Fox Wizel Ltd		86,124
	1,340	Israel Corp Ltd (The) *		185,529
	794,563	Oil Refineries Ltd		269,193

Shares		Description	Value ($)
		Israel — continued
	60	Paz Oil Co Ltd		6,579
		Total Israel		682,852
		Italy — 1.5%
	46,659	ACEA SPA		982,678
	16,355	Anima Holding SpA		72,207
	10,531	Ascopiave SpA		45,839
	4,965	Assicurazioni Generali SPA		89,625
	794	ASTM SPA		19,744
	166,308	Banca Mediolanum SPA		1,359,245
	52,135	Buzzi Unicem SpA		1,143,576
	15,485	Cementir Holding NV		99,870
	142,446	Cofide SPA		79,833
	4,091	El.En. SPA		114,542
	96,382	Enav SPA		573,910
	1,629,066	Enel SPA		13,673,049
	166,871	EXOR NV		11,917,636
	16,582	Falck Renewables SpA		108,689
	8,732	Fiera Milano SPA		42,797
	318,594	Hera SPA		1,367,464
	501,126	Iren SPA		1,551,207
	136,117	Italgas SpA		831,823
	13,610	La Doria SPA		123,650
	9,860	Leonardo SPA		101,120
	7,006	MARR SPA		129,923
	94,878	Piaggio & C SpA		226,962
	254,720	Saras SPA		301,171
	1,481	Sesa SpA		77,973
	63,431	Societa Cattolica di Assicurazioni SC		466,409
	3,642	Unieuro SPA		44,881
	235,338	Unipol Gruppo SPA		1,172,585
	295,762	UnipolSai Assicurazioni SPA (a)		738,954
		Total Italy		37,457,362
		Japan — 4.8%
	10,600	ADEKA Corp		137,662
	6,100	Aichi Corp		35,103
	5,300	Aida Engineering Ltd		38,974
	57,500	Amada Holdings Co Ltd		536,122
	2,700	Amano Corp		66,408
	16,000	AOKI Holdings Inc (c)		135,175
	1,500	Arata Corp		57,178
	3,900	Arcland Sakamoto Co Ltd		39,266
	562,600	Asahi Kasei Corp (c)		4,607,674
	5,800	Asahi Yukizai Corp		76,361
	818,000	Astellas Pharma Inc (c)		12,820,681
	39,500	Bandai Namco Holdings Inc		1,978,192
	3,600	Bando Chemical Industries Ltd		23,219
	236,300	Brother Industries Ltd		4,185,597
	2,500	Canon Electronics Inc		42,790
	12,300	Canon Marketing Japan Inc		282,298
	29,600	Casio Computer Co Ltd		504,264

24 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Japan — continued
	6,000	Cawachi Ltd		111,711
	10,600	Central Glass Co Ltd		201,991
	7,900	Chiba Kogyo Bank Ltd (The)		20,640
	1,600	Chiyoda Integre Co Ltd		26,617
	2,900	Chugai Pharmaceutical Co Ltd		311,953
	2,900	Cleanup Corp		13,883
	2,000	CONEXIO Corp		25,096
	22,100	Dai Nippon Printing Co Ltd		532,549
	5,400	Dai Nippon Toryo Co Ltd		44,844
	1,500	Dai-Dan Co Ltd		36,485
	1,900	Daiichi Jitsugyo Co Ltd		58,793
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		40,876
	5,200	Daiwa Industries Ltd		47,509
	18,400	Daiwabo Holdings Co Ltd		928,037
	36,200	DTS Corp		657,536
	8,200	Ehime Bank Ltd (The)		76,802
	15,300	Elecom Co Ltd		515,005
	3,400	ESPEC Corp		62,374
	9,100	Fancl Corp (a)		226,975
	6,900	Foster Electric Co Ltd		91,651
	74,000	Fuji Electric Co Ltd		2,029,556
	1,800	Fujicco Co Ltd		29,137
	5,500	FUJIFILM Holdings Corp		267,093
	11,500	Fujitsu General Ltd		228,286
	38,100	Fujitsu Ltd		3,972,922
	700	Fukuda Corp		25,381
	8,700	Furuno Electric Co Ltd (a)		73,376
	4,400	G-7 Holdings Inc		89,513
	12,700	Geo Holdings Corp		137,345
	25,200	Hakuhodo DY Holdings Inc		291,224
	3,600	Hakuto Co Ltd		36,386
	5,060	Hanwa Co Ltd (c)		103,454
	4,800	Heiwa Corp		89,539
	2,600	Heiwado Co Ltd		40,288
	8,500	Hisamitsu Pharmaceutical Co Inc (a)		376,216
	1,200	Hitachi High-Tech Corp		89,130
	252,300	Hitachi Ltd		8,425,801
	14,000	Hokuetsu Corp		56,549
	165,300	Honda Motor Co Ltd		4,240,678
	500	Hosokawa Micron Corp		22,737
	7,200	House Foods Group Inc		211,850
	5,400	Infocom Corp		135,584
	158,500	ITOCHU Corp		3,591,830
	18,100	Itochu Enex Co Ltd		140,829
	30,800	Itochu Techno-Solutions Corp		862,687
	600	Itochu-Shokuhin Co Ltd		24,881
	11,600	Itoki Corp		38,106
	7,900	Jeol Ltd		206,970
	124,500	JVCKenwood Corp		251,179
	27,700	K’s Holdings Corp		302,572
	19,700	Kajima Corp		211,135

Shares		Description	Value ($)
		Japan — continued
	7,700	Kaken Pharmaceutical Co Ltd		371,515
	3,500	Kamei Corp		31,542
	58,700	Kanematsu Corp		637,371
	3,200	Kanematsu Electronics Ltd		91,009
	7,900	Kasai Kogyo Co Ltd		48,617
	1,200	Kato Sangyo Co Ltd		33,064
	268,900	KDDI Corp		7,597,381
	24,300	Keihin Corp		582,270
	7,800	Kissei Pharmaceutical Co Ltd		188,441
	585,174	Konica Minolta Inc (c)		3,202,107
	6,700	Kumagai Gumi Co Ltd		176,697
	4,700	Kureha Corp		235,043
	6,500	Kyoei Steel Ltd		97,973
	9,600	KYORIN Holdings Inc		192,106
	18,200	LIXIL VIVA Corp		343,484
	16,200	Makino Milling Machine Co Ltd		544,792
	2,100	Maruzen Showa Unyu Co Ltd		46,718
	2,000	Matsuda Sangyo Co Ltd		26,138
	48,200	MCJ Co Ltd		276,847
	13,900	Meidensha Corp		221,903
	3,200	METAWATER Co Ltd		113,177
	676,100	Mitsubishi Chemical Holdings Corp		4,519,981
	23,700	Mitsubishi Gas Chemical Co Inc		354,606
	4,400	Mitsuboshi Belting Ltd		60,217
	10,900	Mitsui Sugar Co Ltd		191,481
	5,100	MTI Ltd		26,481
	24,300	NEC Corp		912,286
	9,700	Nichias Corp		199,063
	10,700	Nichiha Corp		223,735
	78,300	Nikon Corp		799,816
	22,100	Nippo Corp		498,632
	12,800	Nippon Flour Mills Co Ltd		189,763
	24,100	Nippon Kayaku Co Ltd		264,802
	196,900	Nippon Light Metal Holdings Co Ltd		343,922
	1,200	Nippon Shinyaku Co Ltd		89,903
	12,400	Nippon Soda Co Ltd		319,067
	543,400	Nippon Telegraph & Telephone Corp		12,677,398
	2,100	Nisshin Oillio Group Ltd (The)		64,833
	1,500	Nissin Corp		20,592
	28,100	Nissin Electric Co Ltd		267,479
	27,600	Nomura Real Estate Holdings Inc		595,489
	3,300	Nomura Research Institute Ltd		72,449
	7,600	NS Solutions Corp		212,777
	13,500	NTT DOCOMO Inc		365,430
	1,600	NuFlare Technology Inc		178,016
	251,900	Obayashi Corp		2,541,183
	800	Obic Co Ltd		98,773
	600	Okinawa Cellular Telephone Co		21,670
	3,900	Organo Corp		229,899
	2,400	Osaka Soda Co Ltd		56,575
	7,300	Osaki Electric Co Ltd		36,884
	9,900	Prima Meat Packers Ltd		203,629

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Japan — continued
	8,600	Proto Corp		86,473
	8,700	Raiznext Corp		96,778
	1,900	Rion Co Ltd		43,638
	6,600	Roland DG Corp		99,420
	1,900	Ryobi Ltd		24,541
	3,300	Sac’s Bar Holdings Inc		22,232
	9,200	San-Ai Oil Co Ltd		79,167
	8,600	Sanki Engineering Co Ltd		100,909
	3,800	Sanyo Chemical Industries Ltd		154,255
	16,300	Seiko Epson Corp		228,521
	21,400	Seiko Holdings Corp		413,311
	25,100	Seino Holdings Co Ltd		272,028
	55,600	Sekisui Chemical Co Ltd (c)		831,604
	2,500	Sekisui Jushi Corp		48,956
	176,200	Shimizu Corp		1,602,074
	900	Shionogi & Co Ltd (c)		48,447
	6,600	Shizuoka Gas Co Ltd		52,411
	54,600	Showa Corp		1,167,132
	800	Sinanen Holdings Co Ltd		14,869
	6,200	Sinko Industries Ltd		86,890
	7,400	Sintokogio Ltd		52,903
	789,800	Sojitz Corp		2,289,050
	108,400	SUMCO Corp		1,641,390
	1,442,100	Sumitomo Chemical Co Ltd		5,254,999
	45,400	Sumitomo Dainippon Pharma Co Ltd (a)		647,790
	2,300	Sumitomo Seika Chemicals Co Ltd		59,777
	35,800	T-Gaia Corp		678,367
	15,900	Takara Leben Co Ltd		62,954
	4,600	Takasago Thermal Engineering Co Ltd		70,779
	5,200	Tamron Co Ltd		114,657
	57,900	Teijin Ltd		949,424
	18,500	Tokyo Electron Ltd		3,864,864
	44,300	Tokyu Construction Co Ltd		276,194
	3,900	Toli Corp		9,330
	10,900	Toppan Forms Co Ltd		103,678
	32,600	Toppan Printing Co Ltd		570,074
	3,200	Torii Pharmaceutical Co Ltd		95,689
	16,200	Tosei Corp		173,746
	1,100	Toshiba TEC Corp		40,571
	38,600	Tosoh Corp		522,380
	3,300	Towa Pharmaceutical Co Ltd		65,303
	4,800	Toyo Ink SC Holdings Co Ltd		92,760
	19,000	Toyo Suisan Kaisha Ltd		755,385
	6,400	TPR Co Ltd		87,914
	44,400	TS Tech Co Ltd (c)		1,148,238
	7,500	UKC Holdings Corp		110,664
	19,700	Ushio Inc		245,724
	17,600	Wacoal Holdings Corp		409,807
	18,400	YAMABIKO Corp		147,411
	29,500	Yamaha Motor Co Ltd		465,669
	2,200	Yamaya Corp		42,219
	12,100	Yamazen Corp		96,959

Shares		Description	Value ($)
		Japan — continued
	8,800	Yellow Hat Ltd		117,331
	16,100	Yuasa Trading Co Ltd		452,605
		Total Japan		125,085,812
		Malaysia — 0.1%
	77,400	Bermaz Auto Berhad		32,768
	2,015,500	DRB-Hicom Berhad		1,071,998
	314,600	Magnum Berhad		179,994
	226,300	MISC Berhad		412,015
	193,900	Sime Darby Berhad		92,716
	2,515,309	Supermax Corp Berhad		957,029
	92,500	Syarikat Takaful Malaysia Keluarga Berhad		104,634
	367,300	Telekom Malaysia Berhad		324,357
		Total Malaysia		3,175,511
		Mexico — 0.6%
	27,500	Corp Inmobiliaria Vesta SAB de CV		43,717
	12,000	Unifin Financiera SAB de CV SOFOM ENR		18,643
	48,500	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		62,242
	611,700	Fibra Uno Administracion SA de CV (REIT)		926,423
	235,600	Gentera SAB de CV		226,706
	210,800	Nemak SAB de CV		69,613
	11,400	Grupo Aeroportuario del Centro Norte SAB de CV		74,627
	4,265,938	Wal-Mart de Mexico SAB de CV		12,009,126
	127,942	Grupo Herdez SAB de CV		233,160
	4,300	Kimberly-Clark de Mexico SAB de CV – Class A		8,186
	3,820	Promotora y Operadora de Infraestructura SAB de CV		37,426
	600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		31,248
	13,500	El Puerto de Liverpool SAB de CV – Class C1		63,786
	104,100	Grupo Financiero Banorte SAB de CV – Class O		569,184
	39,900	Grupo Financiero Inbursa SAB de CV – Class O		43,279
	53,700	Qualitas Controladora SAB de CV		230,536
	20,200	Banco del Bajio SA		31,630
	8,100	Regional SAB de CV		45,062
		Total Mexico		14,724,594
		Netherlands — 1.6%
	1,483	Adyen NV *		1,305,255
	121,729	ASR Nederland NV		4,096,447
	2,104	BE Semiconductor Industries NV		81,832
	46,495	Heineken Holding NV		4,128,645

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Netherlands — continued
	282	Hunter Douglas NV		16,921
	318,209	ING Groep NV		3,047,116
	208,740	Koninklijke Ahold Delhaize NV		4,876,637
	60,498	Koninklijke Philips NV		2,590,778
	6,100	Koninklijke Volkerwessels NV *		147,872
	4,718	Koninklijke Vopak NV		224,599
	64,565	Randstad NV		3,326,574
	241,921	Signify NV (c)		7,208,388
	147,275	Wolters Kluwer NV		10,774,857
		Total Netherlands		41,825,921
		New Zealand — 0.0%
	571,194	Air New Zealand Ltd		813,197
	59,808	SKY Network Television Ltd *		20,253
	16,081	Synlait Milk Ltd *		60,103
		Total New Zealand		893,553
		Norway — 0.5%
	135,362	Austevoll Seafood ASA		1,201,268
	15,020	Avance Gas Holding Ltd *		64,293
	107,155	BW LPG Ltd		668,904
	285,667	DNB ASA		4,784,721
	166,709	Elkem ASA		329,059
	19,092	Entra ASA		302,415
	53,563	Europris ASA		178,905
	34,711	Gjensidige Forsikring ASA		705,450
	94,714	Kvaerner ASA		87,807
	279,441	Orkla ASA		2,376,776
	15,325	Salmar ASA		692,581
	6,626	Selvaag Bolig ASA		42,747
	30,733	SpareBank 1 Nord Norge		237,718
	1,764	Sparebank 1 Oestlandet		17,734
	19,287	SpareBank 1 SMN		192,892
	108,480	SpareBank 1 SR-Bank ASA		1,038,907
	3,657	Stolt-Nielsen Ltd		40,692
	5,303	Veidekke ASA		64,737
		Total Norway		13,027,606
		Pakistan — 0.0%
	24,610	Engro Corp Ltd		49,588
	253,000	Engro Fertilizers Ltd		103,577
	44,200	Nishat Mills Ltd		29,213
	348,700	Oil & Gas Development Co Ltd		265,808
	21,070	Pakistan Oilfields Ltd		49,987
	129,620	Pakistan Petroleum Ltd		93,531
	34,500	Pakistan State Oil Co Ltd		36,577
	32,500	Searle Co Ltd (The)		36,904
	20,300	United Bank Ltd		21,839
		Total Pakistan		687,024

Shares		Description	Value ($)
		Philippines — 0.0%
	20,600	Ayala Land Inc		15,865
	15,880	Globe Telecom Inc		554,893
	10,340	Manila Electric Co		54,812
	663,000	Megaworld Corp		44,399
	1,256,000	Metro Pacific Investments Corp		75,761
	95,250	Semirara Mining & Power Corp		36,247
		Total Philippines		781,977
		Poland — 0.5%
	15,827	Alior Bank SA *		85,416
	108,078	Asseco Poland SA		1,687,732
	45,340	Bank Polska Kasa Opieki SA		1,025,992
	2,441	Budimex SA		108,637
	82,864	Cyfrowy Polsat SA		536,210
	1,387	Dino Polska SA *		50,383
	161,572	Energa SA *		290,883
	14,419	Grupa Lotos SA		220,334
	21,166	Jastrzebska Spolka Weglowa SA		74,657
	1,125	KRUK SA		39,967
	1,456	Lubelski Wegiel Bogdanka SA		6,147
	188,409	Orange Polska SA *		299,534
	187,415	PLAY Communications SA		1,473,196
	149,888	Polski Koncern Naftowy ORLEN SA		2,264,219
	528,061	Polskie Gornictwo Naftowe i Gazownictwo SA		429,533
	89,857	Powszechna Kasa Oszczednosci Bank Polski SA		719,463
	251,153	Powszechny Zaklad Ubezpieczen SA		2,239,586
	1,886	Santander Bank Polska SA		121,875
	684	Stalprodukt SA		28,331
	4,357	Warsaw Stock Exchange		42,490
		Total Poland		11,744,585
		Portugal — 0.8%
	147,851	Altri SGPS SA		803,476
	59,882	CTT-Correios de Portugal SA		154,477
	3,276	EDP Renovaveis SA *		44,342
	1,169,978	EDP – Energias de Portugal SA		5,462,270
	588,956	Galp Energia SGPS SA		8,124,175
	121,823	Jeronimo Martins SGPS SA		2,153,521
	32,518	Mota-Engil SGPS SA		47,673
	90,760	Navigator Co SA (The)		280,456
	198,776	NOS SGPS SA		785,112
	136,410	REN – Redes Energeticas Nacionais SGPS SA		378,602
	8,494	Semapa-Sociedade de Investimento e Gestao		106,774
	1,185,197	Sonae SGPS SA		931,165
		Total Portugal		19,272,043

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Qatar — 0.0%
	165,390	Barwa Real Estate Co		138,592
	80,410	Doha Bank QPSC		50,571
	6,144	Qatar Electricity & Water Co QSC		25,013
	162,751	Qatar Gas Transport Co Ltd		96,009
	71,680	Qatar National Bank QPSC		365,944
	32,000	Qatar National Cement Co QSC		35,920
		Total Qatar		712,049
		Russia — 2.2%
	1,032,770	Alrosa PJSC		1,108,228
	6,730	Detsky Mir PJSC		11,321
	24,422,000	ENEL RUSSIA PJSC		346,744
	42,180,000	Federal Grid Co Unified Energy System PJSC		131,763
	301,580	Gazprom Neft PJSC		1,814,545
	1,941	Gazprom Neft PJSC Sponsored ADR		57,337
	120,199	Gazprom PJSC Sponsored ADR		735,713
	18,080	Globaltrans Investment Plc Sponsored GDR (Registered)		133,696
	82,460,001	Inter RAO UES PJSC		6,500,283
	1,895	LSR Group PJSC		23,691
	115,508	LUKOIL PJSC Sponsored ADR		9,963,535
	21,400	M.Video PJSC		155,007
	2,945,600	Magnitogorsk Iron & Steel Works PJSC		1,793,982
	18,281	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		138,948
	150,374	MMC Norilsk Nickel PJSC ADR		4,546,835
	374,640	Moscow Exchange MICEX-RTS PJSC		564,059
	6,914	Novatek PJSC Sponsered GDR (Registered)		1,008,796
	61,350	Novolipetsk Steel PJSC		115,672
	230,717	Novolipetsk Steel PJSC GDR		4,430,004
	13,411	PhosAgro PJSC GDR (Registered)		149,169
	13,100	QIWI Plc Sponsored ADR		228,464
	28,460	Raspadskaya OJSC		40,828
	77,902,000	ROSSETI PJSC		1,709,628
	294,110	Rostelecom PJSC		385,081
	3,772	Rostelecom PJSC Sponsored ADR		29,572
	6,017,000	RusHydro PJSC		58,278
	5,210	Safmar Financial Investment		39,687
	1,035,107	Sberbank of Russia PJSC Sponsored ADR		14,769,576
	39,275	Severstal PJSC GDR (Registered)		481,491
	1,632,500	Surgutneftegas PJSC		955,250
	68,495	Surgutneftegas PJSC Sponsored ADR		399,251
	37,760	Tatneft PJSC		385,899
	47,847	Tatneft PJSC Sponsored ADR		2,877,133
	10,413	TCS Group Holding Plc GDR (Registered)		227,819
	1,693,000	Unipro PJSC		76,633

Shares		Description	Value ($)
		Russia — continued
	402,168	VTB Bank PJSC GDR (Registered)		517,126
		Total Russia		56,911,044
		Singapore — 1.2%
	201,300	Accordia Golf Trust		89,640
	112,900	AEM Holdings Ltd		178,480
	243,500	Asian Pay Television Trust		28,033
	80,100	Cache Logistics Trust (REIT)		39,594
	622,200	CapitaLand Commercial Trust (REIT)		834,172
	407,400	CapitaLand Ltd		1,043,706
	519,300	CapitaLand Mall Trust (REIT)		851,892
	116,400	China Sunsine Chemical Holdings Ltd		36,257
	1,095,800	ComfortDelGro Corp Ltd		1,553,658
	598,000	DBS Group Holdings Ltd		10,455,556
	135,600	First Real Estate Investment Trust		95,736
	41,100	Frasers Centrepoint Trust (REIT)		82,475
	462,700	Frasers Logistics & Industrial Trust (REIT)		413,145
	312,840	Japfa Ltd		127,256
	113,400	Keppel DC (REIT)		189,656
	115,300	Lendlease Global Commercial (REIT)		71,636
	373,568	Mapletree Commercial Trust (REIT)		566,217
	1,405,900	Mapletree Greater China Commercial Trust (REIT)		1,116,336
	442,700	Mapletree Industrial Trust (REIT)		854,315
	166,600	Mapletree Logistics Trust (REIT)		222,069
	29,000	Parkway Life Real Estate Investment Trust (REIT)		71,707
	14,200	QAF Ltd		8,524
	79,300	Sasseur Real Estate Investment Trust		45,048
	180,500	Silverlake Axis Ltd		39,252
	376,200	Singapore Exchange Ltd		2,323,060
	184,900	Singapore Technologies Engineering Ltd		560,100
	118,400	SPH (REIT)		85,932
	121,000	StarHub Ltd *		130,057
	66,000	United Overseas Bank Ltd		1,178,003
	190,600	Venture Corp Ltd		2,297,171
	26,200	Wilmar International Ltd		75,624
	12,700	Wing Tai Holdings Ltd		17,806
	5,487,999	Yangzijiang Shipbuilding Holdings Ltd		3,807,755
	598,900	Yanlord Land Group Ltd		505,123
		Total Singapore		29,994,991
		South Africa — 1.0%
	1,112,873	Absa Group Ltd		9,576,975
	5,233	Anglo American Platinum Ltd		352,226
	62,936	Astral Foods Ltd		753,897
	160,720	Barloworld Ltd		836,056
	9,779	Bid Corp Ltd		176,947
	1,088,248	Blue Label Telecoms Ltd *		174,448

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		South Africa — continued
	11,889	Coronation Fund Managers Ltd		30,451
	11,982	Discovery Ltd		74,694
	70,955	Emira Property Fund Ltd (REIT)		54,769
	385,432	Growthpoint Properties Ltd (REIT)		441,609
	14,493	Hyprop Investments Ltd (REIT)		42,039
	43,498	Imperial Logistics Ltd		129,044
	197,948	Kumba Iron Ore Ltd		3,647,868
	13,918	Lewis Group Ltd		24,517
	316,518	Liberty Holdings Ltd		1,930,044
	1,434,339	Merafe Resources Ltd		40,427
	33,464	Metair Investments Ltd		44,571
	15,764	Momentum Metropolitan Holdings		17,723
	276,619	Motus Holdings Ltd		1,296,000
	30,053	Mr Price Group Ltd		295,175
	373,979	Murray & Roberts Holdings Ltd		223,336
	8,388	Nedbank Group Ltd		95,893
	62,647	Netcare Ltd		74,298
	680,880	Old Mutual Ltd		692,665
	36,629	Rand Merchant Investment Holdings Ltd		58,228
	99,539	Raubex Group Ltd		137,176
	49,752	Redefine Properties Ltd (REIT)		17,353
	242,031	Reunert Ltd		879,971
	157,629	Sanlam Ltd		662,122
	1,864	Santam Ltd		30,480
	70,393	Sappi Ltd *		132,421
	979,797	Telkom SA SOC Ltd		1,666,795
	1,788	Tiger Brands Ltd		17,585
	184,622	Truworths International Ltd		546,973
	90,743	Tsogo Sun Gaming Ltd		55,366
	11,459	Vodacom Group Ltd		81,935
	33,277	Wilson Bayly Holmes-Ovcon Ltd		212,069
		Total South Africa		25,524,146
		South Korea — 2.2%
	27,827	Aekyung Petrochemical Co Ltd		158,458
	22,583	Aju Capital Co Ltd *		216,511
	7,547	Boryung Pharmaceutical Co Ltd		74,488
	131	Celltrion Pharm Inc *		4,373
	21,654	DB HiTek Co Ltd		438,595
	6,349	DB Insurance Co Ltd		226,692
	21,573	Dongwha Pharm Co Ltd		120,821
	24,043	Dongwon Development Co Ltd		75,626
	1,937	GOLFZON Co Ltd *		76,584
	5,470	GS Home Shopping Inc		561,554
	375,707	Hana Financial Group Inc		9,729,528
	6,813	Hansae Yes24 Holdings Co Ltd *		33,381
	1,891	HDC Hyundai Development Co-Engineering & Construction *		28,266
	13,190	Huons Co Ltd		484,816
	3,518	Hyosung Corp		204,884

Shares		Description	Value ($)
		South Korea — continued
	10,930	Hyundai Home Shopping Network Corp		665,856
	3,083	Hyundai Marine & Fire Insurance Co Ltd		57,476
	3,025	Hyundai Mobis Co Ltd		528,736
	21,209	Hyundai Motor Co		2,025,994
	17,162	Il Dong Pharmaceutical Co Ltd		192,878
	549,362	Industrial Bank of Korea *		4,332,451
	7,828	JB Financial Group Co Ltd		32,425
	10,280	KB Financial Group Inc		324,984
	6,200	KB Financial Group Inc ADR *		200,074
	405,087	Kia Motors Corp		12,223,421
	12,408	Korea Asset In Trust Co Ltd		25,450
	25,988	Korea Autoglass Corp		289,119
	5,621	KT Skylife Co Ltd		33,998
	19,329	KT&G Corp		1,344,823
	42,665	LF Corp		443,316
	16,105	LG Electronics Inc		810,082
	22,873	Mirae Asset Life Insurance Co Ltd		75,462
	8,232	S&T Motiv Co Ltd		266,563
	28,634	Samjin Pharmaceutical Co Ltd		530,007
	89,572	Samsung Electronics Co Ltd		4,031,756
	6,418	Sebang Global Battery Co Ltd		166,970
	294,434	Shinhan Financial Group Co Ltd		7,874,500
	33,537	SK Hynix Inc		2,478,068
	170,600	SK Telecom Co Ltd Sponsored ADR		3,277,226
	16,122	SL Corp *		198,548
	165,545	Woori Financial Group Inc		1,315,055
		Total South Korea		56,179,815
		Spain — 1.5%
	11,993	ACS Actividades de Construccion y Servicios SA		357,613
	63,987	Aena SME SA (c)		10,306,214
	49,891	Almirall SA *		653,746
	67,832	Cia de Distribucion Integral Logista Holdings SA		1,384,757
	10,080	eDreams ODIGEO SA *		42,181
	68,828	Enagas SA *		1,785,925
	339,628	Endesa SA		8,739,309
	32,058	Faes Farma SA		154,949
	879,035	Iberdrola SA		10,063,360
	32,382	Industria de Diseno Textil SA		1,010,284
	599,720	Mapfre SA		1,348,959
	186,960	Mediaset Espana Comunicacion SA		944,818
	107,886	Red Electrica Corp SA		2,062,053
		Total Spain		38,854,168
		Sweden — 0.9%
	2,493	AcadeMedia AB		13,973
	8,648	Atlas Copco AB – B Shares		268,004
	26,605	Axfood AB		496,099

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Sweden — continued
	83,599	Betsson AB *		428,373
	17,328	Bilia AB – Class A		167,225
	55,642	Boliden AB		1,168,549
	11,765	Bufab AB		131,282
	42,113	Cloetta AB – Class B		130,196
	485	Epiroc AB – Class A		5,602
	14,792	Epiroc AB – Class B		165,926
	7,410	Humana AB		37,418
	5,973	Instalco Intressenter AB		81,578
	18,230	Inwido AB		158,952
	17,460	JM AB		480,393
	167,266	Klovern AB – B Shares		385,945
	4,438	KNOW IT AB		81,451
	24,009	Lindab International AB		286,268
	11,022	Loomis AB – Class B		384,910
	25,580	Nobia AB		165,424
	26,056	Nobina AB		182,650
	2,352	Peab AB – Class B		23,669
	147,609	Resurs Holding AB		799,006
	90,717	Skanska AB – B Shares		1,997,626
	3,392	SkiStar AB		33,660
	38,529	Swedish Match AB		2,260,670
	23,604	Volvo AB – A Shares		369,538
	808,890	Volvo AB – B Shares		12,696,858
		Total Sweden		23,401,245
		Switzerland — 1.0%
	3,623	ALSO Holding AG (Registered)		620,030
	92	Bell Food Group AG (Registered)		23,708
	9,270	BKW AG		795,303
	2,877	Bobst Group SA (Registered) (a)		138,154
	467	Coltene Holding AG (Registered)		42,404
	1,080	Feintool International Holding AG (Registered)		52,869
	4,733	Galenica AG *		320,035
	30	Gurit Holding AG		44,695
	5,637	Huber + Suhner AG (Registered)		378,296
	158	Inficon Holding AG (Registered)		111,280
	66	Interroll Holding AG (Registered)		117,926
	2,435	Kardex AG (Registered)		384,912
	739	Komax Holding AG (Registered) (a)		141,913
	1,932	Liechtensteinische Landesbank AG		121,733
	16,123	Mobilezone Holding AG (Registered) *		177,508
	27,231	Novartis AG (Registered)		2,290,759
	2,116	Orior AG		195,477
	12,553	Roche Holding AG		3,987,876
	44,868	Roche Holding AG – Genusschein		14,426,571
	14	Schweizerische Nationalbank (Registered)		70,235
	18	Vetropack Holding AG		48,170

Shares		Description	Value ($)
		Switzerland — continued
	3,462	Wizz Air Holdings Plc *		154,051
		Total Switzerland		24,643,905
		Taiwan — 3.2%
	53,202	Mercuries Life Insurance Co Ltd *		20,420
	61,000	China Life Insurance Co Ltd *		47,879
	513,000	Nanya Technology Corp		1,276,944
	735,000	Formosa Taffeta Co Ltd		801,218
	137,000	MediaTek Inc		1,592,671
	1,364,000	China Development Financial Holding Corp		409,635
	34,000	Nantex Industry Co Ltd		33,753
	184,000	FLEXium Interconnect Inc		670,154
	13,000	Aten International Co Ltd		36,145
	88,000	Walsin Lihwa Corp *		39,984
	38,000	Cyberlink Corp		147,089
	20,000	On-Bright Electronics Inc		144,914
	4,000	Yulon Nissan Motor Co Ltd		32,858
	103,000	Topkey Corp		409,163
	38,950	OptoTech Corp		28,414
	1,996,266	Mitac Holdings Corp		2,203,412
	56,000	Formosa Advanced Technologies Co Ltd		73,485
	41,000	Transcend Information Inc		104,866
	481,000	Fubon Financial Holding Co Ltd		696,260
	3,709,000	Hon Hai Precision Industry Co Ltd		9,678,483
	10,000	Inventec Corp		7,493
	251,000	Foxconn Technology Co Ltd		487,257
	388,000	Taiwan Semiconductor Manufacturing Co Ltd		4,000,201
	332,000	Pegatron Corp		675,518
	100,743	Nuvoton Technology Corp		134,914
	429,000	Catcher Technology Co Ltd		3,218,386
	17,000	International Games System Co Ltd		333,355
	319,399	Cathay Financial Holding Co Ltd		418,495
	1,659,000	CTBC Financial Holding Co Ltd		1,231,251
	17,000	Hiroca Holdings Ltd		31,978
	7,000	Cleanaway Co Ltd		36,648
	136,606	Chailease Holding Co Ltd		508,350
	29,000	Wah Lee Industrial Corp		51,858
	70,000	Holiday Entertainment Co Ltd		152,245
	57,000	Formosa Chemicals & Fibre Corp		153,041
	2,044,000	Yuanta Financial Holding Co Ltd		1,277,866
	91,000	Quanta Storage Inc		89,710
	25,100	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		1,351,384
	178,000	Nan Ya Plastics Corp		397,682
	78,000	Huaku Development Co Ltd		221,196
	727,000	Lite-On Semiconductor Corp		971,591
	421,500	Feng TAY Enterprise Co Ltd		2,320,345
	12,000	Nien Made Enterprise Co Ltd		94,665

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Taiwan — continued
	7,600	Yulon Finance Corp		26,197
	30,000	TXC Corp		46,357
	16,000	Test Research Inc		26,595
	85,000	Soft-World International Corp		220,789
	44,820	IEI Integration Corp *		66,929
	92,000	Formosa Plastics Corp		274,642
	113,000	Kinpo Electronics		49,389
	76,000	Sampo Corp		46,355
	79,000	Taiwan Sakura Corp		120,815
	61,000	Global Mixed Mode Technology Inc		213,692
	13,000	Fusheng Precision Co Ltd		81,207
	1,654,000	Qisda Corp		1,011,464
	121,000	Walsin Technology Corp		827,970
	71,000	Merry Electronics Co Ltd		321,870
	8,000	Holy Stone Enterprise Co Ltd		25,713
	25,000	Getac Technology Corp		39,803
	45,000	Kindom Construction Corp		38,428
	42,000	Zhen Ding Technology Holding Ltd		158,000
	31,050	Sinmag Equipment Corp		104,411
	88,000	Micro-Star International Co Ltd		257,585
	40,000	YC INOX Co Ltd		33,659
	112,000	China Motor Corp *		129,643
	80,000	Shinkong Insurance Co Ltd		101,669
	207,485	Topco Scientific Co Ltd		703,008
	1,018,000	Gigabyte Technology Co Ltd		1,715,503
	146,000	Tripod Technology Corp		524,051
	93,000	Elite Material Co Ltd		363,505
	677,000	Novatek Microelectronics Corp		4,260,603
	308,000	Lite-On Technology Corp		438,496
	119,500	Syncmold Enterprise Corp		334,385
	237,929	TOPBI International Holdings Ltd		585,899
	305,000	Asustek Computer Inc		2,040,399
	8,400	Aurora Corp		24,047
	956,000	Sunplus Technology Co Ltd *		338,502
	80,600	United Integrated Services Co Ltd		479,276
	843,000	Chicony Electronics Co Ltd		2,284,223
	175,000	Quanta Computer Inc		352,994
	1,617,000	Coretronic Corp *		1,948,847
	184,000	Highwealth Construction Corp		271,215
	40,000	Amazing Microelectronic Corp		117,420
	22,080	Innodisk Corp		130,220
	5,000	Thinking Electronic Industrial Co Ltd		13,603
	65,000	ITE Technology Inc *		94,165
	4,000	Taiwan Union Technology Corp		17,003
	33,000	Sercomm Corp		79,156
	12,000	Advantech Co Ltd		114,813
	97,000	Farglory Land Development Co Ltd		120,096
	160,000	Compal Electronics Inc		96,464
	101,000	IBF Financial Holdings Co Ltd		37,747
	2,000	Wiwynn Corp		46,708

Shares		Description	Value ($)
		Taiwan — continued
	17,000	Sinbon Electronics Co Ltd		72,154
	2,631,000	Grand Pacific Petrochemical *		1,411,222
	1,154,370	Great Wall Enterprise Co Ltd		1,522,645
	70,800	Simplo Technology Co Ltd		649,001
	29,000	Chong Hong Construction Co Ltd		77,963
	2,015,000	Radiant Opto-Electronics Corp		6,383,000
	692,000	Holtek Semiconductor Inc		1,474,084
	23,300	Makalot Industrial Co Ltd		113,544
	145,000	Wistron Corp		127,231
	94,502	Sigurd Microelectronics Corp		104,742
	281,000	AcBel Polytech Inc		211,627
	5,006,000	Pou Chen Corp		5,558,037
	100,000	Uni-President Enterprises Corp		239,342
	47,000	Standard Chemical & Pharmaceutical Co Ltd		51,829
	12,000	Synnex Technology International Corp		14,759
	44,000	Taiflex Scientific Co Ltd		67,261
	23,000	Sitronix Technology Corp		106,602
	352,000	Phison Electronics Corp		3,760,444
	215,000	Taiwan Surface Mounting Technology Corp		641,582
	75,600	Ruentex Development Co Ltd *		101,804
	70,000	Teco Electric and Machinery Co Ltd		61,167
	45,000	Yageo Corp		581,176
	31,000	Zeng Hsing Industrial Co Ltd		130,879
	727,000	Taiwan PCB Techvest Co Ltd		760,163
	1,000	Lotes Co Ltd		9,550
	5,000	Tong Hsing Electronic Industries Ltd		24,386
	9,000	Kingpak Technology Inc		50,995
	30,000	Nichidenbo Corp		51,230
	27,000	Supreme Electronics Co Ltd		27,360
	30,000	Shin Zu Shing Co Ltd		133,677
	19,000	Elite Advanced Laser Corp		42,826
	6,000	Arcadyan Technology Corp		15,271
		Total Taiwan		82,946,259
		Thailand — 0.2%
	33,900	Amata Corp Pcl		15,855
	985,700	AP Thailand Pcl NVDR		193,215
	72,300	Bangkok Bank Pcl NVDR		303,227
	302,500	Beauty Community PCL		18,709
	55,900	Com7 Pcl NVDR		40,019
	82,700	Kasikornbank Pcl NVDR		315,090
	93,300	Krung Thai Bank Pcl NVDR		41,740
	349,700	Land & Houses Pcl NVDR		94,381
	64,200	Mega Lifesciences Pcl NVDR		52,156
	167,600	Pruksa Holding Pcl NVDR		76,573
	6,500	PTT Exploration & Production Pcl NVDR		22,178
	474,100	Quality Houses Pcl NVDR		34,204

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Thailand — continued
	16,100	Ratchaburi Electricity Generating Holding PCL		30,352
	76,000	Siam Commercial Bank PCL (The)		213,348
	149,700	Somboon Advance Technology Pcl NVDR		63,558
	42,500	SPCG Pcl NVDR		23,823
	74,250	Supalai Pcl (Foreign Registered)		38,629
	281,175	Supalai Pcl NVDR		146,285
	1,540,300	Thai Beverage Pcl		868,790
	763,800	Thanachart Capital Pcl (Foreign Registered)		1,291,461
	537,200	Thanachart Capital Pcl NVDR		908,317
	9,800	Tisco Financial Group PCL		30,841
	144,100	Univentures Pcl		14,694
	229,500	WHA Corp PCL		20,240
		Total Thailand		4,857,685
		Turkey — 0.7%
	268,134	Akbank TAS *		290,705
	10,176	Aksa Akrilik Kimya Sanayii AS		12,922
	896,355	Enerjisa Enerji AS		1,119,291
	539,627	Eregli Demir ve Celik Fabrikalari TAS		719,978
	53,920	Haci Omer Sabanci Holding AS		74,241
	2,213,928	KOC Holding AS		6,169,472
	8,631	Koza Altin Isletmeleri AS *		101,191
	112,494	Selcuk Ecza Deposu Ticaret ve Sanayi AS		119,986
	232,103	Soda Sanayii AS		215,190
	125,267	TAV Havalimanlari Holding AS		410,363
	207,972	Tekfen Holding AS		497,135
	4,255	Tofas Turk Otomobil Fabrikasi AS		18,146
	1,959,771	Turkiye Garanti Bankasi AS *		3,000,178
	3,927,539	Turkiye Is Bankasi – Class C *		3,616,752
	173,913	Turkiye Sinai Kalkinma Bankasi AS *		30,773
	458,602	Turkiye Vakiflar Bankasi TAO – Class D *		390,140
	13,496	Vestel Beyaz Esya Sanayi ve Ticaret AS		44,144
	44,876	Yapi ve Kredi Bankasi AS *		16,508
		Total Turkey		16,847,115
		United Arab Emirates — 0.1%
	18,511	Abu Dhabi Commercial Bank PJSC		35,378
	45,733	Al Waha Capital PJSC		10,238
	82,203	Dubai Islamic Bank PJSC		119,523
	19,622	Emaar Development PJSC		18,917
	2,293,645	Emaar Properties PJSC		2,111,515
	342,641	RAK Properties PJSC *		40,172
		Total United Arab Emirates		2,335,743

Shares		Description	Value ($)
		United Kingdom — 4.5%
	784,016	3i Group Plc		10,320,143
	28,813	Aggreko Plc		251,733
	26,842	Alliance Pharma Plc		25,994
	38,163	Ashmore Group Plc		230,529
	50,608	Ashtead Group Plc		1,586,637
	189,884	Assura Plc (REIT)		180,541
	16,880	Avast Plc		86,052
	50,109	AVEVA Group Plc		2,850,533
	6,332	Bank of Georgia Group Plc *		137,716
	866,795	Barratt Developments Plc		8,556,635
	81,583	Bellway Plc		3,948,333
	53,386	Berkeley Group Holdings Plc (The)		3,292,369
	53,669	BP Plc		278,843
	170,400	British American Tobacco Plc		6,737,488
	143,000	British American Tobacco Plc Sponsored ADR (a)		5,691,400
	3,490	Burberry Group Plc		75,209
	610,220	Centamin Plc		1,016,775
	51,430	CMC Markets Plc		98,884
	56,569	Coca-Cola HBC AG		1,804,007
	65,798	Computacenter Plc		1,394,899
	45,304	Daily Mail & General Trust Plc		434,176
	1,230	Dart Group Plc		19,699
	12,680	Derwent London Plc (REIT)		641,369
	7,000	Diageo Plc Sponsored ADR		993,370
	162,324	Dixons Carphone Plc		258,906
	85,553	Dunelm Group Plc		1,221,331
	232,927	Electrocomponents Plc		1,827,927
	19,259	EMIS Group Plc		285,289
	35,021	Empiric Student Property Plc (REIT)		41,233
	15,905	Evraz Plc		67,920
	2,414	Ferguson Plc		210,331
	775,988	Ferrexpo Plc		1,298,192
	40,670	Frasers Group Plc *		199,721
	17,315	Galliford Try Holdings Plc		34,805
	3,262	Games Workshop Group Plc		267,119
	18,813	Gem Diamonds Ltd *		13,231
	80,388	GlaxoSmithKline Plc		1,622,179
	21,171	Go-Ahead Group Plc (The)		538,274
	47,356	Great Portland Estates Plc (REIT)		511,180
	23,336	Greggs Plc		628,844
	31,785	Halma Plc		798,784
	43,349	Ibstock Plc		152,826
	179,498	IG Group Holdings Plc		1,565,923
	18,652	Imperial Brands Plc		376,808
	87,202	Inchcape Plc		651,829
	127,082	Indivior Plc *		70,606
	55,467	Intermediate Capital Group Plc		1,147,121
	1,444,360	International Consolidated Airlines Group SA		8,851,943

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United Kingdom — continued
	32,655	International Personal Finance Plc		62,419
	362,223	J Sainsbury Plc		917,670
	297,046	JD Sports Fashion Plc		2,841,596
	140,329	John Laing Group Plc		611,306
	58,538	Jupiter Fund Management Plc		228,942
	297,725	Kingfisher Plc		730,438
	802,545	Legal & General Group Plc		2,718,921
	109,953	LondonMetric Property Plc (REIT)		292,409
	73,357	Lookers Plc		42,431
	147,116	Meggitt Plc		1,036,003
	35,027	Mitchells & Butlers Plc *		151,907
	1,997	Mondi Plc		39,591
	18,252	Moneysupermarket.com Group Plc		73,425
	86,296	Morgan Advanced Materials Plc		308,093
	6,825	Morgan Sindall Group Plc		155,505
	32,281	N Brown Group Plc		23,700
	127,525	National Express Group Plc		695,437
	19,568	Next Plc		1,542,274
	33,029	Numis Corp Plc		108,239
	114,985	OneSavings Bank Plc		600,388
	14,045	Pagegroup Plc		73,316
	45,078	Paragon Banking Group Plc		265,148
	58,011	Pennon Group Plc		811,371
	295,059	Persimmon Plc		10,908,881
	186,607	Pets at Home Group Plc		623,886
	25,818	Phoenix Group Holdings Plc		231,834
	47,159	Playtech Plc		153,559
	169,604	Plus500 Ltd		2,086,256
	615,867	QinetiQ Group Plc		2,756,558
	15,424	Redde Northgate Plc		49,023
	57,784	Regional REIT Ltd		83,203
	17,597	Royal Dutch Shell Plc – Class A (a)		383,493
	23,700	Royal Dutch Shell Plc – Class B Sponsored ADR		1,055,361
	12,791	RPS Group Plc		20,518
	165,446	Sirius Real Estate Ltd		172,956
	26,100	Smith & Nephew Plc Sponsored ADR		1,176,588
	42,600	Smiths Group Plc		848,894
	36,176	Softcat Plc		495,035
	352,760	Spirent Communications Plc		951,760
	68,769	Stock Spirits Group Plc		171,752
	496,310	Tate & Lyle Plc		4,525,594
	19,017	TI Fluid Systems Plc		49,215
	54,552	UK Commercial Property REIT Ltd		55,441
	10,066	Ultra Electronics Holdings Plc		255,056
	30,370	UNITE Group Plc (The) (REIT)		441,813
	63,062	Vesuvius Plc		346,061
	35,879	Vistry Group Plc		593,754
	419,339	WM Morrison Supermarkets Plc		938,557
		Total United Kingdom		117,001,233

Shares		Description	Value ($)
		United States — 5.5%
	900	1st Source Corp.		37,845
	800	AAR Corp.		27,640
	150,803	ACCO Brands Corp. (c)		1,207,932
	62,800	Acushnet Holdings Corp.		1,598,260
	31,000	ADTRAN, Inc.		249,395
	2,000	Allied Motion Technologies, Inc.		77,080
	28,400	Alpha & Omega Semiconductor Ltd. * (a)		307,856
	6,400	Amalgamated Bank – Class A		102,464
	16,700	American Equity Investment Life Holding Co.		422,176
	81,600	Amkor Technology, Inc. * (a)		851,496
	3,000	Arcosa, Inc.		128,880
	22,900	Arlo Technologies, Inc. *		75,112
	618	Arrow Financial Corp.		19,572
	7,900	Artisan Partners Asset Management, Inc. – Class A		225,782
	79	Ashford, Inc. *		1,647
	6,000	Avid Technology, Inc.*(a)		44,340
	20,900	Avista Corp. (a)		985,435
	45,000	AVX Corp.		978,300
	11,100	Axcelis Technologies, Inc. *		266,289
	800	AZZ, Inc.		29,512
	3,600	Bancorp, Inc. (The) *		43,812
	6,000	BankFinancial Corp.		68,040
	4,700	Bassett Furniture Industries, Inc.		46,389
	817	BCB Bancorp, Inc.		9,265
	1,800	Bel Fuse, Inc. – Class B		20,592
	57,600	Benchmark Electronics, Inc.		1,565,568
	4,700	Berry Corp.		29,939
	260	Biglari Holdings, Inc. – Class B *		27,420
	62,200	Bloomin’ Brands, Inc.		1,118,978
	50,700	Brady Corp. – Class A (c)		2,400,138
	2,300	Bridgewater Bancshares, Inc. *		28,750
	31,300	Brightsphere Investment Group, Inc. *		292,655
	35,500	Brinker International, Inc. (a)		1,219,425
	7,700	Brooks Automation, Inc. (a)		265,727
	100	BRT Apartments Corp. (REIT)		1,560
	94,800	Builders FirstSource, Inc. *		2,152,908
	4,400	Camden National Corp.		180,444
	10,300	Carpenter Technology Corp. (a)		378,525
	16,900	CBIZ, Inc. *		440,076
	30,400	Cedar Realty Trust, Inc. (REIT)		78,736
	2,100	Century Bancorp, Inc. – Class A		151,830
	2,800	Citi Trends, Inc.		55,356
	4,000	Civista Bancshares, Inc.		76,560
	9,200	Clarus Corp. (a)		106,352
	2,000	CNB Financial Corp.		50,140
	2,500	Community Trust Bancorp, Inc.		96,700
	17,200	Computer Programs & Systems, Inc.		460,616
	48,400	Comtech Telecommunications Corp.(a)		1,356,168

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	1,590	Consolidated Water Co. Ltd. (a)		25,694
	22,800	Core-Mark Holding Co., Inc.		524,628
	146,100	CoreCivic, Inc. (REIT) (a)		2,163,741
	91,900	CorePoint Lodging, Inc. (REIT)		731,524
	7,715	CRA International, Inc.		358,825
	15,300	CSG Systems International, Inc.		677,025
	26,300	Curo Group Holdings Corp.		242,749
	14,700	Cushman & Wakefield Plc *		267,393
	43,900	Dana, Inc.		631,282
	15,700	Deluxe Corp. (a)		522,810
	44,400	Designer Brands, Inc. – Class A (c)		599,844
	50,600	DHI Group, Inc. *		115,368
	14,000	Diamond Eagle Acquisition Corp. – Class A *		224,280
	34,600	Digi International, Inc. *		458,104
	22,900	Dime Community Bancshares, Inc.		384,262
	1,100	Donegal Group, Inc. – Class A		15,697
	43,700	Donnelley Financial Solutions, Inc. *		380,190
	1,600	Douglas Dynamics, Inc.		69,648
	23,000	DSP Group, Inc. *		313,030
	5,100	Ducommun, Inc. *		227,715
	3,000	El Paso Electric Co.		203,610
	64,300	Ellington Financial, Inc.		1,062,879
	4,100	Emerald Holding, Inc.		28,126
	8,900	Employers Holdings, Inc.		343,006
	3,000	Enanta Pharmaceuticals, Inc. * (a)		152,640
	15,400	Encore Capital Group, Inc. * (a)		572,264
	13,800	Ennis, Inc.		277,380
	75,834	Enova International, Inc. * (c)		1,457,529
	700	EnPro Industries, Inc.		37,765
	3,600	ePlus, Inc. *		272,736
	1,800	Escalade, Inc.		15,282
	1,900	ESSA Bancorp, Inc. (a)		31,426
	56,300	Essent Group Ltd.		2,456,932
	57,000	Ethan Allen Interiors, Inc.		752,400
	6,200	EVERTEC, Inc.		184,016
	12,700	Evolution Petroleum Corp.		59,817
	5,600	Farmers National Banc Corp.		84,168
	2,900	Federal Agricultural Mortgage Corp. – Class C		217,674
	71,700	Federal Signal Corp. (a)		2,079,300
	39,100	Federated Investors, Inc. – Class B (a)		1,128,035
	7,900	FedNat Holding Co.		103,016
	5,800	Financial Institutions, Inc.		156,078
	5,900	First Community Bankshares, Inc.		154,344
	26,400	First Defiance Financial Corp.		631,356
	2,400	First Financial Corp.		95,880
	1,800	First Financial Northwest, Inc.		25,110
	73,500	Flagstar Bancorp, Inc. (a) (c)		2,343,180
	200	Flexsteel Industries, Inc.		2,748

Shares		Description	Value ($)
		United States — continued
	8,700	Flushing Financial Corp.		157,949
	2,600	FONAR Corp. *		51,948
	23,700	FormFactor, Inc. *		530,169
	52,500	Fulton Financial Corp. (a)		758,625
	27,500	Genie Energy Ltd. – Class B (a)		190,300
	5,700	GEO Group, Inc. (REIT)		83,448
	9,300	Gorman-Rupp Co. (The)		297,507
	3,600	Great Southern Bancorp, Inc.		184,716
	31,300	Greif, Inc. – Class A (a)		1,106,142
	45,100	Griffon Corp.		784,740
	28,200	Group 1 Automotive, Inc. (c)		2,403,486
	1,000	Hallmark Financial Services, Inc. * (a)		14,180
	39,100	Haverty Furniture Cos, Inc.		657,662
	3,800	HealthStream, Inc. *		92,416
	60,730	Herman Miller, Inc. (c)		2,079,395
	62,400	Hilltop Holdings, Inc. (a)		1,299,792
	500	Home Bancorp, Inc.		16,535
	1,700	HomeTrust Bancshares, Inc.		40,392
	1,600	Hurco Cos, Inc.		45,088
	13,400	Hyster-Yale Materials Handling, Inc.		645,076
	12,500	IDT Corp. – Class B *		96,250
	400	Independence Holding Co.		14,844
	9,146	Independent Bank Corp.		178,987
	12,200	Information Services Group, Inc. *		38,674
	9,900	Ingles Markets, Inc. – Class A		354,123
	22,705	Innospec, Inc. (c)		1,964,891
	43,700	Insight Enterprises, Inc. * (a) (c)		2,407,433
	7,900	Integer Holdings Corp. *		712,343
	18,700	Inter Parfums, Inc.		1,123,122
	4,900	Interface, Inc.		71,491
	35,300	International Bancshares Corp. (c)		1,203,730
	16,200	INTL. FCStone, Inc. *		737,910
	177,100	Investors Bancorp, Inc. (a)		1,866,634
	26,600	iStar, Inc. (REIT) (a)		402,458
	12,100	Johnson Outdoors, Inc. – Class A		755,161
	7,800	Kelly Services, Inc. – Class A		129,558
	10,100	Kimball Electronics, Inc. *		136,855
	32,900	Kimball International, Inc. – Class B (a)		532,322
	11,200	Knoll, Inc.		197,568
	19,800	Koppers Holdings, Inc. *		432,828
	14,300	La-Z-Boy, Inc.		409,695
	319,100	Laredo Petroleum, Inc. * (a)		344,628
	26,000	Laureate Education, Inc. – Class A *		486,200
	3,000	LCNB Corp.		47,490
	2,600	Leaf Group Ltd. *		6,838
	17,700	Legg Mason, Inc. (a)		881,814
	60,300	Liberty TripAdvisor Holdings, Inc. – Class A *		262,606
	7,300	Macatawa Bank Corp.		70,372
	15,400	Marchex, Inc. – Class B *		39,886

34 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	1,308	Marlin Business Services Corp.		25,715
	19,200	Materion Corp. (c)		870,528
	15,977	Matrix Service Co. *		193,002
	25,000	MDC Holdings, Inc. (a)		983,500
	53,400	MDC Partners Inc – Class A *		134,034
	1,100	Mercantile Bank Corp.		31,559
	81,200	Meritor, Inc. * (c)		1,842,428
	200	MicroStrategy, Inc. – Class A *		27,032
	4,800	Miller Industries, Inc.		142,608
	23,400	Modine Manufacturing Co. *		174,564
	29,200	Moog, Inc. – Class A		2,251,904
	6,700	Movado Group, Inc. (a)		98,490
	4,200	Mueller Industries, Inc. (a)		117,516
	2,200	MutualFirst Financial, Inc.		73,700
	600	NACCO Industries, Inc. – Class A		24,732
	28,800	National CineMedia, Inc. (a)		221,472
	21,100	National General Holdings Corp.		410,817
	23,400	Navient Corp.		262,782
	212,900	Newmark Group, Inc. – Class A (a)		2,033,195
	10,500	NIC, Inc. (a)		192,045
	1,600	Nicolet Bankshares, Inc. *		106,320
	1,742	Northrim BanCorp, Inc.		60,883
	74,800	Northwest Bancshares, Inc.		1,038,972
	207,800	Office Depot, Inc.		488,330
	67,500	OFG Bancorp		1,129,950
	200	Oil-Dri Corp. of America		6,086
	7,200	Olympic Steel, Inc.		86,760
	16,306	Oppenheimer Holdings, Inc. – Class A		386,941
	500	Orrstown Financial Services, Inc.		8,900
	2,800	Park-Ohio Holdings Corp.		68,656
	17,300	PC Connection, Inc. (a)		703,591
	83,400	PDL BioPharma, Inc. * (a)		283,560
	21,200	Penn Virginia Corp. * (a)		337,080
	600	Penns Woods Bancorp, Inc.		18,096
	68,400	PennyMac Financial Services, Inc. (a)		2,411,784
	125,000	PennyMac Mortgage Investment Trust (REIT) (a)		2,587,500
	3,500	Plexus Corp. *		232,225
	28,400	PNM Resources, Inc. (a)		1,337,072
	62,900	PolyOne Corp. (a)		1,557,404
	27,700	Popular, Inc. (c)		1,329,046
	30,800	Portland General Electric Co. (a) (c)		1,675,828
	400	Preformed Line Products Co.		19,520
	2,900	Premier Financial Bancorp, Inc.		48,285
	42,900	Prestige Consumer Healthcare, Inc. * (a)		1,602,744
	45,400	Progress Software Corp.		1,692,966
	3,600	Protective Insurance Corp. – Class B		51,336
	35,800	Qurate Retail, Inc. – Series A *		244,156
	131,800	Radian Group, Inc.		2,799,432
	19,200	Realogy Holdings Corp.		177,984

Shares		Description	Value ($)
		United States — continued
	3,600	Regional Management Corp. *		92,340
	2,600	Republic Bancorp, Inc. – Class A		92,924
	26,200	Resources Connection, Inc.		328,286
	3,665	Riverview Bancorp, Inc.		23,639
	8,600	Rocky Brands, Inc.		209,410
	2,100	RTI Surgical Holdings, Inc. * (a)		7,770
	12,600	Ryerson Holding Corp. *		104,958
	91,700	Sanmina Corp. * (c)		2,410,793
	7,300	Scholastic Corp.		234,257
	49,300	Schweitzer-Mauduit International, Inc. (a)		1,662,396
	1,900	SeaSpine Holdings Corp. *		26,847
	6,400	Semtech Corp. *		252,736
	3,700	Seneca Foods Corp. – Class A *		128,464
	26,600	Shoe Carnival, Inc.		795,606
	8,500	Sierra Bancorp		202,470
	2,500	SilverBow Resources, Inc. * (a)		7,025
	8,700	SM Energy Co. (a)		57,159
	48,700	Sonic Automotive, Inc. – Class A (c)		1,363,600
	3,900	Sonos, Inc. *		45,006
	500	Southern Missouri Bancorp, Inc.		16,410
	1,200	SP Plus Corp. * (a)		43,812
	13,600	SpartanNash Co.		169,048
	41,200	Spok Holdings, Inc.		410,352
	22,800	SPX Corp. *		956,004
	2,700	Standard Motor Products, Inc.		118,800
	4,000	Star Group LP		35,920
	20,700	Steelcase, Inc. – Class A		335,754
	9,700	Stepan Co. (c)		851,951
	38,200	Stoneridge, Inc. * (c)		844,220
	171,000	Summit Hotel Properties, Inc. (REIT) (c)		1,585,170
	123,500	Sunstone Hotel Investors, Inc. (REIT) (c)		1,352,325
	32,000	Sykes Enterprises, Inc. *		1,013,760
	10,500	Systemax, Inc.		219,030
	21,800	Talos Energy, Inc. * (a)		309,560
	190,136	TEGNA, Inc. (c)		2,722,748
	64,200	Telephone & Data Systems, Inc. (c)		1,292,988
	4,500	Territorial Bancorp, Inc.		114,390
	700	Timberland Bancorp, Inc.		16,275
	2,700	TPG RE Finance Trust, Inc.		51,894
	28,300	Tredegar Corp.		482,798
	9,500	TRI Pointe Group, Inc. *		145,635
	27,500	Tribune Publishing Co.		315,425
	14,700	TriCo Bancshares		497,154
	1,254	United Security Bancshares		10,860
	4,200	Unitil Corp.		236,628
	39,800	Universal Corp.		1,964,130
	41,300	Universal Forest Products, Inc.		1,935,318
	23,100	Vectrus, Inc. *		1,203,279
	50,900	Vera Bradley, Inc. * (a)		420,434
	5,600	Veritiv Corp. *		67,424

See accompanying notes to the financial statements. 35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	3,200	Village Super Market, Inc. – Class A		65,760
	3,253	Vishay Precision Group, Inc. *		89,360
	9,200	Waddell & Reed Financial, Inc. – Class A		126,592
	33,200	Walker & Dunlop, Inc. (c)		2,153,020
	24,700	Warrior Met Coal, Inc. (a)		437,684
	22,800	Waterstone Financial, Inc.		379,164
	4,700	Weis Markets, Inc.		175,075
	2,100	West Bancorporation, Inc.		42,945
	10,400	Westwood Holdings Group, Inc.		263,952
	3,900	Weyco Group, Inc.		85,566
	500	Willis Lease Finance Corp. *		28,350
	83,200	World Fuel Services Corp. (c)		2,352,896
	7,300	Worthington Industries, Inc.		232,140
	135,104	Xenia Hotels & Resorts, Inc. (REIT)		2,021,156
	29,300	Xperi Corp.		503,667
	25,500	Zumiez, Inc. *		676,515
		Total United States		141,590,519
		Vietnam — 0.0%
	71,230	Kinh Bac City Development Share Holding Corp		43,163
	9,640	PetroVietnam Gas JSC		31,804
	76,970	PetroVietnam Power Corp *		32,886
	100,200	PetroVietnam Technical Services Corp		65,096
	7,210	Pha Lai Thermal Power JSC		8,604
	14,680	Vinh Hoan Corp		19,704
		Total Vietnam		201,257
		TOTAL COMMON STOCKS (COST $1,446,929,957)		1,363,460,717
		PREFERRED STOCKS (e) — 1.2%
		Brazil — 0.3%
	234,200	Banco do Estado do Rio Grande do Sul SA – Class B		950,543
	186,000	Cia Paranaense de Energia – Class B		2,982,638
	162,600	Petroleo Brasileiro SA		921,372
	263,300	Telefonica Brasil SA		3,142,949
		Total Brazil		7,997,502
		Colombia — 0.0%
	2,263	Banco Davivienda SA		27,008
	114,152	Grupo Aval Acciones y Valores SA		47,033
		Total Colombia		74,041
		Germany — 0.1%
	742	Draegerwerk AG & Co KGaA		47,823
	11,083	Henkel AG & Co KGaA		1,032,570
	3,684	Sixt SE		225,933
	1,897	Villeroy & Boch AG		26,536
		Total Germany		1,332,862

Shares / Par Value†		Description	Value ($)
		Russia — 0.2%
	18	AK Transneft PJSC		41,026
	8,896	Bashneft PJSC		223,418
	612,040	Sberbank of Russia PJSC		2,006,847
	5,655,400	Surgutneftegas PJSC		2,777,879
		Total Russia		5,049,170
		South Korea — 0.6%
	1,464	Hyundai Motor Co Ltd-Prf		80,061
	2,278	Hyundai Motor Co Ltd-2nd Prf		141,062
	38,616	LG Electronics Inc		763,151
	366,139	Samsung Electronics Co Ltd		13,977,846
	1,517	Samsung Electronics Co Ltd GDR (Registered)		1,462,115
		Total South Korea		16,424,235
		Taiwan — 0.0%
	14,463	CTBC Financial Holding Co Ltd		31,665
		TOTAL PREFERRED STOCKS (COST $28,084,115)		30,909,475
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	945	HDC Hyundai Development Co. - Class E *		2,167
		Spain — 0.0%
	11,993	ACS Actividades de Construccion y Servicios SA *(a)		5,273
		TOTAL RIGHTS/WARRANTS (COST $5,828)		7,440
		INVESTMENT FUNDS — 1.0%
		United States — 1.0%
	26,222	iShares Core MSCI Emerging Markets ETF		1,277,274
	84,200	iShares Core S&P 500 ETF		24,915,622
		Total United States		26,192,896
		TOTAL INVESTMENT FUNDS (COST $29,670,522)		26,192,896
		DEBT OBLIGATIONS — 8.9%
		United States — 8.9%
		Asset-Backed Securities — 0.3%
	141,609	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.75%, due 07/24/29		141,751

36 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	239,140	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.43%, due 04/15/31		239,086
	108,500	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		108,499
	54,250	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 05/15/30		54,250
	119,027	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 11/17/27		119,027
	184,980	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.54%, due 07/26/31		184,979
	50,108	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.94%, due 01/18/25		50,142
	212,497	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.89%, due 04/25/26		212,672
	303,608	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.97%, due 07/20/25		303,836
	130,200	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.43%, due 04/15/30		130,199
	549,476	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.63%, due 10/25/37		547,235
	230,625	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 2.48%, due 04/25/36		230,579
	81,375	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.37%, due 04/20/30		81,374
	54,250	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		54,250
	57,058	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.44%, due 01/17/28		57,057
	280,395	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.53%, due 07/15/31		280,392
	123,918	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.40%, due 04/22/30		123,913
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		51,435

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	183,094	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		183,092
	71,978	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.99%, due 01/16/26		72,013
	499,333	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.59%, due 10/25/31		499,302
	262,028	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 05/16/31		262,021
	131,799	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 11/28/30		131,794
	144,571	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.44%, due 01/27/31		144,565
	107,415	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.38%, due 01/15/31		107,414
	—	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.00%, due 05/25/29		—
	504,773	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.10%, due 07/25/29		496,746
	154,613	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.52%, due 04/20/31		154,611
	283,955	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		283,952
	176,094	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.77%, due 07/20/30		176,238
	119,241	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.06%, due 04/25/31		119,001
	746,908	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.90%, due 06/25/37		739,301
	455,700	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/19/30		455,683
	247,836	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.49%, due 01/16/31		247,390

See accompanying notes to the financial statements. 37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	84,569	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.60%, due 10/12/30		84,476
	182,344	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 2.86%, due 05/15/26		182,464
	462,933	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 04/17/28		462,928
	404,799	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 01/17/30		404,794
	175,925	TICP CLO I-2 Ltd., Series 18-IA, Class X,, 144A, Variable Rate,, 3 mo. LIBOR + 0.63%, 2.42%, due 04/26/28		175,926
	262,463	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.88%, due 05/25/47		262,554
	152,050	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		152,340
	51,538	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.45%, due 04/18/31		51,537
		Total Asset-Backed Securities		8,820,818
		U.S. Government — 8.6%
	2,196,000	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (f)		2,262,000
	23,382,462	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (f)		24,686,764
	21,078,060	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f)		22,047,714
	23,596,181	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f)		25,029,885
	27,539,968	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (c) (f)		31,891,057
	4,868,026	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (f)		5,304,224
	31,736,187	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (f)		34,946,752
	22,382,778	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (f)		27,889,791
	7,500,000	U.S. Treasury Note, 1.38%, due 04/30/21		7,525,781
	15,300,000	U.S. Treasury Note, 1.13%, due 06/30/21		15,322,113
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 1.66%, due 01/31/22		24,994,672
		Total U.S. Government		221,900,753
		Total United States		230,721,571
		TOTAL DEBT OBLIGATIONS (COST $221,282,025)		230,721,571

	Par Value† / Shares		Description	Value ($)
			MUTUAL FUNDS — 28.8%
			United States — 28.8%
			Affiliated Issuers — 28.8%
		3,249,428	GMO Emerging Country Debt Fund, Class IV		88,839,361
		9,099,602	GMO Emerging Markets Fund, Class VI		277,719,859
		6,668,744	GMO Opportunistic Income Fund, Class VI		174,387,661
		3,846,237	GMO SGM Major Markets Fund, Class VI		119,656,426
		4,977,016	GMO Special Opportunities Fund, Class VI		81,623,064
		368,335	GMO U.S. Treasury Fund (g)		1,849,041
			TOTAL MUTUAL FUNDS (COST $740,395,493)		744,075,412
			SHORT-TERM INVESTMENTS — 8.8%
			Foreign Government Obligations — 3.0%
JPY		2,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/27/20		18,546,183
JPY		3,200,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/11/20		29,675,863
JPY		3,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		30,140,637
			TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST $76,957,052)		78,362,683
			Money Market Funds — 0.2%
		5,209,764	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (h)		5,209,764
			TOTAL MONEY MARKET FUNDS (COST $5,209,764)		5,209,764
			Repurchase Agreements — 5.6%
		144,999,384	Nomura Securities International, Inc. Repurchase Agreement, dated 02/28/20, maturing on 03/02/20 with a maturity value of $145,018,234 and an effective yield of 1.56%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $147,934,740.		144,999,384
			TOTAL REPURCHASE AGREEMENTS (COST $144,999,384)		144,999,384
			TOTAL SHORT-TERM INVESTMENTS (COST $227,166,200)		228,571,831
			TOTAL INVESTMENTS — 101.5% (Cost $2,693,534,140)		2,623,939,342

38 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (1.3)%
			Common Stocks — (1.3)%
			Austria — (0.1)%
	(12,333	)	ANDRITZ AG		(436,436	)
	(10,387	)	IMMOFINANZ AG *		(267,566	)
	(1,601	)	Schoeller-Bleckmann Oilfield Equipment AG		(65,352	)
	(58,852	)	voestalpine AG		(1,281,485	)
			Total Austria		(2,050,839	)
			Brazil — (0.1)%
	(82,200	)	Pagseguro Digital Ltd – Class A *		(2,578,614	)
	(5,800	)	StoneCo Ltd – Class A *		(231,362	)
			Total Brazil		(2,809,976	)
			Canada — (0.0)%
	(65,200	)	AltaGas Ltd		(974,903	)
			Denmark — (0.1)%
	(323	)	AP Moller – Maersk A/S – Class A		(306,295	)
	(926	)	AP Moller – Maersk A/S – Class B		(934,436	)
	(18,399	)	Chr Hansen Holding A/S		(1,326,450	)
	(13,862	)	Jyske Bank A/S (Registered) *		(477,419	)
	(5,175	)	Sydbank A/S		(95,750	)
			Total Denmark		(3,140,350	)
			Finland — (0.0)%
	(20,518	)	Metsa Board Oyj		(118,175	)
	(111,557	)	Nokia Oyj		(426,264	)
	(8,395	)	Nokian Renkaat Oyj		(219,741	)
	(5,489	)	Wartsila Oyj Abp		(57,388	)
			Total Finland		(821,568	)
			France — (0.1)%
	(98,597	)	ArcelorMittal SA		(1,404,014	)
	(32,341	)	Electricite de France SA		(453,953	)
			Total France		(1,857,967	)
			Germany — (0.2)%
	(435,590	)	Deutsche Bank AG (Registered) *		(3,824,257	)
	(20,800	)	QIAGEN NV *		(746,720	)
	(36,720	)	Telefonica Deutschland Holding AG		(96,617	)
	(26,531	)	thyssenkrupp AG *		(260,145	)
			Total Germany		(4,927,739	)
			Israel — (0.1)%
	(10,100	)	Wix.com Ltd *		(1,353,703	)
			Italy — (0.0)%
	(310,079	)	Saipem SPA *		(1,184,829	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — (0.3)%
	(13,100	)	Coca-Cola Bottlers Japan Holdings Inc		(302,139	)
	(1,600	)	CyberAgent Inc		(60,592	)
	(2,000	)	Hitachi Metals Ltd		(28,809	)
	(6,600	)	IHI Corp		(137,225	)
	(33,100	)	Japan Lifeline Co Ltd *		(403,341	)
	(98,200	)	JGC Holding Corp *		(1,187,124	)
	(1,800	)	JINS Holdings Inc *		(110,120	)
	(24,600	)	Kansai Paint Co Ltd		(533,774	)
	(20,500	)	Keikyu Corp		(309,259	)
	(11,100	)	Kobe Steel Ltd *		(40,854	)
	(33,300	)	Kyushu Electric Power Co Inc		(241,067	)
	(2,900	)	Maruichi Steel Tube Ltd		(70,042	)
	(4,600	)	Mitsubishi Materials Corp		(104,356	)
	(65,200	)	Mitsui OSK Lines Ltd *		(1,343,018	)
	(71,100	)	Nippon Yusen KK		(1,011,274	)
	(2,100	)	Odakyu Electric Railway Co Ltd		(40,358	)
	(205,600	)	Orient Corp *		(254,242	)
	(46,500	)	Yamato Holdings Co Ltd		(734,105	)
			Total Japan		(6,911,699	)
			Luxembourg — (0.0)%
	(6,300	)	Intelsat SA *		(24,318	)
			Netherlands — (0.1)%
	(14,700	)	InterXion Holding NV *		(1,247,883	)
	(5,220	)	Just Eat Takeaway *		(456,091	)
			Total Netherlands		(1,703,974	)
			Norway — (0.0)%
	(4,082	)	Borr Drilling Ltd *		(8,748	)
	(12,133	)	Wallenius Wilhelmsen ASA		(22,846	)
			Total Norway		(31,594	)
			Singapore — (0.0)%
	(134,600	)	Singapore Post Ltd		(76,190	)
			Spain — (0.1)%
	(35,181	)	Cellnex Telecom SA		(1,715,223	)
			Sweden — (0.0)%
	(3,000	)	Spotify Technology SA *		(411,360	)
	(16,418	)	Tele2 AB-Class B		(239,016	)
			Total Sweden		(650,376	)
			Switzerland — (0.0)%
	(1,089	)	Dufry AG (Registered)		(79,918	)
			United Kingdom — (0.1)%
	(2,988	)	Dechra Pharmaceuticals Plc		(102,600	)
	(6,500	)	Farfetch Ltd – Class A *		(72,605	)

See accompanying notes to the financial statements. 39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares			Description	Value ($)
			Common Stocks — continued
			United Kingdom — continued
	(358,179	)	G4S Plc		(793,077	)
	(58	)	Mediclinic International Plc		(256	)
	(220,429	)	Melrose Industries Plc		(609,622	)
	(21,519	)	Weir Group Plc (The)		(363,469	)
			Total United Kingdom		(1,941,629	)
			TOTAL COMMON STOCKS (PROCEEDS $33,694,658)		(32,256,795	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $33,694,658)		(32,256,795	)
			Other Assets and Liabilities (net) — (0.2%)		(7,752,893	)
			TOTAL NET ASSETS — 100.0%		$2,583,929,654

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/27/2020	MSCI		JPY	2,000,000,000		USD	18,275,719		(319,729	)
05/11/2020	BCLY		JPY	3,200,000,000		USD	29,273,836		(498,324	)
05/18/2020	BCLY		JPY	3,250,000,000		USD	29,732,243		(514,653	)
								$	(1,332,706	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
969	S&P 500 E-Mini	March 2020		142,980,795		8,769,546

+ Buys - Fund is long the futures.

Sales - Fund is short the futures contract. contract.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount		Value ($)
Index Options — Puts
S&P 500 Index	2,950.00		03/06/230		(57)		USD (16,839,054)		(461,130	)
S&P 500 Index	2,950.00		03/13/20		(57)		USD (16,839,054)		(576,840	)
S&P 500 Index	2,950.00		03/20/20		(57)		USD (16,839,054)		(615,600	)
			Total Equity Options — Puts						(1,653,570	)
			TOTAL WRITTEN OPTIONS (Premiums $(1,680,929))						(1,653,570	)

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 year.

40 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

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 iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS	USD	14,932,865		03/10/2020		At Maturity		—		1,779,063		1,779,063
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS	USD	5,006,250		03/11/2020		At Maturity		—		572,080		572,080
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.21%	GS	USD	4,983,300		03/16/2020		At Maturity		—		637,028		637,028
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.20%	GS	USD	3,398,800		03/23/2020		At Maturity		—		440,916		440,916
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,735,392		05/18/2020		Monthly		—		115,851		115,851
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	4,372,242		05/18/2020		Monthly		—		446,523		446,523
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,603,834		05/18/2020		Monthly		—		165,144		165,144
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	5,181,268		05/18/2020		Monthly		—		105,959		105,959
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	258,686		05/18/2020		Monthly		—		7,841		7,841
Total Return on Equity Basket(i)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	4,506,179		05/18/2020		Monthly		—		509,538		509,538
Depreciation of Total Return on CSI 500 Net Total Return Index + (1 Month USD LIBOR minus 5.70%)	Appreciation on Total Return on CSI 500 Index	GS	USD	1,746,073		12/07/2020		Monthly		—		47,179		47,179
									$	—	$	4,827,122	$	4,827,122

As of February 29, 2020, 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 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) 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.

(h) The rate disclosed is the 7 day net yield as of February 29, 2020.

(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 120.

See accompanying notes to the financial statements. 41

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Asset Allocation Fund returned +4.12% (net) for the fiscal year ended February 29, 2020, as compared with +6.88% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI ACWI and 35% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, had a small positive impact on performance, but this was more than offset by the bias away from the decently performing U.S. market towards emerging markets, which had negative performance. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark. The underweight to fixed income was detrimental to performance as the asset class did extremely well, and performance within fixed income had little compensatory impact. The Fund’s exposure to cash/cash plus detracted modestly from relative performance.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

42

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index, the MSCI

ACWI and the Bloomberg Barclays U.S. Aggregate Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may very due to different fees.

* The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg Barclays U.S. Aggregate Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

43

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		54.1	%
Debt Obligations		27.1
Short-Term Investments		8.9
Mutual Funds		5.8
Investment Funds		4.5
Preferred Stocks		0.8
Swap Contracts		0.4
Futures Contracts		0.1
Purchased Options		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		(0.1	)
Written/Credit Linked Options		(0.5	)
Securities Sold Short		(1.0	)
Other		(0.2	)
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		11.4	%
Canada		6.1
Other Emerging		4.0	†
Other Developed		0.1	‡
European Union		(0.4	)#
		21.2	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		17.9	%
China		8.2
Japan		5.0
United Kingdom		4.8
Other Emerging		4.0	†
Taiwan		3.8
Other Developed		3.8	‡
Russia		3.2
France		2.2
Netherlands		1.7
Switzerland		1.5
Spain		1.4
Italy		1.4
Germany		1.3
Singapore		1.2
		61.4	%

& 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 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.

‡ “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%.

44

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,371,345	GMO Alternative Allocation Fund, Class VI		162,822,665
	5,385,204	GMO Asset Allocation Bond Fund, Class VI		122,351,825
	10,523,507	GMO Core Plus Bond Fund, Class IV		234,253,275
	2,095,057	GMO Emerging Country Debt Fund, Class IV		57,278,855
	10,052,662	GMO Emerging Markets Fund, Class VI		306,807,240
	18,720,414	GMO International Equity Fund, Class IV		375,344,309
	1,279,930	GMO Opportunistic Income Fund, Class VI		33,470,164
	1,294,515	GMO Quality Fund, Class VI		29,476,103
	1,227,677	GMO Risk Premium Fund, Class VI		31,514,461
	9,915,131	GMO U.S. Equity Fund, Class VI		116,800,239
	4,786,291	GMO U.S. Small Cap Value Fund, Class VI		86,440,407
	144,592	GMO U.S. Treasury Fund		725,851
		TOTAL MUTUAL FUNDS (COST $1,601,912,821)		1,557,285,394
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	24,530	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 1.91%, due 02/25/36		9,702
	13,859	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.13%, due 10/25/34		13,006
	14,573	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 02/26/34		13,897
		TOTAL DEBT OBLIGATIONS (COST $35,734)		36,605

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	47,364	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50%(a)		47,364
		TOTAL SHORT-TERM INVESTMENTS (COST $47,364)		47,364
		TOTAL INVESTMENTS — 100.0% (Cost $1,601,995,919)		1,557,369,363
		Other Assets and Liabilities (net) — 0.00%		40,695
		TOTAL NET ASSETS — 100.0%		$1,557,410,058

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 February 29, 2020.

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 120.

See accompanying notes to the financial statements. 45

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Developed Equity Allocation Fund returned +2.87% (net) for the fiscal year ended February 29, 2020, as compared with +4.63% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to emerging markets were the largest detractors from performance relative to the benchmark. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

Stock selection within the U.S. proved challenging, and this was primarily due to an explicit allocation to small cap value stocks, which performed very poorly compared to the broad U.S. market at the start of 2020.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

46

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

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

47

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.1	%
Mutual Funds		9.2
Short-Term Investments		2.2
Preferred Stocks		0.4
Debt Obligations		0.3
Investment Funds		0.3
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		0.7
		100.0	%
Country/Region Summary¤	% of Investments
United States		38.2	%
Japan		10.4
United Kingdom		10.2
France		4.8
China		4.4
Switzerland		3.8
Netherlands		3.2
Spain		3.0
Germany		2.9
Italy		2.7
Taiwan		2.4
Other Emerging		2.3	†
Singapore		2.1
Sweden		2.0
Australia		1.7
Russia		1.7
Portugal		1.6
Other Developed		1.5	‡
Hong Kong		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)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	249,301	GMO Emerging Markets Fund, Class VI		7,608,658
	1,804,567	GMO International Equity Fund, Class IV		36,181,574
	404,677	GMO Quality Fund, Class VI		9,214,489
	1,152,106	GMO U.S. Equity Fund, Class VI		13,571,810
	374,866	GMO U.S. Small Cap Value Fund, Class VI		6,770,087
		TOTAL MUTUAL FUNDS (COST $73,890,891)		73,346,618
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	67,524	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (a)		67,524
		TOTAL SHORT-TERM INVESTMENTS (COST $67,524)		67,524
		TOTAL INVESTMENTS — 100.0% (Cost $73,958,415)	73,414,142
		Other Assets and Liabilities (net) — (0.0%)		(31,252	)
		TOTAL NET ASSETS — 100.0%		$73,382,890

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 49

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned +2.36% (net) for the fiscal year ended February 29, 2020, as compared with +3.89% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s underweight to the U.S. market and overweight to emerging markets were the largest detractors from performance relative to the benchmark. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

Stock selection within the U.S. proved challenging, and this was primarily due to an explicit allocation to small cap value stocks, which performed very poorly compared to the broad U.S. market at the start of 2020.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

50

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

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

51

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.8	%
Mutual Funds		9.4
Short-Term Investments		2.0
Preferred Stocks		1.1
Investment Funds		0.8
Debt Obligations		0.4
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		0.7
		100.0	%
Country/Region Summary¤	% of Investments
United States		27.9	%
China		11.9
United Kingdom		8.9
Japan		8.8
Taiwan		5.8
Russia		4.5
France		4.0
Other Emerging		3.5	†
Switzerland		3.4
Netherlands		2.7
Germany		2.6
Spain		2.5
Italy		2.3
Other Developed		2.2	‡
Singapore		2.0
Sweden		1.7
Australia		1.5
Korea		1.4
Portugal		1.3
Poland		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 wit 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 repress between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

52

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	13,282,771	GMO Emerging Markets Fund, Class VI		405,390,168
	30,339,302	GMO International Equity Fund, Class IV		608,303,007
	8,680,771	GMO Quality Fund, Class VI		197,661,153
	9,091,188	GMO U.S. Equity Fund, Class VI		107,094,199
	7,596,170	GMO U.S. Small Cap Value Fund, Class VI		137,186,837
		TOTAL MUTUAL FUNDS (COST $1,554,832,685)		1,455,635,364
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	485,493	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50%(a)		485,493
		TOTAL SHORT-TERM INVESTMENTS (COST $485,493)		485,493
		TOTAL INVESTMENTS — 100.0% (Cost $1,555,318,178)		1,456,120,857
		Other Assets and Liabilities (net) — (0.0%)		(57,107	)
		TOTAL NET ASSETS — 100.0%		$1,456,063,750

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 53

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Implementation Fund returned +0.25% (net) for the fiscal year ended February 29, 2020, as compared with +2.35% for the CPI.

The Fund’s exposure to equities, particularly the bias away from the decently performing U.S. market towards emerging markets, which had negative performance, was a primary driver of the modest performance. Fixed income strategies were additive to performance, with the most notable contributions coming from the TIPS exposure. The cash and short duration bond holdings had a marginal positive impact on performance. Within alternative strategies, Event-Driven had a positive impact on performance, but the long U.S. Small Cap Value versus short S&P 500 position was the biggest individual detractor.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

54

GMO Implementation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Implementation Fund, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		70.2	%
Debt Obligations		16.3
Short-Term Investments		10.6
Investment Funds		3.1
Preferred Stocks		1.4
Swap Contracts		0.5
Futures Contracts		0.4
Purchased Options		0.1
Mutual Funds		0.1
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		0.0	^
Forward Currency Contracts		(0.1	)
Written Options		(0.3	)
Securities Sold Short		(3.5	)
Other		1.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Canada		5.9	%
United States		1.6
Other Developed		0.2	‡
Other Emerging		0.2	†
United Kingdom		(2.4	)
		5.5	%
Country/Region Summary¤	Equity Investments % of Total Net Assets
China		13.2	%
United States		13.1
Taiwan		5.4
Other Developed		5.2	‡
Japan		5.1
United Kingdom		4.4
Russia		4.1
South Korea		3.3
Other Emerging		2.7	†
France		2.1
Netherlands		2.0
Brazil		1.7
Italy		1.6
Canada		1.5
Spain		1.4
India		1.3
Singapore		1.2
South Africa		1.2
Poland		1.0
		71.5	%

Industry Group Summary	% of Equity Investments#
Banks		13.6	%
Capital Goods		7.7
Materials		7.6
Technology Hardware & Equipment		6.9
Energy		5.8
Utilities		5.4
Real Estate		4.9
Sciences		4.8
Retailing		4.5
Equipment		4.3
Insurance		3.8
Consumer Durables & Apparel		3.7
Diversified Financials		3.5
Food, Beverage & Tobacco		3.4
Automobiles & Components		3.4
Telecommunication Services		2.9
Software & Services		2.6
Commercial & Professional Services		2.5
Media & Entertainment		1.9
Transportation		1.8
Food & Staples Retailing		1.5
Health Care Equipment & Services		1.3
Consumer Services		1.2
Household & Personal Products		1.0
Specialized Finance		0.0	^
		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.

# 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%.

56

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 70.2%
		Argentina — 0.0%
	131,900	Banco BBVA Argentina SA ADR		531,557
	67,100	Banco Macro SA ADR		1,944,558
		Total Argentina		2,476,115
		Australia — 0.8%
	677,857	Accent Group Ltd		735,123
	198,666	Adairs Ltd		316,123
	116,735	Alliance Aviation Services Ltd		179,987
	181,934	Appen Ltd (a)		2,518,034
	295,523	Asaleo Care Ltd *		203,097
	120,522	Austal Ltd		278,337
	1,438,689	Australian Pharmaceutical Industries Ltd		1,127,603
	113,567	Aventus Group (REIT)		210,216
	728,994	Beach Energy Ltd		861,724
	166,683	Brickworks Ltd		1,967,713
	170,079	Caltex Australia Ltd		3,657,647
	149,626	Charter Hall Retail (REIT)		463,200
	111,956	Codan Ltd		526,804
	293,105	CSR Ltd		810,863
	2,927,537	Fortescue Metals Group Ltd		19,554,108
	472,963	GDI Property Group (REIT)		460,479
	571,134	Genworth Mortgage Insurance Australia Ltd (a)		1,206,269
	347,174	Harvey Norman Holdings Ltd (a)		848,498
	92,940	JB Hi-Fi Ltd (a)		2,247,493
	766	Macquarie Group Ltd		68,108
	1,005,988	Mount Gibson Iron Ltd		454,907
	620,576	New Hope Corp Ltd (a)		589,487
	260,140	Rio Tinto Ltd		14,948,893
	288,828	Sandfire Resources NL		811,585
	743,788	Southern Cross Media Group Ltd		337,127
	48,836	Super Retail Group Ltd (a)		261,268
	206,102	Tassal Group Ltd		520,945
	38,022	Virtus Health Ltd		103,314
	800,352	Viva Energy (REIT)		1,419,082
		Total Australia		57,688,034
		Austria — 0.0%
	20,243	FACC AG (a)		200,085
	7,001	POLYTEC Holding AG (a)		49,260
	29,352	Vienna Insurance Group AG Wiener Versicherung Gruppe		713,873
		Total Austria		963,218
		Belgium — 0.2%
	74,471	Ageas		3,465,048
	389,955	AGFA-Gevaert NV *		1,736,361

Shares		Description	Value ($)
		Belgium — continued
	4,684	Barco NV		1,007,096
	1,106	Sipef NV * (a)		55,683
	86,015	UCB SA		7,963,777
		Total Belgium		14,227,965
		Brazil — 1.5%
	453,700	Atacadao SA		2,099,120
	446,600	Banco do Brasil SA		4,679,817
	1,319,000	Banco Santander Brasil SA		11,756,824
	1,318,539	Cia de Saneamento Basico do Estado de Sao Paulo		17,322,428
	51,600	Cia de Saneamento Basico do Estado de Sao Paulo ADR		672,348
	106,200	Cia Paranaense de Energia		1,862,579
	596,800	Cia Siderurgica Nacional SA		1,492,033
	217,700	Hypera SA		1,669,785
	32,300	Instituto Hermes Pardini SA		207,658
	5,590,800	JBS SA		28,379,695
	54,800	JSL SA		339,689
	194,400	Mahle-Metal Leve SA		1,171,556
	376,000	MRV Engenharia e Participacoes SA		1,638,731
	4,523,900	Petrobras Distribuidora SA		26,403,495
	309,300	Petroleo Brasileiro SA Sponsored ADR		3,742,530
	305,800	TIM Participacoes SA		1,103,011
	518,700	Tupy SA		2,539,042
		Total Brazil		107,080,341
		Canada — 1.6%
	169,800	AGF Management Ltd – Class B		771,674
	14,600	Bank of Nova Scotia (The)		763,801
	111,100	Bausch Health Cos Inc *		2,461,623
	97,100	Bird Construction Inc		423,920
	50,848	BRP Inc		2,084,683
	69,200	Canaccord Genuity Group Inc		258,292
	82,600	Canfor Pulp Products Inc		440,000
	21,300	Cascades Inc		173,129
	89,000	Celestica Inc *		560,954
	57,100	Centerra Gold Inc *		360,743
	14,400	CGI Inc *(b)		1,011,782
	6,100	CGI Inc *(b)		429,501
	33,000	Cogeco Communications Inc		2,611,481
	17,500	Cogeco Inc *		1,201,304
	52,100	Dundee Precious Metals Inc *		203,781
	101,700	Enbridge Inc		3,806,631
	94,400	Enerflex Ltd		520,440
	100	Equitable Group Inc		6,638
	6,600	Exco Technologies Ltd		36,977
	139,200	First Majestic Silver Corp * (a)		1,050,546
	115,500	Fortuna Silver Mines Inc *(b)		340,725

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)

February 29, 2020

Shares		Description	Value ($)
		Canada — continued
	100,900	Fortuna Silver Mines Inc * (a)(b)		295,427
	5,400	Franco-Nevada Corp		579,728
	2,400	Home Capital Group Inc *		50,870
	123,500	iA Financial Corp Inc		5,878,499
	17,600	IGM Financial Inc		469,290
	45,900	Labrador Iron Ore Royalty Corp		666,144
	23,900	Magna International Inc (b)		1,087,764
	6,100	Magna International Inc (b)		279,502
	59,600	Martinrea International Inc		510,635
	20,100	Morguard North American Residential Real Estate Investment Trust		285,121
	21,000	Real Matters Inc *		212,621
	14,300	Reitmans Canada Ltd – Class A		7,990
	342,000	Rogers Sugar Inc (a)		1,258,692
	432,700	Royal Bank of Canada		32,178,889
	95,400	Russel Metals Inc (a)		1,400,171
	978,300	Stars Group Inc (The) * (c)		22,451,985
	197,400	Sun Life Financial Inc (a) (b)		8,528,386
	148,500	Sun Life Financial Inc (a) (b)		6,421,140
	11,000	TC Energy Corp (a)		575,850
	13,800	Teekay Tankers Ltd – Class A *		228,390
	52,200	Teranga Gold Corp *		269,118
	171,400	Toronto-Dominion Bank (The)		8,816,134
	79,200	Transat AT Inc *		874,460
	46,320	Transcontinental Inc – Class A		559,740
	20,400	Wajax Corp		200,162
	31,200	Westshore Terminals Investment Corp (a)		327,516
		Total Canada		113,932,849
		Chile — 0.1%
	211,115	Aguas Andinas SA – Class A		72,533
	564,593	Banco de Chile		49,874
	15,951,108	Enel Americas SA		2,695,384
	797,100	Enel Americas SA ADR		6,855,060
	16,798	Inversiones La Construccion SA		126,450
	59,897	Parque Arauco SA		123,994
		Total Chile		9,923,295
		China — 13.3%
	5,226,000	361 Degrees International Ltd		952,317
	994,000	7Road Holdings Ltd *		363,704
	46,000	AAC Technologies Holdings Inc		307,147
	11,909,000	Agile Group Holdings Ltd		17,026,983
	7,999,300	Agricultural Bank of China Ltd – Class A		3,929,002
	82,713,000	Agricultural Bank of China Ltd – Class H		33,563,853
	225,400	Alibaba Group Holding Ltd Sponsored ADR *(a)		46,883,200
	794,000	Angang Steel Co Ltd – Class H		269,904

Shares		Description	Value ($)
		China — continued
	883,782	Anhui Conch Cement Co Ltd – Class A		7,040,902
	6,876,000	Anhui Conch Cement Co Ltd – Class H		51,495,647
	555,072	Anhui Expressway Co Ltd – Class A		415,605
	10,000	ANTA Sports Products Ltd		81,607
	198,000	Asia Cement China Holdings Corp		267,489
	18,722,000	BAIC Motor Corp Ltd – Class H		9,313,171
	88,788,000	Bank of China Ltd – Class H		35,483,216
	46,295,000	Bank of Communications Co Ltd – Class H		30,123,762
	402,000	Beijing Capital International Airport Co Ltd – Class H		316,545
	384,000	Beijing Enterprises Water Group Ltd *		180,856
	3,209,375	Beijing North Star Co Ltd – Class A		1,277,839
	18,000	Central China Real Estate Ltd		10,786
	1,000	CGN Power Co Ltd – Class H		246
	19,600	Changyou.com Ltd ADR		210,896
	5,813,000	China Cinda Asset Management Co Ltd – Class H		1,232,671
	27,123,000	China CITIC Bank Corp Ltd – Class H		14,210,162
	200	China Communications Construction Co Ltd – Class A		253
	12,430,000	China Communications Services Corp Ltd – Class H		9,766,617
	16,124,203	China Construction Bank Corp – Class A		15,124,731
	27,432,000	China Construction Bank Corp – Class H		22,555,446
	5,865,000	China Everbright Bank Co Ltd – Class H		2,369,750
	47,200	China Gas Holdings Ltd		175,384
	3,659,000	China Greenfresh Group Co Ltd *		103,520
	1,300,000	China Huarong Asset Management Co Ltd – Class H		179,569
	5,368,000	China Jinmao Holdings Group Ltd		4,004,067
	42,000	China Kepei Education Group Ltd		24,616
	10,785,000	China Lesso Group Holdings Ltd		16,461,370
	1,606,000	China Lilang Ltd		1,049,836
	8,119,000	China Machinery Engineering Corp – Class H		3,024,746
	3,981,000	China Medical System Holdings Ltd		5,034,030
	1,178,800	China Merchants Bank Co Ltd –Class A		5,862,280
	101,500	China Merchants Bank Co Ltd – Class H		488,306
	707,000	China Mobile Ltd		5,626,738
	24,350,000	China National Building Material Co Ltd – Class H		28,940,633
	3,419,934	China National Chemical Engineering Co Ltd – Class A		3,452,858
	1,720,000	China Oriental Group Co Ltd		594,655
	432,000	China Overseas Grand Oceans Group Ltd		301,985

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)

February 29, 2020

Shares		Description	Value ($)
		China — continued
	3,298,000	China Overseas Land & Investment Ltd		11,294,463
	70,000	China Overseas Property Holdings Ltd		57,628
	1,124,753	China Pacific Insurance Group Co Ltd – Class A		5,229,229
	593,000	China Pacific Insurance Group Co Ltd – Class H		1,989,302
	23,700	China Petroleum & Chemical Corp ADR		1,221,498
	52,442,000	China Petroleum & Chemical Corp – Class H		27,141,712
	24,931,200	China Railway Construction Corp Ltd – Class H		28,843,831
	5,325,000	China Railway Group Ltd – Class H		3,059,104
	273,000	China Reinsurance Group Corp – Class H		37,520
	3,788,000	China Resources Cement Holdings Ltd		4,866,953
	422,000	China Resources Gas Group Ltd		2,126,854
	2,650,000	China Resources Land Ltd		12,583,254
	14,370,000	China Resources Pharmaceutical Group Ltd		12,675,103
	5,450,000	China SCE Group Holdings Ltd		3,017,944
	4,788,063	China Shenhua Energy Co Ltd – Class A		11,055,403
	12,006,000	China Shenhua Energy Co Ltd – Class H		21,110,012
	2,513,000	China Shineway Pharmaceutical Group Ltd		2,202,306
	242,000	China South City Holdings Ltd		26,858
	771,930	China South Publishing & Media Group Co Ltd – Class A		1,246,520
	396,000	China State Construction International Holdings Ltd		325,568
	270,200	China Taiping Insurance Holdings Co Ltd		565,090
	47,230,000	China Telecom Corp Ltd – Class H		17,853,279
	1,757,893	China Vanke Co Ltd – Class A		7,569,117
	704,500	China Vanke Co Ltd – Class H		2,758,889
	5,909,879	China Yangtze Power Co Ltd – Class A		14,482,777
	150,500	China Yongda Automobiles Services Holdings Ltd		148,332
	36,200	China Yuchai International Ltd		449,604
	1,579,000	Chongqing Rural Commercial Bank Co Ltd – Class H		721,491
	7,523,000	CNOOC Ltd		10,465,331
	56,000	Colour Life Services Group Co. Ltd *		30,246
	5,463,506	Country Garden Holdings Co Ltd		7,422,483
	338,000	Dali Foods Group Co Ltd		224,753
	8,668,796	Daqin Railway Co Ltd – Class A		8,829,326
	2,212,000	Dongyue Group Ltd		1,170,363
	38,600	ENN Energy Holdings Ltd		435,423
	2,500	Fanhua Inc Sponsored ADR (a)		50,750

Shares		Description	Value ($)
		China — continued
	185,000	Fu Shou Yuan International Group Ltd		159,646
	5,286,000	Geely Automobile Holdings Ltd		9,656,162
	1,868,000	Gemdale Properties & Investment Corp Ltd		336,607
	101,500	Gree Electric Appliances Inc of Zhuhai – Class A		876,384
	811,000	Greenland Hong Kong Holdings Ltd		321,354
	8,314,000	Guangdong Investment Ltd		15,788,883
	87,300	Guangdong Provincial Expressway Development Co Ltd – Class A		94,573
	2,446,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		7,599,298
	11,083,200	Guangzhou R&F Properties Co Ltd – Class H		17,474,567
	468,000	Haier Electronics Group Co Ltd		1,364,697
	611,500	Hebei Construction Group Corp Ltd – Class H		369,258
	61	Henan Shuanghui Investment & Development Co Ltd – Class A		301
	3,940,790	Hisense Home Appliances Group Co Ltd – Class A		5,661,274
	1,659,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,655,173
	1,510,531	HLA Corp Ltd – Class A		1,485,004
	72,500	Hollysys Automation Technologies Ltd		1,097,650
	120,000	Hopson Development Holdings Ltd		109,706
	9,650,000	Huabao International Holdings Ltd		3,842,904
	1,480,317	Huaxin Cement Co Ltd – Class A		5,253,924
	537,000	Huayu Automotive Systems Co Ltd – Class A		2,197,189
	4,272,000	IGG Inc		3,152,312
	10,871,146	Industrial & Commercial Bank of China Ltd – Class A		8,295,967
	28,324,000	Industrial & Commercial Bank of China Ltd – Class H		19,512,380
	100	Jiangsu Expressway Co Ltd – Class A		145
	169,000	Jingrui Holdings Ltd		54,211
	38,000	JNBY Design Ltd		41,450
	822,000	Ju Teng International Holdings Ltd		183,712
	8,560	Jumei International Holding Ltd *		165,807
	397,000	Kingboard Chemical Holdings Ltd		1,063,965
	925,000	Kingboard Laminates Holdings Ltd		945,896
	872,000	Kunlun Energy Co Ltd		616,882
	30,816	Lao Feng Xiang Co Ltd – Class A		193,905
	1,470,000	Livzon Pharmaceutical Group Inc – Class H		5,276,614
	2,676,000	Logan Property Holdings Co Ltd		4,674,298
	905,500	Longfor Properties Co Ltd		4,282,747
	8,292,000	Lonking Holdings Ltd		2,345,015
	1,669,000	Metallurgical Corp of China Ltd – Class H		326,856
	1,235,560	Midea Group Co Ltd – Class A		9,567,392

See accompanying notes to the financial statements. 59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		China — continued
	3,200	NetEase Inc ADR (a)		1,019,872
	319,300	New China Life Insurance Co Ltd – Class H		1,248,184
	67,000	Nexteer Automotive Group Ltd		50,043
	1,118,000	Nine Dragons Paper Holdings Ltd		1,343,033
	592,000	PAX Global Technology Ltd		296,178
	15,409,000	PICC Property & Casualty Co Ltd – Class H		16,294,669
	1,835,712	Ping An Insurance Group Co of China Ltd – Class A		20,876,683
	261,500	Ping An Insurance Group Co of China Ltd – Class H		2,979,110
	30,055,000	Postal Savings Bank of China Co Ltd – Class H		19,174,747
	799,000	Powerlong Real Estate Holdings Ltd		508,423
	1,000	Qingdao Port International Co Ltd – Class A		845
	100,000	Redco Properties Group Ltd		46,275
	212,000	Redsun Properties Group Ltd		67,056
	105,000	Road King Infrastructure Ltd		181,216
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		194,437
	8,770,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		16,199,997
	422,348	Shenzhen Expressway Co Ltd – Class A		579,623
	540,000	Shenzhen Expressway Co Ltd – Class H		657,529
	819,228	Shenzhen Investment Ltd		276,893
	183,400	Shenzhou International Group Holdings Ltd		2,321,070
	12,071,076	Shimao Property Holdings Ltd		44,244,171
	820,000	Shui On Land Ltd		164,281
	900,000	Sino Biopharmaceutical Ltd		1,333,918
	1,753,782	Sinoma International Engineering Co – Class A		1,552,181
	852,500	Sinopec Engineering Group Co Ltd – Class H		424,388
	2,812,970	Sinopec Shanghai Petrochemical Co Ltd – Class A		1,618,878
	23,738,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		6,154,382
	908,500	Sinotruk Hong Kong Ltd		1,766,106
	2,799,071	Suning Universal Co Ltd – Class A		1,276,790
	54,800	Sunny Optical Technology Group Co Ltd		890,359
	135,900	Tencent Holdings Ltd		6,890,769
	119,600	Tencent Holdings Ltd ADR		5,938,140
	1,631,000	Texhong Textile Group Ltd		1,726,426
	654,000	Tianjin Development Holdings Ltd		164,095
	914,000	Tianjin Port Development Holdings Ltd		81,924
	8,780,000	Tianneng Power International Ltd		6,546,168

Shares		Description	Value ($)
		China — continued
	286,600	Wangfujing Group Co Ltd - Class A		503,695
	1,805,000	Want Want China Holdings Ltd		1,416,782
	9,936,000	Weichai Power Co Ltd – Class H		19,935,211
	3,094,976	Weifu High-Technology Group Co Ltd – Class A		8,742,471
	3,218,000	West China Cement Ltd		529,449
	524,000	XTEP International Holdings Ltd		215,046
	1,126,000	Yadea Group Holdings Ltd		307,954
	111,800	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		692,242
	376,310	Youngor Group Co Ltd – Class A		354,662
	98,000	Yuexiu Property Co Ltd		20,294
	192,000	Yuexiu Transport Infrastructure Ltd		149,699
	32,300	Yum China Holdings Inc		1,414,417
	4,094,283	Yuzhou Properties Co Ltd		2,046,736
	2,790,000	Zhejiang Expressway Co Ltd – Class H		2,125,791
	2,535,188	Zhejiang Weixing New Building Materials Co Ltd – Class A		4,340,828
	118,200	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		98,483
	383,000	Zhongsheng Group Holdings Ltd		1,474,790
	46,300	Zhuzhou CRRC Times Electric Co Ltd – Class H		164,442
	68,200	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		57,541
		Total China		949,110,716
		Colombia — 0.0%
	7,334	Cementos Argos SA		11,045
		Denmark — 0.0%
	44,629	Matas A/S		371,150
	20,350	Novo Nordisk A/S – Class B		1,192,285
	73,915	Scandinavian Tobacco Group A/S		949,935
		Total Denmark		2,513,370
		Finland — 0.0%
	2,366	Aktia Bank Oyj		26,928
	40,594	Kemira Oyj		516,859
	8,911	Sanoma Oyj		101,695
	40,752	Tokmanni Group Corp		546,520
		Total Finland		1,192,002
		France — 2.6%
	36,611	Alten SA		4,100,197
	2,609	Assystem SA		77,421
	2,426	Axway Software SA *		46,447
	67,945	BNP Paribas SA		3,298,070
	2,088	Boiron SA		74,473
	1,034	Caisse Regionale de Credit Agricole Mutuel Nord de France		34,645

60 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		France — continued
	8,955	Christian Dior SE		3,825,554
	1,976	Cie des Alpes *		50,716
	6,595	Cie Generale des Etablissements Michelin SCA		706,764
	34,912	CNP Assurances		548,687
	87,376	Coface SA *		960,213
	42,614	Dassault Systemes SE (c)		6,761,281
	26,212	Faurecia SE		1,198,606
	31,827	Fnac Darty SA *		1,456,708
	80,924	Gaztransport Et Technigaz SA		7,247,957
	3,966	GL Events		75,090
	975	Groupe Crit		63,893
	1,125	HEXAOM		41,780
	136,690	Ingenico Group SA		19,482,330
	9,943	Interparfums SA		341,751
	2,185	Ipsen SA		142,833
	57,635	IPSOS		1,786,060
	14,111	Kaufman & Broad SA		570,311
	148,857	L’Oreal SA		40,010,431
	17,890	Lagardere SCA		311,358
	2,885	Mersen SA		84,939
	136,676	Metropole Television SA		2,011,876
	4,276	Nexans SA		197,113
	1,012,180	Peugeot SA (a)		19,615,103
	99,525	Quadient		2,149,999
	3,353	Rothschild & Co		79,617
	57,500	Safran SA		7,959,628
	446,823	Sanofi		41,673,295
	18,900	Sanofi ADR		874,125
	22,277	Schneider Electric SE		2,263,330
	39,515	STMicroelectronics NV		1,090,605
	413,000	STMicroelectronics NV – NY Shares (a)		11,316,200
	2,012	Synergie SA		53,423
	169,656	Television Francaise 1 *		1,303,938
	1,121	Union Financiere de France BQE SA		24,035
	3,484	Vilmorin & Cie SA		154,994
		Total France		184,065,796
		Germany — 1.1%
	2,507	adidas AG		705,841
	87,920	Allianz SE (Registered)		19,153,360
	5,744	Amadeus Fire AG		809,556
	3,675	Bauer AG		57,177
	103,926	Bayer AG (Registered)		7,558,126
	11,420	Bayerische Motoren Werke AG		753,522
	10,560	Beiersdorf AG		1,115,116
	86,095	Borussia Dortmund GmbH & Co KGaA		732,806
	26,473	Carl Zeiss Meditec AG		2,816,305

Shares		Description	Value ($)
		Germany — continued
	509,316	CECONOMY AG *		2,456,073
	1,429	Cewe Stiftung & Co KGaA		153,360
	26,749	CropEnergies AG		277,705
	118,472	Deutsche Pfandbriefbank AG (c)		1,681,623
	430,898	Deutz AG		2,053,778
	223,062	Dialog Semiconductor Plc *		7,695,169
	1,405	Draegerwerk AG & Co KGaA		64,723
	5,320	DWS Group GmbH & Co KGaA		194,091
	6,632	Eckert & Ziegler Strahlen- und Medizintechnik AG		1,127,806
	3,871	Elmos Semiconductor AG		91,710
	2,718	Gesco AG		56,506
	1,207	Grammer AG		34,325
	45,622	Hamburger Hafen und Logistik AG		973,702
	23,047	Hannover Rueck SE		4,173,062
	3,944	Henkel AG & Co KGaA		337,096
	3,030	Hornbach Holding AG & Co KGaA		172,052
	2,930	Merck KGaA		356,535
	129,752	METRO AG		1,515,609
	2,835	OHB SE		110,560
	50,634	Siemens Healthineers AG		2,070,317
	26,134	Siltronic AG		2,482,035
	9,717	Software AG		319,681
	53,178	TAG Immobilien AG		1,306,752
	24,332	Takkt AG		312,390
	63,327	Talanx AG *		2,828,746
	18,530	VERBIO Vereinigte BioEnergie AG		197,076
	61,209	Volkswagen AG		10,397,043
	83,462	Wacker Neuson SE		1,178,234
	29,237	Wuestenrot & Wuerttembergische AG		552,092
		Total Germany		78,871,660
		Hong Kong — 0.5%
	166,100	ASM Pacific Technology Ltd		2,008,705
	279,800	Budweiser Brewing Co APAC Ltd *		854,124
	586,000	Cafe de Coral Holdings Ltd		1,294,192
	3,206,000	CITIC Telecom International Holdings Ltd		1,172,724
	1,590,000	CSI Properties Ltd		54,569
	520,000	Dah Sing Banking Group Ltd		648,980
	509,200	Dah Sing Financial Holdings Ltd		1,803,731
	35,000	Emperor Entertainment Hotel Ltd		5,866
	858,000	Giordano International Ltd		202,255
	677,000	HKT Trust & HKT Ltd – Class SS		1,019,320
	1,600,213	I-CABLE Communications Ltd *		14,205
	648,000	Johnson Electric Holdings Ltd		1,509,796
	178,000	LVGEM China Real Estate Investment Co. Ltd		53,419
	302,000	Man Wah Holdings Ltd		224,071
	138,000	Pico Far East Holdings Ltd		34,986

See accompanying notes to the financial statements. 61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Hong Kong — continued
	245,000	Prosperity REIT		89,499
	229,000	Regal Real Estate Investment Trust		50,131
	536,000	Singamas Container Holdings Ltd		51,894
	992,000	SJM Holdings Ltd		1,148,594
	735,000	Sun Hung Kai & Co Ltd		329,764
	22,000	Sunlight Real Estate Investment Trust		13,093
	46,000	TAI Cheung Holdings Ltd		35,632
	484,000	VSTECS Holdings Ltd		233,607
	198,700	VTech Holdings Ltd		1,759,295
	10,755,000	WH Group Ltd		11,286,411
	414,000	Wheelock & Co Ltd		3,181,025
	160,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		23,194
	596,000	Xinyi Glass Holdings Ltd		746,222
	720,500	Yue Yuen Industrial Holdings Ltd		1,748,435
		Total Hong Kong		31,597,739
		Hungary — 0.1%
	2,237,043	Magyar Telekom Telecommunications Plc		2,915,381
	13,362	Richter Gedeon Nyrt		272,167
		Total Hungary		3,187,548
		India — 1.3%
	104,228	Asian Paints Ltd		2,624,820
	60,251	Bajaj Auto Ltd		2,423,919
	1,125,508	Balrampur Chini Mills Ltd		2,269,718
	27,953	Dr Reddy’s Laboratories Ltd		1,133,655
	134,700	Dr Reddy’s Laboratories Ltd ADR		5,409,552
	762,659	Firstsource Solutions Ltd		428,767
	141,094	Granules India Ltd		315,861
	2,815,544	HCL Technologies Ltd		21,122,342
	192,314	HDFC Bank Ltd		3,159,698
	527,413	Hindustan Petroleum Corp Ltd		1,450,308
	80,293	Hindustan Unilever Ltd		2,434,105
	102,379	Housing Development Finance Corp Ltd		3,121,044
	542,577	ICICI Bank Ltd		3,780,104
	312,581	Indiabulls Housing Finance Ltd		1,239,574
	3,060,830	Indian Oil Corp Ltd		4,530,376
	1,488,596	ITC Ltd		4,074,729
	320,437	Just Dial Ltd *		2,083,085
	155,879	Kotak Mahindra Bank Ltd		3,526,829
	12,244	Manappuram Finance Ltd		28,148
	235,368	Mphasis Ltd		2,912,782
	495,830	National Aluminium Co Ltd		230,876
	5,796,251	Power Finance Corp Ltd		8,860,481
	1,667,272	PTC India Ltd		1,152,469
	168,162	Rain Industries Ltd		241,950
	31,999	Rajesh Exports Ltd		294,106
	7,163,957	REC Ltd		11,820,777

Shares		Description	Value ($)
		India — continued
	177,382	Sonata Software Ltd		823,225
	126,805	Titan Co Ltd		2,220,201
	45,968	TV Today Network Ltd		138,570
	61,700	Vedanta Ltd ADR		405,369
	37,188	Zuari Agro Chemicals Ltd *		41,248
		Total India		94,298,688
		Indonesia — 0.1%
	2,455,700	Adaro Energy Tbk PT		201,245
	476,900	Bank Central Asia Tbk PT		1,053,429
	117,900	Bank Mandiri Persero Tbk PT		61,319
	45,300	Bank Negara Indonesia Persero Tbk PT		22,691
	1,386,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		59,693
	7,270,000	Bank Rakyat Indonesia Persero Tbk PT		2,172,471
	2,540,600	Gajah Tunggal Tbk PT *		69,918
	2,265,400	Indo Tambangraya Megah Tbk PT		1,816,748
	55,674,300	Panin Financial Tbk PT *		988,738
		Total Indonesia		6,446,252
		Ireland — 0.2%
	126,760	AIB Group Plc		295,782
	248,030	Bank of Ireland Group Plc		928,697
	199,000	CRH Plc Sponsored ADR		6,742,120
	27,541	Glanbia Plc		323,559
	502,932	Hibernia REIT Plc		679,180
	265,233	Irish Residential Properties REIT Plc		413,223
	3,243	Kerry Group Plc – Class A		411,967
	118,827	Origin Enterprises Plc		367,785
	94,732	Permanent TSB Group Holdings Plc *		86,587
	121,418	Smurfit Kappa Group Plc		4,090,558
	81,464	Total Produce Plc (a)		108,965
		Total Ireland		14,448,423
		Israel — 0.0%
	12,365	AudioCodes Ltd		262,698
	11,933	Nova Measuring Instruments Ltd *		411,190
	1,549,208	Oil Refineries Ltd		524,862
	223	Paz Oil Co Ltd		24,453
		Total Israel		1,223,203
		Italy — 1.7%
	44,404	ACEA SPA		935,186
	45,007	Anima Holding SpA		198,706
	178,721	Arnoldo Mondadori Editore SPA *		306,651
	30,499	Ascopiave SpA		132,756
	11,594	Assicurazioni Generali SPA		209,287
	372,988	Banca Mediolanum SPA		3,048,453
	141,506	Buzzi Unicem SpA		3,103,919

62 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Italy — continued
	44,808	Cementir Holding NV		288,989
	142,141	Cofide SPA		79,662
	230,240	Enav SPA		1,370,972
	4,893,755	Enel SPA		41,074,181
	455,755	EXOR NV		32,549,229
	265,696	Falck Renewables SpA		1,741,539
	1,168,453	Fiat Chrysler Automobiles NV		14,723,239
	948,003	Hera SPA		4,069,004
	154,487	IMMSI SPA * (a)		80,796
	1,342,355	Iren SPA		4,155,182
	414,242	Italgas SpA		2,531,469
	41,691	La Doria SPA		378,773
	12,542	Leonardo SPA		128,625
	304,279	Piaggio & C SpA		727,880
	13,622	Prima Industrie SPA (a)		219,010
	3,343	Reply SPA		254,228
	4,202	Sabaf SPA		57,681
	735,986	Saras SPA		870,201
	4,286	Sesa SpA		225,652
	277,181	Societa Cattolica di Assicurazioni SC		2,038,116
	412,525	Unipol Gruppo SPA		2,055,429
	924,284	UnipolSai Assicurazioni SPA		2,309,301
		Total Italy		119,864,116
		Japan — 5.3%
	34,600	ADEKA Corp		449,350
	17,600	Aichi Corp		101,282
	14,500	Aida Engineering Ltd		106,628
	116,600	Amada Holdings Co Ltd		1,087,162
	65,200	AOKI Holdings Inc		550,839
	4,300	Arata Corp		163,911
	11,400	Arcland Sakamoto Co Ltd		114,777
	1,386,300	Asahi Kasei Corp (c)		11,353,749
	2,314,000	Astellas Pharma Inc		36,267,794
	123,200	Bandai Namco Holdings Inc		6,169,955
	10,400	Bando Chemical Industries Ltd		67,078
	603,900	Brother Industries Ltd		10,696,920
	7,100	Canon Electronics Inc		121,525
	29,600	Canon Marketing Japan Inc		679,350
	77,600	Casio Computer Co Ltd		1,321,990
	22,500	Central Glass Co Ltd		428,754
	23,000	Chiba Kogyo Bank Ltd (The)		60,091
	4,600	Chiyoda Integre Co Ltd		76,524
	5,300	Chugai Pharmaceutical Co Ltd (a)		570,121
	8,300	Cleanup Corp		39,735
	5,400	CONEXIO Corp		67,760
	62,700	Dai Nippon Printing Co Ltd (a)		1,510,896
	15,600	Dai Nippon Toryo Co Ltd		129,549
	4,500	Dai-Dan Co Ltd		109,456
	42,000	Daicel Corp		360,781

Shares		Description	Value ($)
		Japan — continued
	5,500	Daiichi Jitsugyo Co Ltd		170,190
	5,400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		116,174
	4,300	Daito Pharmaceutical Co Ltd		113,808
	15,100	Daiwa Industries Ltd		137,957
	44,900	Daiwabo Holdings Co Ltd		2,264,612
	59,600	DCM Holdings Co Ltd (a)		540,450
	31,900	DTS Corp		579,431
	3,400	Elecom Co Ltd		114,446
	5,500	ESPEC Corp		100,900
	30,300	FJ Next Co Ltd (a)		264,153
	19,300	Foster Electric Co Ltd		256,356
	192,200	Fuji Electric Co Ltd		5,271,360
	6,600	Fuji Pharma Co Ltd		65,041
	130,900	FUJIFILM Holdings Corp (c)		6,356,811
	2,800	Fujimori Kogyo Co Ltd		73,795
	31,400	Fujitsu General Ltd		623,320
	189,700	Fujitsu Ltd		19,781,191
	1,900	Fukuda Corp		68,892
	22,400	Furuno Electric Co Ltd (a)		188,922
	12,000	Furyu Corp		114,117
	11,400	G-7 Holdings Inc		231,919
	36,900	Geo Holdings Corp		399,056
	52,100	Hakuhodo DY Holdings Inc		602,093
	10,300	Hakuto Co Ltd		104,104
	27,600	Haseko Corp		355,706
	9,000	Heiwado Co Ltd		139,458
	24,800	Hisamitsu Pharmaceutical Co Inc (a)		1,097,666
	184,714	Hitachi Chemical Co Ltd *		7,822,360
	738,600	Hitachi Ltd		24,666,257
	20,300	Hochiki Corp		225,580
	42,500	Hokuetsu Corp		171,666
	570,700	Honda Motor Co Ltd		14,640,986
	4,200	Hosokawa Micron Corp		190,991
	19,000	House Foods Group Inc (c)		559,050
	17,200	Infocom Corp		431,859
	10,200	Information Services International-Dentsu Ltd		438,956
	565,800	ITOCHU Corp		12,821,813
	36,700	Itochu Enex Co Ltd		285,547
	79,900	Itochu Techno-Solutions Corp		2,237,946
	1,800	Itochu-Shokuhin Co Ltd		74,643
	33,500	Itoki Corp		110,047
	23,100	Japan Aviation Electronics Industry Ltd		369,590
	30,900	Jeol Ltd		809,542
	3,300	JSP Corp		49,812
	447,200	JVCKenwood Corp		902,227
	76,000	K’s Holdings Corp		830,160
	21,300	Kajima Corp		228,282
	22,300	Kaken Pharmaceutical Co Ltd		1,075,947

See accompanying notes to the financial statements. 63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Japan — continued
	17,700	Kamei Corp		159,513
	187,300	Kanematsu Corp		2,033,725
	9,200	Kanematsu Electronics Ltd		261,652
	400	Kanemi Co Ltd		10,646
	22,900	Kasai Kogyo Co Ltd		140,928
	3,400	Kato Sangyo Co Ltd		93,681
	777,300	KDDI Corp		21,961,489
	39,700	Keihin Corp (a) (c)		951,281
	22,500	Kissei Pharmaceutical Co Ltd		543,580
	57,800	Kitz Corp		340,171
	1,479,289	Konica Minolta Holdings Inc		8,094,756
	2,600	Krosaki Harima Corp		132,847
	18,300	Kumagai Gumi Co Ltd (a)		482,620
	12,800	Kureha Corp		640,118
	23,700	Kyoei Steel Ltd		357,225
	27,900	KYORIN Holdings Inc		558,308
	20,800	Kyosan Electric Manufacturing Co Ltd (a)		89,230
	309,600	L/C Corp *		15,391,691
	50,000	LIXIL VIVA Corp		943,638
	63,600	Makino Milling Machine Co Ltd (a)		2,138,812
	6,100	Maruzen Showa Unyu Co Ltd		135,705
	5,700	Matsuda Sangyo Co Ltd		74,494
	74,700	MCJ Co Ltd		429,055
	38,000	Meidensha Corp		606,641
	8,900	METAWATER Co Ltd		314,773
	1,431,900	Mitsubishi Chemical Holdings Corp		9,572,787
	12,600	Mitsuboshi Belting Ltd		172,439
	14,300	Mitsui Sugar Co Ltd		251,209
	39,500	Modec Inc		661,604
	39,000	MTI Ltd		202,505
	83,700	NEC Corp (c)		3,142,318
	19,000	Nichias Corp		389,917
	11,400	Nichiha Corp		238,372
	206,600	Nikon Corp		2,110,371
	102,500	Nippo Corp		2,312,658
	32,200	Nippon Flour Mills Co Ltd		477,373
	71,600	Nippon Kayaku Co Ltd		786,715
	677,900	Nippon Light Metal Holdings Co Ltd		1,184,076
	26,600	Nippon Soda Co Ltd		684,449
	1,562,600	Nippon Telegraph & Telephone Corp		36,455,101
	22,900	Nisshin Oillio Group Ltd (The)		706,985
	4,300	Nissin Corp		59,031
	93,000	Nissin Electric Co Ltd		885,249
	83,600	Nomura Real Estate Holdings Inc		1,803,728
	21,100	NS Solutions Corp		590,737
	52,100	NTT DOCOMO Inc		1,410,288
	4,700	NuFlare Technology Inc		522,923
	577,400	Obayashi Corp		5,824,847
	2,400	Obic Co Ltd		296,318

Shares		Description	Value ($)
		Japan — continued
	1,700	Okinawa Cellular Telephone Co		61,399
	10,600	Organo Corp		624,852
	7,000	Osaka Soda Co Ltd		165,010
	11,800	Osaki Electric Co Ltd		59,621
	25,300	Prima Meat Packers Ltd		520,386
	25,000	Proto Corp		251,374
	25,000	Raiznext Corp		278,097
	8,700	Ryoden Corp		120,421
	9,500	Sac’s Bar Holdings Inc		64,001
	26,600	San-Ai Oil Co Ltd		228,895
	25,000	Sanki Engineering Co Ltd		293,339
	11,000	Sanyo Chemical Industries Ltd		446,527
	19,600	Seikitokyu Kogyo Co Ltd		146,810
	36,000	Seiko Holdings Corp		695,290
	60,100	Seino Holdings Co Ltd		651,351
	227,000	Sekisui Chemical Co Ltd		3,395,219
	7,300	Sekisui Jushi Corp		142,950
	449,700	Shimizu Corp		4,088,834
	10,500	Shin-Etsu Polymer Co Ltd		81,980
	11,300	Shinnihon Corp		79,250
	19,200	Shizuoka Gas Co Ltd		152,468
	175,700	Showa Corp		3,755,772
	2,300	Sinanen Holdings Co Ltd		42,749
	18,100	Sinko Industries Ltd		253,662
	21,500	Sintokogio Ltd		153,703
	2,284,100	Sojitz Corp		6,619,927
	1,300	Starzen Co Ltd		50,626
	219,000	SUMCO Corp		3,316,093
	3,795,900	Sumitomo Chemical Co Ltd		13,832,226
	131,300	Sumitomo Dainippon Pharma Co Ltd		1,873,455
	6,600	Sumitomo Seika Chemicals Co Ltd		171,534
	25,900	T-Gaia Corp (a) (c)		490,774
	43,500	Takara Leben Co Ltd		172,234
	12,900	Takasago Thermal Engineering Co Ltd		198,488
	14,600	Tamron Co Ltd		321,921
	14,800	Tatsuta Electric Wire and Cable Co Ltd		70,884
	150,000	Teijin Ltd		2,459,648
	7,600	Token Corp		522,888
	30,500	Tokyo Electron Ltd		6,371,803
	9,600	Tokyo Seimitsu Co Ltd		302,894
	93,300	Tokyu Construction Co Ltd (c)		581,690
	11,100	Toli Corp		26,555
	29,900	Toppan Forms Co Ltd		284,401
	89,500	Toppan Printing Co Ltd		1,565,081
	9,400	Torii Pharmaceutical Co Ltd		281,086
	44,400	Tosei Corp		476,193
	8,700	Toshiba TEC Corp		320,882
	102,100	Tosoh Corp		1,381,736
	8,100	Towa Pharmaceutical Co Ltd		160,289
	16,900	Toyo Ink SC Holdings Co Ltd		326,592
	52,500	Toyo Suisan Kaisha Ltd		2,087,248
	137,700	TS Tech Co Ltd		3,561,091

64 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Japan — continued
	16,200	Unipres Corp		173,771
	54,200	Ushio Inc		676,054
	13,600	Vital KSK Holdings Inc		125,927
	34,400	Wacoal Holdings Corp		800,986
	23,000	Warabeya Nichiyo Holdings Co Ltd (a)		347,031
	39,200	YAMABIKO Corp		314,049
	35,000	Yamazen Corp		280,459
	33,400	Yellow Hat Ltd		445,324
	10,900	Yuasa Trading Co Ltd		306,422
		Total Japan		377,361,967
		Malaysia — 0.1%
	4,480,600	DRB-Hicom Berhad		2,383,129
	213,400	MISC Berhad		388,528
	42,900	Sime Darby Berhad		20,513
	6,670,090	Supermax Corp Berhad		2,537,848
	355,400	Ta Ann Holdings Berhad *		253,218
	451,700	Telekom Malaysia Berhad		398,890
		Total Malaysia		5,982,126
		Mexico — 0.7%
	204,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		262,571
	79,400	Concentradora Fibra Danhos SA de CV		110,933
	76,800	Corp Inmobiliaria Vesta SAB de CV		122,089
	117,000	Credito Real SAB de CV SOFOM ER		124,175
	25,800	El Puerto de Liverpool SAB de CV – Class C1		121,902
	5,030,600	Fibra Uno Administracion SA de CV (REIT)		7,618,868
	837,200	Gentera SAB de CV		805,597
	1,700	Grupo Aeroportuario del Centro Norte SAB de CV ADR		88,536
	740,500	Grupo Financiero Banorte SAB de CV – Class O		4,048,804
	92,000	Grupo Financiero Inbursa SAB de CV – Class O		99,792
	247,513	Grupo Herdez SAB de CV		451,064
	107,000	Qualitas Controladora SAB de CV		459,356
	211,600	Unifin Financiera SAB de CV SOFOM ENR		328,747
	11,952,400	Wal-Mart de Mexico SAB de CV		33,647,436
		Total Mexico		48,289,870
		Netherlands — 2.1%
	3,038	Adyen NV *		2,673,880
	394,986	ASR Nederland NV (c)		13,292,142
	32,347	ForFarmers NV (a)		198,238
	116,841	Heineken Holding NV		10,375,201

Shares		Description	Value ($)
		Netherlands — continued
	816	Hunter Douglas NV		48,964
	786,026	ING Groep NV		7,526,853
	374,700	InterXion Holding NV * (a)		31,808,283
	582,388	Koninklijke Ahold Delhaize NV		13,605,898
	95,278	Koninklijke Philips NV		4,080,204
	32,664	Koninklijke Volkerwessels NV *		791,819
	7,052	Koninklijke Vopak NV		335,708
	197,133	Randstad NV		10,156,857
	688,919	Signify NV		20,527,345
	455,832	Wolters Kluwer NV		33,349,343
		Total Netherlands		148,770,735
		New Zealand — 0.0%
	1,032,629	Air New Zealand Ltd		1,470,133
	173,063	SKY Network Television Ltd *		58,604
		Total New Zealand		1,528,737
		Norway — 0.5%
	399,417	Austevoll Seafood ASA		3,544,621
	41,334	Avance Gas Holding Ltd *		176,929
	350,656	BW LPG Ltd		2,188,933
	554,771	DNB ASA		9,292,023
	581,189	Elkem ASA		1,147,181
	52,412	Entra ASA		830,199
	154,081	Europris ASA		514,643
	95,078	Gjensidige Forsikring ASA		1,932,321
	384,556	Kongsberg Automotive ASA *		175,997
	126,553	Kvaerner ASA		117,325
	657,995	Orkla ASA		5,596,555
	45,255	Salmar ASA		2,045,203
	19,173	Selvaag Bolig ASA		123,693
	105,301	SpareBank 1 Nord Norge		814,498
	5,105	SpareBank 1 Oestlandet		51,323
	55,483	SpareBank 1 SMN		554,894
	300,402	SpareBank 1 SR-Bank ASA		2,876,933
	10,581	Stolt-Nielsen Ltd		117,736
	14,543	Veidekke ASA		177,536
		Total Norway		32,278,543
		Pakistan — 0.1%
	172,360	Engro Corp Ltd		347,299
	2,928,000	Engro Fertilizers Ltd		1,198,706
	596,500	Fauji Fertilizer Co Ltd		398,130
	121,900	Habib Bank Ltd		123,737
	342,000	Hub Power Co Ltd (The) *		200,618
	125,900	Nishat Mills Ltd		83,211
	2,848,400	Oil & Gas Development Co Ltd		2,171,285
	382,770	Pakistan Oilfields Ltd		908,089
	979,860	Pakistan Petroleum Ltd		707,050

See accompanying notes to the financial statements. 65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Pakistan — continued
	262,380	Pakistan State Oil Co Ltd		278,175
	257,100	Searle Co Ltd (The)		291,935
	714,000	SUI Northern Gas Pipeline		303,567
	537,900	United Bank Ltd		578,689
		Total Pakistan		7,590,491
		Philippines — 0.1%
	1,021,500	DMCI Holdings Inc		106,583
	55,360	Globe Telecom Inc		1,934,438
	262,180	Manila Electric Co		1,389,805
	12,097,600	Megaworld Corp		810,148
	9,206,000	Metro Pacific Investments Corp		555,299
	1,349,725	Semirara Mining & Power Corp		513,628
		Total Philippines		5,309,901
		Poland — 1.0%
	117,902	Alior Bank SA *		636,303
	273,601	Asseco Poland SA		4,272,516
	110,100	Bank Millennium SA *		136,737
	458,127	Bank Polska Kasa Opieki SA		10,366,888
	33,551	Budimex SA		1,493,186
	234,283	Cyfrowy Polsat SA		1,516,038
	917,831	Energa SA *		1,652,397
	109,635	EPP NV		113,581
	82,352	Grupa Lotos SA		1,258,407
	193,138	Jastrzebska Spolka Weglowa SA		681,235
	4,342	KRUK SA		154,255
	27,720	Lubelski Wegiel Bogdanka SA		117,034
	380	mBank SA *		29,009
	369,439	Orange Polska SA *		587,337
	354,422	PLAY Communications SA		2,785,972
	893,561	Polski Koncern Naftowy ORLEN SA		13,498,199
	5,614,703	Polskie Gornictwo Naftowe i Gazownictwo SA		4,567,090
	735,811	Powszechna Kasa Oszczednosci Bank Polski SA		5,891,460
	2,288,202	Powszechny Zaklad Ubezpieczen SA		20,404,391
	11,129	Santander Bank Polska SA		719,168
	9,472	Stalprodukt SA		392,329
	62,142	Warsaw Stock Exchange		606,010
		Total Poland		71,879,542
		Portugal — 0.8%
	421,464	Altri SGPS SA		2,290,389
	172,533	CTT-Correios de Portugal SA		445,081
	23,003	EDP Renovaveis SA *		311,351
	3,495,769	EDP – Energias de Portugal SA		16,320,678
	1,560,878	Galp Energia SGPS SA		21,531,059
	357,928	Jeronimo Martins SGPS SA		6,327,258
	89,174	Mota-Engil SGPS SA (a)		130,733
	261,498	Navigator Co SA (The)		808,051

Shares		Description	Value ($)
		Portugal — continued
	590,645	NOS SGPS SA		2,332,890
	400,049	REN – Redes Energeticas Nacionais SGPS SA		1,110,325
	23,539	Semapa-Sociedade de Investimento e Gestao		295,899
	3,342,574	Sonae SGPS SA		2,626,135
		Total Portugal		54,529,849
		Qatar — 0.2%
	2,635,244	Barwa Real Estate Co		2,208,265
	606,983	Doha Bank QPSC		381,737
	102,267	Qatar Electricity & Water Co QSC		416,339
	2,269,539	Qatar Gas Transport Co Ltd		1,338,833
	1,116,673	Qatar National Bank QPSC		5,700,898
	451,110	Qatar National Cement Co QSC		506,365
		Total Qatar		10,552,437
		Russia — 3.8%
	9,329,200	Alrosa PJSC		10,010,825
	894,400	Credit Bank of Moscow PJSC		75,721
	64,386,000	ENEL RUSSIA PJSC		914,153
	61,781	Etalon Group Plc GDR (Registered)		118,979
	133,470,000	Federal Grid Co Unified Energy System PJSC		416,937
	989,720	Gazprom Neft PJSC		5,954,943
	1,024,828	Gazprom PJSC Sponsored ADR		6,272,754
	288,996	Globaltrans Investment Plc Sponsored GDR (Registered)		2,137,042
	250,274,000	Inter RAO UES PJSC		19,728,982
	42,728	LSR Group PJSC		534,167
	24,695	LSR Group PJSC GDR (Registered)		57,222
	494,680	LUKOIL PJSC Sponsored ADR		42,670,302
	200,580	M.Video PJSC		1,452,860
	9,540,900	Magnitogorsk Iron & Steel Works PJSC		5,810,770
	112,312	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		853,649
	677,612	MMC Norilsk Nickel PJSC ADR		20,488,847
	3,738,840	Moscow Exchange MICEX-RTS PJSC		5,629,202
	61,570	Novatek PJSC Sponsered GDR (Registered)		8,983,453
	405,060	Novolipetsk Steel PJSC		763,717
	925,767	Novolipetsk Steel PJSC GDR		17,775,681
	126,240	PhosAgro PJSC GDR (Registered)		1,404,156
	104,192	QIWI Plc Sponsored ADR		1,817,109
	178,670	Raspadskaya OJSC		256,316
	204,497,000	ROSSETI PJSC		4,487,866
	408,480	Rostelecom PJSC		534,827
	71,630	Safmar Financial Investment		545,642
	4,136,258	Sberbank of Russia PJSC Sponsored ADR		59,018,805

66 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Russia — continued
	318,099	Severstal PJSC GDR (Registered)		3,899,731
	4,510,100	Surgutneftegas PJSC		2,639,065
	2,187,708	Surgutneftegas PJSC Sponsored ADR		12,751,955
	340,302	Tatneft PJSC		3,477,813
	423,255	Tatneft PJSC Sponsored ADR		25,451,148
	94,550	TCS Group Holding Plc GDR (Registered)		2,068,595
	13,120,000	Unipro PJSC		593,874
	1,136,619	VTB Bank PJSC GDR (Registered)		1,461,516
		Total Russia		271,058,624
		Singapore — 1.2%
	310,300	Accordia Golf Trust		138,178
	159,800	AEM Holdings Ltd		252,623
	737,900	Asian Pay Television Trust		84,950
	231,800	Cache Logistics Trust (REIT)		114,579
	1,536,000	CapitaLand Commercial Trust (REIT)		2,059,288
	1,274,600	CapitaLand Ltd		3,265,362
	1,535,100	CapitaLand Mall Trust (REIT)		2,518,274
	2,470,100	ComfortDelGro Corp Ltd		3,502,181
	1,519,400	DBS Group Holdings Ltd		26,565,504
	372,000	First Real Estate Investment Trust		262,639
	814,300	Frasers Logistics & Industrial Trust (REIT)		727,088
	694,099	Japfa Ltd		282,344
	460,200	Keppel DC (REIT)		769,661
	1,052,900	Mapletree Commercial Trust (REIT)		1,595,880
	3,323,500	Mapletree Greater China Commercial Trust (REIT)		2,638,982
	1,066,200	Mapletree Industrial Trust (REIT)		2,057,534
	1,509,100	Mapletree Logistics Trust (REIT)		2,011,552
	28,200	Oversea-Chinese Banking Corp Ltd		217,084
	41,000	QAF Ltd		24,611
	217,400	Sasseur Real Estate Investment Trust		123,498
	522,200	Silverlake Axis Ltd		113,559
	719,300	Singapore Exchange Ltd		4,441,726
	763,300	Singapore Technologies Engineering Ltd		2,312,193
	184,000	Sino Grandness Food Industry Group Ltd *		3,089
	333,500	SPH (REIT)		242,045
	380,900	StarHub Ltd *		409,412
	299,000	United Overseas Bank Ltd		5,336,712
	417,200	Venture Corp Ltd		5,028,226
	445,000	Wilmar International Ltd		1,284,452
	36,700	Wing Tai Holdings Ltd		51,456
	26,476,551	Yangzijiang Shipbuilding Holdings Ltd		18,370,305
	1,658,400	Yanlord Land Group Ltd		1,398,723
		Total Singapore		88,203,710

Shares		Description	Value ($)
		South Africa — 1.2%
	3,226,307	Absa Group Ltd		27,764,409
	39,768	AECI Ltd		265,576
	1,494,532	African Phoenix Investments Ltd *		36,151
	691	Anglo American Platinum Ltd		46,510
	231,321	Astral Foods Ltd		2,770,947
	483,158	Barloworld Ltd		2,513,359
	18,210	BID Corp Ltd		329,503
	3,396,713	Blue Label Telecoms Ltd *		544,499
	885,243	Emira Property Fund Ltd (REIT)		683,310
	3,488,597	Growthpoint Properties Ltd (REIT)		3,997,067
	118,791	Imperial Logistics Ltd		352,413
	9,102	JSE Ltd		59,148
	594,078	Kumba Iron Ore Ltd		10,947,915
	368,111	Lewis Group Ltd		648,443
	801,967	Liberty Holdings Ltd		4,890,186
	650,063	Motus Holdings Ltd		3,045,639
	386,085	Mr Price Group Ltd		3,792,053
	946,841	Murray & Roberts Holdings Ltd		565,442
	171,087	Netcare Ltd		202,906
	2,837,983	Old Mutual Ltd		2,887,105
	310,060	Pepkor Holdings Ltd		306,925
	774,753	Reunert Ltd		2,816,829
	1,474,023	SA Corporate Real Estate Ltd (REIT)		199,716
	895,463	Sanlam Ltd		3,761,399
	38,934	Santam Ltd		636,643
	88,670	Sappi Ltd *		166,804
	2,955,099	Telkom SA SOC Ltd		5,027,106
	4,814	Tiger Brands Ltd		47,345
	1,494,150	Truworths International Ltd		4,426,664
	267,529	Tsogo Sun Gaming Ltd		163,230
	254,579	Wilson Bayly Holmes-Ovcon Ltd		1,622,389
		Total South Africa		85,517,631
		South Korea — 2.6%
	86,462	Aekyung Petrochemical Co Ltd		492,348
	50,254	Aju Capital Co Ltd *		481,803
	1,201	Celltrion Pharm Inc *		40,091
	348	Dae Han Flour Mills Co Ltd		37,283
	68,419	DB HiTek Co Ltd		1,385,806
	56,296	DB Insurance Co Ltd		2,010,053
	2,789	DongKook Pharmaceutical Co Ltd		194,034
	74,939	Dongwha Pharm Co Ltd		419,701
	502,213	Dongwon Development Co Ltd		1,579,678
	2,331	GOLFZON Co Ltd *		92,161
	13,750	GS Home Shopping Inc		1,411,584
	1,167,031	Hana Financial Group Inc		30,222,117
	28,136	Hanwha Life Insurance Co Ltd		38,479
	46,509	Huons Co Ltd		1,709,501
	44	Hyosung Corp		2,562

See accompanying notes to the financial statements. 67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		South Korea — continued
	38,459	Hyundai Home Shopping Network Corp		2,342,925
	13,148	Hyundai Marine & Fire Insurance Co Ltd		245,118
	14,881	Hyundai Mobis Co Ltd		2,601,030
	79,464	Hyundai Motor Co		7,590,813
	31,519	Il Dong Pharmaceutical Co Ltd		354,232
	1,401,878	Industrial Bank of Korea *		11,055,674
	221,949	JB Financial Group Co Ltd		919,360
	35,207	KB Financial Group Inc		1,113,008
	17,000	KB Financial Group Inc ADR *		548,590
	1,168,481	Kia Motors Corp		35,258,686
	131,368	Korea Asset In Trust Co Ltd		269,453
	45,196	Korea Autoglass Corp		502,810
	67,372	KT Hitel Co Ltd *		335,073
	83,131	KT&G Corp		5,783,874
	34,866	Kyungdong Pharm Co Ltd		207,990
	121,754	LF Corp		1,265,100
	10,022	LG Electronics Inc		504,107
	20,564	LOTTE Himart Co Ltd		359,502
	10,557	Meritz Fire & Marine Insurance Co Ltd		129,061
	28,523	Mirae Asset Life Insurance Co Ltd		94,102
	17,933	S&T Motiv Co Ltd		580,695
	85,073	Samjin Pharmaceutical Co Ltd		1,574,676
	452,956	Samsung Electronics Co Ltd		20,388,160
	8,508	Sebang Global Battery Co Ltd		221,343
	850,707	Shinhan Financial Group Co Ltd		22,751,761
	5,478	SK Holdings Co Ltd		870,042
	133,175	SK Hynix Inc		9,840,377
	574,941	SK Telecom Co Ltd Sponsored ADR		11,044,617
	33,965	SL Corp *		418,290
	180	Taekwang Industrial Co Ltd *		119,546
	289,462	Woori Financial Group Inc		2,299,427
		Total South Korea		181,706,643
		Spain — 1.5%
	107,374	ACS Actividades de Construccion y Servicios SA		3,201,728
	178,804	Aena SME SA		28,799,478
	136,889	Almirall SA *		1,793,724
	186,604	Cia de Distribucion Integral Logista Holdings SA		3,809,428
	29,167	eDreams ODIGEO SA *		122,053
	148,344	Enagas SA *		3,849,178
	1,047,438	Endesa SA		26,952,680
	94,089	Faes Farma SA		454,770
	2,048,699	Iberdrola SA		23,453,896
	46,351	Industria de Diseno Textil SA		1,446,103
	1,632,664	Mapfre SA		3,672,374
	584,439	Mediaset Espana Comunicacion SA (a)		2,953,511

Shares		Description	Value ($)
		Spain — continued
	246,706	Red Electrica Corp SA		4,715,356
	456	Repsol SA		5,153
		Total Spain		105,229,432
		Sweden — 0.9%
	5,388	AcadeMedia AB		30,199
	12,083	Atlas Copco AB – A Shares		430,818
	23,693	Atlas Copco AB – B Shares		734,253
	72,959	Axfood AB		1,360,455
	232,693	Betsson AB *		1,192,351
	24,688	Bilia AB-Class A		238,254
	176,918	Boliden AB		3,715,491
	10,344	Bufab AB		115,425
	115,554	Cloetta AB-Class B		357,244
	12,849	Dustin Group AB		84,723
	16,061	Epiroc AB – Class A		185,523
	41,235	Epiroc AB – Class B		462,544
	21,441	Humana AB		108,271
	52,752	Inwido AB		459,957
	23,668	JM AB		651,200
	437,476	Klovern AB – B Shares		1,009,419
	84,163	Lindab International AB		1,003,506
	30,259	Loomis AB – Class B		1,056,704
	19,900	New Wave Group AB – Class B		108,616
	70,184	Nobia AB		453,875
	8,676	Peab AB – Class B		87,308
	394,088	Resurs Holding AB		2,133,194
	226,766	Skanska AB – B Shares		4,993,482
	106,717	Swedish Match AB		6,261,567
	85,046	Volvo AB – A Shares		1,331,459
	2,226,126	Volvo AB – B Shares		34,942,706
		Total Sweden		63,508,544
		Switzerland — 1.0%
	3,702	Adecco SA (Registered)		198,268
	12,572	ALSO Holding AG (Registered) *		2,151,538
	25,503	BKW AG		2,187,983
	8,404	Bobst Group SA (Registered) (a)		403,562
	12,285	Galenica AG *		830,685
	119	Gurit Holding AG		177,292
	16,407	Huber + Suhner AG (Registered)		1,101,065
	8,057	Kardex AG (Registered)		1,273,609
	47,081	Mobilezone Holding AG (Registered) *		518,343
	10,854	Nestle SA (Registered)		1,116,939
	53,848	Novartis AG (Registered)		4,529,867
	6,613	Orior AG		610,911
	36,322	Roche Holding AG		11,538,887
	129,042	Roche Holding AG – Genusschein		41,491,343
	49	Vetropack Holding AG		131,129

68 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Switzerland — continued
	4,601	Wizz Air Holdings Plc *		204,733
	3,873	Zehnder Group AG – Class RG		181,403
		Total Switzerland		68,647,557
		Taiwan — 5.3%
	302,000	Ability Enterprise Co Ltd		137,564
	40,000	Advantech Co Ltd		382,710
	54,000	Amazing Microelectronic Corp		158,517
	43,000	Arcadyan Technology Corp		109,444
	3,042,799	Asustek Computer Inc		20,355,812
	65,000	Aten International Co Ltd		180,725
	3,229,000	Catcher Technology Co Ltd		24,224,172
	876,000	Cathay Financial Holding Co Ltd		1,147,785
	1,329,890	Chailease Holding Co Ltd		4,948,903
	2,360,660	Chicony Electronics Co Ltd		6,396,530
	7,920,000	China Development Financial Holding Corp		2,378,524
	206,000	China Life Insurance Co Ltd *		161,690
	226,400	China Motor Corp *		262,063
	427,000	Chong Hong Construction Co Ltd		1,147,937
	111,000	Cleanaway Co Ltd		581,129
	5,868,000	Coretronic Corp *		7,072,255
	17,358,000	CTBC Financial Holding Co Ltd		12,882,488
	61,000	Depo Auto Parts Ind Co Ltds		105,124
	8,000	Eclat Textile Co Ltd		93,216
	523,000	Elite Material Co Ltd		2,044,225
	642,000	Elitegroup Computer Systems Co Ltd *		234,332
	563,000	Farglory Land Development Co Ltd		697,052
	1,278,300	Feng TAY Enterprise Co Ltd		7,037,002
	1,446,000	FLEXium Interconnect Inc		5,266,539
	244,000	Formosa Advanced Technologies Co Ltd		320,184
	207,000	Formosa Chemicals & Fibre Corp		555,782
	845,000	Formosa Plastics Corp		2,522,523
	2,043,000	Formosa Taffeta Co Ltd		2,227,059
	1,221,000	Foxconn Technology Co Ltd		2,370,284
	2,553,000	Fubon Financial Holding Co Ltd		3,695,534
	2,616,000	Gigabyte Technology Co Ltd		4,408,405
	9,547,000	Grand Pacific Petrochemical *		5,120,844
	2,310,580	Great Wall Enterprise Co Ltd		3,047,717
	494,000	Greatek Electronics Inc		761,167
	1,592,000	Highwealth Construction Corp		2,346,601
	121,000	Holiday Entertainment Co Ltd		263,166
	1,951,000	Holtek Semiconductor Inc		4,155,978
	9,000	Holy Stone Enterprise Co Ltd		28,927
	13,768,600	Hon Hai Precision Industry Co Ltd		35,928,596
	490,000	Huaku Development Co Ltd		1,389,567
	294,530	IBF Financial Holdings Co Ltd		110,076
	384,980	IEI Integration Corp *		574,884
	53,000	Innodisk Corp		312,574

Shares		Description	Value ($)
		Taiwan — continued
	78,000	International Games System Co Ltd		1,529,510
	2,000	King Slide Works Co Ltd		22,773
	319,000	Kinik Co		643,027
	155,000	Kung Long Batteries Industrial Co Ltd		756,290
	29,000	Lion Travel Service Co Ltd		67,252
	2,049,000	Lite-On Semiconductor Corp		2,738,364
	1,741,000	Lite-On Technology Corp		2,478,640
	8,000	Lotes Co Ltd		76,397
	349,000	MediaTek Inc		4,057,243
	53,000	Mercuries & Associates Holding Ltd *		37,957
	2,970,088	Mercuries Life Insurance Co Ltd *		1,139,987
	377,000	Merry Electronics Co Ltd		1,709,083
	560,000	Micro-Star International Co Ltd		1,639,178
	3,590,283	Mitac Holdings Corp		3,962,835
	430,000	Nantex Industry Co Ltd		426,881
	5,171,000	Nanya Technology Corp		12,871,498
	22,000	Nichidenbo Corp		37,569
	3,210,000	Novatek Microelectronics Corp		20,201,677
	276,000	On-Bright Electronics Inc		1,999,819
	537,000	Pegatron Corp		1,092,631
	1,215,000	Phison Electronics Corp		12,979,942
	14,904,566	Pou Chen Corp		16,548,169
	3,143,000	Qisda Corp		1,922,025
	1,164,000	Quanta Computer Inc		2,347,913
	629,000	Quanta Storage Inc		620,080
	9,360,020	Radiant Opto-Electronics Corp		29,650,126
	606,240	Ruentex Development Co Ltd *		816,373
	103,600	Ruentex Industries Ltd *		228,091
	138,000	Sercomm Corp		331,016
	672,000	Sheng Yu Steel Co Ltd		428,228
	160,000	Shin Zu Shing Co Ltd		712,946
	215,000	Shinkong Insurance Co Ltd		273,234
	84,000	Sigurd Microelectronics Corp		93,102
	604,400	Simplo Technology Co Ltd		5,540,339
	121,000	Sinbon Electronics Co Ltd		513,568
	95,000	Sitronix Technology Corp		440,313
	416,000	Soft-World International Corp		1,080,569
	141,000	Standard Chemical & Pharmaceutical Co Ltd		155,488
	2,213,000	Sunplus Technology Co Ltd *		783,583
	602,000	Syncmold Enterprise Corp		1,684,518
	37,000	Synnex Technology International Corp		45,506
	50,000	Taiflex Scientific Co Ltd		76,432
	1,832,000	Taiwan PCB Techvest Co Ltd		1,915,568
	1,925,000	Taiwan Semiconductor Manufacturing Co Ltd		19,846,356
	289,450	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		15,583,988
	327,000	Taiwan Styrene Monomer		198,219
	1,032,000	Taiwan Surface Mounting Technology Corp		3,079,594

See accompanying notes to the financial statements. 69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Taiwan — continued
	29,000	Taiwan Union Technology Corp		123,272
	22,000	Test Research Inc		36,569
	28,000	Thinking Electronic Industrial Co Ltd		76,180
	644,217	TOPBI International Holdings Ltd		1,586,382
	1,072,188	Topco Scientific Co Ltd		3,632,824
	244,000	Topkey Corp		969,279
	655,000	Transcend Information Inc		1,675,299
	661,000	Tripod Technology Corp		2,372,587
	114,000	TXC Corp		176,157
	399,000	Uni-President Enterprises Corp		954,973
	610,800	United Integrated Services Co Ltd		3,632,032
	176,000	Wah Lee Industrial Corp		314,724
	2,613,000	Walsin Lihwa Corp *		1,187,249
	501,000	Walsin Technology Corp		3,428,205
	14,000	Wiwynn Corp		326,954
	282,000	Yageo Corp		3,642,037
	510,000	YC INOX Co Ltd		429,149
	626,000	Youngtek Electronics Corp		1,016,131
	12,228,000	Yuanta Financial Holding Co Ltd		7,644,688
	17,000	Yulon Nissan Motor Co Ltd		139,647
	69,000	Zhen Ding Technology Holding Ltd		259,571
		Total Taiwan		377,153,412
		Thailand — 0.2%
	117,400	Amata Corp Pcl		54,907
	1,095,400	AP Thailand Pcl (Foreign Registered)		214,718
	169,400	AP Thailand Pcl NVDR		33,206
	454,300	Bangkok Bank Pcl NVDR		1,905,337
	136,000	Beauty Community PCL		8,411
	501,900	Kasikornbank Pcl NVDR		1,912,257
	469,400	Krung Thai Bank Pcl NVDR		209,997
	2,132,500	Land & Houses Pcl NVDR		575,542
	388,600	Pruksa Holding Pcl (Foreign Registered)		177,544
	1,621,500	Pruksa Holding Pcl NVDR		740,831
	41,000	Ratchaburi Electricity Generating Holding PCL		77,294
	849,700	SC Asset Corp Pcl (Foreign Registered)		61,595
	457,500	Siam Commercial Bank PCL (The)		1,284,300
	207,800	Somboon Advance Technology Pcl NVDR		88,225
	219,600	SPCG Pcl NVDR		123,096
	1,148,725	Supalai Pcl (Foreign Registered)		597,638
	535,500	Supalai Pcl NVDR		278,600
	3,083,300	Thai Beverage Pcl		1,739,104
	3,439,500	Thanachart Capital Pcl (Foreign Registered)		5,815,631
	689,600	Thanachart Capital Pcl NVDR		1,166,000
	45,900	Tisco Financial Group PCL		144,449
	1,054,700	Univentures Pcl		107,551

Shares		Description	Value ($)
		Thailand — continued
	376,300	WHA Corp PCL		33,187
		Total Thailand		17,349,420
		Turkey — 0.8%
	1,152,640	Akbank TAS *		1,249,668
	71,212	Aksa Akrilik Kimya Sanayii AS		90,428
	1,442,983	Dogan Sirketler Grubu Holding AS		401,372
	2,483,068	Enerjisa Enerji AS		3,100,642
	1,626,131	Eregli Demir ve Celik Fabrikalari TAS		2,169,607
	156,094	Haci Omer Sabanci Holding AS		214,921
	6,134,897	KOC Holding AS		17,095,894
	305,522	Selcuk Ecza Deposu Ticaret ve Sanayi AS		325,869
	3,735,494	Soda Sanayii AS		3,463,300
	405,006	TAV Havalimanlari Holding AS		1,326,763
	1,413,681	Tekfen Holding AS		3,379,257
	4,486,040	Turkiye Garanti Bankasi AS *		6,867,596
	14,243,799	Turkiye Is Bankasi – Class C *		13,116,685
	3,797,240	Turkiye Sinai Kalkinma Bankasi AS *		671,891
	2,390,563	Turkiye Vakiflar Bankasi TAO – Class D *		2,033,690
	272,535	Yapi ve Kredi Bankasi AS *		100,252
		Total Turkey		55,607,835
		United Arab Emirates — 0.1%
	9,027	Abu Dhabi Commercial Bank PJSC		17,252
	592,005	Al Waha Capital PJSC		132,525
	518,460	Dubai Islamic Bank PJSC		753,841
	179,050	Emaar Development PJSC		172,617
	8,253,638	Emaar Properties PJSC		7,598,248
	4,696,149	RAK Properties PJSC *		550,581
		Total United Arab Emirates		9,225,064
		United Kingdom — 4.6%
	2,192,102	3i Group Plc		28,855,032
	79,101	Aggreko Plc		691,088
	156	Ashmore Group Plc		942
	72,325	Ashtead Group Plc		2,267,498
	521,290	Assura Plc (REIT)		495,640
	48,184	Avast Plc		245,635
	141,845	AVEVA Group Plc		8,069,085
	37,368	BAE Systems Plc		295,584
	18,322	Bank of Georgia Group Plc *		398,489
	2,732,590	Barratt Developments Plc		26,974,977
	218,807	Bellway Plc		10,589,497
	117,415	Berkeley Group Holdings Plc (The)		7,241,102
	379,413	British American Tobacco Plc		15,001,705
	473,000	British American Tobacco Plc Sponsored ADR (a)		18,825,400
	1,765,744	Centamin Plc		2,942,160

70 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United Kingdom — continued
	98,956	CMC Markets Plc		190,263
	212,763	Coca-Cola HBC AG		6,785,092
	131,171	Compass Group Plc		2,890,016
	143,484	Computacenter Plc		3,041,821
	4,786	Cranswick Plc		205,542
	129,597	Daily Mail & General Trust Plc		1,242,007
	9,626	Dart Group Plc		154,166
	34,811	Derwent London Plc (REIT)		1,760,780
	23,800	Diageo Plc Sponsored ADR		3,377,458
	11,920	Diploma Plc		286,460
	103,557	Direct Line Insurance Group Plc		412,797
	445,629	Dixons Carphone Plc		710,776
	247,751	Dunelm Group Plc		3,536,826
	483,284	Electrocomponents Plc		3,792,637
	38,435	EMIS Group Plc		569,349
	96,039	Empiric Student Property Plc (REIT)		113,073
	127,768	Evraz Plc		545,614
	2,911	Ferguson Plc		253,634
	1,990,114	Ferrexpo Plc		3,329,367
	113,760	Frasers Group Plc *		558,649
	8,247	Games Workshop Group Plc		675,332
	54,436	Gem Diamonds Ltd *		38,285
	56,476	Go-Ahead Group Plc (The)		1,435,906
	152,509	Great Portland Estates Plc (REIT)		1,646,244
	50,915	Greggs Plc		1,372,027
	83,169	Halma Plc		2,090,107
	417,715	IG Group Holdings Plc		3,644,105
	365,739	Inchcape Plc		2,733,873
	367,728	Indivior Plc *		204,309
	103,712	Intermediate Capital Group Plc		2,144,882
	4,524,158	International Consolidated Airlines Group SA		27,726,876
	134,271	International Personal Finance Plc		256,653
	877,247	J Sainsbury Plc		2,222,452
	826,871	JD Sports Fashion Plc		7,909,999
	398,950	John Laing Group Plc		1,737,920
	738,083	Kingfisher Plc		1,810,812
	3,690,933	Legal & General Group Plc		12,504,414
	221,880	LondonMetric Property Plc (REIT)		590,067
	150,387	Lookers Plc		86,987
	138,383	McBride Plc *		121,341
	289,345	Meggitt Plc		2,037,591
	108,916	Mitchells & Butlers Plc *		472,352
	85,270	Mondi Plc		1,731,800
	113,313	Morgan Advanced Materials Plc		404,549
	58,121	Morgan Sindall Group Plc		1,324,262
	93,408	N Brown Group Plc		68,579
	350,826	National Express Group Plc		1,913,173
	102,161	Next Plc		8,051,937
	43,985	Numis Corp Plc		144,143

Shares		Description	Value ($)
		United Kingdom — continued
	254,671	OneSavings Bank Plc		1,329,750
	116,281	Paragon Banking Group Plc		683,963
	179,154	Pennon Group Plc		2,505,736
	867,104	Persimmon Plc		32,058,452
	458,033	Pets at Home Group Plc		1,531,349
	91,904	Phoenix Group Holdings Plc		825,256
	129,466	Playtech Plc		421,567
	432,945	Plus500 Ltd		5,325,548
	1,755,407	QinetiQ Group Plc		7,857,023
	44,630	Redde Northgate Plc		141,850
	162,610	Regional REIT Ltd		234,141
	47,971	Royal Dutch Shell Plc – Class A		1,045,437
	22,100	Royal Dutch Shell Plc – Class B Sponsored ADR		984,113
	453,706	Sirius Real Estate Ltd		474,301
	66,000	Smith & Nephew Plc Sponsored ADR		2,975,280
	77,070	Smiths Group Plc		1,535,781
	120,449	Softcat Plc		1,648,233
	41,483	Spectris Plc		1,463,038
	910,483	Spirent Communications Plc		2,456,517
	265,945	Stock Spirits Group Plc		664,202
	1,341,235	Tate & Lyle Plc		12,230,027
	52,152	TI Fluid Systems Plc		134,967
	27,634	Ultra Electronics Holdings Plc		700,202
	83,374	UNITE Group Plc (The) (REIT)		1,212,898
	363,291	Vesuvius Plc		1,993,608
	995,989	WM Morrison Supermarkets Plc		2,229,205
		Total United Kingdom		328,413,582
		United States — 11.0%
	3,200	1st Source Corp.		134,560
	15,600	A10 Networks, Inc. *		104,676
	2,500	AAR Corp.		86,375
	554,500	ACCO Brands Corp. (c)		4,441,545
	197,900	Acushnet Holdings Corp. (c)		5,036,555
	93,700	ADTRAN, Inc.		753,816
	1,061,473	Advanced Disposal Services, Inc. * (c)		35,092,297
	46,900	AgroFresh Solutions, Inc. *		102,711
	118,380	Allergan Plc		22,571,515
	3,300	Allied Motion Technologies, Inc.		127,182
	95,000	Alpha & Omega Semiconductor Ltd. * (a)		1,029,800
	19,400	Amalgamated Bank – Class A		310,594
	31,900	American Equity Investment Life Holding Co.		806,432
	258,600	Amkor Technology, Inc. *(a)		2,698,491
	12,900	Arcosa, Inc.		554,184
	16,700	Ares Commercial Real Estate Corp. (REIT)		254,842
	45,500	Arlo Technologies, Inc. *		149,240

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	48,500	Avista Corp. (a)		2,286,775
	132,800	AVX Corp.		2,887,072
	582,434	Axalta Coating Systems Ltd. * (a) (d)		14,514,255
	11,700	Axcelis Technologies, Inc. *		280,683
	12,000	Bancorp, Inc. (The) *		146,040
	26,100	BankFinancial Corp.		295,974
	20,100	Bassett Furniture Industries, Inc.		198,387
	3,200	BCB Bancorp, Inc.		36,288
	9,830	Bel Fuse, Inc. – Class B		112,455
	216,500	Benchmark Electronics, Inc.		5,884,470
	19,900	Berry Corp.		126,763
	810	Biglari Holdings, Inc. – Class B *		85,423
	192,800	Bloomin’ Brands, Inc.		3,468,472
	3,700	Bonanza Creek Energy, Inc. *		60,273
	158,800	Brady Corp. – Class A		7,517,592
	7,100	Bridgewater Bancshares, Inc. *		88,750
	88,500	Brinker International, Inc.		3,039,975
	78	Bristol-Myers Squibb Co.		4,607
	27,400	Brooks Automation, Inc. (a)		945,574
	298,500	Builders FirstSource, Inc. *		6,778,935
	124,000	Bunge Ltd. (a) (d)		5,821,800
	1,450,225	Caesars Entertainment Corp. * (a)		18,432,360
	23,200	Camden National Corp.		951,432
	15,800	Carpenter Technology Corp. (a)		580,650
	50,900	CBIZ, Inc. *		1,325,436
	109,600	Cedar Realty Trust, Inc. (REIT)		283,864
	7,000	Central Garden & Pet Co. *		187,460
	8,900	Century Bancorp, Inc. – Class A		643,470
	3,700	CEVA, Inc. *		105,117
	299,860	Charles Schwab Corp. (The) (a)		12,219,295
	9,200	Citi Trends, Inc.		181,884
	16,000	Civista Bancshares, Inc.		306,240
	38,600	Clarus Corp. (a)		446,216
	8,600	CNB Financial Corp.		215,602
	7,500	Community Trust Bancorp, Inc.		290,100
	49,200	Computer Programs & Systems, Inc.		1,317,576
	148,000	Comtech Telecommunications Corp. (a)		4,146,960
	12,400	Consolidated Water Co. Ltd.		200,384
	38,600	Core-Mark Holding Co., Inc.		888,186
	445,500	CoreCivic, Inc. (REIT) (a)		6,597,855
	283,900	CorePoint Lodging, Inc. (REIT)		2,259,844
	23,700	CRA International, Inc.		1,102,287
	5,700	Crocs, Inc. *		149,169
	32,800	CSG Systems International, Inc. (a)		1,451,400
	96,200	Curo Group Holdings Corp.		887,926
	8,100	Cushman & Wakefield Plc *		147,339
	1,061,482	Cypress Semiconductor Corp. (c)		24,509,619
	114,400	Dana, Inc. (a)		1,645,072
	29,900	Deluxe Corp. (a)		995,670

Shares		Description	Value ($)
		United States — continued
	191,200	Designer Brands, Inc. – Class A (a)		2,583,112
	157,500	DHI Group, Inc. *		359,100
	46,800	Diamond Eagle Acquisition Corp. - Class A *		749,736
	99,200	Digi International, Inc. *		1,313,408
	81,500	Dime Community Bancshares, Inc.		1,367,570
	4,047	Donegal Group, Inc. – Class A		57,751
	125,500	Donnelley Financial Solutions, Inc. *		1,091,850
	4,800	Douglas Dynamics, Inc.		208,944
	80,200	DSP Group, Inc. *		1,091,522
	16,400	Ducommun, Inc. *		732,260
	120,000	DuPont de Nemours, Inc. (a) (d)		5,148,000
	141,122	E*TRADE Financial Corp.		6,460,565
	28,720	El Paso Electric Co.		1,949,226
	199,700	Ellington Financial, Inc.		3,301,041
	14,000	Emerald Holding, Inc.		96,040
	14,600	Employers Holdings, Inc.		562,684
	8,100	Enanta Pharmaceuticals, Inc. * (a)		412,128
	46,900	Encore Capital Group, Inc. * (a)		1,742,804
	47,200	Ennis, Inc.		948,720
	241,325	Enova International, Inc. *		4,638,266
	1,800	EnPro Industries, Inc.		97,110
	7,100	ePlus, Inc. *		537,896
	1,288,200	ESC NII Holdings, Inc. (e)		2,576,400
	7,400	Escalade, Inc.		62,826
	8,300	ESSA Bancorp, Inc. (a)		137,282
	174,200	Essent Group Ltd. (a)		7,602,088
	175,100	Ethan Allen Interiors, Inc. (a)		2,311,320
	26,200	EVERTEC, Inc.		777,616
	51,300	Evolution Petroleum Corp.		241,623
	24,400	Farmers National Banc Corp.		366,732
	7,800	Federal Agricultural Mortgage Corp. – Class C		585,468
	221,800	Federal Signal Corp. (a)		6,432,200
	101,500	Federated Investors, Inc. – Class B (a)		2,928,275
	34,300	FedNat Holding Co.		447,272
	24,130	Financial Institutions, Inc.		649,338
	22,226	First Community Bankshares, Inc.		581,432
	82,906	First Defiance Financial Corp.		1,982,697
	7,100	First Financial Corp.		283,645
	7,900	First Financial Northwest, Inc.		110,205
	216,300	Flagstar Bancorp, Inc. (a)		6,895,644
	14,100	Flushing Financial Corp. (a)		255,985
	13,100	FONAR Corp. *		261,738
	67,400	FormFactor, Inc. *		1,507,738
	41,500	FTS International, Inc. * (a)		38,388
	222,700	Fulton Financial Corp. (a)		3,218,015
	3,100	Genesco, Inc. *		106,671
	94,700	Genie Energy Ltd. – Class B		655,324
	909,400	Genworth Financial, Inc. – Class A * (a)		3,546,660

72 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	125	Global Payments, Inc.		22,996
	31,100	Gorman-Rupp Co. (The) (a)		994,889
	12,100	Great Southern Bancorp, Inc.		620,851
	80,600	Greif, Inc. – Class A (a)		2,848,404
	132,000	Griffon Corp.		2,296,800
	100,600	Group 1 Automotive, Inc.		8,574,138
	116,600	Haverty Furniture Cos, Inc. (a)		1,961,212
	5,400	Heidrick & Struggles International, Inc.		120,420
	206,836	Herman Miller, Inc. (c)		7,082,065
	10,300	Hibbett Sports, Inc. *		201,056
	138,500	Hilltop Holdings, Inc. (a)		2,884,955
	4,900	HNI Corp.		160,867
	2,400	HomeTrust Bancshares, Inc.		57,024
	5,700	Hurco Cos, Inc.		160,626
	45,400	Hyster-Yale Materials Handling, Inc.		2,185,556
	187,800	IBERIABANK Corp.		11,303,682
	27,100	IDT Corp. – Class B *		208,670
	1	II-VI, Inc. * (a)		30
	1,200	Independence Holding Co.		44,532
	44,563	Independent Bank Corp.		872,098
	52,600	Information Services Group, Inc. *		166,742
	32,762	Ingles Markets, Inc. – Class A		1,171,897
	80,700	Innospec, Inc.		6,983,778
	135,200	Insight Enterprises, Inc. * (a)		7,448,168
	10,300	Integer Holdings Corp. *		928,751
	64,100	Inter Parfums, Inc.		3,849,846
	14,100	Interface, Inc.		205,719
	82,200	International Bancshares Corp. (c)		2,803,020
	51,357	INTL. FCStone, Inc. * (c)		2,339,311
	367,400	Investors Bancorp, Inc. (a)		3,872,396
	39,000	Johnson Outdoors, Inc. – Class A (c)		2,433,990
	14,300	Kelly Services, Inc. – Class A		237,523
	38,500	Kimball Electronics, Inc. *		521,675
	102,200	Kimball International, Inc. – Class B (a)		1,653,596
	27,200	Knoll, Inc. (a)		479,808
	57,100	Koppers Holdings, Inc. *		1,248,206
	27,900	La-Z-Boy, Inc. (a)		799,335
	1,064,200	Laredo Petroleum, Inc. * (a)		1,149,336
	62,300	Laureate Education, Inc. – Class A *		1,165,010
	5,400	LB Foster Co. – Class A *		85,104
	12,800	LCNB Corp.		202,624
	17,600	Leaf Group Ltd. *		46,288
	48,700	Legg Mason, Inc. (a)		2,426,234
	975,820	Liberty Global Plc – Series C * (a) (c) (d)		18,140,494
	203,400	Liberty TripAdvisor Holdings, Inc. – Class A *		885,807
	31,500	Macatawa Bank Corp.		303,660
	52,600	Marchex, Inc. – Class B *		136,234
	5,700	Marlin Business Services Corp. (a)		112,062
	76,800	Materion Corp. (c)		3,482,112

Shares		Description	Value ($)
		United States — continued
	52,100	Matrix Service Co. *		629,368
	71,600	MDC Holdings, Inc. (a)		2,816,744
	14,400	Mellanox Technologies Ltd *		1,719,648
	201,000	Meritor, Inc. * (a)		4,560,690
	11,100	Miller Industries, Inc.		329,781
	52,600	Modine Manufacturing Co. * (a)		392,396
	97,000	Moog, Inc. – Class A		7,480,640
	12,700	Mueller Industries, Inc.		355,346
	9,700	MutualFirst Financial, Inc.		324,950
	75,700	National General Holdings Corp.		1,473,879
	163,400	Navient Corp.		1,834,982
	659,300	Newmark Group, Inc. – Class A (a)		6,296,315
	840	NexTier Oilfield Solutions, Inc. *		3,914
	18,800	NIC, Inc. (a)		343,852
	3,000	Nicolet Bankshares, Inc. *		199,350
	700,000	Nielsen Holdings Plc (a) (d)		12,747,000
	7,337	Northrim BanCorp, Inc.		256,428
	236,700	Northwest Bancshares, Inc. (a)		3,287,763
	518,500	Office Depot, Inc. (a)		1,218,475
	204,500	OFG Bancorp (c)		3,423,330
	657	Oil-Dri Corp. of America		19,993
	3,000	Old Second Bancorp, Inc.		31,920
	16,800	Olympic Steel, Inc. (a)		202,440
	17,195	Onto Innovation, Inc. * (a)		525,651
	8,300	Ooma, Inc. *		106,489
	56,042	Oppenheimer Holdings, Inc. – Class A		1,329,877
	3,500	Pacira BioSciences, Inc. *		151,830
	12,100	Park-Ohio Holdings Corp.		296,692
	645,500	Pattern Energy Group, Inc.– Class A		17,460,775
	58,100	PC Connection, Inc. (a) (c)		2,362,927
	347,500	PDL BioPharma, Inc. * (a)		1,181,500
	65,700	Penn Virginia Corp. * (a)		1,044,630
	1,650	Penns Woods Bancorp, Inc.		49,764
	232,700	PennyMac Financial Services, Inc. (a)		8,205,002
	409,500	PennyMac Mortgage Investment Trust (REIT) (a)		8,476,650
	27,400	Perspecta, Inc.		684,178
	121,351	PG&E Corp. *		1,880,940
	10,500	Photronics, Inc. *		130,725
	12,800	Plexus Corp. *		849,280
	109,200	PNM Resources, Inc. (a)		5,141,136
	200,400	PolyOne Corp. (a)		4,961,904
	110,800	Popular, Inc.		5,316,184
	77,600	Portland General Electric Co.		4,222,216
	1,900	Preformed Line Products Co.		92,720
	12,500	Premier Financial Bancorp, Inc.		208,125
	142,200	Prestige Consumer Healthcare, Inc. * (a)		5,312,592
	111,700	Progress Software Corp.		4,165,293
	28	Prosperity Bancshares, Inc.		1,809
	15,700	Protective Insurance Corp. – Class B (a)		223,882

See accompanying notes to the financial statements. 73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	113,900	Qurate Retail, Inc. – Series A *		776,798
	407,900	Radian Group, Inc. (a)		8,663,796
	10,800	Rambus, Inc. * (a)		150,984
	157,600	Realogy Holdings Corp.		1,460,952
	9,000	Regional Management Corp. *		230,850
	11,133	Republic Bancorp, Inc. – Class A		397,893
	43,000	Resources Connection, Inc.		538,790
	15,400	Riverview Bancorp, Inc.		99,330
	18,700	Rocky Brands, Inc.		455,345
	42,800	RTI Surgical Holdings, Inc. * (a)		158,360
	28,900	Ryerson Holding Corp. *		240,737
	212,800	SandRidge Energy, Inc. *		438,368
	298,600	Sanmina Corp. * (c)		7,850,194
	10,700	Scholastic Corp.		343,363
	149,400	Schweitzer-Mauduit International, Inc. (a)		5,037,768
	6,000	SeaSpine Holdings Corp. *		84,780
	12,300	Semtech Corp. *		485,727
	15,776	Seneca Foods Corp. – Class A *		547,743
	9,400	Shiloh Industries, Inc. * (a)		32,524
	83,400	Shoe Carnival, Inc.		2,494,494
	36,700	Sierra Bancorp		874,194
	11,000	SilverBow Resources, Inc. * (a)		30,910
	23,900	SM Energy Co. (a)		157,023
	165,100	Sonic Automotive, Inc. – Class A (a)		4,622,800
	16,700	Sonos, Inc. *		192,718
	127,300	Spok Holdings, Inc.		1,267,908
	83,900	SPX Corp. *		3,517,927
	8,100	Standard Motor Products, Inc.		356,400
	17,400	Star Group LP		156,252
	38,400	Steelcase, Inc. – Class A		622,848
	32,300	Stepan Co.		2,836,909
	114,700	Stoneridge, Inc. *		2,534,870
	497,200	Summit Hotel Properties, Inc. (REIT) (c)		4,609,044
	447,900	Sunstone Hotel Investors, Inc. (REIT) (a)		4,904,505
	92,600	Sykes Enterprises, Inc. * (a)		2,933,568
	1,507,100	Syncora Holdings Ltd		617,911
	33,900	Systemax, Inc. (a)		707,154
	621,100	TEGNA, Inc. (a)		8,894,152
	151,800	Telephone & Data Systems, Inc.		3,057,252
	19,300	Territorial Bancorp, Inc.		490,606
	1,888,723	The Oneida Group (f)		2,870,859
	236,168	Tiffany & Co. (c)		31,549,683
	3,300	Timberland Bancorp, Inc.		76,725
	20,700	Timken Co. (The) (c)		928,188
	26,100	TPG RE Finance Trust, Inc.		501,642
	93,100	Tredegar Corp.		1,588,286
	19,800	TRI Pointe Group, Inc. *		303,534
	83,800	Tribune Publishing Co.		961,186

Shares		Description	Value ($)
		United States — continued
	53,200	TriCo Bancshares		1,799,224
	446,524	TRU TAJ (f)		2,753,714
	5,869	TRU TAJ Liquidation Unit Trust (e)		410,830
	12,000	TrueBlue, Inc. *		178,560
	5,500	Unisys Corp. *		85,415
	5,421	United Security Bancshares		46,946
	14,800	Unitil Corp.		833,832
	137,200	Universal Corp. (a) (c)		6,770,820
	4,000	Universal Electronics, Inc. *		168,880
	125,800	Universal Forest Products, Inc. (a)		5,894,988
	27,800	Varex Imaging Corp. * (a)		645,516
	71,457	Vectrus, Inc. *		3,722,195
	166,000	Vera Bradley, Inc. * (a)		1,371,160
	21,800	Veritiv Corp. *		262,472
	446,001	ViacomCBS, Inc. – Class B (a) (d)		10,976,085
	12,700	Village Super Market, Inc. – Class A		260,985
	19,200	Vishay Precision Group, Inc. *		527,424
	6,800	Visteon Corp. * (a)		442,272
	182,951	WABCO Holdings, Inc. * (c)		24,716,680
	42,500	Waddell & Reed Financial, Inc. – Class A		584,800
	175,000	Walgreens Boots Alliance, Inc. (a) (d)		8,008,000
	90,200	Walker & Dunlop, Inc.		5,849,470
	40,100	Warrior Met Coal, Inc. (a) (c)		710,572
	70,525	Waterstone Financial, Inc.		1,172,831
	13,900	Weis Markets, Inc.		517,775
	9,400	West Bancorporation, Inc.		192,230
	107,060	Westmoreland and Mining Holdings (f)		910,010
	34,100	Westwood Holdings Group, Inc.		865,458
	17,100	Weyco Group, Inc.		375,174
	257,500	World Fuel Services Corp. (a) (c)		7,282,100
	22,500	Worthington Industries, Inc.		715,500
	834,028	Wright Medical Group NV * (a)		25,229,347
	474,200	Xenia Hotels & Resorts, Inc. (REIT)		7,094,032
	88,200	Xperi Corp.		1,516,158
	630,529	Zayo Group Holdings, Inc. *		22,062,210
	78,800	Zumiez, Inc. *		2,090,564
		Total United States		783,225,757
		Vietnam — 0.0%
	621,320	Kinh Bac City Development Share Holding Corp		376,502
	70,550	PetroVietnam Gas JSC		232,758
	573,770	PetroVietnam Power Corp *		245,144
	733,900	PetroVietnam Technical Services Corp		476,789
	52,790	Pha Lai Thermal Power JSC		62,994
	186,020	Vinh Hoan Corp		249,683
		Total Vietnam		1,643,870
		TOTAL COMMON STOCKS (COST $5,376,962,628)		4,993,687,654

74 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		PREFERRED STOCKS (g) — 1.4%
		Brazil — 0.3%
	817,800	Banco do Estado do Rio Grande do Sul SA – Class B		3,319,186
	528,500	Cia Paranaense de Energia – Class B		8,474,862
	501,700	Petroleo Brasileiro SA		2,842,881
	461,800	Telefonica Brasil SA		5,512,396
		Total Brazil		20,149,325
		Colombia — 0.0%
	24,432	Banco Davivienda SA		291,585
	353,991	Grupo Aval Acciones y Valores SA		145,853
		Total Colombia		437,438
		Germany — 0.1%
	2,261	Draegerwerk AG & Co KGaA		145,725
	42,754	Henkel AG & Co KGaA		3,983,262
	21,662	Schaeffler AG		197,474
	4,848	Sixt SE		297,320
	5,489	Villeroy & Boch AG		76,782
		Total Germany		4,700,563
		Russia — 0.3%
	88,786	Bashneft PJSC		2,229,804
	1,463,130	Sberbank of Russia PJSC		4,797,526
	33,269,500	Surgutneftegas PJSC		16,341,664
		Total Russia		23,368,994
		South Korea — 0.7%
	9,531	Hyundai Motor Co (b)		590,193
	12,112	Hyundai Motor Co (b)		662,366
	88,945	LG Electronics Inc		1,757,782
	1,143,175	Samsung Electronics Co Ltd		43,642,235
	4,579	Samsung Electronics Co Ltd GDR (Registered)		4,413,330
		Total South Korea		51,065,906
		Taiwan — 0.0%
	201,277	CTBC Financial Holding Co Ltd		440,664
		TOTAL PREFERRED STOCKS (COST $104,094,036)		100,162,890
		RIGHTS/WARRANTS — 0.0%
		Spain — 0.0%
	107,374	ACS Actividades de Construccion y Servicios SA, Expires 03/03/20 * (a)		47,212
		United States — 0.0%
	327,000	Bristol-Myers Squibb Co., Expires 03/31/21 *		1,095,450
	222,285	Contra Clementia Pharma CVR (e)		300,085

Shares / Par Value†		Description	Value ($)
		United States — continued
	2,616,810	Media General, Inc. CVR (e)		130,841
		Total United States		1,526,376
		TOTAL RIGHTS/WARRANTS (COST $1,048,773)		1,573,588
		INVESTMENT FUNDS — 3.1%
		United States — 3.1%
	1,368,800	Altaba, Inc. (e)		29,566,080
	216,882	iShares Core MSCI Emerging Markets ETF		10,564,322
	617,800	iShares Core S&P 500 ETF		182,813,198
		Total United States		222,943,600
		TOTAL INVESTMENT FUNDS (COST $244,184,664)		222,943,600
		DEBT OBLIGATIONS — 16.3%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	4,400,000	Oi SA, 10.00%, due 07/27/25		4,261,538
		Israel — 0.0%
		Corporate Debt — 0.0%
	2,283,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		2,223,071
		Italy — 0.1%
		Corporate Debt — 0.1%
	2,645,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		2,843,452
	1,440,000	Intesa Sanpaolo SPA, 144A, 4.70%, due 09/23/49		1,598,487
		Total Italy		4,441,939
		Jamaica — 0.1%
		Corporate Debt — 0.1%
	2,877,000	Digicel Ltd., 144A, 8.25%, due 12/30/22		1,848,473
	2,817,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		1,797,598
		Total Jamaica		3,646,071
		Japan — 0.4%
		Foreign Government Obligations — 0.4%
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/07/20		10,200,874
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/01/20		22,259,024
		Total Foreign Government Obligations		32,459,898
		Total Japan		32,459,898

See accompanying notes to the financial statements. 75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		Luxembourg — 0.1%
		Bank Loans — 0.1%
	2,700,000	Intelsat Jackson Holdings SA, 2017 Term Loan B5, 6.63%, due 01/02/24 (e)		2,704,509
	6,486,202	SkillSoft Corp., 1st Lien Term Loan, 6.53%, due 04/28/21 (e)		5,059,238
	1,390,000	Travelport Finance (Luxembourg) S.a.r.l., 2019 Term Loan, Variable Rate, 5.00%, due 05/29/26		1,049,450
		Total Luxembourg		8,813,197
		Netherlands — 0.1%
		Corporate Debt — 0.1%
EUR	7,972,000	Hema Bondco I BV, Reg S, Variable Rate, 6.25%, due 07/15/22		6,611,079
		Puerto Rico — 0.2%
		Asset-Backed Securities — 0.0%
	1,040,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/20 (h)		847,600
	1,040,000	Commonwealth of Puerto Rico – Class A, 5.00%, due 07/01/41 (h)		785,200
		Total Asset-Backed Securities		1,632,800
		Municipal Obligations — 0.2%
	1,500,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28		1,456,875
	3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		3,158,150
	524,834	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) - Class A, 6.00%, due 07/01/44		544,515
	6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) - Class B, 5.35%, due 07/01/27		6,241,000
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,474,358
		Total Municipal Obligations		12,874,898
		Total Puerto Rico		14,507,698
		Saint Lucia — 0.1%
		Bank Loans — 0.0%
	2,200,000	Digicel International Finance Limited, 2017 Term Loan B, 4.87%, due 05/28/24(e)		1,925,000
		Corporate Debt — 0.1%
	2,920,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24		2,905,400

Par Value†		Description	Value ($)
		Saint Lucia — continued
		Corporate Debt — continued
	1,430,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24		1,422,850
		Total Saint Lucia		6,253,250
		United Kingdom — 0.0%
		Corporate Debt — 0.0%
GBP	2,200,000	Pizzaexpress Financing 2 Plc, Reg S, 6.63%, due 01/08/21		2,449,804
		United States — 15.1%
		Asset-Backed Securities — 0.3%
	387,959	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.75%, due 07/24/29		388,348
	655,160	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.43%, due 04/15/31		655,013
	298,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		297,997
	149,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 05/15/30		148,999
	326,093	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 11/17/27		326,091
	508,057	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.54%, due 07/26/31		508,051
	141,656	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.94%, due 01/18/25		141,752
	583,633	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.89%, due 04/25/26		584,113
	919,755	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.97%, due 07/20/25		920,446
	357,600	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.43%, due 04/15/30		357,596
	1,659,176	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.63%, due 10/25/37		1,652,409
	633,422	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 2.48%, due 04/25/36		633,296

76 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	223,500	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.37%, due 04/20/30		223,498
	149,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		148,999
	156,355	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.44%, due 01/17/28		156,353
	770,117	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.53%, due 07/15/31		770,109
	339,492	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.40%, due 04/22/30		339,479
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		141,268
	502,875	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		502,871
	197,195	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.99%, due 01/16/26		197,290
	719,670	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.29%, due 05/16/31		719,651
	361,082	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 11/28/30		361,069
	396,074	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.44%, due 01/27/31		396,057
	295,020	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.38%, due 01/15/31		295,017
	1,524,193	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.10%, due 07/25/29		1,499,955
	424,650	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.52%, due 04/20/31		424,646
	777,937	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/20/31		777,930
	482,436	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.77%, due 07/20/30		482,831

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	360,055	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.43%, 2.06%, due 04/25/31		359,331
	2,051,416	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 1.90%, due 06/25/37		2,030,523
	1,251,600	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.42%, due 04/19/30		1,251,552
	678,984	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.49%, due 01/16/31		677,761
	231,688	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.60%, due 10/12/30		231,436
	500,816	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 2.86%, due 05/15/26		501,144
	1,271,467	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 04/17/28		1,271,453
	1,109,007	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 01/17/30		1,108,995
	483,186	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.42%, due 04/26/28		483,189
	1,307,109	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 2.88%, due 05/25/47		1,307,564
	459,124	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		460,000
	141,550	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.45%, due 04/18/31		141,549
		Total Asset-Backed Securities		23,875,631
		Bank Loans — 1.1%
	7,855,730	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 7.92%, due 01/16/23 (e)		7,786,992
	3,431,291	BI-LO Holding LLC, Exit Term Loan B, Variable Rate, 9.74%, due 05/31/24		3,139,632
	4,830,600	Flexential Intermediate Corporation, 2017 1st Lien Term Loan, Variable Rate, 5.44%, due 08/01/24		3,906,748

See accompanying notes to the financial statements. 77

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	13,430,896	J.C. Penney Corp., Inc., 2016 Term Loan B, 5.86%, due 06/23/23 (e)		11,281,953
	4,994,567	Murray Energy Corp., DIP Term Loan, 13.00%, due 07/31/20 (e)		4,982,081
	7,435,313	Murray Energy Corp., 2018 Term Loan B2, Zero Coupon, due 10/17/22 (e)		1,171,062
	1,400,000	Pacific Gas & Electric Company, Revolver, 0.50%, due 04/27/22 (e)		1,459,500
	11,819,670	Quorum Health Corp., Term Loan B, 8.53%, due 04/29/22 (e)		11,760,571
	5,608,800	Transform SR Holdings LLC, Term Loan, 8.90%, due 02/12/24 (e)		5,566,734
	3,958,228	West Corporation, 2018 Term Loan B1, 5.10%, due 10/10/24 (e)		3,107,209
	9,086,424	Westmoreland Coal Co., PIK Term Loan, 7.50%, due 03/15/29 (e)		6,814,818
	4,856,988	Windstream Services LLC, Term Loan B7, 9.00%, due 02/17/24 (e)		4,274,149
	9,519,308	WP CPP Holdings LLC, 2018 2nd Lien Term Loan, 9.53%, due 04/30/26 (e)		9,328,922
	1,365,900	WP CPP Holdings, LLC, 2018 Term Loan, Variable Rate, 3.75%, due 04/30/25		1,321,508
		Total Bank Loans		75,901,879
		Corporate Debt — 0.6%
	1,257,000	Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23		972,503
	2,280,000	Bruin E&P Partners LLC, 144A, 8.88%, due 08/01/23		1,208,400
	2,111,000	CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24		1,942,120
	1,125,000	CHS/Community Health Systems, Inc., 144A, 6.88%, due 04/01/28		641,250
	3,391,000	Exela Intermediate LLC / Exela Finance, Inc., 144A, 10.00%, due 07/15/23 (i)		1,144,462
	634,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21 (i)		545,240
	1,250,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 01/15/22		1,050,000
	1,238,000	Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23		1,034,250
	1,791,000	Frontier Communications Corp., 7.13%, due 01/15/23		828,338
	5,534,000	Frontier Communications Corp., 11.00%, due 09/15/25		2,531,805
	5,400,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		5,467,500
	2,024,000	Frontier Communications Corp., 144A, 8.00%, due 04/01/27		2,099,900
	2,800,000	Gulfport Energy Corp., 6.38%, due 01/15/26		952,000
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21 (h)		147

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,640,000	NGL Energy Partners LP / NGL Energy Finance Corp., 7.50%, due 04/15/26		1,394,000
	1,854,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,502,667
	4,200,000	Pacific Gas & Electric Co., 3.50%, due 10/01/20 (h)		4,410,000
	1,700,000	Pacific Gas & Electric Co., 3.25%, due 09/15/21 (h)		1,785,000
	1,200,000	Tenet Healthcare Corp., 5.13%, due 05/01/25		1,209,000
	8,431,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		8,241,302
	2,300,000	VOC Escrow Ltd., 144A, 5.00%, due 02/15/28		2,052,750
	1,700,000	Windstream Holding of the Midwest, Inc., 6.75%, due 04/01/28 (h)		1,479,000
		Total Corporate Debt		42,491,634
		U.S. Government — 12.0%
	21,825,458	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (j)		22,481,420
	109,327,612	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (j)		115,426,035
	45,835,977	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (j)		47,944,569
	30,456,566	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (j)		32,307,107
	43,983,479	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (j)		50,932,507
	3,705,024	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (j)		4,037,011
	35,836,661	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (j)		39,462,048
	68,624,161	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (j)		85,508,309
	72,944,555	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (j)		75,855,458
	22,800,000	U.S. Treasury Note, 1.13%, due 02/28/21		22,810,688
	23,700,000	U.S. Treasury Note, 1.13%, due 06/30/21		23,734,254
	25,000,000	U.S. Treasury Note, 1.13%, due 07/31/21		25,043,945
	6,800,000	U.S. Treasury Note, 1.38%, due 01/31/21		6,816,469
	17,500,000	U.S. Treasury Note, 1.38%, due 04/30/21		17,560,156
	25,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		25,111,328
	25,000,000	U.S. Treasury Note, 1.50%, due 05/31/20		25,002,930
	700,000	U.S. Treasury Note, 1.63%, due 11/30/20		702,379

78 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	12,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.54%, due 04/30/20		12,000,144
	2,250,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20		2,250,135
	71,200,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.56%, due 10/31/20 (c)		71,206,697
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.63%, due 01/31/21 (c)		50,031,192
	70,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 1.66%, due 01/31/22 (c)		69,985,082
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 1.81%, due 10/31/21 (c)		25,090,518
		Total U.S. Government		851,300,381
		U.S. Government Agency — 1.1%
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.14%, 1.69%, due 04/20/20		7,999,748
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.21%, 1.47%, due 05/22/20		64,001,404
	6,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.71%, due 10/16/20		6,002,576
		Total U.S. Government Agency		78,003,728
		Total United States		1,071,573,253
		TOTAL DEBT OBLIGATIONS (COST $1,154,728,775)		1,157,240,798
		MUTUAL FUNDS — 0.1%
		United States — 0.1%
		Affiliated Issuers — 0.1%
	1,215,777	GMO U.S. Treasury Fund (k)		6,103,201
		TOTAL MUTUAL FUNDS (COST $6,091,214)		6,103,201
		SHORT-TERM INVESTMENTS — 10.6%
		Foreign Government Obligations — 6.6%
CAD	30,000,000	Canadian Treasury Bill, Zero Coupon, due 03/19/20		22,331,533
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/02/20		21,926,752
JPY	2,590,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/16/20		24,013,727
JPY	7,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/06/20		67,687,796
JPY	6,266,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/13/20		58,101,777
JPY	6,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/27/20		55,638,548

Par Value† / Shares		Description	Value ($)
		Foreign Government Obligations — continued
JPY	12,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/11/20		119,630,824
JPY	10,550,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		97,841,143
		Total Foreign Government Obligations		467,172,100
		Money Market Funds — 0.2%
	95,848	SSgA USD Liquidity Fund - Class D shares, 1.61% (l)		95,848
	14,674,475	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (m)		14,674,475
		Total Money Market Funds		14,770,323
		Repurchase Agreements — 3.0%
	215,143,294	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 02/28/20, maturing on 03/02/20 with a maturity value of $215,171,442 and an effective yield of 1.57%, collateralized by a U.S. Treasury Note with maturity date 08/15/25 and a market value of $220,601,940.		215,143,294
		Total Repurchase Agreements		215,143,294
		U.S. Government — 0.8%
	1,100,000	U.S. Treasury Bill, 0.50%, due 03/03/20 (n)		1,099,955
	50,950,000	U.S. Treasury Bill, 1.34%, due 04/02/20 (l) (n)		50,888,457
		Total U.S. Government		51,988,412
		TOTAL SHORT-TERM INVESTMENTS (COST $742,566,670)		749,074,129

See accompanying notes to the financial statements. 79

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

PURCHASED OPTIONS — 0.1%

Description	Counterparty	Exercise Price		Expiration Date		Principal Amount		Notional Amount		Value ($)
Currency Options — Puts — 0.0%
EUR Put/CHF Call	CITI		1.06		04/28/20	EUR	44,850,000	EUR	44,850,000		236,371
Total Currency Options — Puts											236,371

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options — Calls — 0.0%
Bunge Ltd. (d)	65.00		07/17/20		USD	660		USD	3,098,700		3,300
DuPont de Nemours, Inc. (d)	85.00		06/19/20		USD	800		USD	3,432,000		2,400
Total Equity Options — Calls											5,700
Equity Options — Puts — 0.1%
PPG Industries, Inc.	110.00		05/15/20		USD	1,000		USD	10,445,000		995,000
DuPont de Nemours, Inc. (d)	50.00		06/19/20		USD	3,200		USD	13,728,000		2,560,000
PPG Industries, Inc.	120.00		08/21/20		USD	812		USD	8,481,340		1,429,120
Total Equity Options — Puts											4,984,120
Index Options — Puts — 0.0%
S&P 500 Index	3,075.00		06/19/20		USD	15		USD	4,431,330		313,800
S&P 500 Index	3,125.00		06/19/20		USD	10		USD	2,954,220		233,800
S&P 500 Index	3,200.00		06/19/20		USD	70		USD	20,679,540		1,997,100
S&P 500 Index	2,850.00		03/20/20		USD	125		USD	36,927,750		931,250
Total Index Options — Puts											3,475,950

TOTAL PURCHASED OPTIONS (COST $3,915,543)	8,702,141
TOTAL INVESTMENTS — 101.8% (Cost $7,633,592,303)	7,239,488,001

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (3.5)%
			Common Stocks — (3.3)%
			Austria — (0.1)%
	(31,879	)	ANDRITZ AG		(1,128,124	)
	(30,724	)	IMMOFINANZ AG *		(791,441	)
	(7,332	)	Schoeller-Bleckmann Oilfield Equipment AG		(299,288	)
	(3,028	)	Verbund AG		(144,230	)
	(147,840	)	voestalpine AG		(3,219,172	)
			Total Austria		(5,582,255	)
			Brazil — (0.1)%
	(230,000	)	Pagseguro Digital Ltd – Class A *		(7,215,100	)
			Canada — (0.1)%
	(281,100	)	AltaGas Ltd		(4,203,149	)
	(162,995	)	Westshore Terminals Investment Corp		(1,711,007	)
			Total Canada		(5,914,156	)

Shares			Description	Value ($)
			Common Stocks — continued
			Denmark — (0.1)%
	(1,770	)	AP Moller – Maersk A/S – Class A		(1,678,460	)
	(2,190	)	AP Moller – Maersk A/S – Class B		(2,209,951	)
	(56,540	)	Chr Hansen Holding A/S		(4,076,173	)
	(6,774	)	DFDS A/S		(237,131	)
	(3	)	DSV A/S		(304	)
	(44,787	)	Jyske Bank A/S (Registered) *		(1,542,502	)
	(13,453	)	Sydbank A/S		(248,914	)
			Total Denmark		(9,993,435	)
			Finland — (0.0)%
	(539,917	)	Nokia Oyj		(2,063,045	)
	(22,964	)	Nokian Renkaat Oyj		(601,089	)
	(14,602	)	Wartsila Oyj Abp		(152,664	)
			Total Finland		(2,816,798	)
			France — (0.5)%
	(211,460	)	ArcelorMittal SA		(3,011,174	)
	(21,959	)	CGG SA *		(61,053	)
	(96,365	)	Electricite de France SA		(1,352,623	)
	(672,280	)	Peugeot SA		(13,028,158	)

80 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares			Description	Value ($)
			Common Stocks — continued
			France — continued
	(214,795	)	Worldline SA *		(16,569,581	)
			Total France		(34,022,589	)
			Germany — (0.2)%
	(1,282,285	)	Deutsche Bank AG (Registered) *		(11,257,806	)
	(43,200	)	QIAGEN NV *		(1,550,880	)
	(8,464	)	thyssenkrupp AG *		(82,992	)
			Total Germany		(12,891,678	)
			Ireland — (0.3)%
	(220,403	)	Flutter Entertainment Plc		(23,712,260	)
			Israel — (0.0)%
	(18,200	)	Wix.com Ltd *		(2,439,346	)
			Italy — (0.1)%
	(1,122,327	)	Saipem SPA *		(4,288,472	)
			Japan — (0.2)%
	(31,900	)	Coca-Cola Bottlers Japan Holdings Inc		(735,744	)
	(106,500	)	Japan Lifeline Co Ltd *		(1,297,759	)
	(224,900	)	JGC Holding Corp *		(2,718,780	)
	(55,400	)	Keikyu Corp		(835,753	)
	(26,100	)	Kyushu Electric Power Co Inc		(188,944	)
	(300	)	Lawson Inc		(16,024	)
	(7,300	)	Maruichi Steel Tube Ltd		(176,314	)
	(6,800	)	Mitsubishi Materials Corp		(154,265	)
	(201,500	)	Mitsui OSK Lines Ltd *		(4,150,585	)
	(198,600	)	Nippon Yusen KK		(2,824,741	)
	(6,000	)	Odakyu Electric Railway Co Ltd		(115,308	)
	(629,500	)	Orient Corp *		(778,431	)
	(112,300	)	Yamato Holdings Co Ltd		(1,772,902	)
			Total Japan		(15,765,550	)
			Luxembourg — (0.0)%
	(25,700	)	Intelsat SA *		(99,202	)
			Netherlands — (0.1)%
	(38,600	)	InterXion Holding NV *		(3,276,754	)
	(15,064	)	Just Eat Takeaway *		(1,316,262	)
			Total Netherlands		(4,593,016	)
			Norway — (0.0)%
	(10,854	)	Borr Drilling Ltd *		(23,262	)
			Singapore — (0.0)%
	(241,500	)	Singapore Post Ltd		(136,700	)
			Spain — (0.1)%
	(66,836	)	Cellnex Telecom SA		(3,258,539	)
			Sweden — (0.0)%
	(3,700	)	Spotify Technology SA *		(507,344	)

Shares			Description	Value ($)
			Common Stocks — continued
			Switzerland — ( 0.0)%
	(1,425	)	Dufry AG (Registered)		(104,575	)
	(438	)	Swiss Prime Site AG (Registered)		(52,847	)
			Total Switzerland		(157,422	)
			United Kingdom — (0.1)%
	(28,181	)	Dechra Pharmaceuticals Plc		(967,663	)
	(52,700	)	Farfetch Ltd – Class A *		(588,659	)
	(1,041,733	)	G4S Plc		(2,306,596	)
	(1,389,144	)	Melrose Industries Plc		(3,841,841	)
	(71,802	)	Weir Group Plc (The)		(1,212,777	)
			Total United Kingdom		(8,917,536	)
			United States — (1.3)%
	(102,574	)	AbbVie, Inc.		(8,791,618	)
	(17	)	Centene Corp. *		(901	)
	(1	)	CVS Health Corp.		(59	)
	(264,823	)	Digital Realty Trust, Inc. (REIT)		(31,807,890	)
	(130,555	)	Eldorado Resorts, Inc. *		(6,551,250	)
	(1	)	Fidelity National Information Services, Inc.		(140	)
	(861,222	)	First Horizon National Corp.		(11,480,089	)
	(446,543	)	Liberty Global Plc – Class A * (d)		(8,716,519	)
	(147,219	)	Morgan Stanley		(6,629,272	)
	(74,400	)	NGL Energy Partners LP		(607,104	)
	(77,833	)	Seritage Growth Properties (REIT) *		(2,675,899	)
	(276,701	)	TD Ameritrade Holding Corp.		(11,685,083	)
	(15	)	Truist Financial Corp.		(692	)
			Total United States		(88,946,516	)
			TOTAL COMMON STOCKS (PROCEEDS $247,434,980)		(231,281,176	)
			DEBT OBLIGATIONS — (0.2)%
			Corporate Debt — (0.2)%
			United States — (0.2)%
	(4,200,000	)	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.63%, due 01/15/22		(4,177,740	)
	(6,120,000	)	Intrado Corp., 144A, 8.50%, due 10/15/25		(4,146,300	)
	(1,200,000	)	Tenet Healthcare Corp., 6.75%, due 06/15/23		(1,289,004	)
	(2,900,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(2,963,133	)
	(3,969,100	)	United States Steel Corp., 6.88%, due 08/15/25		(3,453,117	)
			Total United States		(16,029,294	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $16,133,671)		(16,029,294	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $263,568,651)		(247,310,470	)
			Other Assets and Liabilities (net) — 1.7%		122,128,590
			TOTAL NET ASSETS — 100.0%		$7,114,306,121

See accompanying notes to the financial statements. 81

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/06/2020	MSCI		AUD	162,240,050		USD	109,045,173		3,220,949
05/05/2020	CITI		BRL	4,638,129		USD	1,070,000		36,010
05/05/2020	MSCI		BRL	75,569,011		USD	17,814,687		967,900
03/03/2020	MSCI		CAD	73,969,314		USD	56,690,000		1,581,435
03/19/2020	MSCI		CAD	30,000,000		USD	22,805,268		454,196
05/04/2020	JPM		CHF	50,812,393		USD	52,746,195		(144,265	)
05/14/2020	JPM		CHF	94,549,136		USD	97,524,189		(952,526	)
04/07/2020	MSCI		CLP	11,551,544,300		USD	15,231,467		1,105,908
05/06/2020	JPM		COP	11,505,150,000		USD	3,330,000		72,641
05/06/2020	MSCI		COP	29,950,130,300		USD	8,833,804		354,269
04/14/2020	MSCI		CZK	176,457,773		USD	7,734,943		81,749
04/17/2020	BCLY		EUR	1,423,178		USD	1,548,811		(26,570	)
04/17/2020	BOA		EUR	1,171,242		USD	1,283,136		(13,366	)
04/17/2020	DB		EUR	1,436,938		USD	1,593,288		2,675
04/17/2020	GS		EUR	2,416,914		USD	2,654,123		(21,272	)
04/17/2020	MSCI		EUR	3,217,810		USD	3,588,932		26,988
04/27/2020	DB		EUR	11,410,000		USD	12,541,285		(96,044	)
04/27/2020	MSCI		EUR	14,130,000		USD	15,337,832		(312,075	)
04/17/2020	MSCI		GBP	2,079,178		USD	2,712,319		43,307
05/14/2020	JPM		GBP	24,297,300		USD	31,612,367		404,352
04/14/2020	MSCI		HUF	4,733,417,345		USD	15,895,152		424,085
03/02/2020	CITI		JPY	2,365,000,000		USD	21,921,982		(4,589	)
03/09/2020	MSCI		JPY	919,913,075		USD	8,380,000		(151,580	)
03/16/2020	MSCI		JPY	2,590,000,000		USD	24,005,486		(24,339	)
04/06/2020	GS		JPY	3,000,000,000		USD	27,738,456		(127,048	)
04/06/2020	JPM		JPY	4,300,000,000		USD	39,849,923		(90,632	)
04/13/2020	JPM		JPY	3,133,000,000		USD	28,713,463		(397,037	)
04/13/2020	MSCI		JPY	3,133,000,000		USD	28,719,625		(390,875	)
04/17/2020	BOA		JPY	2,439,516,820		USD	22,305,657		(365,577	)
04/17/2020	DB		JPY	19,909,000		USD	181,943		(3,077	)
04/17/2020	MSCI		JPY	5,720,000		USD	52,195		(962	)
04/27/2020	MSCI		JPY	6,000,000,000		USD	54,827,157		(959,188	)
05/07/2020	BCLY		JPY	1,100,000,000		USD	10,146,594		(85,740	)
05/11/2020	BCLY		JPY	12,900,000,000		USD	118,010,151		(2,008,868	)
05/18/2020	BCLY		JPY	8,850,000,000		USD	80,963,186		(1,401,440	)
05/18/2020	GS		JPY	1,700,000,000		USD	15,254,545		(566,909	)
06/01/2020	GS		JPY	2,400,000,000		USD	22,176,268		(174,015	)
03/05/2020	JPM		KRW	7,610,644,105		USD	6,369,599		83,143
03/05/2020	MSCI		KRW	8,840,743,995		USD	7,480,719		178,191
03/04/2020	JPM		NOK	329,029,741		USD	35,490,000		518,194
03/04/2020	MSCI		NOK	202,917,549		USD	21,950,000		382,366
04/08/2020	JPM		PEN	10,849,828		USD	3,196,514		61,705
03/04/2020	JPM		PHP	166,485,820		USD	3,246,603		(18,437	)
06/02/2020	MSCI		PHP	92,325,120		USD	1,795,161		(2,618	)
03/13/2020	CITI		PLN	15,724,625		USD	4,010,000		447
03/13/2020	MSCI		PLN	44,672,773		USD	11,564,270		173,355
04/30/2020	JPM		RON	9,674,430		USD	2,180,000		(33,240	)
04/30/2020	MSCI		RON	42,493,999		USD	9,754,608		33,165
04/20/2020	GS		RUB	99,723,987		USD	1,510,000		31,968
03/06/2020	JPM		SEK	167,821,674		USD	17,290,000		(177,072	)
05/18/2020	JPM		SGD	2,976,531		USD	2,143,616		5,641
03/13/2020	JPM		THB	111,646,752		USD	3,570,000		31,234
03/13/2020	MSCI		THB	182,338,909		USD	5,780,000		568
04/16/2020	MSCI		TRY	49,983,569		USD	8,336,013		481,444

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/08/2020	JPM		TWD	57,910,142		USD	1,940,298		12,226
05/06/2020	GS		USD	5,136,214		AUD	7,590,000		(185,489	)
03/03/2020	MSCI		USD	143,850,610		CAD	191,198,319		(1,404,176	)
05/12/2020	MSCI		USD	2,410,065		CAD	3,203,783		(23,253	)
05/04/2020	JPM		USD	9,860,000		CHF	9,599,801		132,402
04/07/2020	JPM		USD	7,420,000		CLP	5,886,147,500		(222,251	)
04/07/2020	MSCI		USD	5,320,000		CLP	4,268,552,500		(100,292	)
04/14/2020	CITI		USD	2,040,000		CZK	46,504,289		(23,051	)
04/27/2020	CITI		USD	8,313,886		EUR	7,520,000		15,010
04/27/2020	JPM		USD	8,932,199		EUR	8,070,000		5,859
04/27/2020	MSCI		USD	36,213,917		EUR	32,660,000		(40,810	)
05/14/2020	JPM		USD	31,482,266		GBP	24,270,000		(309,316	)
05/20/2020	MSCI		USD	3,282,594		IDR	45,404,833,400		(191,899	)
05/28/2020	MSCI		USD	8,794,344		ILS	30,058,187		(92,117	)
05/04/2020	CITI		USD	1,610,000		INR	115,636,318		(23,398	)
05/04/2020	JPM		USD	3,257,119		INR	234,933,590		(33,685	)
03/09/2020	CITI		USD	9,610,000		JPY	1,050,375,499		131,532
03/09/2020	JPM		USD	41,344,120		JPY	4,474,452,051		153,436
03/09/2020	MSCI		USD	27,520,000		JPY	3,033,813,133		616,592
03/05/2020	CITI		USD	1,970,000		KRW	2,277,221,500		(88,996	)
03/05/2020	JPM		USD	9,630,000		KRW	11,276,778,600		(315,286	)
03/05/2020	MSCI		USD	2,460,000		KRW	2,897,388,000		(66,733	)
04/03/2020	JPM		USD	2,410,397		KRW	2,910,916,105		13,347
05/21/2020	MSCI		USD	14,856,494		MXN	279,856,228		(812,144	)
03/04/2020	DB		USD	5,230,000		NOK	46,561,817		(281,053	)
03/04/2020	MSCI		USD	73,973,533		NOK	673,005,230		(2,441,372	)
05/11/2020	JPM		USD	39,621,451		NOK	364,996,770		(825,765	)
05/05/2020	JPM		USD	8,549,016		NZD	13,200,000		(293,146	)
04/08/2020	MSCI		USD	1,505,208		PEN	5,011,288		(57,311	)
03/04/2020	JPM		USD	1,460,000		PHP	74,160,700		(5,596	)
03/04/2020	MSCI		USD	1,806,400		PHP	92,325,120		4,236
03/13/2020	CITI		USD	9,200,000		PLN	35,120,195		(244,855	)
04/20/2020	MSCI		USD	8,518,931		RUB	546,830,168		(414,236	)
03/06/2020	BCLY		USD	26,969,650		SEK	254,988,603		(430,146	)
03/06/2020	DB		USD	4,000,000		SEK	37,902,080		(55,108	)
03/06/2020	JPM		USD	19,660,000		SEK	187,952,549		(97,684	)
03/06/2020	MSCI		USD	14,700,000		SEK	141,806,490		59,381
05/04/2020	JPM		USD	14,700,000		SEK	141,481,450		63,456
05/04/2020	MSCI		USD	37,762,964		SEK	363,034,250		119,319
03/13/2020	BOA		USD	11,276,783		THB	341,083,224		(465,776	)
04/16/2020	JPM		USD	2,130,000		TRY	13,126,159		(67,316	)
04/16/2020	MSCI		USD	2,380,000		TRY	14,679,364		(73,240	)
04/08/2020	JPM		USD	4,890,000		TWD	146,039,850		(27,719	)
04/08/2020	MSCI		USD	2,670,000		TWD	79,058,700		(37,804	)
04/30/2020	BOA		USD	8,563,304		ZAR	126,611,876		(515,503	)
04/30/2020	JPM		ZAR	161,983,769		USD	10,692,566		396,429
04/30/2020	MSCI		ZAR	54,208,641		USD	3,590,000		144,349
								$	(6,190,428	)

82 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
484	Mini MSCI Emerging Markets	March 2020		24,412,960		(2,018,955	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
2,998	S&P 500 E-Mini	March 2020		442,369,890		27,829,967

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

Reverse Repurchase Agreements ^(o)

Face Value	Description	Value ($)
USD	(489,093) Barclays Bank PLC, 0.75%, dated 10/31/19, (collateral: Ferrellgas LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21), to be repurchased on demand at face value plus accrued interest.		(489,093	)
USD	(1,097,144) Barclays Bank PLC, 0.00%, dated 01/29/20, (collateral: Exela Intermediate LLC / Exela Finance, Inc., 144A, 10.00%, due 07/15/23), to be repurchased on demand at face value plus accrued interest.		(1,097,144	)
		$	(1,586,237	)
	Average balance outstanding	$	(5,027,554	)
	Average interest rate (net)		(0.53	)%
	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
Axalta Coating Systems Ltd. (d)		30.00		04/17/20		(3,428	)		USD	(8,542,576	)		(85,700	)
Bunge Ltd. (d)		55.00		07/17/20		(1,900	)		USD	(8,920,500	)		(171,000	)
Walgreens Boots Alliance, Inc. (d)		55.00		07/17/20		(1,250	)		USD	(5,720,000	)		(93,750	)
Liberty Global Plc (d)		20.00		07/17/20		(3,000	)		USD	(5,577,000	)		(390,000	)
Axalta Coating Systems Ltd. (d)		30.00		07/17/20		(2,250	)		USD	(5,607,000	)		(258,750	)
Nielsen Holdings Plc (d)		21.00		08/21/20		(10,000	)		USD	(18,210,000	)		(800,000	)
				Total Equity Options — Calls									(1,799,200)
Equity Options — Puts
Liberty Global Plc (d)		25.00		04/17/20		(2,000	)		USD	(3,718,000	)		(1,760,000	)
Liberty Global Plc (d)		22.50		04/17/20		(2,500	)		USD	(4,647,500	)		(1,100,000	)
ViacomCBS, Inc. (d)		40.00		06/19/20		(1,500	)		USD	(3,691,500	)		(2,400,000	)
DuPont De Nemours, Inc. (d)		60.00		06/19/20		(2,000	)		USD	(8,580,000	)		(3,496,000	)
Walgreens Boots Alliance, Inc. (d)		55.00		06/19/20		(1,800	)		USD	(8,236,800	)		(1,872,000	)
Liberty Global Plc (d)		22.50		07/17/20		(1,000	)		USD	(1,859,000	)		(420,000	)
Walgreens Boots Alliance, Inc. (d)		50.00		07/17/20		(1,250	)		USD	(5,720,000	)		(871,250	)
Bunge Ltd. (d)		50.00		07/17/20		(1,900	)		USD	(8,920,500	)		(1,159,000	)
Liberty Global Plc (d)		20.00		07/17/20		(3,000	)		USD	(5,577,000	)		(780,000	)
Axalta Coating Systems Ltd. (d)		28.00		07/17/20		(1,000	)		USD	(2,492,000	)		(490,000	)
Nielsen Holdings Plc (d)		19.00		08/21/20		(5,000	)		USD	(9,105,000	)		(1,400,000	)

See accompanying notes to the financial statements. 83

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Written Options — continued

Equity Options — continued

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount				Value ($)
Nielsen Holdings Plc (d)		18.00		08/21/20		(5,000	)		USD	(9,105,000	)		(850,000	)
ViacomCBS, Inc. (d)		35.00		09/18/20		(2,000	)		USD	(4,922,000	)		(2,320,000	)
				Total Equity Options — Puts									(18,918,250	)
Index Options — Puts
S&P 500 Index		2,950.00		03/06/20		(158	)		USD	(46,676,676	)		(1,265,422	)
S&P 500 Index		2,950.00		03/13/20		(158	)		USD	(46,676,676	)		(1,598,960	)
S&P 500 Index		2,950.00		03/20/20		(159	)		USD	(46,972,098	)		(1,717,200	)
				Total Index Options — Puts									(4,581,582	)
				TOTAL WRITTEN OPTIONS (Premiums $13,802,195)								$	(25,299,032	)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
United States Steel Corp.	MORD	USD	800,000		5.00%		6.82%		N/A		06/20/2024		Quarterly		8,000			49,110			41,110
United States Steel Corp.	CITI	USD	800,000		5.00%		6.82%		N/A		06/20/2024		Quarterly		10,000			49,110			39,110
Sell Protection^:
J.C. Penney Corporation, Inc.	GS	USD	377,000		5.00%		16.23%		377,000 USD		06/20/2020		Quarterly		(65,975	)		(12,686	)		53,289
J.C. Penney Corporation, Inc.	MORD	USD	625,000		5.00%		16.23%		625,000 USD		06/20/2020		Quarterly		(118,750	)		(21,031	)		97,719
J.C. Penney Corporation, Inc.	CITI	USD	625,000		5.00%		16.23%		625,000 USD		06/20/2020		Quarterly		(190,625	)		(21,031	)		169,594
														$	(357,350	)	$	43,472		$	400,822

^ 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 February 29, 2020, 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.

84 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Swap Contracts — continued

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	1.15%	AUD	23,150,000		03/18/2030	Semi-Annually		—			331,364			331,364
1.50%	6 Month AUD BBSW	AUD	229,920,000		03/18/2030	Semi-Annually		13,527			(8,418,154	)		(8,431,681	)
1.28%	6 Month AUD BBSW	AUD	202,710,000		03/18/2030	Semi-Annually		(162,188	)		(4,588,630	)		(4,426,442	)
1.22%	6 Month AUD BBSW	AUD	213,530,000		03/18/2030	Semi-Annually		67,126			(4,019,601	)		(4,086,727	)
3 Month CAD LIBOR	2.04%	CAD	36,880,000		03/18/2030	Semi-Annually		—			1,422,294			1,422,294
3 Month CAD LIBOR	2.01%	CAD	35,780,000		03/18/2030	Semi-Annually		—			1,317,004			1,317,004
3 Month CAD LIBOR	2.05%	CAD	18,540,000		03/18/2030	Semi-Annually		—			726,080			726,080
3 Month CAD LIBOR	2.03%	CAD	17,460,000		03/18/2030	Semi-Annually		—			662,309			662,309
3 Month CAD LIBOR	1.88%	CAD	399,810,000		03/18/2030	Semi-Annually		(75,430	)		10,950,995			11,026,425
6 Month CHF LIBOR	(0.21)%	CHF	40,060,000		03/18/2030	Semi-Annually		(65,650	)		1,453,853			1,519,503
6 Month CHF LIBOR	(0.18)%	CHF	149,400,000		03/18/2030	Semi-Annually		—			5,842,152			5,842,152
6 Month CHF LIBOR	(0.21)%	CHF	74,060,000		03/18/2030	Semi-Annually		—			2,671,756			2,671,756
6 Month CHF LIBOR	(0.19)%	CHF	74,480,000		03/18/2030	Semi-Annually		—			2,827,886			2,827,886
6 Month CHF LIBOR	(0.15)%	CHF	19,760,000		03/18/2030	Semi-Annually		—			836,815			836,815
(0.38)%	6 Month CHF LIBOR	CHF	6,950,000		03/18/2030	Semi-Annually		—			(119,173	)		(119,173	)
(0.37)%	6 Month CHF LIBOR	CHF	14,490,000		03/18/2030	Semi-Annually		—			(273,147	)		(273,147	)
6 Month CHF LIBOR	(0.30)%	CHF	20,700,000		03/18/2030	Semi-Annually		—			532,944			532,944
3 Month NZD Bank Bill Rate	1.50%	NZD	103,910,000		03/18/2030	Quarterly		—			1,924,817			1,924,817
3 Month NZD Bank Bill Rate	1.67%	NZD	37,790,000		03/18/2030	Quarterly		—			1,084,801			1,084,801
3 Month NZD Bank Bill Rate	1.66%	NZD	27,540,000		03/18/2030	Quarterly		—			782,317			782,317
3 Month NZD Bank Bill Rate	1.83%	NZD	108,420,000		03/18/2030	Quarterly		108,971			4,183,789			4,074,818
3 Month NZD Bank Bill Rate	1.52%	NZD	12,010,000		03/18/2030	Quarterly		—			240,455			240,455
3 Month NZD Bank Bill Rate	1.48%	NZD	10,800,000		03/18/2030	Quarterly		—			191,649			191,649
3 Month NZD Bank Bill Rate	1.48%	NZD	24,190,000		03/18/2030	Quarterly		16,547			429,982			413,435
3 Month NZD Bank Bill Rate	1.50%	NZD	14,960,000		03/18/2030	Quarterly		—			281,598			281,598
3 Month NZD Bank Bill Rate	1.42%	NZD	40,520,000		03/18/2030	Quarterly		3,034			574,634			571,600
3 Month NZD Bank Bill Rate	1.46%	NZD	12,230,000		03/18/2030	Quarterly		—			198,712			198,712
1.43%	3 Month NZD Bank Bill Rate	NZD	124,560,000		03/18/2030	Quarterly		—			(1,837,323	)		(1,837,323	)
3 Month SEK STIBOR	0.58%	SEK	1,364,185,000		03/18/2030	Quarterly		(81,780	)		4,509,847			4,591,627
0.59%	3 Month SEK STIBOR	SEK	98,800,000		03/18/2030	Quarterly		—			(330,729	)		(330,729	)
0.62%	3 Month SEK STIBOR	SEK	231,000,000		03/18/2030	Quarterly		—			(840,471	)		(840,471	)
0.48%	3 Month SEK STIBOR	SEK	232,900,000		03/18/2030	Quarterly		—			(514,625	)		(514,625	)
0.33%	3 Month SEK STIBOR	SEK	106,300,000		03/18/2030	Quarterly		—			(66,438	)		(66,438	)
0.32%	3 Month SEK STIBOR	SEK	145,000,000		03/18/2030	Quarterly		—			(87,613	)		(87,613	)
6 Month EURIBOR	(0.13)%	EUR	23,250,000		03/20/2030	Semi-Annually		—			124,902			124,902
6 Month EURIBOR	(0.12)%	EUR	10,450,000		03/20/2030	Semi-Annually		—			76,292			76,292
6 Month EURIBOR	(0.15)%	EUR	10,770,000		03/20/2030	Semi-Annually		—			31,590			31,590
(0.03)%	6 Month EURIBOR	EUR	21,970,000		03/20/2030	Semi-Annually		(29,485	)		(373,489	)		(344,004	)
(0.06)%	6 Month EURIBOR	EUR	11,110,000		03/20/2030	Semi-Annually		—			(155,471	)		(155,471	)
(0.06)%	6 Month EURIBOR	EUR	32,700,000		03/20/2030	Semi-Annually		1,190			(459,450	)		(460,640	)
0.90%	6 Month GBP LIBOR	GBP	218,160,000		03/20/2030	Semi-Annually		—			(7,301,561	)		(7,301,561	)
0.84%	6 Month GBP LIBOR	GBP	21,560,000		03/20/2030	Semi-Annually		(11,903	)		(556,179	)		(544,276	)
6 Month GBP LIBOR	0.81%	GBP	12,730,000		03/20/2030	Semi-Annually		—			286,765			286,765
6 Month GBP LIBOR	0.80%	GBP	10,070,000		03/20/2030	Semi-Annually		—			202,780			202,780
6 Month GBP LIBOR	0.80%	GBP	10,070,000		03/20/2030	Semi-Annually		—			210,380			210,380
6 Month GBP LIBOR	0.76%	GBP	31,370,000		03/20/2030	Semi-Annually		80,491			503,473			422,982

See accompanying notes to the financial statements. 85

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

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) ($)
6 Month GBP LIBOR		0.76%	GBP	10,320,000		03/20/2030	Semi-Annually		—			156,545			156,545
6 Month GBP LIBOR		0.69%	GBP	9,800,000		03/20/2030	Semi-Annually		—			61,762			61,762
6 Month GBP LIBOR		0.62%	GBP	9,710,000		03/20/2030	Semi-Annually		—			(13,301	)		(13,301	)
6 Month GBP LIBOR		0.62%	GBP	9,710,000		03/20/2030	Semi-Annually		—			(15,743	)		(15,743	)
1.60%		3 Month USD LIBOR	USD	259,350,000		03/20/2030	Quarterly		(396,055	)		(12,671,658	)		(12,275,603	)
3 Month NZD Bank Bill Rate		1.45%	NZD	124,870,000		06/17/2030	Quarterly		—			1,850,960			1,850,960
3 Month NZD Bank Bill Rate		1.32%	NZD	20,780,000		06/17/2030	Quarterly		—			143,526			143,526
1.30%		3 Month USD LIBOR	USD	24,901,000		06/19/2030	Quarterly		—			(510,955	)		(510,955	)
1.32%		3 Month USD LIBOR	USD	12,449,000		06/19/2030	Quarterly		—			(277,508	)		(277,508	)
								$	(531,605	)	$	4,195,809		$	4,727,414

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 iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.25%	GS		USD	4,936,350	03/02/2020		Monthly		—		504,230		504,230
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.24%	GS		USD	59,509,800	03/06/2020		Monthly		—		6,315,325		6,315,325
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS		USD	19,966,415	03/10/2020		Monthly		—		2,378,747		2,378,747
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS		USD	20,025,000	03/11/2020		Monthly		—		2,288,322		2,288,322
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.21%	GS		USD	15,017,700	03/16/2020		Monthly		—		1,919,751		1,919,751
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.21%	GS		USD	30,133,620	03/18/2020		Monthly		—		3,813,186		3,813,186
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.20%	GS		USD	11,895,800	03/23/2020		Monthly		—		1,543,205		1,543,205
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.23%	GS		USD	40,201,200	03/25/2020		Monthly		—		4,698,220		4,698,220
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.20%	GS		USD	4,857,450	03/26/2020		At Maturity		—		419,290		419,290
Total Return on Equity Basket (p)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	6,913,317	05/18/2020		Monthly		—		455,533		455,533
Total Return on Equity Basket (p)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	19,357,037	05/18/2020		Monthly		—		403,620		403,620
Total Return on Equity Basket (p)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	14,495,691	05/18/2020		Monthly		—		1,495,853		1,495,853
Total Return on Equity Basket (p)	1 Month Federal Funds Rate minus 0.90%	MORD		USD	3,294,021	05/18/2020		Monthly		—		365,154		365,154
Total Return on Equity Basket (p)	1 Month Federal Funds Rate minus -1.75	MORD		USD	14,430,162	05/18/2020		Monthly		—		1,569,977		1,569,977
Depreciation of Total Return on CSI 500 Net Total Return Index + (1 Month USD LIBOR minus 5.70%)	Appreciation on Total Return on CSI 500 Index	GS		USD	8,641,127	12/07/2020		Monthly		—		233,481		233,481
									$	—	$	28,403,894	$	28,403,894

86 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

As of February 29, 2020, 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 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) All or a portion of this investment is held in connection with one or more holdings within the Fund.

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

(f) 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).

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

(h) Security is in default.

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

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

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

(l) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(m) The rate disclosed is the 7 day net yield as of February 29, 2020.

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

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

(p) 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 120.

See accompanying notes to the financial statements. 87

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Developed Equity Allocation Fund returned +2.14% (net) for the fiscal year ended February 29, 2020, as compared with -0.57% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 10% position in emerging markets detracted from performance relative to the benchmark as the MSCI Emerging Markets Index returned -1.9%. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in both emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

88

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

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

89

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.0	%
Short-Term Investments		3.5
Preferred Stocks		0.4
Investment Funds		0.3
Debt Obligations		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.3	)
Other		1.0
		100.0	%
Country/Region Summary¤	% of Investments
Japan		18.7	%
United Kingdom		17.5
France		8.7
Netherlands		5.8
Switzerland		5.6
Spain		5.4
Italy		4.9
Germany		4.8
China		4.4
Singapore		3.8
Sweden		3.7
Australia		3.1
Portugal		2.9
Other Emerging		2.2	†
Hong Kong		2.0
Taiwan		2.0
Norway		1.8
Russia		1.7
Other Developed		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%.

90

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,005,230	GMO Emerging Markets Fund, Class VI		30,679,613
	13,301,651	GMO International Equity Fund, Class IV		266,698,094
		TOTAL MUTUAL FUNDS (COST $321,633,683)		297,377,707
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	120,995	State Street Institutional Treasury Money Market Fund-Premier Class, 1.50% (a)		120,995
		TOTAL SHORT-TERM INVESTMENTS (COST $120,995)		120,995
		TOTAL INVESTMENTS — 100.0% (Cost $321,754,678)		297,498,702
		Other Assets and Liabilities (net) — (0.0%)		(35,357	)
		TOTAL NET ASSETS — 100.0%		$297,463,345

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 91

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Equity Allocation Fund returned +1.62% (net) for the fiscal year ended February 29, 2020, as compared with -0.69% for the MSCI ACWI ex-USA.

The Fund’s overweight to emerging markets detracted from performance relative to the benchmark as the MSCI Emerging Markets Index returned -1.9% while MSCI World ex-USA returned -0.4%. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in both emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

92

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

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

93

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.9	%
Short-Term Investments		2.9
Preferred Stocks		1.4
Investment Funds		1.0
Debt Obligations		0.3
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.3	)
Other		0.8
		100.0	%
Country/Region Summary¤	% of Investments
China		15.2	%
Japan		13.5
United Kingdom		12.7
Taiwan		6.9
France		6.2
Russia		5.7
Other Emerging		4.5	†
Netherlands		4.1
Switzerland		4.0
Spain		3.9
Italy		3.5
Germany		3.4
Singapore		3.0
Sweden		2.6
Australia		2.2
Portugal		2.0
Korea		1.8
Hong Kong		1.4
Poland		1.4
Norway		1.3
Other Developed		0.7	‡
		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%.

94

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	10,041,382	GMO Emerging Markets Fund, Class VI		306,462,975
	27,436,634	GMO International Equity Fund, Class IV		550,104,514
		TOTAL MUTUAL FUNDS (COST $925,700,175)		856,567,489
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	294,516	State Street Institutional Treasury Money Market Fund-Premier Class, 1.50% (a)		294,516
		TOTAL SHORT-TERM INVESTMENTS (COST $294,516)		294,516
		TOTAL INVESTMENTS — 100.0% (Cost $925,994,691)		856,862,005
		Other Assets and Liabilities (net) — (0.0%)		(16,798	)
		TOTAL NET ASSETS — 100.0%		$856,845,207

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 95

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO SGM Major Markets Fund returned -1.74% (net) for the fiscal year ended February 29, 2020, as compared with +2.12% for the FTSE 3-Month Treasury Bill Index.

The Fund added value from currency positions while equity, bond, and commodity positions detracted value. Currencies were the major positive contributors through the period, with a short in the euro (relative to the U.S. dollar) contributing strongly. Bonds, held net short on valuation grounds, detracted as yields declined towards historic lows which hurt performance. A long position in U.S. Treasuries established during the period added value.

Equities were the major detractor over the course of the fiscal year. The portfolio had maintained a short U.S. equity position, offset mainly by a long position in emerging markets, throughout the period. This positioning proved a drag on performance as despite exceptionally high valuations; U.S exceptionalism continued and the market outperformed others on a relative basis. These losses were partially offset into February 2020 as negative beta positions in equities assisted. Commodities detracted over the period, as short positions in precious metals lost more value than a short in energy added.

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

96

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO SGM Major Markets Fund Class III Shares, the FTSE 3-Month Treasury Bill Index +++ and the FTSE 3-Month Treasury Bill Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited. Performance for classes may vary due to different fees.

* The FTSE 3-Month Treasury Bill Index +++ is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the FTSE 3-Month Treasury Bill Index thereafter.

97

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		75.2	%
Short-Term Investments		26.3
Futures Contracts		1.6	#
Forward Currency Contracts		(0.3	)
Other		(2.8	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% ow ned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included w ith 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 forw ard currency contracts w hich are based on unrealized appreciation/ (depreciation). The exposure the Fund has to futures contracts based on notional amounts is (7.0)% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

98

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		DEBT OBLIGATIONS — 75.2%
		United States — 75.2%
		U.S. Government — 63.3%
	14,250,000	U.S. Treasury Note, 1.38%, due 04/30/20 (a)		14,248,348
	25,500,000	U.S. Treasury Note, 1.50%, due 05/31/20 (a)		25,502,988
	25,000,000	U.S. Treasury Note, 1.38%, due 10/31/20		25,028,320
	25,000,000	U.S. Treasury Note, 1.75%, due 12/31/20		25,123,047
	82,000,000	U.S. Treasury Note, 1.38%, due 01/31/21 (a)		82,198,594
	25,000,000	U.S. Treasury Note, 1.13%, due 02/28/21		25,011,719
	25,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		25,049,805
	25,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		25,085,937
	27,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		27,120,234
	23,000,000	U.S. Treasury Note, 1.63%, due 06/30/21		23,183,281
	36,697,400	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.54%, due 04/30/20 (b)		36,697,842
	110,258,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 1.55%, due 07/31/20 (a) (b)		110,265,438
	94,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 1.63%, due 01/31/21 (a) (b)		94,058,642
		Total U.S. Government		538,574,195
		U.S. Government Agency — 11.9%
	20,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.17%, 1.74%, due 04/03/20		19,998,539
	27,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.24%, 1.61%, due 04/13/20		27,498,484
	44,410,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 1.52%, due 05/04/20		44,403,307
	9,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 1.71%, due 10/16/20		9,003,864
		Total U.S. Government Agency		100,904,194
		Total United States		639,478,389
		TOTAL DEBT OBLIGATIONS (COST $637,743,672)		639,478,389
		SHORT-TERM INVESTMENTS — 26.3%
		Foreign Government Obligations — 23.6%
JPY	4,231,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/16/20		39,228,603
JPY	3,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/23/20		31,524,417
JPY	4,807,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/06/20		44,571,950
JPY	7,533,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/13/20		69,850,093

Shares		Description	Value ($)
		Foreign Government Obligations — continued
JPY	1,646,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/18/20		15,265,073
		Total Foreign Government Obligations		200,440,136
		Money Market Funds — 2.7%
	18,257,342	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (c)		18,257,342
	5,284,043	SSgA USD Liquidity Fund – Class D shares, 1.60% (a)		5,284,043
		Total Money Market Funds		23,541,385
		TOTAL SHORT-TERM INVESTMENTS (COST $221,381,446)		223,981,521
		TOTAL INVESTMENTS — 101.5% (Cost $859,125,118)		863,459,910
		Other Assets and Liabilities (net) — (1.5%)		(13,063,038	)
		TOTAL NET ASSETS — 100.0%		$850,396,872

See accompanying notes to the financial statements. 99

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/23/2020	BCLY		AUD	876,641		USD	587,771		16,403
03/23/2020	MSCI		AUD	27,198,792		USD	18,496,836		769,490
03/23/2020	UBS		AUD	10,297,740		USD	7,071,510		359,755
03/06/2020	GS		CAD	19,870,696		USD	14,882,604		78,458
03/06/2020	JPM		CAD	43,460,929		USD	32,640,074		260,637
03/06/2020	MSCI		CAD	52,508,879		USD	39,359,274		238,896
03/06/2020	UBS		CAD	12,399,523		USD	9,281,676		43,733
03/17/2020	MSCI		CHF	626,371		USD	641,635		(8,245	)
03/17/2020	UBS		CHF	118,919,611		USD	121,806,423		(1,576,461	)
03/30/2020	UBS		CHF	60,110,207		USD	62,232,329		(192,161	)
04/30/2020	UBS		CHF	2,396,787		USD	2,468,939		(25,219	)
03/23/2020	JPM		EUR	84,808,847		USD	94,431,089		689,116
03/23/2020	MSCI		EUR	3,841,945		USD	4,154,965		(91,661	)
03/23/2020	UBS		EUR	9,108,519		USD	9,921,828		(146,114	)
03/30/2020	DB		EUR	88,107,061		USD	97,707,030		277,524
04/20/2020	MSCI		GBP	23,702,021		USD	30,758,160		330,138
03/16/2020	MSCI		JPY	5,931,000,000		USD	54,971,636		(55,735	)
03/23/2020	BCLY		JPY	477,000,000		USD	4,338,603		(88,684	)
03/23/2020	SSB		JPY	3,400,000,000		USD	31,210,754		(346,427	)
04/06/2020	JPM		JPY	4,807,000,000		USD	44,548,507		(101,319	)
04/13/2020	JPM		JPY	3,766,500,000		USD	34,519,393		(477,319	)
04/13/2020	MSCI		JPY	3,766,500,000		USD	34,526,800		(469,911	)
05/18/2020	GS		JPY	1,646,000,000		USD	14,769,988		(548,901	)
04/20/2020	JPM		NZD	5,777,708		USD	3,612,715		(398	)
03/23/2020	UBS		USD	26,535,932		AUD	38,373,173		(1,525,463	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/06/2020	UBS		USD	106,429,087		CAD	140,241,608		(1,945,718	)
03/30/2020	JPM		USD	30,796,990		CAD	40,559,350		(578,516	)
04/03/2020	BOA		USD	75,372,344		CAD	99,643,369		(1,133,643	)
03/17/2020	JPM		USD	5,231,815		CHF	5,086,795		45,897
03/17/2020	MSCI		USD	86,761,591		CHF	84,175,681		573,360
03/17/2020	UBS		USD	12,522,864		CHF	12,042,517		(28,369	)
03/23/2020	BCLY		USD	3,832,753		EUR	3,519,734		57,723
03/23/2020	DB		USD	6,796,026		EUR	6,264,523		128,354
03/23/2020	GS		USD	14,086,981		EUR	12,923,360		197,628
03/23/2020	JPM		USD	6,406,434		EUR	5,877,037		89,646
03/23/2020	MSCI		USD	58,270,567		EUR	53,506,407		871,803
03/23/2020	SSB		USD	2,749,238		EUR	2,540,966		59,374
03/23/2020	UBS		USD	11,381,764		EUR	10,447,456		166,148
03/30/2020	JPM		USD	9,266,143		EUR	8,474,582		105,118
03/30/2020	UBS		USD	71,142,457		EUR	64,918,094		644,501
04/20/2020	GS		USD	24,657,469		GBP	19,008,538		(254,816	)
04/20/2020	JPM		USD	2,964,034		GBP	2,281,275		(35,394	)
04/20/2020	MSCI		USD	3,115,511		GBP	2,412,202		(18,791	)
03/16/2020	MSCI		USD	15,405,832		JPY	1,700,000,000		366,640
03/23/2020	MSCI		USD	33,514,537		JPY	3,659,728,837		453,324
03/23/2020	UBS		USD	3,787,278		JPY	411,998,628		36,697
04/20/2020	BCLY		USD	3,729,127		NZD	5,777,708		(116,013	)
								$	(2,904,915	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
89	DAX Index	March 2020		29,360,588		(3,346,169	)
320	Gold 100 OZ (a)	April 2020		50,134,400		(1,824,189	)
567	Mini MSCI Emerging Markets	March 2020		28,599,480		(2,957,585	)
573	MSCI Singapore	March 2020		14,319,519		(593,589	)
20	MSCI Taiwan Index	March 2020		830,200		(52,187	)
			$	123,244,187	$	(8,773,719	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
793	Corn (a)	May 2020		14,601,113		656,016
444	S&P 500 E-Mini	March 2020		65,514,420		7,201,057
100	Silver (a)	May 2020		8,228,500		734,804
505	TOPIX Index	March 2020		69,878,878		10,534,012
540	WTI Crude (a)	March 2020		24,170,400		3,374,134
			$	182,393,311	$	22,500,023

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 29, 2020, 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 SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 29, 2020

Notes to Schedule of Investments:

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

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of February 29, 2020.

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 120.

See accompanying notes to the financial statements. 101

GMO Special Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class VI shares of GMO Special Opportunities Fund returned -0.75% (net) for the fiscal period ended February 29, 2020, as compared with +2.35% for the CPI.

The Fund’s exposure to individually selected equities (predominantly, but not exclusively, in the U.S.) was the key driver of performance. Contributors included an online used car retailer, a transaction-driven marketing solutions provider, and a fast-casual restaurant chain. The biggest detractor from performance was an e-commerce company that sells furniture and home-goods.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

102

GMO Special Opportunities Fund

(A Series of GMO Trust)

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

GMO Special Opportunities Fund Class VI Shares, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

103

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		86.9	%
Short-Term Investments		7.6
Debt Obligations		1.8
Other		3.7
		100.0	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		76.5	%
United Kingdom		6.1
Israel		4.3
		86.9	%
Industry Group Summary	% of Equity Investments#
Retailing		36.4	%
Diversified Financials		19.5
Media & Entertainment		17.2
Software & Services		16.1
Real Estate		5.7
Automobiles & Components		5.1
		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 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.

^ Rounds to 0.0%.

104

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 86.9%
		Israel — 4.3%
	92,000	Wix.com Ltd *		12,330,760
		United Kingdom — 6.3%
	709,850	Blue Prism Group Plc *		13,449,992
	640,000	Burford Capital Ltd		4,540,796
		Total United Kingdom		17,990,788
		United States — 76.3%
	309,000	Ally Financial, Inc.		7,746,630
	1,550,000	At Home Group, Inc. *		7,750,000
	58,000	Berkshire Hathaway, Inc. – Class B *		11,967,720
	417,000	Cardlytics, Inc. *		33,105,630
	581,350	Carvana Co. *		48,199,728
	26,500	Credit Acceptance Corp. *		10,684,800
	658,000	Eventbrite, Inc. – Class A *		9,613,380
	296,000	Fastly, Inc. – Class A *		5,860,800
	416,000	General Motors Co.		12,688,000
	268,620	Interactive Brokers Group, Inc. – Class A		13,726,482
	523,163	Redfin Corp. *		14,156,791
	100,000	Square, Inc. *		8,333,000
	545,724	Wayfair, Inc. – Class A *		34,495,214
		Total United States		218,328,175
		TOTAL COMMON STOCKS (COST $219,489,217)		248,649,723
		DEBT OBLIGATIONS — 1.8%
		United States — 1.8%
		U.S. Government — 1.8%
	5,000,000	U.S. Treasury Note, 1.38%, due 04/30/20		4,999,420
		TOTAL DEBT OBLIGATIONS (Cost $4,998,261)		4,999,420
		SHORT-TERM INVESTMENTS — 7.6%
		Money Market Funds — 7.6%
	378	SSgA USD Liquidity Fund – Class D shares, 1.60% (a)		378
	21,759,210	State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (b)		21,759,210
		TOTAL SHORT-TERM INVESTMENTS (COST $21,759,588)		21,759,588
		TOTAL INVESTMENTS — 96.3% (Cost $246,247,066)		275,408,731
		Other Assets and Liabilities (net) — 3.7%		10,643,945
		TOTAL NET ASSETS — 100.0%		$286,052,676

† 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 February 29, 2020.

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 120.

See accompanying notes to the financial statements. 105

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Strategic Opportunities Allocation Fund returned +2.57% (net) for the fiscal year ended February 29, 2020, as compared with +6.62% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Barclays U.S. Aggregate Index).

The Fund’s equity weight is not that different from the benchmark, and as a result had minimal effect on relative performance. Within equities, the bias away from the decently performing U.S. market towards emerging markets, which had negative performance, was detrimental to performance relative to the benchmark. Despite it being a challenging environment for a valuation-driven approach to investing, stock selection was strong in emerging markets and developed ex-U.S. markets. In emerging markets, an overweight position in Russia was helpful for much of 2019 and the Fund also benefited from an overweight to Taiwan. Strong selection in developed ex-U.S. equities was driven by an excellent performance in the U.K., which was led by a recovery in the Fund’s holdings in house builders when the Brexit impasse ended.

The underweighting to fixed income was detrimental to performance as the asset class did extremely well, and performance within fixed income had little compensatory impact. The small exposure to cash/cash plus detracted minimally from relative performance.

Because some of the securities and instruments held directly or indirectly by the Fund had either a negative fair value adjustment at the beginning of the fiscal year or a positive fair value adjustment at the end of the year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

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

106

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Strategic Opportunities Allocation Fund Class III Shares, the

GMO Strategic Opportunities Allocation Index, the MSCI World Index and the Bloomberg Barclays

U.S. Aggregate Index

As of February 29, 2020

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 29, 2020. All information is unaudited.

* The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Index.

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

107

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 29, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		68.8	%
Debt Obligations		17.9
Mutual Funds		6.9
Short-Term Investments		4.1
Investment Funds		2.6
Preferred Stocks		1.0
Sw ap Contracts		0.2
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Forw ard Currency Contracts		(0.0	)^
Written/Credit Linked Options		(0.1	)
Futures Contracts		(0.1	)
Securities Sold Short		(1.6	)
Other		0.3
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		9.4	%
Other Emerging		3.6	†
Other Developed		0.0	^‡
Euro Region		(0.2	)#
		12.8	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		21.1	%
China		10.1
United Kingdom		6.6
Japan		6.4
Taiw an		4.7
Other Emerging		3.8	†
Russia		3.7
France		2.7
Other Developed		2.6	‡
Netherlands		2.1
Spain		2.0
Sw itzerland		1.9
Italy		1.8
Germany		1.6
Singapore		1.5
South Korea		1.3
Sw eden		1.3
Portugal		1.0
		76.2	%

& 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%.

108

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		COMMON STOCKS — 11.9%
		Australia — 0.1%
	16,348	Accent Group Ltd		17,729
	9,410	Appen Ltd		130,238
	26,425	Asaleo Care Ltd *		18,160
	48,596	Australian Pharmaceutical Industries Ltd		38,088
	6,233	Aventus Group (REIT)		11,537
	12,140	Beach Energy Ltd		14,350
	1,874	Brickworks Ltd		22,123
	25,050	CSR Ltd		69,300
	39,622	Fortescue Metals Group Ltd		264,650
	14,488	GDI Property Group (REIT)		14,106
	14,397	Genworth Mortgage Insurance Australia Ltd		30,407
	33,534	Harvey Norman Holdings Ltd		81,958
	7,775	JB Hi-Fi Ltd		188,017
	75,436	Mount Gibson Iron Ltd		34,112
	22,260	Sandfire Resources NL		62,549
	3,088	Virtus Health Ltd		8,391
	16,343	Viva Energy (REIT)		28,977
		Total Australia		1,034,692
		Belgium — 0.0%
	5,190	Ageas		241,485
	17,785	AGFA-Gevaert NV *		79,192
	700	Orange Belgium SA		13,359
	90	Sipef NV *		4,531
		Total Belgium		338,567
		Brazil — 0.1%
	10,700	Banco do Brasil SA		112,123
	142,500	JBS SA		723,350
	25,700	Petrobras Distribuidora SA		149,997
		Total Brazil		985,470
		Canada — 0.2%
	2,500	AGF Management Ltd – Class B		11,362
	900	Atco Ltd—Class I		33,579
	5,400	B2Gold Corp		21,546
	9,100	Bausch Health Cos Inc *		201,627
	400	BRP Inc Sub Voting		16,399
	1,900	Canfor Pulp Products Inc		10,121
	5,500	Celestica Inc *		34,666
	4,600	Centerra Gold Inc *		29,062
	2,800	Cogeco Communications Inc		221,580
	500	Cogeco Inc *		34,323
	1,800	Enerflex Ltd		9,924
	500	Exco Technologies Ltd		2,801
	13,500	First Majestic Silver Corp *		101,885
	7,800	Fortuna Silver Mines Inc *		22,838

Shares		Description	Value ($)
		Canada — continued
	200	Home Capital Group Inc *		4,239
	5,500	iA Financial Corp Inc		261,795
	1,000	IGM Financial Inc		26,664
	3,700	Labrador Iron Ore Royalty Corp		53,698
	4,900	Martinrea International Inc		41,982
	1,300	Minto Apartment Real Estate Investment Trust		25,085
	1,000	Pan American Silver Corp		19,800
	2,100	Pretium Resources Inc *		14,941
	4,500	Teranga Gold Corp *		23,200
		Total Canada		1,223,117
		China — 0.5%
	42,000	Agile Group Holdings Ltd		60,050
	695,000	Agricultural Bank of China Ltd – Class H		282,022
	379,500	BAIC Motor Corp Ltd – Class H		188,780
	139,000	Bank of China Ltd – Class H		55,550
	364,000	Bank of Communications Co Ltd – Class H		236,852
	85,000	China Lesso Group Holdings Ltd		129,737
	28,000	China Lilang Ltd		18,303
	15,000	China Medical System Holdings Ltd		18,968
	206,000	China National Building Material Co Ltd – Class H		244,836
	1,284,000	China Petroleum & Chemical Corp – Class H		664,543
	148,000	China Resources Pharmaceutical Group Ltd		130,544
	73,000	China SCE Group Holdings Ltd		40,424
	34,000	China Shineway Pharmaceutical Group Ltd		29,796
	71,000	Chongqing Rural Commercial Bank Co Ltd – Class H		32,442
	30,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		93,205
	282,800	Guangzhou R&F Properties Co Ltd – Class H		445,883
	7,000	JNBY Design Ltd		7,635
	2,500	Kingboard Holdings Ltd		6,700
	24,000	Powerlong Real Estate Holdings Ltd		15,272
	17,000	Red Star Macalline Group Corp Ltd – Class H		12,591
	71,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		132,065
	199,000	Shimao Property Holdings Ltd		729,396
	126,000	Tianneng Power International Ltd		93,943
	33,000	Topsports International Holdings Ltd		39,146
		Total China		3,708,683
		Finland — 0.0%
	795	Aktia Bank Oyj		9,048
	3,469	Kemira Oyj		44,169
		Total Finland		53,217
		France — 0.4%
	704	APERAM		21,003
	1,945	Arkema		183,996

See accompanying notes to the financial statements. 109

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		France — continued
	212	Assystem SA		6,291
	197	Axway Software SA *		3,772
	170	Boiron SA		6,063
	84	Caisse Regionale de Credit Agricole Mutuel Nord de France		2,814
	161	Cie des Alpes *		4,132
	7,743	Coface SA *		85,091
	1,992	Fnac Darty SA *		91,173
	1,780	Gaztransport Et Technigaz SA		159,426
	322	GL Events		6,097
	79	Groupe Crit		5,177
	91	HEXAOM		3,380
	1,966	IPSOS		60,925
	3,206	L’Oreal SA		861,723
	1,169	Lagardere SCA		20,345
	6,238	Metropole Television SA		91,824
	10,513	Peugeot SA		203,732
	3,784	Quadient		81,744
	5,263	Sanofi		490,858
	2,000	Sanofi ADR		92,500
	10,300	STMicroelectronics NV – NY Shares		282,220
	163	Synergie SA		4,328
	8,557	Television Francaise 1 *		65,767
		Total France		2,834,381
		Germany — 0.2%
	173	Amadeus Fire AG		24,382
	36,229	CECONOMY AG *		174,707
	983	CropEnergies AG		10,205
	8,293	Deutsche Lufthansa AG (Registered)		109,674
	7,500	Deutsche Pfandbriefbank AG		106,457
	37,249	Deutz AG		177,539
	8,461	Dialog Semiconductor Plc *		291,887
	114	Draegerwerk AG & Co KGaA		5,252
	98	Grammer AG		2,787
	1,463	Hamburger Hafen und Logistik AG		31,225
	1,731	Hannover Rueck SE		313,428
	4,386	METRO AG		51,232
	1,600	RHOEN-KLINIKUM AG		31,879
	1,958	Siltronic AG		185,958
	3,945	TAG Immobilien AG		96,941
	1,976	Takkt AG		25,369
	4,004	TRATON SE *		85,255
	861	VERBIO Vereinigte BioEnergie AG		9,157
	229	Volkswagen AG		38,898
	4,119	Wacker Neuson SE		58,148
	904	Wuestenrot & Wuerttembergische AG		17,071
		Total Germany		1,847,451

Shares		Description	Value ($)
		Hong Kong — 0.1%
	54,000	Cafe de Coral Holdings Ltd		119,260
	260,000	CITIC Telecom International Holdings Ltd		95,105
	130,000	CSI Properties Ltd		4,462
	18,500	Dah Sing Banking Group Ltd		23,089
	24,800	Dah Sing Financial Holdings Ltd		87,849
	70,000	Giordano International Ltd		16,501
	58,000	HKT Trust & HKT Ltd – Class SS		87,327
	13,500	Johnson Electric Holdings Ltd		31,454
	12,000	Pico Far East Holdings Ltd		3,042
	20,000	Prosperity REIT		7,306
	19,000	Regal Real Estate Investment Trust		4,159
	31,400	SJM Holdings Ltd		36,357
	60,000	Sun Hung Kai & Co Ltd		26,920
	12,000	Sunlight Real Estate Investment Trust		7,141
	4,000	TAI Cheung Holdings Ltd		3,098
	15,300	VTech Holdings Ltd		135,467
	19,000	Wheelock & Co Ltd		145,989
	47,000	Yue Yuen Industrial Holdings Ltd		114,055
		Total Hong Kong		948,581
		India — 0.0%
	300	Dr Reddy’s Laboratories Ltd ADR		12,048
	27,460	Indian Oil Corp Ltd		40,644
	20,549	REC Ltd		33,906
		Total India		86,598
		Ireland — 0.1%
	10,295	AIB Group Plc		24,022
	20,231	Bank of Ireland Group Plc		75,751
	2,400	CRH Plc Sponsored ADR		81,312
	2,237	Glanbia Plc		26,281
	43,038	Hibernia REIT Plc		58,120
	21,542	Irish Residential Properties REIT Plc		33,562
	9,692	Origin Enterprises Plc		29,998
	7,694	Permanent TSB Group Holdings Plc *		7,032
	9,904	Smurfit Kappa Group Plc		333,665
	6,616	Total Produce Plc		8,849
		Total Ireland		678,592
		Italy — 0.5%
	26,024	A2A SPA		45,373
	3,622	ACEA SPA		76,282
	3,839	Ascopiave SpA		16,710
	11	ASTM SPA		274
	15,735	Banca Mediolanum SPA		128,603
	11,700	Buzzi Unicem SpA		256,638
	3,639	Cementir Holding NV		23,470
	11,545	Cofide SPA		6,470
	11,331	Enav SPA		67,471
	5,648	Enel SPA		47,405

110 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)

February 29, 2020

Shares		Description	Value ($)
		Italy — continued
	23,809	EXOR NV		1,700,397
	5,769	Falck Renewables SpA		37,814
	76,218	Hera SPA		327,142
	83,632	Iren SPA		258,878
	24,339	Italgas SpA		148,738
	1,690	La Doria SPA		15,354
	8,623	Nexi SPA *		139,594
	19,879	Piaggio & C SpA		47,554
	6,898	Saras SPA		8,156
	348	Sesa SpA		18,322
	19,133	Unipol Gruppo SPA		95,331
		Total Italy		3,465,976
		Japan — 1.3%
	2,000	ADEKA Corp		25,974
	1,400	Aichi Corp		8,057
	11,000	Amada Holdings Co Ltd		102,562
	900	Arcland Sakamoto Co Ltd		9,061
	38,000	Astellas Pharma Inc		595,582
	2,600	Bandai Namco Holdings Inc		130,210
	800	Bando Chemical Industries Ltd		5,160
	24,400	Brother Industries Ltd		432,199
	600	Canon Electronics Inc		10,270
	2,900	Canon Marketing Japan Inc		66,558
	7,300	Casio Computer Co Ltd		124,362
	1,100	Central Glass Co Ltd		20,961
	1,900	Chiba Kogyo Bank Ltd (The)		4,964
	400	Chiyoda Integre Co Ltd		6,654
	700	Cleanup Corp		3,351
	4,800	Dai Nippon Printing Co Ltd		115,667
	1,300	Dai Nippon Toryo Co Ltd		10,796
	400	Dai-Dan Co Ltd		9,729
	8,600	Daicel Corp		73,874
	400	Daiichi Jitsugyo Co Ltd		12,377
	400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		8,605
	1,200	Daiwa Industries Ltd		10,964
	3,100	Daiwabo Holdings Co Ltd		156,354
	2,900	DeNA Co Ltd		37,441
	2,000	DTS Corp		36,328
	1,000	ESPEC Corp		18,345
	11,400	Fuji Electric Co Ltd		312,661
	2,700	Fuji Media Holdings Inc		31,723
	2,700	Fujitsu General Ltd		53,598
	2,500	Fujitsu Ltd		260,690
	200	Fukuda Corp		7,252
	3,000	Geo Holdings Corp		32,444
	700	Glory Ltd		18,697
	6,300	Hakuhodo DY Holdings Inc		72,806
	800	Hakuto Co Ltd		8,086

Shares		Description	Value ($)
		Japan — continued
	1,100	Heiwa Corp		20,519
	2,000	Hisamitsu Pharmaceutical Co Inc		88,521
	6,300	Hokuetsu Corp		25,447
	1,300	Inaba Denki Sangyo Co Ltd		28,653
	800	Infocom Corp		20,087
	3,000	Itochu Enex Co Ltd		23,342
	1,300	Itochu Techno-Solutions Corp		36,412
	100	Itochu-Shokuhin Co Ltd		4,147
	2,700	Itoki Corp		8,869
	29,200	JVCKenwood Corp		58,911
	6,500	K’s Holdings Corp		71,001
	1,800	Kaken Pharmaceutical Co Ltd		86,848
	800	Kamei Corp		7,210
	1,500	Kanematsu Corp		16,287
	700	Kanematsu Electronics Ltd		19,908
	1,900	Kasai Kogyo Co Ltd		11,693
	300	Kato Sangyo Co Ltd		8,266
	23,100	KDDI Corp		652,657
	2,500	Keihin Corp		59,904
	1,800	Kissei Pharmaceutical Co Ltd		43,486
	52,200	Konica Minolta Inc		285,641
	2,500	Kumiai Chemical Industry Co Ltd		16,660
	1,100	Kureha Corp		55,010
	2,300	KYORIN Holdings Inc		46,025
	3,700	LIXIL VIVA Corp		69,829
	4,100	Makino Milling Machine Co Ltd		137,879
	500	Maruzen Showa Unyu Co Ltd		11,123
	500	Matsuda Sangyo Co Ltd		6,535
	3,300	Meidensha Corp		52,682
	700	METAWATER Co Ltd		24,757
	5,300	Mitsubishi Gas Chemical Co Inc		79,300
	1,000	Mitsuboshi Belting Ltd		13,686
	1,200	Mitsui Sugar Co Ltd		21,081
	1,200	MTI Ltd		6,231
	2,250	Nichias Corp		46,174
	600	Nihon Unisys Ltd		18,239
	16,900	Nikon Corp		172,630
	2,300	Nippo Corp		51,894
	2,000	Nippon Flour Mills Co Ltd		29,650
	5,500	Nippon Kayaku Co Ltd		60,432
	46,300	Nippon Light Metal Holdings Co Ltd		80,871
	2,200	Nippon Soda Co Ltd		56,609
	43,700	Nippon Telegraph & Telephone Corp		1,019,511
	600	Nisshin Oillio Group Ltd (The)		18,524
	400	Nissin Corp		5,491
	5,700	Nissin Electric Co Ltd		54,257
	100	NOF Corp		3,180
	6,400	Nomura Real Estate Holdings Inc		138,085
	600	NS Solutions Corp		16,798
	400	NuFlare Technology Inc		44,504

See accompanying notes to the financial statements. 111

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Japan — continued
	33,700	Obayashi Corp		339,968
	100	Okinawa Cellular Telephone Co		3,612
	800	Organo Corp		47,159
	600	Osaka Soda Co Ltd		14,144
	2,000	Proto Corp		20,110
	1,200	Raito Kogyo Co Ltd		14,531
	2,000	Raiznext Corp		22,248
	800	Sac’s Bar Holdings Inc		5,390
	2,200	San-Ai Oil Co Ltd		18,931
	2,000	Sanki Engineering Co Ltd		23,467
	900	Sanyo Chemical Industries Ltd		36,534
	3,000	Seiko Holdings Corp		57,941
	5,900	Seino Holdings Co Ltd		63,943
	600	Sekisui Jushi Corp		11,749
	36,000	Shimizu Corp		327,325
	1,600	Shizuoka Gas Co Ltd		12,706
	7,400	Showa Corp		158,183
	200	Sinanen Holdings Co Ltd		3,717
	1,500	Sinko Industries Ltd		21,022
	1,700	Sintokogio Ltd		12,153
	19,700	SUMCO Corp		298,297
	88,300	Sumitomo Chemical Co Ltd		321,764
	10,700	Sumitomo Dainippon Pharma Co Ltd		152,673
	500	Sumitomo Seika Chemicals Co Ltd		12,995
	2,900	T-Gaia Corp		54,952
	300	Taisho Pharmaceutical Holdings Co Ltd		18,424
	1,100	Takasago Thermal Engineering Co Ltd		16,925
	12,900	Teijin Ltd		211,530
	800	Tokyo Seimitsu Co Ltd		25,241
	7,600	Tokyu Construction Co Ltd		47,383
	900	Toli Corp		2,153
	1,300	Toppan Forms Co Ltd		12,365
	7,700	Toppan Printing Co Ltd		134,649
	800	Torii Pharmaceutical Co Ltd		23,922
	3,800	Tosei Corp		40,755
	8,600	Tosoh Corp		116,385
	800	Toyo Ink SC Holdings Co Ltd		15,460
	4,500	Toyo Suisan Kaisha Ltd		178,907
	5,500	TS Tech Co Ltd		142,237
	4,600	Ushio Inc		57,377
	1,900	Wacoal Holdings Corp		44,241
	200	Wowow Inc		4,473
	3,200	YAMABIKO Corp		25,637
	6,800	Yamaha Motor Co Ltd		107,341
	2,800	Yamazen Corp		22,437
	1,500	Yellow Hat Ltd		20,000
	900	Yuasa Trading Co Ltd		25,301
		Total Japan		10,118,475

Shares		Description	Value ($)
		Malta — 0.0%
	125,500	BGP Holdings Plc (a) *		—
		Mexico — 0.0%
	3,100	El Puerto de Liverpool SAB de CV – Class C1		14,647
	4,800	Gentera SAB de CV		4,619
		Total Mexico		19,266
		Netherlands — 0.5%
	1,132	Adyen NV *		996,324
	13,553	ASR Nederland NV		456,088
	1,397	Heineken Holding NV		124,050
	66	Hunter Douglas NV		3,960
	1,434	Koninklijke Volkerwessels NV *		34,762
	39	Prosus NV *		2,727
	9,549	Randstad NV		491,992
	35,518	Signify NV		1,058,311
	11,010	Wolters Kluwer NV		805,508
		Total Netherlands		3,973,722
		New Zealand — 0.0%
	14,056	SKY Network Television Ltd *		4,760
		Norway — 0.1%
	3,235	Adevinta ASA *		33,589
	12,410	Austevoll Seafood ASA		110,132
	13,031	BW LPG Ltd		81,345
	7,836	DNB ASA		131,247
	68,004	Elkem ASA		134,230
	4,479	Entra ASA		70,947
	12,588	Europris ASA		42,045
	7,140	Gjensidige Forsikring ASA		145,110
	10,278	Kvaerner ASA		9,529
	2,478	Salmar ASA		111,988
	1,557	Selvaag Bolig ASA		10,045
	2,664	SpareBank 1 Nord Norge		20,606
	415	Sparebank 1 Oestlandet		4,172
	4,533	SpareBank 1 SMN		45,335
	14,968	SpareBank 1 SR-Bank ASA		143,348
	859	Stolt-Nielsen Ltd		9,558
		Total Norway		1,103,226
		Philippines — 0.0%
	350	Globe Telecom Inc		12,230
		Poland — 0.0%
	8,498	PLAY Communications SA		66,799
		Portugal — 0.2%
	35,012	Altri SGPS SA		190,268
	2,594	EDP Renovaveis SA *		35,110

112 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)

February 29, 2020

Shares		Description	Value ($)
		Portugal — continued
	57,634	EDP – Energias de Portugal SA		269,076
	42,078	Galp Energia SGPS SA		580,432
	21,330	Navigator Co SA (The)		65,911
	50,161	NOS SGPS SA		198,123
	35,693	REN – Redes Energeticas Nacionais SGPS SA		99,065
	1,298	Semapa-Sociedade de Investimento e Gestao		16,317
	211,728	Sonae SGPS SA		166,347
		Total Portugal		1,620,649
		Russia — 0.0%
	2,560	Gazprom Neft PJSC		15,403
	362,000	Inter RAO UES PJSC		28,536
	7,422	Novolipetsk Steel PJSC GDR		142,510
		Total Russia		186,449
		Singapore — 0.3%
	25,200	Accordia Golf Trust		11,222
	18,800	Cache Logistics Trust (REIT)		9,293
	128,900	CapitaLand Commercial Trust (REIT)		172,814
	135,600	CapitaLand Mall Trust (REIT)		222,447
	122,100	ComfortDelGro Corp Ltd		173,117
	17,400	DBS Group Holdings Ltd		304,225
	21,100	First Real Estate Investment Trust		14,897
	400	Jardine Cycle & Carriage Ltd		7,859
	26,700	Keppel DC (REIT)		44,654
	108,864	Mapletree Commercial Trust (REIT)		165,005
	177,400	Mapletree Greater China Commercial Trust (REIT)		140,862
	92,800	Mapletree Industrial Trust (REIT)		179,084
	39,200	Mapletree Logistics Trust (REIT)		52,251
	42,400	Silverlake Axis Ltd		9,220
	39,700	StarHub Ltd *		42,672
	12,000	Venture Corp Ltd		144,628
	3,000	Wing Tai Holdings Ltd		4,206
	384,100	Yangzijiang Shipbuilding Holdings Ltd		266,501
	58,400	Yanlord Land Group Ltd		49,256
		Total Singapore		2,014,213
		South Africa — 0.1%
	43,589	Absa Group Ltd		375,111
	4,985	Liberty Holdings Ltd		30,397
	3,145	Motus Holdings Ltd		14,735
	3,643	MultiChoice Group Ltd *		21,286
	5,690	Reunert Ltd		20,688
	34,569	Telkom SA SOC Ltd		58,807
		Total South Africa		521,024
		South Korea — 0.3%
	24,458	Hana Financial Group Inc		633,379
	6,742	Industrial Bank of Korea *		53,169

Shares		Description	Value ($)
		South Korea — continued
	22,008	Kia Motors Corp		664,087
	7	LG Corp		389
	7,147	Shinhan Financial Group Co Ltd		191,143
	990	SK Hynix Inc		73,152
	26,200	SK Telecom Co Ltd Sponsored ADR		503,302
		Total South Korea		2,118,621
		Spain — 0.5%
	3,837	Acerinox SA		35,744
	672	ACS Actividades de Construccion y Servicios SA		20,038
	973	Aena SME SA		156,718
	15,887	Almirall SA *		208,175
	15,422	Cia de Distribucion Integral Logista Holdings SA		314,832
	2,369	eDreams ODIGEO SA *		9,913
	15,819	Enagas SA *		410,466
	39,905	Endesa SA		1,026,836
	7,534	Faes Farma SA		36,415
	55,388	Iberdrola SA		634,092
	112,399	Mapfre SA		252,821
	40,863	Mediaset Espana Comunicacion SA		206,505
	24,128	Red Electrica Corp SA		461,165
		Total Spain		3,773,720
		Sweden — 0.3%
	2,305	AcadeMedia AB		12,919
	5,709	Axfood AB		106,455
	2,115	Bilia AB-Class A		20,411
	12,394	Boliden AB		260,289
	2,101	Clas Ohlson AB-Class B		20,730
	6,880	Cloetta AB-Class B		21,270
	8,185	EQT AB*		119,700
	5,334	Granges AB		43,011
	1,741	Humana AB		8,792
	4,284	Inwido AB		37,353
	3,401	JM AB		93,575
	36,273	Klovern AB – B Shares		83,695
	5,642	Lindab International AB		67,272
	2,586	Loomis AB – Class B		90,308
	6,006	Nobia AB		38,840
	1,238	Peab AB – Class B		12,458
	17,967	Resurs Holding AB		97,255
	18,753	Skanska AB – B Shares		412,949
	43,126	Volvo AB – B Shares		676,934
		Total Sweden		2,224,216
		Switzerland — 0.0%
	666	BKW AG		57,138
	1,287	Galenica AG *		87,024

See accompanying notes to the financial statements. 113

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares		Description	Value ($)
		Switzerland — continued
	1	Huber + Suhner AG (Registered)		67
	620	Roche Holding AG		196,964
		Total Switzerland		341,193
		Taiwan — 0.2%
	6,000	Realtek Semiconductor Corp		43,416
	18,000	Radiant Opto-Electronics Corp		57,019
	3,000	Phison Electronics Corp		32,049
	16,000	Chicony Electronics Co Ltd		43,354
	1,200	Ruentex Industries Ltd *		2,642
	8,000	Walsin Lihwa Corp *		3,635
	3,000	Gigabyte Technology Co Ltd		5,056
	65,000	Novatek Microelectronics Corp		409,068
	143,000	Inventec Corp		107,148
	375,000	Pou Chen Corp		416,353
		Total Taiwan		1,119,740
		Turkey — 0.0%
	40,883	KOC Holding AS		113,927
	12,484	TAV Havalimanlari Holding AS		40,897
	11,321	Turkiye Garanti Bankasi AS *		17,331
		Total Turkey		172,155
		United Kingdom — 1.4%
	72,122	3i Group Plc		949,355
	6,760	Aggreko Plc		59,061
	44,552	Assura Plc (REIT)		42,360
	2,724	AVEVA Group Plc		154,959
	1,488	Bank of Georgia Group Plc *		32,363
	65,686	Barratt Developments Plc		648,425
	9,365	Bellway Plc		453,233
	4,639	British American Tobacco Plc		183,423
	13,400	British American Tobacco Plc Sponsored ADR		533,320
	143,842	Centamin Plc		239,676
	8,037	CMC Markets Plc		15,453
	7,001	Computacenter Plc		148,419
	8,466	Daily Mail & General Trust Plc		81,135
	2,975	Derwent London Plc (REIT)		150,479
	4,818	Direct Line Insurance Group Plc		19,205
	38,085	Dixons Carphone Plc		60,745
	7,106	Dunelm Group Plc		101,443
	14,702	Electrocomponents Plc		115,376
	1,271	EMIS Group Plc		18,828
	126,851	Ferrexpo Plc		212,216
	1,580	Firstgroup Plc *		2,401
	10,989	Frasers Group Plc *		53,964
	359	Galliford Try Holdings Plc		722
	4,421	Gem Diamonds Ltd *		3,109
	3,875	Go-Ahead Group Plc (The)		98,522

Shares		Description	Value ($)
		United Kingdom — continued
	11,111	Great Portland Estates Plc (REIT)		119,937
	7,432	Ibstock Plc		26,201
	20,283	IG Group Holdings Plc		176,947
	14,967	Inchcape Plc		111,877
	29,866	Indivior Plc *		16,593
	99,594	International Consolidated Airlines Group SA		610,374
	7,674	International Personal Finance Plc		14,669
	81,921	J Sainsbury Plc		207,542
	15,323	JD Sports Fashion Plc		146,583
	15,985	John Laing Group Plc		69,634
	58,548	Kingfisher Plc		143,642
	26,511	LondonMetric Property Plc (REIT)		70,503
	12,214	Lookers Plc		7,065
	24,729	Meggitt Plc		174,144
	7,074	Mitchells & Butlers Plc *		30,679
	9,203	Morgan Advanced Materials Plc		32,856
	1,204	Morgan Sindall Group Plc		27,433
	7,586	N Brown Group Plc		5,570
	18,324	National Express Group Plc		99,927
	4,545	Numis Corp Plc		14,894
	20,529	OneSavings Bank Plc		107,191
	8,393	Paragon Banking Group Plc		49,368
	13,613	Pennon Group Plc		190,398
	36,788	Persimmon Plc		1,360,121
	27,300	Pets at Home Group Plc		91,272
	21,902	Phoenix Group Holdings Plc		196,670
	17,120	Playtech Plc		55,746
	20,895	Plus500 Ltd		257,024
	110,718	QinetiQ Group Plc		495,562
	3,625	Redde Northgate Plc		11,522
	2,287	Savills Plc		31,999
	38,877	Sirius Real Estate Ltd		40,642
	9,105	Smiths Group Plc		181,436
	5,939	Softcat Plc		81,270
	32,470	Spirent Communications Plc		87,605
	7,940	Stock Spirits Group Plc		19,830
	33,215	Tate & Lyle Plc		302,870
	2,362	Ultra Electronics Holdings Plc		59,849
	7,126	UNITE Group Plc (The) (REIT)		103,667
	9,113	Vesuvius Plc		50,009
	206	Vistry Group Plc		3,409
	94,474	WM Morrison Supermarkets Plc		211,450
		Total United Kingdom		10,474,172
		United States — 4.5%
	32,100	ACCO Brands Corp.		257,121
	9,100	Acushnet Holdings Corp.		231,595
	1,400	Adobe, Inc. * (b)		483,168
	300	AGCO Corp.		18,129
	200	Amazon.com, Inc. *		376,750

114 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)

February 29, 2020

Shares		Description	Value ($)
		United States — continued
	9,000	American Express Co. (c)		989,370
	7,600	Ameriprise Financial, Inc. (b)		1,073,880
	5,700	Amgen, Inc.		1,138,461
	500	Apple, Inc. (c)		136,680
	800	Atkore International Group, Inc. *		29,528
	12,600	Best Buy Co., Inc. (c)		953,190
	2,900	Brady Corp. – Class A		137,286
	4,400	Bristol-Myers Squibb Co.		259,864
	500	Brooks Automation, Inc. (c)		17,255
	4,500	Bruker Corp. (c)		196,020
	3,400	Builders FirstSource, Inc. *		77,214
	13,000	Cadence Design Systems, Inc. * (b)		859,820
	1,000	CBIZ, Inc. *		26,040
	200	Cimpress Plc * (c)		23,282
	5,100	Columbia Sportswear Co. (c)		414,630
	28,100	Comcast Corp. – Class A (c)		1,136,083
	600	Core-Mark Holding Co., Inc.		13,806
	16,200	CoreCivic, Inc. (REIT) (b)		239,922
	29,400	CORTEVA, Inc. * (c)		799,680
	1,300	CSG Systems International, Inc. (c)		57,525
	4,100	Curo Group Holdings Corp.		37,843
	44,200	Dana, Inc. (c)		635,596
	11,200	eBay, Inc.		387,968
	5,000	Eli Lilly & Co. (b) (c)		630,650
	10,700	Enova International, Inc. *		205,654
	2,300	Envista Holdings Corp.		58,374
	6,700	Estee Lauder Cos, Inc. (The) – Class A (c)		1,230,120
	700	Exterran Corp. *		3,570
	300	Federal Agricultural Mortgage Corp. – Class C		22,518
	1,400	Federal Signal Corp. (c)		40,600
	14,162	Gannett Co., Inc. * (c)		59,480
	1,300	Garmin Ltd.		114,907
	2,200	GEO Group, Inc. (REIT)		32,208
	9,900	Gilead Sciences, Inc.		686,664
	200	Graham Holdings Co. – Class B (b)		100,576
	1,500	Group 1 Automotive, Inc. (c)		127,845
	2,200	Heidrick & Struggles International, Inc.		49,060
	18,900	Herman Miller, Inc.		647,136
	1,500	Hershey Co. (The) (c)		215,985
	31,900	Hewlett Packard Enterprise Co.		408,001
	51,100	HP, Inc. (b) (c)		1,062,369
	15,300	Huntsman Corp. (c)		289,782
	200	ICF International, Inc.		15,196
	2,900	Insight Enterprises, Inc. * (c)		159,761
	24,500	Intel Corp. (b) (c)		1,360,240
	700	Inter Parfums, Inc.		42,042
	19,200	Interpublic Group of Cos., Inc. (The) (c)		410,112
	3,200	Intuit, Inc.		850,720
	1,400	ITT, Inc.		84,210
	300	Johnson Outdoors, Inc. – Class A		18,723

Shares		Description	Value ($)
		United States — continued
	400	JPMorgan Chase & Co. (c)		46,444
	35,100	Juniper Networks, Inc. (c)		744,822
	600	KB Home (c)		19,554
	800	Kimberly-Clark Corp. (c)		104,952
	700	KONTOOR BRANDS, Inc. * (c)		23,618
	1,700	Kulicke & Soffa Industries, Inc.		38,811
	4,900	La-Z-Boy, Inc.		140,385
	1,600	Laureate Education, Inc. – Class A *		29,920
	800	Lockheed Martin Corp. (c)		295,896
	1,600	Materion Corp.		72,544
	500	MDC Holdings, Inc.		19,670
	11,000	Medtronic Plc (b)		1,107,370
	16,800	Merck & Co., Inc. (b)		1,286,208
	2,100	Meritor, Inc. * (c)		47,649
	6,800	Micron Technology, Inc. * (c)		357,408
	100	Microsoft Corp.		16,201
	13,600	Modine Manufacturing Co. *		101,456
	3,200	Mondelez International, Inc. – Class A (c)		168,960
	3,800	Moog, Inc. – Class A		293,056
	700	Motorola Solutions, Inc. (c)		115,976
	5,400	Movado Group, Inc. (c)		79,380
	5,500	NetApp, Inc.		256,960
	1,900	Newmark Group, Inc. – Class A		18,145
	900	NIC, Inc. (c)		16,461
	2,300	NIKE, Inc. – Class B (c)		205,574
	200	NVIDIA Corp.		54,014
	1,000	OFG Bancorp		16,740
	2,200	OneMain Holdings, Inc. (c)		80,850
	5,200	Oracle Corp. (c)		257,192
	900	Oshkosh Corp. (c)		64,935
	2,600	Parsons Corp. *		101,634
	10,300	PepsiCo, Inc. (b)		1,359,909
	9,100	Perdoceo Education Corp. * (c)		135,863
	31,300	Pfizer, Inc. (b)		1,046,046
	11,400	Phillips 66 (b)		853,404
	2,000	Popular, Inc.		95,960
	1,900	Progress Software Corp.		70,851
	17,500	Qurate Retail, Inc. – Series A *		119,350
	800	Regional Management Corp. *		20,520
	100	Reliance Steel & Aluminum Co.		10,229
	900	Scholastic Corp.		28,881
	900	Schweitzer-Mauduit International, Inc.(c)		30,348
	1,900	SkyWest, Inc. (c)		86,260
	1,900	SolarWinds Corp. * (c)		34,618
	6,000	Sonic Automotive, Inc. – Class A (c)		168,000
	600	SPX Corp. *		25,158
	8,200	Stoneridge, Inc. *		181,220
	900	Sykes Enterprises, Inc. *		28,512
	8,000	Synopsys, Inc. (b) *		1,103,440
	4,000	Target Corp.		412,000

See accompanying notes to the financial statements. 115

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares / Par Value†		Description	Value ($)
		United States — continued
	700	Teledyne Technologies, Inc. *		236,124
	5,100	Telephone & Data Systems, Inc.		102,714
	2,400	Textron, Inc. (c)		97,440
	13,100	Timken Co. (The) (b)		587,404
	2,627	Triple-S Management Corp. – Class B * (c)		39,379
	8,300	United Technologies Corp. (c)		1,083,897
	3,100	Universal Corp.		152,985
	1,000	Universal Forest Products, Inc.		46,860
	15,000	Vishay Intertechnology, Inc. (c)		280,500
	7,400	World Fuel Services Corp.		209,272
	17,600	Xenia Hotels & Resorts, Inc. (REIT) (b)		263,296
		Total United States		35,027,434
		TOTAL COMMON STOCKS (COST $98,244,261)		92,097,389
		PREFERRED STOCKS (d) — 0.0%
		Brazil — 0.0%
	16,000	Companhia Energetica de Minas Gerais		49,948
		Germany — 0.0%
	278	Draegerwerk AG & Co KGaA		17,917
	446	Villeroy & Boch AG		6,239
		Total Germany		24,156
		South Korea — 0.0%
	13	Samsung Electronics Co Ltd		496
	66	Samsung Electronics Co Ltd GDR (Registered)		63,612
		Total South Korea		64,108
		TOTAL PREFERRED STOCKS (COST $135,440)		138,212
		RIGHTS/WARRANTS — 0.0%
		Spain — 0.0%
	672	ACS Actividades de Construccion y Servicios SA *		295
		TOTAL RIGHTS/WARRANTS (COST $326)		295
		DEBT OBLIGATIONS — 5.6%
		United States — 5.6%
		U.S. Government — 5.6%
	4,217,928	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (e)		4,453,209
	5,380,953	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (e)		5,628,493

Par Value† / Shares			Description	Value ($)
			United States — continued
			U.S. Government — continued
	3,053,574		U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (e)		3,239,109
	6,869,352		U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (e)		7,954,653
	3,351,823		U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (b) (e)		3,652,162
	5,513,098		U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (e)		6,070,826
	9,884,331		U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (e)		12,316,251
			Total U.S. Government		43,314,703
			Total United States		43,314,703
			TOTAL DEBT OBLIGATIONS (COST $40,507,448)		43,314,703
			MUTUAL FUNDS — 83.0%
			United States — 83.0%
			Affiliated Issuers — 83.0%
	3,024,319		GMO Core Plus Bond Fund, Class IV		67,321,337
	989,572		GMO Emerging Country Debt Fund, Class IV		27,054,909
	5,988,003		GMO Emerging Markets Fund, Class VI		182,753,835
	9,890,430		GMO International Equity Fund, Class IV		198,303,123
	811,736		GMO Opportunistic Income Fund, Class VI		21,226,892
	2,520,299		GMO Quality Fund, Class VI		57,387,212
	2,406,750		GMO U.S. Equity Fund, Class VI		28,351,515
	2,956,399		GMO U.S. Small Cap Value Fund, Class VI		53,392,571
	1,156,270		GMO U.S. Treasury Fund		5,804,477
			TOTAL MUTUAL FUNDS (COST $646,514,219)		641,595,871
			SHORT-TERM INVESTMENTS — 0.1%
			Money Market Funds — 0.1%
	1,113,181		State Street Institutional Treasury Money Market Fund – Premier Class, 1.50% (f)		1,113,181
			TOTAL SHORT-TERM INVESTMENTS (COST $1,113,181)		1,113,181
			TOTAL INVESTMENTS — 100.6% (Cost $786,514,875)		778,259,651
			SECURITIES SOLD SHORT — (1.6)%
			Common Stocks — (1.6)%
			Austria — (0.0)%
	(1,079	)	IMMOFINANZ AG		(27,795	)
	(1,334	)	Schoeller-Bleckmann Oilfield Equipment AG		(54,453	)

116 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)

February 29, 2020

Shares			Description	Value ($)
			Common Stocks — continued
			Austria — continued
	(1,269	)	voestalpine AG		(27,632	)
			Total Austria		(109,880	)
			Brazil — ( 0.0)%
	(2,800	)	Pagseguro Digital Ltd – Class A *		(87,836	)
			Canada — (0.0)%
	(7,600	)	AltaGas Ltd		(113,639	)
	(14,000	)	Cameco Corp		(121,520	)
			Total Canada		(235,159	)
			Denmark — (0.1)%
	(80	)	AP Moller – Maersk A/S – Class A		(75,863	)
	(193	)	AP Moller – Maersk A/S – Class B		(194,758	)
	(8,352	)	Chr Hansen Holding A/S		(602,126	)
	(521	)	DFDS A/S		(18,238	)
	(1,240	)	ISS A/S		(22,034	)
	(3,772	)	Jyske Bank A/S (Registered) *		(129,911	)
	(629	)	Novozymes A/S – Class B		(32,246	)
			Total Denmark		(1,075,176	)
			Germany — (0.1)%
	(2,752	)	1&1 Drillisch AG		(59,887	)
	(69,387	)	Deutsche Bank AG (Registered) *		(609,182	)
			Total Germany		(669,069	)
			Japan — (0.0)%
	(4,200	)	Japan Lifeline Co Ltd *		(51,179	)
	(4,100	)	JGC Corp *		(49,564	)
	(300	)	JINS Holdings Inc *		(18,353	)
	(5,900	)	Mitsui OSK Lines Ltd *		(121,531	)
	(700	)	Optorun Co Ltd *		(18,425	)
	(15,300	)	Orient Corp *		(18,920	)
			Total Japan		(277,972	)
			Luxembourg — (0.0)%
	(900	)	Intelsat SA *		(3,474	)
			Netherlands — (0.0)%
	(13,576	)	Altice Europe NV – Class B *		(70,472	)
	(600	)	InterXion Holding NV *		(50,935	)
	(1,034	)	OCI NV *		(17,310	)
			Total Netherlands		(138,717	)
			Norway — (0.0)%
	(1,667	)	Borr Drilling Ltd *		(3,573	)
			Portugal — (0.0)%
	(10,663	)	CTT-Correios de Portugal SA		(27,507	)

Shares			Description	Value ($)
			Common Stocks — continued
			Spain — (0.0)%
	(25	)	Bolsas y Mercados Espanoles SHMSF SA		(953	)
	(18	)	Masmovil Ibercom SA *		(358	)
			Total Spain		(1,311	)
			Switzerland — (0.0)%
	(13,127	)	Credit Suisse Group AG (Registered)		(147,475	)
	(1,262	)	Dufry AG (Registered)		(92,613	)
	(412	)	Swiss Prime Site AG (Registered)		(49,710	)
			Total Switzerland		(289,798	)
			United Kingdom — (0.0)%
	(4,300	)	Farfetch Ltd – Class A *		(48,031	)
	(20,502	)	G4S Plc		(45,395	)
	(43,481	)	Melrose Industries Plc		(120,252	)
	(7,100	)	Tronox Holdings Plc – Class A		(52,114	)
			Total United Kingdom		(265,792	)
			United States — (1.1)%
	(2,300	)	2U, Inc. *		(54,073	)
	(20,600	)	Aerie Pharmaceuticals, Inc. *		(360,500	)
	(900	)	AnaptysBio, Inc. *		(13,455	)
	(11,200	)	Beyond Meat, Inc. *		(1,004,080	)
	(4,500	)	Cloudera, Inc. *		(40,050	)
	(100	)	CME Group, Inc.		(19,882	)
	(900	)	Crowdstrike Holdings, Inc. – Class A *		(53,676	)
	(5,100	)	Diamondback Energy, Inc.		(316,200	)
	(400	)	Dick’s Sporting Goods, Inc.		(14,564	)
	(1,700	)	Dollar Tree, Inc. *		(141,151	)
	(4,800	)	EQT Corp.		(28,176	)
	(500	)	Esperion Therapeutics, Inc. *		(25,245	)
	(8,700	)	Eventbrite, Inc. – Class A *		(127,107	)
	(5,400	)	Heron Therapeutics, Inc. *		(100,710	)
	(1,600	)	Immunomedics, Inc. *		(25,600	)
	(2,400	)	Intercept Pharmaceuticals, Inc. *		(220,656	)
	(1,300	)	Intra-Cellular Therapies, Inc. *		(27,430	)
	(3,600	)	Iovance Biotherapeutics, Inc. *		(118,476	)
	(7,700	)	Knight-Swift Transportation Holdings, Inc.		(245,938	)
	(17,000	)	Kraft Heinz Co. (The)		(421,090	)
	(1,100	)	Ligand Pharmaceuticals, Inc. *		(102,960	)
	(200	)	Lowe’s Cos, Inc.		(21,314	)
	(18,300	)	LYFT, Inc. – Class A *		(697,596	)
	(3,800	)	Macerich Co. (The) (REIT)		(77,596	)
	(1,500	)	Madrigal Pharmaceuticals, Inc. *		(129,255	)
	(600	)	Middleby Corp. (The) *		(67,086	)
	(15,900	)	Mosaic Co. (The)		(270,777	)
	(9,400	)	National Oilwell Varco, Inc.		(175,874	)
	(16,500	)	Nektar Therapeutics *		(343,365	)
	(38,400	)	Oasis Petroleum, Inc. *		(62,784	)
	(600	)	PolyOne Corp.		(14,856	)

See accompanying notes to the financial statements. 117

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 29, 2020

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,100	)	Sangamo Therapeutics, Inc. *		(9,383	)
	(2,500	)	Seritage Growth Properties (REIT) *		(85,950	)
	(14,800	)	Shake Shack, Inc. – Class A *		(879,712	)
	(500	)	Skechers U.S.A. Inc-Class A *		(16,540	)
	(800	)	Sleep Number Corp. *		(35,240	)
	(1,500	)	Switch, Inc. – Class A		(21,510	)
	(6,800	)	Tallgrass Energy LP – Class A		(150,076	)
	(133,000	)	Transocean Ltd *		(445,550	)
	(600	)	Trupanion, Inc. *		(18,444	)
	(800	)	Veritex Holdings, Inc.		(19,256	)
	(4,100	)	Verra Mobility Corp. *		(62,095	)
	(200	)	Visteon Corp. *		(13,008	)
	(1,800	)	WillScot Corp. *		(31,572	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(5,400	)	World Wrestling Entertainment, Inc.– Class A		(252,558	)
	(4,900	)	Zogenix, Inc. *		(122,892	)
	(12,600	)	Zoom Video Communications, Inc.– Class A *		(1,323,000	)
			Total United States		(8,808,308	)
			TOTAL COMMON STOCKS (PROCEEDS $13,510,235)		(11,993,572	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $13,510,235)		(11,993,572	)
			Other Assets and Liabilities (net) — 1.0%		7,171,598
			TOTAL NET ASSETS — 100.0%		$773,437,677

A summary of outstanding financial instruments at February 29, 2020 is as follows:

Written Options

Equity Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options — Puts
S&P 500 Index		2,950.00		03/06/20		USD	(12)		USD	25,110,870		(97,080	)
S&P 500 Index		2,950.00		03/13/20		USD	(12)		USD	30,133,044		(121,440	)
S&P 500 Index		2,950.00		03/20/20		USD	(12)		USD	31,905,576		(129,600	)
				Total Equity Options — Puts								(348,120	)
				TOTAL WRITTEN OPTIONS (COST $(353,880))								(348,120	)

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	758,831		05/18/2020	Monthly		—		10,678		10,678
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	638,207		05/18/2020	Monthly		—		56,951		56,951
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	611,487		05/18/2020	Monthly		—		58,837		58,837
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.06%	MORD	USD	605,251		05/18/2020	Monthly		—		41,880		41,880
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	175,159		03/18/2021	Monthly		—		19,436		19,436
								$	—	$	187,782	$	187,782

118 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 29, 2020

As of February 29, 2020, 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) 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 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) All or a portion of this security is out on loan (Note 2).

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

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

(f) The rate disclosed is the 7 day net yield as of February 29, 2020.

(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 120.

See accompanying notes to the financial statements. 119

GMO Trust Funds

Schedule of Investments — (Continued)

February 29, 2020

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.

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

CLO - Collateralized Loan Obligation

CP - Counterparty

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

JSC - Joint-Stock Company

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

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 February 29,

2020, 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 Securities LLC

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

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

120 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020

	Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	29,261,066	$	8,796,460,088	$	744,075,412	$	1,557,285,394
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		222,652,523		5,154,479		1,879,863,930		83,969
Foreign currency, at value (Note 2)(d)		—		—		292,487		—
Cash		2,754,648		—		36		176,853
Receivable for investments sold		6,108,585		28,954,257		4,746,560		15,000,000
Receivable for Fund shares sold		15,780		51,350		—		2,835
Receivable for closed swap contracts (Note 4)		511,327		—		—		—
Dividends and interest receivable		221,252		5,458		3,089,473		7,930
Dividend withholding tax receivable		—		—		391,623		—
Foreign capital gains tax refund receivable (Note 2)		—		—		109,924		—
Unrealized appreciation on open forward currency contracts (Note 4)		2,844,392		—		—		—
Due from broker (Note 2)		4,925,526		—		—		—
Receivable for variation margin on open futures contracts (Note 4)		246,697		—		252,590		—
Receivable for open OTC swap contracts (Note 4)		2,128,648		—		4,827,122		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		59,325		1,058,242		239,463		14,800
Total assets		271,729,769		8,831,683,874		2,637,888,620		1,572,571,781
Liabilities:
Investments sold short, at value (Note 2)(e)		23,059,699		—		32,256,795		—
Due to broker (Note 2)		—		—		59,322		—
Payable for cash collateral from securities loaned (Note 2)		—		—		1,854,829		—
Foreign currency due to custodian		829		—		—		—
Payable for investments purchased		2,282,413		—		16,266,664		15,007,531
Payable for Fund shares repurchased		71,200		29,039,388		72		74,000
Accrued foreign capital gains tax payable (Note 2)		—		—		2,356		—
Payable to affiliate for (Note 5):
Management fee		130,001		4,755,510		—		—
Supplemental support fee – Class MF		—		239,098		—		—
Shareholder service fee		14,181		644,498		—		—
Payable to agents unaffiliated with GMO		33		2,156		713		450
Payable for variation margin on open futures contracts (Note 4)		373,529		—		—		—
Payable for variation margin on open cleared swap contracts (Note 4)		332,857		—		—		—
Payable for closed swap contracts (Note 4)		56,667		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		3,774,231		—		1,332,706		—
Interest and dividend payable for short sales		—		—		8,958		—
Payable to Trustees and related expenses		645		29,299		8,596		5,378
Written options outstanding, at value (Note 4)(f)		6,421,146		—		1,653,570		—
Accrued expenses		171,178		186,806		514,385		74,364
Total liabilities		36,688,609		34,896,755		53,958,966		15,161,723
Net assets	$	235,041,160	$	8,796,787,119	$	2,583,929,654	$	1,557,410,058
(a)  Cost of investments – affiliated issuers:	$	32,000,000	$	9,090,386,242	$	740,395,493	$	1,601,912,821
(b)  Cost of investments – unaffiliated issuers:	$	225,032,612	$	5,154,479	$	1,953,138,647	$	83,098
(c)  Includes securities on loan at value (Note 2):	$	13,863,518	$	—	$	28,930,518	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	294,611	$	—
(e)  Proceeds from securities sold short:	$	24,141,869	$	—	$	33,694,658	$	—
(f)   Premiums on written options:	$	2,074,209	$	—	$	1,680,929	$	—

See accompanying notes to the financial statements. 121

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	244,393,806		$	9,204,027,920		$	2,888,412,702		$	1,834,396,959
Distributable earnings (accumulated loss)		(9,352,646	)		(407,240,801	)		(304,483,048	)		(276,986,901	)
	$	235,041,160		$	8,796,787,119		$	2,583,929,654		$	1,557,410,058
Net assets attributable to:
Class III	$	—		$	3,785,568,012		$	2,583,929,654		$	1,539,521,588
Class IV	$	—		$	2,085,323,723		$	—		$	—
Class VI	$	200,812,336		$	—		$	—		$	—
Class MF	$	—		$	2,827,442,422		$	—		$	—
Class R6	$	—		$	—		$	—		$	17,888,470
Class I	$	34,228,824		$	98,452,962		$	—		$	—
Shares outstanding:
Class III		—			148,253,303			136,844,984			48,876,858
Class IV		—			81,684,502			—			—
Class VI		10,323,104			—			—			—
Class MF		—			110,648,283			—			—
Class R6		—			—			—			567,906
Class I		1,761,056			3,857,988			—			—
Net asset value per share:
Class III	$	—		$	25.53		$	18.88		$	31.50
Class IV	$	—		$	25.53		$	—		$	—
Class VI	$	19.45		$	—		$	—		$	—
Class MF	$	—		$	25.55		$	—		$	—
Class R6	$	—		$	—		$	—		$	31.50
Class I	$	19.44		$	25.52		$	—		$	—

122 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	73,346,618	$	1,455,635,364	$	6,103,201	$	297,377,707
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		67,524		485,493		7,233,384,800		120,995
Foreign currency, at value (Note 2)(d)		—		—		1,319,650		—
Cash		—		—		324,024		—
Receivable for investments sold		—		—		37,482,377		—
Dividends and interest receivable		97		664		12,328,054		254
Dividend withholding tax receivable		—		—		1,482,538		—
Foreign capital gains tax refund receivable (Note 2)		—		—		4,432		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		12,625,459		—
Due from broker (Note 2)		—		—		190,097,156		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		712,120		—
Receivable for open OTC swap contracts (Note 4)		—		—		28,502,114		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		16,270		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,868		14,250		516,531		14,364
Miscellaneous receivable		—		—		5,121		—
Total assets		73,425,107		1,456,135,771		7,524,903,847		297,513,320
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		247,310,470		—
Due to broker (Note 2)		—		—		146,372		—
Payable for cash collateral from securities loaned (Note 2)		—		—		6,131,352		—
Payable for investments purchased		—		—		99,572,382		—
Payable for Fund shares repurchased		—		—		8,270,257		8,382
Payable to agents unaffiliated with GMO		25		429		1,911		51
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		1,663,262		—
Payable for closed swap contracts (Note 4)		—		—		246,092		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		18,815,887		—
Interest payable for open OTC swap contracts (Note 4)		—		—		16,000		—
Interest and dividend payable for short sales		—		—		343,386		—
Payable for open OTC swap contracts (Note 4)		—		—		54,748		—
Payable for reverse repurchase agreements (Note 2)		—		—		1,586,237		—
Payable to Trustees and related expenses		248		5,093		23,444		861
Written options outstanding, at value (Note 4)(f)		—		—		25,299,032		—
Accrued expenses		41,944		66,499		1,116,894		40,681
Total liabilities		42,217		72,021		410,597,726		49,975
Net assets	$	73,382,890	$	1,456,063,750	$	7,114,306,121	$	297,463,345
(a)  Cost of investments – affiliated issuers:	$	73,890,891	$	1,554,832,685	$	6,091,214	$	321,633,683
(b)  Cost of investments – unaffiliated issuers:	$	67,524	$	485,493	$	7,627,501,089	$	120,995
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	105,485,067	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	1,322,368	$	—
(e)  Proceeds from securities sold short:	$	—	$	—	$	263,568,651	$	—
(f)   Premiums on written options:	$	—	$	—	$	13,802,195	$	—

See accompanying notes to the financial statements. 123

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	78,475,167		$	1,733,066,184		$	8,053,505,260		$	489,036,372
Distributable earnings (accumulated loss)		(5,092,277	)		(277,002,434	)		(939,199,139	)		(191,573,027	)
	$	73,382,890		$	1,456,063,750		$	7,114,306,121		$	297,463,345
Net assets attributable to:
Core Class	$	—		$	—		$	7,114,306,121		$	—
Class III	$	73,382,890		$	1,456,063,750		$	—		$	297,463,345
Shares outstanding:
Core Class		—			—			558,416,509			—
Class III		3,516,472			59,749,452			—			20,487,388
Net asset value per share:
Core Class	$	—		$	—		$	12.74		$	—
Class III	$	20.87		$	24.37		$	—		$	14.52

124 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	856,567,489	$	—	$	—	$	641,595,871
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		294,516		863,459,910		275,408,731		136,663,780
Foreign currency, at value (Note 2)(d)		—		39		—		34,129
Cash		—		—		16,589		—
Receivable for investments sold		255,322		—		11,085,290		353,880
Receivable for Fund shares sold		—		—		—		54,190,000
Dividends and interest receivable		397		1,453,127		58,132		242,551
Dividend withholding tax receivable		—		—		—		9,882
Unrealized appreciation on open forward currency contracts (Note 4)		—		6,860,363		—		—
Due from broker (Note 2)		—		15,942,224		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		2,304,249		—		—
Receivable for open OTC swap contracts (Note 4)		—		—		—		187,782
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		19,586		29,375		—		78,195
Total assets		857,137,310		890,049,287		286,568,742		833,356,070
Liabilities:
Due to broker		—		14,453,157		—		—
Investments sold short, at value (Note 2)(e)		—		—		—		11,993,572
Payable for investments purchased		—		—		—		47,457,459
Payable for Fund shares repurchased		234,290		10,931,766		—		—
Payable to affiliate for (Note 5):
Management fee		—		594,571		288,366		—
Shareholder service fee		—		39,854		14,418		—
Payable to agents unaffiliated with GMO		247		242		173		191
Payable for variation margin on open futures contracts (Note 4)		—		3,643,981		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		9,765,278		—		—
Interest and dividend payable for short sales		—		—		—		4,325
Payable to Trustees and related expenses		2,966		2,799		1,200		2,403
Written options outstanding, at value (Note 4)(f)		—		—		—		348,120
Accrued expenses		54,600		220,767		211,909		112,323
Total liabilities		292,103		39,652,415		516,066		59,918,393
Net assets	$	856,845,207	$	850,396,872	$	286,052,676	$	773,437,677
(a)  Cost of investments – affiliated issuers:	$	925,700,175	$	—	$	—	$	646,514,219
(b)  Cost of investments – unaffiliated issuers:	$	294,516	$	859,125,118	$	246,247,066	$	140,000,656
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	10,197,081
(d)  Cost of foreign currency:	$	—	$	39	$	—	$	34,450
(e)  Proceeds from securities sold short:	$	—	$	—	$	—	$	13,510,235
(f)   Premiums on written options:	$	—	$	—	$	—	$	353,880

See accompanying notes to the financial statements. 125

GMO Trust Funds

Statements of Assets and Liabilities — February 29, 2020 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	1,050,101,627		$	905,306,689		$	229,142,937	$	793,020,645
Distributable earnings (accumulated loss)		(193,256,420	)		(54,909,817	)		56,909,739		(19,582,968	)
	$	856,845,207		$	850,396,872		$	286,052,676	$	773,437,677
Net assets attributable to:
Class III	$	646,621,926		$	18,527,302		$	—	$	773,437,677
Class VI	$	—		$	831,869,570		$	286,052,676	$	—
Class R6	$	210,223,281		$	—		$	—	$	—
Shares outstanding:
Class III		23,558,902			595,064			—		40,742,943
Class VI		—			26,776,389			17,439,021		—
Class R6		7,661,149			—			—		—
Net asset value per share:
Class III	$	27.45		$	31.13		$	—	$	18.98
Class VI	$	—		$	31.07		$	16.40	$	—
Class R6	$	27.44		$	—		$	—	$	—

126 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020

	Consolidated Alternative Allocation Fund*			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	588,920		$	105,837		$	55,851,159		$	4,801
Dividends from affiliated issuers (Note 10)		1,039,905			386,653,823			34,945,474			58,448,309
Interest		1,488,180			7,097			15,029,022			6,012
Securities lending income from affiliated issuers (net)		—			—			20,589			—
Securities lending income (net)		—			—			1,465			—
Total investment income		3,117,005			386,766,757			105,847,709			58,459,122
Expenses:
Management fee (Note 5)		1,165,845			66,897,185			—			—
Shareholder service fee – Class III (Note 5)		—			6,276,724			—			—
Shareholder service fee – Class IV (Note 5)		—			2,621,910			—			—
Shareholder service fee – Class VI (Note 5)		82,826			—			—			—
Shareholder service fee – Class I (Note 5)		20,048	**		46,532	***		—			—
Supplemental support fee – Class MF (Note 5)		—			3,454,460			—			—
Organizational expenses		69,215			—			—			—
Audit and tax fees		118,877			29,922			170,991			30,089
Custodian, fund accounting agent and transfer agent fees		128,501			131,992			1,269,333			61,420
Dividend expense on short sales		341,974			—			445,371			—
Legal fees		20,212			309,098			124,668			50,537
Registration fees		6,985			15,400			—			4,052
Trustees’ fees and related expenses (Note 5)		4,581			294,202			80,535			49,977
Interest expense and borrowing costs for investments sold short (Note 2)		113,186			—			231,444			—
Miscellaneous		59,679			68,749			150,062	****		16,921	*****
Total expenses		2,131,929			80,146,174			2,472,404			212,996
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(330,790	)		(486,229	)		(1,155,749	)		(157,975	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(82,919	)		(13,725,433	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(16,359	)		(1,418,471	)		—			—
Net expenses		1,701,861			64,516,041			1,316,655			55,021
Net investment income (loss)		1,415,144			322,250,716			104,531,054			58,404,101
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		1,805,784			—			6,020,970			3,338,542
Investments in affiliated issuers		(2,912,104	)		44,595,510			15,399,050			(7,884,321	)
Investments in securities sold short		510,173			—			(3,266,383	)		—
Realized gain distributions from affiliated issuers (Note 10)		411,484			38,045,007			13,650,887			26,148,219
Futures contracts		(3,596,538	)		—			(39,821,586	)		—
Written options		1,753,187			—			—			—
Swap contracts		828,254			—			(3,364,042	)		—
Forward currency contracts		894,460			—			3,349,200			—
Foreign currency and foreign currency related transactions		340,817			—			(1,027,974	)		—
Net realized gain (loss)		35,517			82,640,517			(9,059,878	)		21,602,440
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,380,089	)		—			(65,540,070	)		(3,125	)
Investments in affiliated issuers		(2,738,934	)		(341,926,780	)		(37,954,599	)		(915,141	)
Investments in securities sold short		1,082,170			—			594,164			—
Futures contracts		3,386,598			—			25,444,991			—
Written options		(4,346,937	)		—			27,359			—
Swap contracts		3,264,639			—			5,307,844			—
Forward currency contracts		(929,839	)		—			(2,285,659	)		—
Foreign currency and foreign currency related transactions		(12,414	)		—			(77,081	)		—
Net change in unrealized appreciation (depreciation)		(2,674,806	)		(341,926,780	)		(74,483,051	)		(918,266	)
Net realized and unrealized gain (loss)		(2,639,289	)		(259,286,263	)		(83,542,929	)		20,684,174
Net increase (decrease) in net assets resulting from operations	$	(1,224,145	)	$	62,964,453		$	20,988,125		$	79,088,275
(a)   Withholding tax:	$	—		$	—		$	6,082,451		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	2,616		$	—

* Period from May 1, 2019 (commencement of operations) through February 29, 2020.

** Period from September 4, 2019 (commencement of operations) through February 29, 2020.

*** Period from August 8, 2019 (commencement of operations) through February 29, 2020.

**** Includes $119,073 of pricing expenses.

***** Includes $7,573 of printing expenses.

See accompanying notes to the financial statements. 127

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020 — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,087		$	11,061		$	231,459,394		$	4,421
Dividends from affiliated issuers (Note 10)		3,336,727			53,078,869			—			15,672,075
Interest		—			463			70,432,051			511
Securities lending income from affiliated issuers (net)		—			—			87,904			—
Securities lending income (net)		—			—			7,252			—
Total investment income		3,339,814			53,090,393			301,986,601			15,677,007
Expenses:
Audit and tax fees		33,101			23,602			329,231			27,602
Custodian, fund accounting agent and transfer agent fees		40,665			50,466			3,201,406			48,135
Dividend expense on short sales		—			—			4,583,917			—
Legal fees		7,293			47,099			397,866			13,798
Registration fees		891			3,391			—			1,265
Trustees’ fees and related expenses (Note 5)		8,826			45,513			221,236			13,746
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			27,831			—
Miscellaneous		7,678	*		14,933	**		252,337			8,969	***
Total expenses		98,454			185,004			9,013,824			113,515
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(88,681	)		(134,063	)		(3,777,614	)		(98,370	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(4,515	)		—
Net expenses		9,773			50,941			5,231,695			15,145
Net investment income (loss)		3,330,041			53,039,452			296,754,906			15,661,862
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			196,751,255			—
Investments in affiliated issuers		(9,478,667	)		(22,547,438	)		(40,139	)		(22,509,794	)
Investments in securities sold short		—			—			(57,234,775	)		—
Realized gain distributions from affiliated issuers (Note 10)		4,545,110			28,307,492			—			—
Futures contracts		—			—			(182,636,760	)		—
Written options		—			—			3,487,327			—
Swap contracts		—			—			4,099,491			—
Forward currency contracts		—			—			17,810,350			—
Foreign currency and foreign currency related transactions		—			—			362,158			—
Net realized gain (loss)		(4,933,557	)		5,760,054			(17,401,093	)		(22,509,794	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			(362,691,461	)		—
Investments in affiliated issuers		9,472,867			(13,790,931	)		11,987			29,860,875
Investments in securities sold short		—			—			29,600,756			—
Futures contracts		—			—			98,453,681			—
Written options		—			—			(11,547,633	)		—
Swap contracts		—			—			31,242,087			—
Forward currency contracts		—			—			(10,182,229	)		—
Foreign currency and foreign currency related transactions		—			—			(149,213	)		—
Net change in unrealized appreciation (depreciation)		9,472,867			(13,790,931	)		(225,262,025	)		29,860,875
Net realized and unrealized gain (loss)		4,539,310			(8,030,877	)		(242,663,118	)		7,351,081
Net increase (decrease) in net assets resulting from operations	$	7,869,351		$	45,008,575		$	54,091,788		$	23,012,943
(a)  Withholding tax:	$	—		$	—		$	25,729,507		$	—
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	3,009		$	—

* Includes $6,111 of printing expenses.

** Includes $7,946 of printing expenses.

*** Includes $6,812 of printing expenses.

128 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 29, 2020 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	6,604		$	331,210		$	1,996,217		$	3,016,272
Dividends from affiliated issuers (Note 10)		37,268,591			—			—			23,846,622
Interest		24			17,669,588			692,088			1,929,348
Total investment income		37,275,219			18,000,798			2,688,305			28,792,242
Expenses:
Management fee (Note 5)		—			8,943,700			3,963,185			—
Shareholder service fee – Class III (Note 5)		—			48,870			—			—
Shareholder service fee – Class IV (Note 5)		—			8,885	*		—			—
Shareholder service fee – Class VI (Note 5)		—			555,904			198,159			—
Audit and tax fees		23,602			88,683			114,484			51,241
Custodian, fund accounting agent and transfer agent fees		54,236			218,810			44,807			177,849
Dividend expense on short sales		—			—			—			129,034
Legal fees		26,908			48,876			43,169			35,362
Registration fees		4,128			28,492			1,737			1,183
Trustees’ fees and related expenses (Note 5)		26,105			29,668			8,661			24,270
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			—			136,157
Miscellaneous		17,326	**		103,496			31,551			31,729	***
Total expenses		152,305			10,075,384			4,405,753			586,825
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(123,195	)		(466,684	)		—			(267,188	)
Net expenses		29,110			9,608,700			4,405,753			319,637
Net investment income (loss)		37,246,109			8,392,098			(1,717,448	)		28,472,605
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			731,889			84,335,450			5,198
Investments in affiliated issuers		(9,324,801	)		—			(2,958,201	)		8,764,827
Investments in securities sold short		—			—			—			(3,998,592	)
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			8,536,666
Futures contracts		—			(42,667,965	)		—			—
Swap contracts		—			—			—			(939,968	)
Forward currency contracts		—			11,760,199			—			—
Foreign currency and foreign currency related transactions		—			895,892			800			3,935
Net realized gain (loss)		(9,324,801	)		(29,279,985	)		81,378,049			12,372,066	****
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers(c)		—			5,566,069			(77,286,983	)		(3,107,186	)
Investments in affiliated issuers		(10,853,560	)		—			271,587			(15,969,005	)
Investments in securities sold short		—			—			—			2,515,531
Futures contracts		—			1,230,241			—			—
Written options		—			—			—			5,760
Swap contracts		—			—			—			252,870
Forward currency contracts		—			(2,337,624	)		—			—
Foreign currency and foreign currency related transactions		—			268,426			880			(3,073	)
Net change in unrealized appreciation (depreciation)		(10,853,560	)		4,727,112			(77,014,516	)		(16,305,103	)
Net realized and unrealized gain (loss)		(20,178,361	)		(24,552,873	)		4,363,533			(3,933,037	)
Net increase (decrease) in net assets resulting from operations	$	17,067,748		$	(16,160,775	)	$	2,646,085		$	24,539,568
(a)   Withholding tax:	$	—		$	—		$	—		$	176,095
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	52
(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	—

* For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

** Includes $9,549 of printing expenses.

*** Includes $20,765 of printing expenses.

**** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 129

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund
	Period from May 1, 2019 (commencement of operations) through February 29, 2020			Year Ended February 28/29,
				2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,415,144		$	322,250,716		$	377,628,700
Net realized gain (loss)		35,517			82,640,517			240,016,377
Change in net unrealized appreciation (depreciation)		(2,674,806	)		(341,926,780	)		(875,084,601	)
Net increase (decrease) in net assets from operations		(1,224,145	)		62,964,453			(257,439,524	)
Distributions to shareholders:
Class III		—			(131,407,420	)		(157,872,659	)
Class IV		—			(82,564,617	)		(94,264,792	)
Class VI		(4,899,582	)		—			—
Class MF		—			(108,452,767	)		(150,215,640	)
Class I		(443,533	)*		(2,367,100	)**		—
Total distributions		(5,343,115	)		(324,791,904	)		(402,353,091	)
Net share transactions (Note 9):
Class III		—			(753,562,440	)		(269,721,640	)
Class IV		—			(579,993,431	)		117,141,309
Class VI		206,323,583			—			—
Class MF		—			(1,017,495,098	)		(1,422,006,518	)
Class I		35,284,837	*		103,318,200	**		—
Increase (decrease) in net assets resulting from net share transactions		241,608,420			(2,247,732,769	)		(1,574,586,849	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			207,256
Class IV		—			—			112,191
Class MF		—			—			227,404
Increase in net assets resulting from purchase premiums and redemption fees		—			—			546,851
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		241,608,420			(2,247,732,769	)		(1,574,039,998	)
Total increase (decrease) in net assets		235,041,160			(2,509,560,220	)		(2,233,832,613	)
Net assets:
Beginning of period		—			11,306,347,339			13,540,179,952
End of period	$	235,041,160		$	8,796,787,119		$	11,306,347,339

* Period from September 4, 2019 (commencement of operations) through February 29, 2020.

** Period from August 8, 2019 (commencement of operations) through February 29, 2020.

130 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund
	Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	104,531,054		$	106,831,468		$	58,404,101		$	68,239,538
Net realized gain (loss)		(9,059,878	)		219,040,536			21,602,440			7,699,409
Change in net unrealized appreciation (depreciation)		(74,483,051	)		(465,546,562	)		(918,266	)		(130,685,605	)
Net increase (decrease) in net assets from operations		20,988,125			(139,674,558	)		79,088,275			(54,746,658	)
Distributions to shareholders:
Class III		(110,241,387	)		(122,727,936	)		(67,351,522	)		(66,965,936	)
Class R6		—			—			(527,446	)*		—
Total distributions		(110,241,387	)		(122,727,936	)		(67,878,968	)		(66,965,936	)
Net share transactions (Note 9):
Class III		(492,548,074	)		(1,058,562,935	)		(382,139,553	)		(444,299,648	)
Class R6		—			—			18,611,818	*		—
Increase (decrease) in net assets resulting from net share transactions		(492,548,074	)		(1,058,562,935	)		(363,527,735	)		(444,299,648	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			207,484			—			136,171
Increase in net assets resulting from purchase premiums and redemption fees		—			207,484			—			136,171
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(492,548,074	)		(1,058,355,451	)		(363,527,735	)		(444,163,477	)
Total increase (decrease) in net assets		(581,801,336	)		(1,320,757,945	)		(352,318,428	)		(565,876,071	)
Net assets:
Beginning of period		3,165,730,990			4,486,488,935			1,909,728,486			2,475,604,557
End of period	$	2,583,929,654		$	3,165,730,990		$	1,557,410,058		$	1,909,728,486

* Period from September 30, 2019 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 131

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,330,041		$	11,712,327		$	53,039,452		$	50,673,094
Net realized gain (loss)		(4,933,557	)		33,279,520			5,760,054			88,843,182
Change in net unrealized appreciation (depreciation)		9,472,867			(66,670,344	)		(13,790,931	)		(264,669,367	)
Net increase (decrease) in net assets from operations		7,869,351			(21,678,497	)		45,008,575			(125,153,091	)
Distributions to shareholders:
Class III		(10,153,738	)		(11,897,305	)		(55,610,130	)		(50,339,578	)
Total distributions		(10,153,738	)		(11,897,305	)		(55,610,130	)		(50,339,578	)
Net share transactions (Note 9):
Class III		(372,206,442	)		12,165,436			(171,078,291	)		(515,723,700	)
Increase (decrease) in net assets resulting from net share transactions		(372,206,442	)		12,165,436			(171,078,291	)		(515,723,700	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			1,263			—			39,335
Increase in net assets resulting from purchase premiums and redemption fees		—			1,263			—			39,335
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(372,206,442	)		12,166,699			(171,078,291	)		(515,684,365	)
Total increase (decrease) in net assets		(374,490,829	)		(21,409,103	)		(181,679,846	)		(691,177,034	)
Net assets:
Beginning of period		447,873,719			469,282,822			1,637,743,596			2,328,920,630
End of period	$	73,382,890		$	447,873,719		$	1,456,063,750		$	1,637,743,596

132 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	296,754,906		$	304,016,674		$	15,661,862		$	20,179,649
Net realized gain (loss)		(17,401,093	)		278,984,834			(22,509,794	)		(11,961,205	)
Change in net unrealized appreciation (depreciation)		(225,262,025	)		(872,574,054	)		29,860,875			(88,371,353	)
Net increase (decrease) in net assets from operations		54,091,788			(289,572,546	)		23,012,943			(80,152,909	)
Distributions to shareholders:
Core Class		(310,939,020	)		(409,637,549	)		—			—
Class III		—			—			(15,687,875	)		(20,108,519	)
Total distributions		(310,939,020	)		(409,637,549	)		(15,687,875	)		(20,108,519	)
Net share transactions (Note 9):
Core Class		(1,594,424,900	)		(1,841,241,070	)		—			—
Class III		—			—			(282,691,634	)		8,208,473
Increase (decrease) in net assets resulting from net share transactions		(1,594,424,900	)		(1,841,241,070	)		(282,691,634	)		8,208,473
Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		—			330,066			—			—
Class III		—			—			—			15,949
Increase in net assets resulting from purchase premiums and redemption fees		—			330,066			—			15,949
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,594,424,900	)		(1,840,911,004	)		(282,691,634	)		8,224,422
Total increase (decrease) in net assets		(1,851,272,132	)		(2,540,121,099	)		(275,366,566	)		(92,037,006	)
Net assets:
Beginning of period		8,965,578,253			11,505,699,352			572,829,911			664,866,917
End of period	$	7,114,306,121		$	8,965,578,253		$	297,463,345		$	572,829,911

See accompanying notes to the financial statements. 133

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	37,246,109		$	30,571,010		$	8,392,098		$	16,759,065
Net realized gain (loss)		(9,324,801	)		(8,912,750	)		(29,279,985	)		(30,932,172	)
Change in net unrealized appreciation (depreciation)		(10,853,560	)		(142,162,288	)		4,727,112			29,045,803
Net increase (decrease) in net assets from operations		17,067,748			(120,504,028	)		(16,160,775	)		14,872,696
Distributions to shareholders:
Class III		(28,289,670	)		(30,650,233	)		(496,259	)		(113,342	)
Class IV		—			—			(167,985	)**		(45,911	)
Class VI		—			—			(15,675,471	)		(5,241,300	)
Class R6		(8,867,347	)*		—			—			—
Total distributions		(37,157,017	)		(30,650,233	)		(16,339,715	)		(5,400,553	)
Net share transactions (Note 9):
Class III		(259,098,085	)		(70,320,913	)		(25,234,742	)		18,453,410
Class IV		—			—			(22,837,965	)**		10,954,835
Class VI		—			—			(298,663,476	)		(691,528,494	)
Class R6		206,065,739	*		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(53,032,346	)		(70,320,913	)		(346,736,183	)		(662,120,249	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			114,511			—			—
Increase in net assets resulting from purchase premiums and redemption fees		—			114,511			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(53,032,346	)		(70,206,402	)		(346,736,183	)		(662,120,249	)
Total increase (decrease) in net assets		(73,121,615	)		(221,360,663	)		(379,236,673	)		(652,648,106	)
Net assets:
Beginning of period		929,966,822			1,151,327,485			1,229,633,545			1,882,281,651
End of period	$	856,845,207		$	929,966,822		$	850,396,872		$	1,229,633,545

* Period from August 30, 2019 (commencement of operations) through February 29, 2020.

** For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

134 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2020			2019			2020			2019
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(1,717,448	)	$	(1,203,658	)	$	28,472,605		$	32,435,348
Net realized gain (loss)		81,378,049			183,811,430			12,372,066			21,385,210
Change in net unrealized appreciation (depreciation)		(77,014,516	)		(135,385,222	)		(16,305,103	)		(104,365,864	)
Net increase (decrease) in net assets from operations		2,646,085			47,222,550			24,539,568			(50,545,306	)
Distributions to shareholders:
Class III		—			—			(42,379,462	)		(91,874,936	)
Class VI		(44,327,184	)		(229,777,571	)		—			—
Total distributions		(44,327,184	)		(229,777,571	)		(42,379,462	)		(91,874,936	)
Net share transactions (Note 9):
Class III		—			—			(123,870,724	)		(245,065,008	)
Class VI		(96,368,961	)		(433,998,554	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(96,368,961	)		(433,998,554	)		(123,870,724	)		(245,065,008	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			—			192,588
Class VI		727,630			3,683,959			—			—
Increase in net assets resulting from purchase premiums and redemption fees		727,630			3,683,959			—			192,588
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(95,641,331	)		(430,314,595	)		(123,870,724	)		(244,872,420	)
Total increase (decrease) in net assets		(137,322,430	)		(612,869,616	)		(141,710,618	)		(387,292,662	)
Net assets:
Beginning of period		423,375,106			1,036,244,722			915,148,295			1,302,440,957
End of period	$	286,052,676		$	423,375,106		$	773,437,677		$	915,148,295

See accompanying notes to the financial statements. 135

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares				Class I Shares
	Period from May 1, 2019 (commencement of operations) through February 29, 2020				Period from September 4, 2019 through February 29, 2020
Net asset value, beginning of period		$	20.00			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.10
Net realized and unrealized gain (loss)			(0.18	)			(0.33	)
Total from investment operations			(0.03	)			(0.23	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.05	)
From net realized gains			(0.46	)			(0.46	)
Total distributions			(0.52	)			(0.51	)
Net asset value, end of period		$	19.45			$	19.44
Total Return(b)			(0.21	)%**			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	200,812			$	34,229
Net operating expenses to average daily net assets(c)			0.77	%*			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.29	%*			0.23	%*
Total net expenses to average daily net assets(c)			1.05	%*			1.25	%*
Net investment income (loss) to average daily net assets(a)			0.88	%*			0.98	%*
Portfolio turnover rate(e)			243	%**			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(f)			0.27	%*			0.24	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended February 29, 2020, including transactions in USTF, was 250% 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.

136 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2020				2019				2018				2017				2016(a)				2020				2019				2018				2017				2016(a)
Net asset value, beginning of period		$	26.36			$	27.76			$	25.78			$	23.46			$	27.04			$	26.35			$	27.75			$	25.78			$	23.46			$	27.03
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.83				0.82				0.52				0.37				0.19				0.83				0.88				0.58				0.40				0.20
Net realized and unrealized gain (loss)			(0.75	)			(1.30	)			2.12				2.35				(3.26	)			(0.73	)			(1.35	)			2.06				2.33				(3.26	)
Total from investment operations			0.08				(0.48	)			2.64				2.72				(3.07	)			0.10				(0.47	)			2.64				2.73				(3.06	)
Less distributions to shareholders:
From net investment income			(0.90	)			(0.90	)			(0.66	)			(0.40	)			(0.34	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)			(0.34	)
From net realized gains			(0.01	)			(0.02	)			—				—				(0.17	)			(0.01	)			(0.02	)			—				—				(0.17	)
Total distributions			(0.91	)			(0.92	)			(0.66	)			(0.40	)			(0.51	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)			(0.51	)
Net asset value, end of period		$	25.53			$	26.36			$	27.76			$	25.78			$	23.46			$	25.53			$	26.35			$	27.75			$	25.78			$	23.46
Total Return(c)			0.11	%			(1.55	)%			10.28	%			11.66	%			(11.51	)%			0.21	%			(1.50	)%			10.30	%			11.71	%			(11.46	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,785,568			$	4,642,211			$	5,162,084			$	5,248,863			$	5,872,663			$	2,085,324			$	2,737,619			$	2,756,005			$	2,663,418			$	2,508,115
Net operating expenses to average daily net assets(d)			0.66	%			0.65	%			0.65	%			0.65	%			0.66	%			0.61	%			0.60	%			0.60	%			0.60	%			0.61	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets			—				—				—				—				0.02	%(e)			—				—				—				—				0.02	%(e)
Total net expenses to average daily net assets(d)			0.66	%			0.65	%			0.65	%			0.65	%			0.68	%			0.61	%			0.60	%			0.60	%			0.60	%			0.63	%
Net investment income (loss) to average daily net assets(b)			3.12	%			3.07	%			1.93	%			1.46	%			0.73	%			3.12	%			3.29	%			2.13	%			1.61	%			0.80	%
Portfolio turnover rate			10	%			18	%			9	%			7	%			53	%(f)			10	%			18	%			9	%			7	%			53	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.15	%			0.15	%			0.16	%			0.15	%			0.16	%			0.15	%			0.15	%			0.16	%			0.15	%			0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(h)		$	0.01			$	0.02			$	0.01			$	—			$	0.00	(h)		$	0.01			$	0.02			$	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)  Net investment income is affected by the timing of the declaration of dividends by the 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 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)  Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

^(h)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 137

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares																				Class I Shares
	Year Ended February 28/29,																				Period from August 8, 2019 (commencement of operations) through February 29, 2020
	2020				2019				2018				2017				2016(a)
Net asset value, beginning of period		$	26.38			$	27.77			$	25.80			$	23.47			$	27.04			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.83				0.77				0.56				0.35				0.19				1.10
Net realized and unrealized gain (loss)			(0.74	)			(1.23	)			2.08				2.39				(3.24	)			(0.93	)
Total from investment operations			0.09				(0.46	)			2.64				2.74				(3.05	)			0.17
Less distributions to shareholders:
From net investment income			(0.91	)			(0.91	)			(0.67	)			(0.41	)			(0.35	)			(0.89	)
From net realized gains			(0.01	)			(0.02	)			—				—				(0.17	)			—
Total distributions			(0.92	)			(0.93	)			(0.67	)			(0.41	)			(0.52	)			(0.89	)
Net asset value, end of period		$	25.55			$	26.38			$	27.77			$	25.80			$	23.47			$	25.52
Total Return(c)			0.16	%			(1.47	)%			10.29	%			11.76	%			(11.45	)%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,827,442			$	3,926,518			$	5,622,091			$	5,858,177			$	8,025,066			$	98,453
Net operating expenses to average daily net assets(d)			0.61	%			0.60	%			0.60	%			0.60	%(e)			0.58	%(e)			0.74	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets			—				—				—				—				0.02	%(f)			—
Total net expenses to average daily net assets(d)			0.61	%			0.60	%			0.60	%			0.60	%(e)			0.60	%(e)			0.74	%*
Net investment income (loss) to average daily net assets(b)			3.12	%			2.88	%			2.06	%			1.38	%			0.77	%			7.22	%*
Portfolio turnover rate			10	%			18	%			9	%			7	%			53	%(g)			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.15	%			0.15	%			0.16	%			0.16	%			0.19	%			0.15	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(i)		$	0.01			$	0.02			$	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)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Class MF net expenses include a supplemental support fee reduction (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⁾  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

138 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	19.56			$	20.91			$	18.95			$	17.00			$	20.30
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.72				0.58				0.46				0.43				0.58
Net realized and unrealized gain (loss)			(0.59	)			(1.21	)			2.10				2.01				(2.70	)
Total from investment operations			0.13				(0.63	)			2.56				2.44				(2.12	)
Less distributions to shareholders:
From net investment income			(0.81	)			(0.72	)			(0.60	)			(0.49	)			(0.60	)
From net realized gains			—				—				—				—				(0.58	)
Total distributions			(0.81	)			(0.72	)			(0.60	)			(0.49	)			(1.18	)
Net asset value, end of period		$	18.88			$	19.56			$	20.91			$	18.95			$	17.00
Total Return(b)			0.41	%			(2.80	)%			13.59	%			14.52	%			(10.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,583,930			$	3,165,731			$	4,486,489			$	4,394,260			$	4,305,118
Net operating expenses to average daily net assets(c)			0.02	%			0.02	%			0.02	%			0.01	%			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.03	%			0.04	%			0.00	%(d)			0.00	%(d)			—
Total net expenses to average daily net assets(c)			0.05	%			0.06	%			0.02	%			0.01	%			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			3.64	%			2.92	%			2.29	%			2.37	%			3.09	%
Portfolio turnover rate			50	%(f)			59	%(f)			78	%(f)			83	%(f)			101	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.03	%			0.03	%			0.04	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(g)		$	0.01			$	0.00	(g)		$	0.00	(g)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result ofentering 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 52%, 59%, 81% and 86%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 139

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Period from September 30, 2019 through February 29, 2020
	2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	31.47			$	33.31			$	30.48			$	27.60			$	33.81			$	32.56
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.08				1.02				0.73				0.61				1.02				0.86
Net realized and unrealized gain (loss)			0.29				(1.74	)			2.93				3.00				(4.53	)			(0.71	)
Total from investment operations			1.37				(0.72	)			3.66				3.61				(3.51	)			0.15
Less distributions to shareholders:
From net investment income			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(1.14	)			(1.21	)
From net realized gains			—				—				—				—				(1.56	)			—
Total distributions			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(2.70	)			(1.21	)
Net asset value, end of period		$	31.50			$	31.47			$	33.31			$	30.48			$	27.60			$	31.50
Total Return(c)			4.12	%			(1.96	)%			12.04	%			13.21	%			(10.98	)%			0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,539,522			$	1,909,728			$	2,475,605			$	2,423,945			$	3,317,792			$	17,888
Net operating expenses to average daily net assets(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			—
Net investment income (loss) to average daily net assets(b)			3.32	%			3.17	%			2.24	%			2.06	%			3.33	%			6.23	%*
Portfolio turnover rate			27	%(f)			21	%(f)			20	%(f)			19	%(f)			20	%			27	%(f)**
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				—

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 24%, 22% and 18%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

140 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	21.20			$	22.88			$	19.60			$	17.40			$	22.84
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.25				0.57				0.42				0.52				0.51
Net realized and unrealized gain (loss)			0.42				(1.67	)			3.55				2.87				(3.64	)
Total from investment operations			0.67				(1.10	)			3.97				3.39				(3.13	)
Less distributions to shareholders:
From net investment income			(0.74	)			(0.58	)			(0.69	)			(0.55	)			(0.52	)
From net realized gains			(0.26	)			—				—				(0.64	)			(1.79	)
Total distributions			(1.00	)			(0.58	)			(0.69	)			(1.19	)			(2.31	)
Net asset value, end of period		$	20.87			$	21.20			$	22.88			$	19.60			$	17.40
Total Return(b)			2.87	%			(4.58	)%			20.39	%			20.03	%			(14.81	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	73,383			$	447,874			$	469,283			$	992,260			$	1,432,776
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			1.16	%			2.62	%			1.99	%			2.78	%			2.49	%
Portfolio turnover rate			21	%			6	%			5	%			29	%			14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.02	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(e)		$	0.02			$	0.01			$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 141

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	24.63			$	26.86			$	22.84			$	19.71			$	26.22
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.83				0.65				0.68				0.57				0.60
Net realized and unrealized gain (loss)			(0.16	)			(2.18	)			4.11				3.67				(4.47	)
Total from investment operations			0.67				(1.53	)			4.79				4.24				(3.87	)
Less distributions to shareholders:
From net investment income			(0.93	)			(0.70	)			(0.77	)			(0.70	)			(0.60	)
From net realized gains			—				—				—				(0.41	)			(2.04	)
Total distributions			(0.93	)			(0.70	)			(0.77	)			(1.11	)			(2.64	)
Net asset value, end of period		$	24.37			$	24.63			$	26.86			$	22.84			$	19.71
Total Return(c)			2.36	%			(5.43	)%			21.06	%			21.93	%			(15.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,456,064			$	1,637,744			$	2,328,921			$	2,206,818			$	2,879,168
Net expenses to average daily net assets(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(b)			3.26	%			2.56	%			2.67	%			2.63	%			2.58	%
Portfolio turnover rate			20	%			11	%			14	%			27	%			15	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(f)		$	0.01			$	0.02			$	0.01

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

142 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	13.22			$	14.09			$	13.06			$	11.80			$	13.59
Income (loss) from investment operations:
Net investment income (loss)†			0.49	(a)			0.40				0.33				0.27				0.21
Net realized and unrealized gain (loss)			(0.43	)			(0.69	)			1.11				1.24				(2.00	)
Total from investment operations			0.06				(0.29	)			1.44				1.51				(1.79	)
Less distributions to shareholders:(b)
From net investment income			(0.54	)			(0.58	)			(0.41	)			(0.25	)			—
Total distributions			(0.54	)			(0.58	)			(0.41	)			(0.25	)			—
Net asset value, end of period		$	12.74			$	13.22			$	14.09			$	13.06			$	11.80
Total Return(c)			0.25	%			(1.88	)%			11.12	%			12.88	%			(13.17	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,114,306			$	8,965,578			$	11,505,699			$	11,226,684			$	13,655,203
Net operating expenses to average daily net assets			0.00	%(d)(e)			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(f)			0.06	%			0.10	%			0.04	%			0.05	%			0.07	%
Total net expenses to average daily net assets			0.06	%(e)			0.10	%			0.04	%			0.05	%			0.07	%
Net investment income (loss) to average daily net assets			3.65	%(a)			2.95	%			2.44	%			2.11	%			1.62	%
Portfolio turnover rate			97	%(g)			112	%			146	%			142	%			127	%
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	%
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 the 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)  Rounds to less than 0.01%.

^(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 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 year ended February 29, 2020, including transactions in USTF was 100% of the average value of its portfolio.

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

⁽ⁱ⁾  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 143

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	14.75			$	17.32			$	14.72			$	13.05			$	16.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.49				0.51				0.53				0.45				0.48
Net realized and unrealized gain (loss)			(0.12	)			(2.56	)			2.61				1.79				(3.83	)
Total from investment operations			0.37				(2.05	)			3.14				2.24				(3.35	)
Less distributions to shareholders:
From net investment income			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)
Total distributions			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)
Net asset value, end of period		$	14.52			$	14.75			$	17.32			$	14.72			$	13.05
Total Return(b)			2.14	%			(11.57	)%			21.41	%			17.37	%			(20.09	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	297,463			$	572,830			$	664,867			$	601,792			$	942,823
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			3.25	%			3.25	%			3.20	%			3.14	%			3.07	%
Portfolio turnover rate			11	%			8	%			5	%			10	%			14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			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)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

144 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Period from August 30, 2019 (commencement of operations) through February 29, 2020
	2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	28.09			$	32.62			$	27.49			$	23.40			$	31.71			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.02				0.91				0.93				0.84				0.84				1.14
Net realized and unrealized gain (loss)			(0.46	)			(4.47	)			5.19				4.15				(7.11	)			0.33
Total from investment operations			0.56				(3.56	)			6.12				4.99				(6.27	)			1.47
Less distributions to shareholders:
From net investment income			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(0.87	)			(1.10	)
From net realized gains			—				—				—				—				(1.17	)			—
Total distributions			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(2.04	)			(1.10	)
Net asset value, end of period		$	27.45			$	28.09			$	32.62			$	27.49			$	23.40			$	27.44
Total Return(c)			1.62	%			(10.69	)%			22.38	%			21.57	%			(20.70	)%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	646,622			$	929,967			$	1,151,327			$	1,085,803			$	1,134,800			$	210,223
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)			3.55	%			3.09	%			3.00	%			3.20	%			2.92	%			7.83	%*
Portfolio turnover rate			7	%			8	%			12	%			7	%			14	%			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.00	(f)		$	0.02			$	0.02			$	0.01			$	—

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 145

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,																Period from December 1, 2015 (commencement of operations) through February 29, 2016
	2020				2019				2018				2017				2016				2020				2019				2018				2017
Net asset value, beginning of period		$	32.17			$	31.87			$	32.68			$	33.25			$	33.80			$	32.11			$	31.78			$	32.57			$	33.26			$	33.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.27				0.31				0.24				(0.21	)			(0.26	)			0.25				0.33				0.05				(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			(0.83	)			0.11	(b)			0.23				1.87				(0.29	)			(0.77	)			0.13	(b)			0.44				1.85				0.24
Total from investment operations			(0.56	)			0.42				0.47				1.66				(0.55	)			(0.52	)			0.46				0.49				1.69				0.19
Less distributions to shareholders:
From net investment income			(0.48	)			(0.12	)			—				(1.01	)			—				(0.52	)			(0.13	)			—				(1.16	)			—
From net realized gains			—				—				(1.28	)			(1.22	)			—				—				—				(1.28	)			(1.22	)			—
Total distributions			(0.48	)			(0.12	)			(1.28	)			(2.23	)			—				(0.52	)			(0.13	)			(1.28	)			(2.38	)			—
Net asset value, end of period		$	31.13			$	32.17			$	31.87			$	32.68			$	33.25			$	31.07			$	32.11			$	31.78			$	32.57			$	33.26
Total Return(c)			(1.74	)%			1.32	%			1.44	%			5.12	%			(1.63	)%			(1.65	)%			1.47	%			1.50	%			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	18,527			$	45,409			$	26,630			$	6,117			$	24,020			$	831,870			$	1,161,238			$	1,843,748			$	1,446,445			$	1,297,025
Net expenses to average daily net assets(d)			1.01	%			1.00	%			1.00	%			1.00	%			0.85	%			0.91	%			0.91	%			0.91	%			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets(a)			0.85	%			0.97	%			0.75	%			(0.61	)%			(0.79	)%			0.79	%			1.04	%			0.16	%			(0.47	) %			(0.59	)%*
Portfolio turnover rate			46	%			49	%(e)			106	%(e)			15	%(e)			29	%			46	%			49	%(e)			106	%(e)			15	%(e)			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	%			0.04	%			0.04	%			0.03	%			0.04	%			0.13	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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 years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 75%, 51% and 47%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

146 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND

	Class VI Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	19.04			$	25.27			$	20.39			$	18.65			$	19.81
Income (loss) from investment operations:
Net investment income (loss)†			(0.09	)			(0.04	)			(0.03	)			0.21				0.16
Net realized and unrealized gain (loss)			0.09				1.28				6.57				2.23				(0.85	)
Total from investment operations			—				1.24				6.54				2.44				(0.69	)
Less distributions to shareholders:
From net investment income			—				—				(0.02	)			(0.32	)			(0.21	)
From net realized gains			(2.64	)			(7.47	)			(1.64	)			(0.38	)			(0.26	)
Total distributions			(2.64	)			(7.47	)			(1.66	)			(0.70	)			(0.47	)
Net asset value, end of period		$	16.40			$	19.04			$	25.27			$	20.39			$	18.65
Total Return(a)			(0.75	)%			4.77	%			32.60	%			13.21	%			(3.64	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	286,053			$	423,375			$	1,036,245			$	992,819			$	1,138,735
Net expenses to average daily net assets			1.22	%			1.20	%			1.21	%			1.23	%			1.29	%
Net investment income (loss) to average daily net assets			(0.48	)%			(0.20	)%			(0.12	)%			1.05	%			0.80	%
Portfolio turnover rate			43	%			30	%			10	%			87	%			69	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.13			$	0.04			$	0.03			$	0.07

^(a)  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.

See accompanying notes to the financial statements. 147

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2020				2019				2018				2017				2016
Net asset value, beginning of period		$	19.48			$	22.08			$	19.76			$	17.43			$	21.89
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.67				0.62				0.58				0.51				0.75
Net realized and unrealized gain (loss)			(0.11	)			(1.45	)			2.39				2.36				(3.47	)
Total from investment operations			0.56				(0.83	)			2.97				2.87				(2.72	)
Less distributions to shareholders:
From net investment income			(0.77	)			(0.67	)			(0.63	)			(0.53	)			(0.80	)
From net realized gains			(0.29	)			(1.10	)			(0.02	)			(0.01	)			(0.94	)
Total distributions			(1.06	)			(1.77	)			(0.65	)			(0.54	)			(1.74	)
Net asset value, end of period		$	18.98			$	19.48			$	22.08			$	19.76			$	17.43
Total Return(b)			2.57	%			(3.45	)%			15.10	%			16.60	%			(13.00	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	773,438			$	915,148			$	1,302,441			$	2,016,999			$	1,967,916
Net operating expenses to average daily net assets(c)			0.01	%			0.01	%			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)
Net investment income (loss) to average daily net assets(a)			3.35	%			3.01	%			2.73	%			2.69	%			3.80	%
Portfolio turnover rate			36	%(f)			35	%(f)			20	%(f)			28	%(f)			65	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.03	%			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)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the 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)  Rounds to less than 0.01%.

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result ofentering 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 years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 41%, 38%, 25% and 39%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

148 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 29, 2020

1. Organization

Each of 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 GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., (each a “wholly-owned subsidiary”) 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
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

Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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 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.

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 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.

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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.

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 year ended February 29, 2020, 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.

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; 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; 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.

151

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 29, 2020:

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Canada	$	3,189,178		$	—		$	—	$	3,189,178
France		—			2,985,656			—		2,985,656
Italy		—			2,092,145			—		2,092,145
Japan		—			3,290,166			—		3,290,166
Netherlands		4,575,571			—			—		4,575,571
United States		50,421,565			—			—		50,421,565
TOTAL COMMON STOCKS		58,186,314			8,367,967			—		66,554,281
Rights/Warrants
United States		130,650			—			—		130,650
TOTAL RIGHTS/WARRANTS		130,650			—			—		130,650
Debt Obligations
United States		60,282,688			—			—		60,282,688
TOTAL DEBT OBLIGATIONS		60,282,688			—			—		60,282,688
Mutual Funds
United States		29,261,066			—			—		29,261,066
TOTAL MUTUAL FUNDS		29,261,066			—			—		29,261,066
Investment Funds
United States		8,877,300			—			2,667,600		11,544,900
TOTAL INVESTMENT FUNDS		8,877,300			—			2,667,600		11,544,900
Short-Term Investments		1,804,235			81,199,536			—		83,003,771
Purchased Options		1,090,593			45,640			—		1,136,233
Total Investments		159,632,846			89,613,143			2,667,600		251,913,589
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,844,392			—		2,844,392
Futures Contracts
Equity Risk		3,063,346			931,084			—		3,994,430
Swap Contracts
Equity Risk		—			923,520			—		923,520
Interest Rate Risk		—			8,840,540			—		8,840,540
Physical Commodity Contract Risk		—			1,205,128			—		1,205,128
Total	$	162,696,192		$	104,357,807		$	2,667,600	$	269,721,599
Liability Valuation Inputs
Common Stocks
France	$	—		$	(4,246,580	)	$	—	$	(4,246,580	)
Ireland		—			(3,367,117	)		—		(3,367,117	)
United States		(15,446,002	)		—			—		(15,446,002	)
TOTAL COMMON STOCKS		(15,446,002	)		(7,613,697	)		—		(23,059,699	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(3,774,231	)		—		(3,774,231	)
Futures Contracts
Equity Risk		(236,735	)		(371,097	)		—		(607,832	)

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Written Options
Equity Risk	$	(6,421,146	)	$	—		$	—		$	(6,421,146	)
Swap Contracts
Interest Rate Risk		—			(7,811,180	)		—			(7,811,180	)
Total	$	(22,103,883	)	$	(19,570,205	)	$	—		$	(41,674,088	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	8,796,460,088		$	—		$	—		$	8,796,460,088
Short-Term Investments		5,154,479			—			—			5,154,479
Total Investments		8,801,614,567			—			—			8,801,614,567
Total	$	8,801,614,567		$	—		$	—		$	8,801,614,567
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	381,530		$	—		$	—		$	381,530
Australia		—			18,926,781			—			18,926,781
Austria		—			283,244			—			283,244
Belgium		—			5,860,619			—			5,860,619
Brazil		1,289,860			37,003,488			—			38,293,348
Canada		32,126,815			—			—			32,126,815
Chile		2,429,500			1,539,639			—			3,969,139
China		7,885,174			227,932,775			—			235,817,949
Denmark		—			514,585			—			514,585
Finland		—			370,229			—			370,229
France		6,766,410			51,490,154			—			58,256,564
Germany		—			29,610,533			—			29,610,533
Greece		—			25,860			0	§		25,860
Hong Kong		—			12,265,016			—			12,265,016
Hungary		—			1,082,789			—			1,082,789
India		2,983,410			25,117,841			—			28,101,251
Indonesia		—			1,131,673			—			1,131,673
Ireland		2,259,796			2,822,982			—			5,082,778
Israel		—			682,852			—			682,852
Italy		—			37,457,362			—			37,457,362
Japan		—			125,085,812			—			125,085,812
Malaysia		—			3,175,511			—			3,175,511
Mexico		14,724,594			—			—			14,724,594
Netherlands		—			41,825,921			—			41,825,921
New Zealand		—			893,553			—			893,553
Norway		—			13,027,606			—			13,027,606
Pakistan		—			687,024			—			687,024
Philippines		—			781,977			—			781,977
Poland		—			11,744,585			—			11,744,585
Portugal		—			19,272,043			—			19,272,043
Qatar		—			712,049			—			712,049
Russia		228,464			56,682,580			—			56,911,044
Singapore		—			29,994,991			—			29,994,991
South Africa		—			25,524,146			—			25,524,146
South Korea		3,477,300			52,702,515			—			56,179,815

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—		$	38,854,168		$	—	$	38,854,168
Sweden		—			23,401,245			—		23,401,245
Switzerland		—			24,643,905			—		24,643,905
Taiwan		1,351,384			81,594,875			—		82,946,259
Thailand		—			4,857,685			—		4,857,685
Turkey		—			16,847,115			—		16,847,115
United Arab Emirates		—			2,335,743			—		2,335,743
United Kingdom		8,916,719			108,084,514			—		117,001,233
United States		141,590,519			—			—		141,590,519
Vietnam		—			201,257			—		201,257
TOTAL COMMON STOCKS		226,411,475			1,137,049,242			—		1,363,460,717
Preferred Stocks
Brazil		—			7,997,502			—		7,997,502
Colombia		74,041			—			—		74,041
Germany		—			1,332,862			—		1,332,862
Russia		—			5,049,170			—		5,049,170
South Korea		—			16,424,235			—		16,424,235
Taiwan		—			31,665			—		31,665
TOTAL PREFERRED STOCKS		74,041			30,835,434			—		30,909,475
Rights/Warrants
South Korea		2,167			—			—		2,167
Spain		5,273			—			—		5,273
TOTAL RIGHTS/WARRANTS		7,440			—			—		7,440
Investment Funds
United States		26,192,896			—			—		26,192,896
TOTAL INVESTMENT FUNDS		26,192,896			—			—		26,192,896
Debt Obligations
United States		47,842,566			182,879,005			—		230,721,571
TOTAL DEBT OBLIGATIONS		47,842,566			182,879,005			—		230,721,571
Mutual Funds
United States		744,075,412			—			—		744,075,412
TOTAL MUTUAL FUNDS		744,075,412			—			—		744,075,412
Short-Term Investments		5,209,764			223,362,067			—		228,571,831
Total Investments		1,049,813,594			1,574,125,748			—		2,623,939,342
Derivatives^
Futures Contracts
Equity Risk		8,769,546			—			—		8,769,546
Swap Contracts
Equity Risk		—			4,827,122			—		4,827,122
Total	$	1,058,583,140		$	1,578,952,870		$	—	$	2,637,536,010
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(2,050,839	)	$	—	$	(2,050,839	)
Brazil		(2,809,976	)		—			—		(2,809,976	)
Canada		(974,903	)		—			—		(974,903	)
Denmark		—			(3,140,350	)		—		(3,140,350	)
Finland		—			(821,568	)		—		(821,568	)

154

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
France	$	—		$	(1,857,967	)	$	—	$	(1,857,967	)
Germany		(746,720	)		(4,181,019	)		—		(4,927,739	)
Israel		(1,353,703	)		—			—		(1,353,703	)
Italy		—			(1,184,829	)		—		(1,184,829	)
Japan		—			(6,911,699	)		—		(6,911,699	)
Luxembourg		(24,318	)		—			—		(24,318	)
Netherlands		(1,247,883	)		(456,091	)		—		(1,703,974	)
Norway		—			(31,594	)		—		(31,594	)
Singapore		—			(76,190	)		—		(76,190	)
Spain		—			(1,715,223	)		—		(1,715,223	)
Sweden		(411,360	)		(239,016	)		—		(650,376	)
Switzerland		—			(79,918	)		—		(79,918	)
United Kingdom		(72,605	)		(1,869,024	)		—		(1,941,629	)
TOTAL COMMON STOCKS		(7,641,468	)		(24,615,327	)		—		(32,256,795	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,332,706	)		—		(1,332,706	)
Written Options
Equity Risk		(1,653,570	)		—			—		(1,653,570	)
Total	$	(9,295,038	)	$	(25,948,033	)	$	—	$	(35,243,071	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,557,285,394		$	—		$	—	$	1,557,285,394
Debt Obligations
Asset-Backed Securities		—			36,605			—		36,605
TOTAL DEBT OBLIGATIONS		—			36,605			—		36,605
Short-Term Investments		47,364			—			—		47,364
Total Investments		1,557,332,758			36,605			—		1,557,369,363
Total	$	1,557,332,758		$	36,605		$	—	$	1,557,369,363
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	73,346,618		$	—		$	—	$	73,346,618
Short-Term Investments		67,524			—			—		67,524
Total Investments		73,414,142			—			—		73,414,142
Total	$	73,414,142		$	—		$	—	$	73,414,142
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,455,635,364		$	—		$	—	$	1,455,635,364
Short-Term Investments		485,493			—			—		485,493
Total Investments		1,456,120,857			—			—		1,456,120,857
Total	$	1,456,120,857		$	—		$	—	$	1,456,120,857

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,476,115	$	—	$	—	$	2,476,115
Australia		—		57,688,034		—		57,688,034
Austria		—		963,218		—		963,218
Belgium		—		14,227,965		—		14,227,965
Brazil		4,414,878		102,665,463		—		107,080,341
Canada		113,932,849		—		—		113,932,849
Chile		6,855,060		3,068,235		—		9,923,295
China		58,451,834		890,658,882		—		949,110,716
Colombia		11,045		—		—		11,045
Denmark		—		2,513,370		—		2,513,370
Finland		—		1,192,002		—		1,192,002
France		12,190,325		171,875,471		—		184,065,796
Germany		—		78,871,660		—		78,871,660
Hong Kong		—		31,597,739		—		31,597,739
Hungary		—		3,187,548		—		3,187,548
India		5,814,921		88,483,767		—		94,298,688
Indonesia		—		6,446,252		—		6,446,252
Ireland		6,742,120		7,706,303		—		14,448,423
Israel		—		1,223,203		—		1,223,203
Italy		—		119,864,116		—		119,864,116
Japan		—		377,361,967		—		377,361,967
Malaysia		—		5,982,126		—		5,982,126
Mexico		48,289,870		—		—		48,289,870
Netherlands		31,808,283		116,962,452		—		148,770,735
New Zealand		—		1,528,737		—		1,528,737
Norway		—		32,278,543		—		32,278,543
Pakistan		—		7,590,491		—		7,590,491
Philippines		—		5,309,901		—		5,309,901
Poland		—		71,879,542		—		71,879,542
Portugal		—		54,529,849		—		54,529,849
Qatar		—		10,552,437		—		10,552,437
Russia		1,817,109		269,241,515		—		271,058,624
Singapore		—		88,203,710		—		88,203,710
South Africa		—		85,517,631		—		85,517,631
South Korea		11,593,207		170,113,436		—		181,706,643
Spain		—		105,229,432		—		105,229,432
Sweden		—		63,508,544		—		63,508,544
Switzerland		—		68,647,557		—		68,647,557
Taiwan		15,583,988		361,569,424		—		377,153,412
Thailand		—		17,349,420		—		17,349,420
Turkey		—		55,607,835		—		55,607,835
United Arab Emirates		—		9,225,064		—		9,225,064
United Kingdom		26,162,251		302,251,331		—		328,413,582
United States		773,703,944		—		9,521,813		783,225,757
Vietnam		—		1,643,870		—		1,643,870
TOTAL COMMON STOCKS		1,119,847,799		3,864,318,042		9,521,813		4,993,687,654
Preferred Stocks
Brazil		—		20,149,325		—		20,149,325
Colombia		437,438		—		—		437,438
Germany		—		4,700,563		—		4,700,563
Russia		—		23,368,994		—		23,368,994

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
South Korea	$	—		$	51,065,906		$	—	$	51,065,906
Taiwan		—			440,664			—		440,664
TOTAL PREFERRED STOCKS		437,438			99,725,452			—		100,162,890
Rights/Warrants
Spain		47,212			—			—		47,212
United States		1,095,450			—			430,926		1,526,376
TOTAL RIGHTS/WARRANTS		1,142,662			—			430,926		1,573,588
Investment Funds
United States		193,377,520			—			29,566,080		222,943,600
TOTAL INVESTMENT FUNDS		193,377,520			—			29,566,080		222,943,600
Debt Obligations
Brazil		—			4,261,538			—		4,261,538
Israel		—			2,223,071			—		2,223,071
Italy		—			4,441,939			—		4,441,939
Jamaica		—			3,646,071			—		3,646,071
Japan		—			32,459,898			—		32,459,898
Luxembourg		—			1,049,450			7,763,747		8,813,197
Netherlands		—			6,611,079			—		6,611,079
Puerto Rico		—			14,507,698			—		14,507,698
Saint Lucia		—			4,328,250			1,925,000		6,253,250
United Kingdom		—			2,449,804			—		2,449,804
United States		531,205,103			472,834,159			67,533,991		1,071,573,253
TOTAL DEBT OBLIGATIONS		531,205,103			548,812,957			77,222,738		1,157,240,798
Mutual Funds
United States		6,103,201			—			—		6,103,201
TOTAL MUTUAL FUNDS		6,103,201			—			—		6,103,201
Short-Term Investments		66,662,887			682,411,242			—		749,074,129
Purchased Options		8,465,770			236,371			—		8,702,141
Total Investments		1,927,242,380			5,195,504,064			116,741,557		7,239,488,001
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			12,625,459			—		12,625,459
Futures Contracts
Equity Risk		27,829,967			—			—		27,829,967
Swap Contracts
Credit Risk		—			98,220			—		98,220
Equity Risk		—			28,403,894			—		28,403,894
Interest Rate Risk		—			47,627,028			—		47,627,028
Total	$	1,955,072,347		$	5,284,258,665		$	116,741,557	$	7,356,072,569
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(5,582,255	)	$	—	$	(5,582,255	)
Brazil		(7,215,100	)		—			—		(7,215,100	)
Canada		(5,914,156	)		—			—		(5,914,156	)
Denmark		—			(9,993,435	)		—		(9,993,435	)
Finland		—			(2,816,798	)		—		(2,816,798	)
France		—			(34,022,589	)		—		(34,022,589	)

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	(1,550,880	)	$	(11,340,798	)	$	—	$	(12,891,678	)
Ireland		—			(23,712,260	)		—		(23,712,260	)
Israel		(2,439,346	)		—			—		(2,439,346	)
Italy		—			(4,288,472	)		—		(4,288,472	)
Japan		—			(15,765,550	)		—		(15,765,550	)
Luxembourg		(99,202	)		—			—		(99,202	)
Netherlands		(3,276,754	)		(1,316,262	)		—		(4,593,016	)
Norway		—			(23,262	)		—		(23,262	)
Singapore		—			(136,700	)		—		(136,700	)
Spain		—			(3,258,539	)		—		(3,258,539	)
Sweden		(507,344	)		—			—		(507,344	)
Switzerland		—			(157,422	)		—		(157,422	)
United Kingdom		(588,659	)		(8,328,877	)		—		(8,917,536	)
United States		(88,946,516	)		—			—		(88,946,516	)
TOTAL COMMON STOCKS		(110,537,957	)		(120,743,219	)		—		(231,281,176	)
Debt Obligations
United States		—			(16,029,294	)		—		(16,029,294	)
TOTAL DEBT OBLIGATIONS		—			(16,029,294	)		—		(16,029,294	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(18,815,887	)		—		(18,815,887	)
Futures Contracts
Equity Risk		(2,018,955	)		—			—		(2,018,955	)
Written Options
Equity Risk		(25,299,032	)		—			—		(25,299,032	)
Swap Contracts
Credit Risk		—			(54,748	)		—		(54,748	)
Interest Rate Risk		—			(43,431,219	)		—		(43,431,219	)
Total	$	(137,855,944	)	$	(199,074,367	)	$	—	$	(336,930,311	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	297,377,707		$	—		$	—	$	297,377,707
Short-Term Investments		120,995			—			—		120,995
Total Investments		297,498,702			—			—		297,498,702
Total	$	297,498,702		$	—		$	—	$	297,498,702
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	856,567,489		$	—		$	—	$	856,567,489
Short-Term Investments		294,516			—			—		294,516
Total Investments		856,862,005			—			—		856,862,005
Total	$	856,862,005		$	—		$	—	$	856,862,005

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	538,574,195		$	—		$	—	$	538,574,195
U.S. Government Agency		100,904,194			—			—		100,904,194
TOTAL DEBT OBLIGATIONS		639,478,389			—			—		639,478,389
Short-Term Investments		18,257,342			205,724,179			—		223,981,521
Total Investments		657,735,731			205,724,179			—		863,459,910
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			6,860,363			—		6,860,363
Futures Contracts
Equity Risk		7,201,057			10,534,012			—		17,735,069
Physical Commodity Contract Risk		4,764,954			—			—		4,764,954
Total	$	669,701,742		$	223,118,554		$	—	$	892,820,296
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(9,765,278	)	$	—	$	(9,765,278	)
Futures Contracts
Equity Risk		(2,957,585	)		(3,991,945	)		—		(6,949,530	)
Physical Commodity Contract Risk		—			(1,824,189	)		—		(1,824,189	)
Total	$	(2,957,585	)	$	(15,581,412	)	$	—	$	(18,538,997	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Israel	$	12,330,760		$	—		$	—	$	12,330,760
United Kingdom		—			17,990,788			—		17,990,788
United States		218,328,175			—			—		218,328,175
TOTAL COMMON STOCKS		230,658,935			17,990,788			—		248,649,723
Debt Obligations
United States		4,999,420			—			—		4,999,420
TOTAL DEBT OBLIGATIONS		4,999,420			—			—		4,999,420
Short-Term Investments		21,759,210			378			—		21,759,588
Total Investments		257,417,565			17,991,166			—		275,408,731
Total	$	257,417,565		$	17,991,166		$	—	$	275,408,731
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,034,692		$	—	$	1,034,692
Belgium		—			338,567			—		338,567
Brazil		—			985,470			—		985,470
Canada		1,223,117			—			—		1,223,117
China		—			3,708,683			—		3,708,683
Finland		—			53,217			—		53,217
France		374,720			2,459,661			—		2,834,381
Germany		—			1,847,451			—		1,847,451

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1		Level 2		Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hong Kong	$	—	$	948,581	$	—		$	948,581
India		12,048		74,550		—			86,598
Ireland		81,312		597,280		—			678,592
Italy		—		3,465,976		—			3,465,976
Japan		—		10,118,475		—			10,118,475
Malta		—		—		0	§		0	§
Mexico		19,266		—		—			19,266
Netherlands		—		3,973,722		—			3,973,722
New Zealand		—		4,760		—			4,760
Norway		—		1,103,226		—			1,103,226
Philippines		—		12,230		—			12,230
Poland		—		66,799		—			66,799
Portugal		—		1,620,649		—			1,620,649
Russia		—		186,449		—			186,449
Singapore		—		2,014,213		—			2,014,213
South Africa		—		521,024		—			521,024
South Korea		503,302		1,615,319		—			2,118,621
Spain		—		3,773,720		—			3,773,720
Sweden		—		2,224,216		—			2,224,216
Switzerland		—		341,193		—			341,193
Taiwan		—		1,119,740		—			1,119,740
Turkey		—		172,155		—			172,155
United Kingdom		533,320		9,940,852		—			10,474,172
United States		35,027,434		—		—			35,027,434
TOTAL COMMON STOCKS		37,774,519		54,322,870		0	§		92,097,389
Preferred Stocks
Brazil		—		49,948		—			49,948
Germany		—		24,156		—			24,156
South Korea		—		64,108		—			64,108
TOTAL PREFERRED STOCKS		—		138,212		—			138,212
Rights/Warrants
Spain		295		—		—			295
TOTAL RIGHTS/WARRANTS		295		—		—			295
Debt Obligations
United States		—		43,314,703		—			43,314,703
TOTAL DEBT OBLIGATIONS		—		43,314,703		—			43,314,703
Mutual Funds
United States		641,595,871		—		—			641,595,871
TOTAL MUTUAL FUNDS		641,595,871		—		—			641,595,871
Short-Term Investments		1,113,181		—		—			1,113,181
Total Investments		680,483,866		97,775,785		0	§		778,259,651
Derivatives^
Swap Contracts
Equity Risk		—		187,782		—			187,782
Total	$	680,483,866	$	97,963,567	$	0	§	$	778,447,433

160

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(109,880	)	$	—	$	(109,880	)
Brazil		(87,836	)		—			—		(87,836	)
Canada		(235,159	)		—			—		(235,159	)
Denmark		—			(1,075,176	)		—		(1,075,176	)
Germany		—			(669,069	)		—		(669,069	)
Japan		—			(277,972	)		—		(277,972	)
Luxembourg		(3,474	)		—			—		(3,474	)
Netherlands		(50,935	)		(87,782	)		—		(138,717	)
Norway		—			(3,573	)		—		(3,573	)
Portugal		—			(27,507	)		—		(27,507	)
Spain		—			(1,311	)		—		(1,311	)
Switzerland		—			(289,798	)		—		(289,798	)
United Kingdom		(100,145	)		(165,647	)		—		(265,792	)
United States		(8,808,308	)		—			—		(8,808,308	)
TOTAL COMMON STOCKS		(9,285,857	)		(2,707,715	)		—		(11,993,572	)
Derivatives^
Written Options
Equity Risk		(348,120	)		—			—		(348,120	)
Total	$	(9,633,977	)	$	(2,707,715	)	$	—	$	(12,341,692	)

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 February 29, 2020.

The underlying funds held at year 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), Implementation Fund’s Level 3 holdings also include two common stocks which are priced at the average of broker bids. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 29, 2020.

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February 29, 2020

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 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 February 29, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 29, 2020
Consolidated Alternative Allocation Fund
Common Stocks
United States	$	—	$	2,281,370	$	—		$	—		$	—		$	386,230		$	—		$	—	$	2,667,600	$	386,230
Total Investments	$	—	$	2,281,370	$	—		$	—		$	—		$	386,230		$	—		$	—	$	2,667,600	$	386,230
Consolidated Implementation Fund
Common Stocks
Sweden	$	133,660	$	—	$	(133,041	)	$	—		$	22,222		$	(22,841	)	$	—		$	—	$	—	$	—
United States		18,574,603		5,839,456		(10,529,298	)		—			1,987,416			(6,350,364	)		—			—		9,521,813		(5,555,395	)
Preferred Stocks
South Korea		9,731		—		(9,910	)		—			3,003			(2,824	)		—			—		—		—
Rights/Warrants
United States		130,841		300,085		—			—			—			—			—			—		430,926		—
Investment Funds
United States		—		—		—			—			—			—			29,566,080	‡		—		29,566,080		—
Debt Obligations
Bank Loans
Luxembourg		6,881,968		6,326,631		(5,118,048	)		243,669			(622,385	)		51,912			—			—		7,763,747		51,912
Saint Lucia		4,785,000		2,025,716		(4,720,218	)		26,871			(478,524	)		286,155			—			—		1,925,000		286,155
Spain		1,830,655		39,485		(1,834,244	)		(28,711	)		—			(7,185	)							—		—
United States		84,701,174		63,344,022		(71,604,884	)		944,271			(4,300,025	)		(5,550,567	)		—			—		67,533,991		(5,863,985	)
Corporate Debt
Spain		780,468		16,670		(828,614	)		(512	)		46,599			(14,611	)		—			—		—		—
Total Investments	$	117,828,100	$	77,892,065	$	(94,778,257	)#	$	1,185,588		$	(3,341,694	)	$	(11,610,325	)	$	29,566,080		$	—	$	116,741,557	$	(11,081,313	)

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

# Includes $ $17,345,479 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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February 29, 2020

Loan assignments and participations

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

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 year, 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 February 29, 2020, 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 year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty		Gross Value ($)		Weighted Average Maturity (days)
Consolidated Alternative Allocation Fund		Daiwa Capital Markets America, Inc.		29,028,904		3.0
Benchmark-Free Fund		Nomura Securities International, Inc.		144,999,384		3.0
Consolidated Implementation Fund		Daiwa Capital Markets America, Inc.		215,143,294		3.0

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

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February 29, 2020

transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of February 29, 2020, the Fund listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Consolidated Implementation Fund		1,586,237		1,746,769

As of February 29, 2020, Implementation Fund had investments in reverse repurchase agreements with Barclays Bank PLC with a gross value of $1,586,237. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 29, 2020, the reverse repurchase agreements held by Implementation Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the year, 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:

			February 29, 2020
			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	$	—	$	—	$	—	$	—	$	1,586,237	$	1,586,237
Total borrowings	$	—	$	—	$	—	$	—	$	1,586,237	$	1,586,237

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 year, 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 or securities 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 and/or 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.

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February 29, 2020

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 February 29, 2020, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Benchmark-Free Fund		11,158,718		1,854,829		10,333,985		12,188,814
Consolidated Implementation Fund		24,069,977		6,131,352		20,244,475		26,375,827

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

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 February 29, 2020:

Fund Name	Value of securities on loan ($)
Consolidated Alternative Allocation Fund		13,863,518
Benchmark-Free Fund		17,771,800
Consolidated Implementation Fund		81,415,090
Strategic Opportunities Allocation Fund		10,197,081

Information regarding the value of the securities loaned and the value of cash collateral at year 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 year, 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

165

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February 29, 2020

payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

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

Taxes and distributions

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 year ended February 29, 2020, 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.

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February 29, 2020

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.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

Differences related to:

Consolidated Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Consolidated Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

Consolidated SGM Major Markets Fund

Consolidated Special Opportunities Fund

Strategic Opportunities Allocation Fund

Capital loss carryforwards

X

X

X

X

X

X

X

X

Constructive sale gains

X

Contribution of assets to wholly-owned subsidiary

X

Controlled foreign corporation transactions

X

X

Derivative contract transactions

X

X

X

X

Foreign currency transactions

X

X

X

X

Gain/losses on underlying fund shares

X

X

Late year ordinary losses

X

X

X

Losses on wash sale transactions

X

X

X

X

X

X

X

X

X

X

X

Mutual fund distributions received

X

X

X

X

X

X

Passive foreign investment company transactions

X

X

Post-October capital losses

X

X

X

X

X

X

Net operating losses

X

Straddle loss deferrals

X

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February 29, 2020

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

	Tax year ended February 29, 2020						Tax year ended February 28, 2019
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Consolidated Alternative Allocation Fund		5,343,115		—		5,343,115		—		—		—
Benchmark-Free Allocation Fund		321,864,645		2,927,259		324,791,904		393,567,606		8,785,485		402,353,091
Benchmark-Free Fund		110,241,387		—		110,241,387		122,727,936		—		122,727,936
Global Asset Allocation Fund		67,878,968		—		67,878,968		66,965,936		—		66,965,936
Global Developed Equity Allocation Fund		4,977,127		5,176,611		10,153,738		11,897,305		—		11,897,305
Global Equity Allocation Fund		55,610,130		—		55,610,130		50,339,578		—		50,339,578
Consolidated Implementation Fund		310,939,020		—		310,939,020		409,637,549		—		409,637,549
International Developed Equity Allocation Fund		15,687,875		—		15,687,875		20,108,519		—		20,108,519
International Equity Allocation Fund		37,157,017		—		37,157,017		30,650,233		—		30,650,233
Consolidated SGM Major Markets Fund		16,339,715		—		16,339,715		5,400,553		—		5,400,553
Consolidated Special Opportunities Fund		315,324		44,011,860		44,327,184		15,205,483		214,572,088		229,777,571
Strategic Opportunities Allocation Fund		29,003,367		13,376,095		42,379,462		34,066,356		57,808,580		91,874,936

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 29, 2020, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		487,978		—		(506,822)		—		(635,957)
Benchmark-Free Allocation Fund		—		48,160,322		(4,351,061)		—		—
Benchmark-Free Fund		5,551,097		—		—		(217,024,560)		—
Global Asset Allocation Fund		3,911,254		—		—		(165,823,457)		—
Global Developed Equity Allocation Fund		137,302		—		(643)		—		—
Global Equity Allocation Fund		1,519,195		—		(8,854)		(96,825,883)		—
Consolidated Implementation Fund		11,493,425		—		—		(530,896,154)		—
International Developed Equity Allocation Fund		148,310		—		(1,222)		(118,300,078)		(1,244,638)
International Equity Allocation Fund		1,657,316		—		(5,570)		(64,707,668)		—
Consolidated SGM Major Markets Fund		376,777		—		—		(41,708,016)		(21,776,446)
Consolidated Special Opportunities Fund		5,765,941		24,251,634		(522,202)		—		—
Strategic Opportunities Allocation Fund		532,093		6,835,219		—		—		(286,733)

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February 29, 2020

As of February 29, 2020, 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 29, 2020, 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 ($)		Long-Term ($)
Consolidated Alternative Allocation Fund		—		—
Benchmark-Free Allocation Fund		—		—
Benchmark-Free Fund		(81,187,387)		(135,837,173)
Global Asset Allocation Fund		—		(165,823,457)
Global Developed Equity Allocation Fund		—		—
Global Equity Allocation Fund		—		(96,825,883)
Consolidated Implementation Fund		(530,896,154)		—
International Developed Equity Allocation Fund		—		(118,300,078)
International Equity Allocation Fund		—		(64,707,668)
Consolidated SGM Major Markets Fund		(15,345,396)		(26,362,620)
Consolidated Special Opportunities Fund		—		—
Strategic Opportunities Allocation Fund		—		—

As of February 29, 2020, 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) ($)
Consolidated Alternative Allocation Fund		238,263,049		4,639,902		(14,049,061)		(9,409,159)		723,728
Benchmark-Free Allocation Fund		9,211,926,221		13,503,472		(423,815,126)		(410,311,654)		—
Benchmark-Free Fund		2,685,949,971		119,988,217		(214,255,641)		(94,267,424)		2,096,382
Global Asset Allocation Fund		1,672,361,661		18,683,068		(133,675,366)		(114,992,298)		—
Global Developed Equity Allocation Fund		78,643,078		2,358,051		(7,586,987)		(5,228,936)		—
Global Equity Allocation Fund		1,637,807,749		8,045,055		(189,731,947)		(181,686,892)		—
Consolidated Implementation Fund		7,415,002,820		327,675,900		(750,501,189)		(422,825,289)		10,714,056
International Developed Equity Allocation Fund		369,674,103		—		(72,175,401)		(72,175,401)		—
International Equity Allocation Fund		987,062,501		6,311,789		(136,512,285)		(130,200,496)		—
Consolidated SGM Major Markets Fund		865,986,427		4,192,614		(6,719,131)		(2,526,517)		7,888,625
Consolidated Special Opportunities Fund		247,994,366		69,289,108		(41,874,743)		27,414,365		—
Strategic Opportunities Allocation Fund		792,921,788		17,102,061		(43,757,770)		(26,655,709)		—

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

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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/deflation 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 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. 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).

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GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

As of February 29, 2020, the premium on cash purchases and the fee on cash redemptions were as follows:

	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 and June 30, 2014 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.18 % and 0.13%, 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 and June 30, 2014 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.18% and 0.13%, 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.

^(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.

Recently-issued accounting guidance

In August 2018, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2018-13, “Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). The amendments in ASU 2018-13 apply to all entities that are required, under existing U.S. GAAP, to make disclosures about recurring or nonrecurring fair value measurements. The amendments in ASU 2018-13 modify, remove and add certain disclosure requirements from FASB Accounting Standards Codification 820, Fair Value Measurement. The amendments in ASU 2018-13 are effective for all public entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 with early adoption permitted. The Funds have early adopted the modifications and removals under this amendment and GMO is currently evaluating the impact, if any, of the new disclosure requirements on the Funds’ financial statements.

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In March 2017, the FASB issued a new Accounting Standards Update No. 2017-08, “Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount. The Funds adopted ASU 2017-08 effective March 1, 2019. The adoption of ASU 2017-08 did not materially impact the Funds’ financial statements.

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.

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

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Futures Contracts Risk

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income

X

X

X

X

X

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Small Company Risk

X

X

X

X

X

X

X

X

X

X

X

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February 29, 2020

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. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

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

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. 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.

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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 credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

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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 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

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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 clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

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In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared 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 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

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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 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

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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.

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.

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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.

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

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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 losses (including capital loss carryforwards) to offset 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.

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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 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 the recent past) 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. Climate change regulation (such as decarbonization legislation or other mandatory controls to reduce emissions of greenhouse gases) could significantly affect many of the companies in which the Funds invest by, among other things, increasing those companies’ operating costs and capital expenditures. 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 would be significantly disrupted. On January 31, 2020 the United Kingdom formally withdrew from the European Union (commonly known as “Brexit”), and an 11-month transition period commenced during which most European Union law will continue to apply in the United Kingdom while it negotiates its future relationship with the European Union. While the full impact of Brexit is unknown, Brexit has already resulted in volatility in European and global markets. Potential negative long-term effects could include, among others, greater market volatility and illiquidity, disruptions to world securities

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markets, currency fluctuations, deterioration in economic activity, a decrease in business confidence, and an increased likelihood of a recession in the United Kingdom. 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, which may include companies or assets held or considered for prospective investment by GMO.

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.

An outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways and may continue to do so in the future. Health crises caused by the outbreak of COVID-19 may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to less established health care systems. The COVID-19 pandemic and its effects may be short term or may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair the Funds’ ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments, and negatively impact the Funds’ performance and your investment in a 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

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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.

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.

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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.

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.

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

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

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

• 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.

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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.

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 year ended February 29, 2020, only 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 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).

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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 Consolidated Special Opportunities Fund

The Fund may use derivatives to gain long or short investment exposure to securities or other assets. For example, the 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 Fund 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, the 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.

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

The 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 or short 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). 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 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 adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that

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is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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

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

Use of Derivatives by 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.

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

For Funds that held derivatives during the year ended February 29, 2020, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	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
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
Options (Purchased)
Adjust exposure to foreign currencies		X
Substitute for direct equity investment		X				X
Options (Written)
Substitute for direct equity investment		X		X		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 year, 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

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

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

When an option contract is closed, 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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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 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

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

*  *  *

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

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

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2020 and the Statements of Operations for the year ended February 29, 2020^:

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

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—	$	1,090,593		$	45,640		$	—		$	—	$	1,136,233
Unrealized Appreciation on Forward Currency Contracts		—		—		—			2,844,392			—			—		2,844,392
Unrealized Appreciation on Futures Contracts¤		—		—		3,994,430			—			—			—		3,994,430
Swap Contracts, at value¤		—		1,205,128		923,520			—			8,840,540			—		10,969,188
Total	$	—	$	1,205,128	$	6,008,543		$	2,890,032		$	8,840,540		$	—	$	18,944,243
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(3,774,231	)	$	—		$	—	$	(3,774,231	)
Unrealized Depreciation on Futures Contracts¤		—		—		(607,832	)		—			—			—		(607,832	)
Written Options, at value		—		—		(6,421,146	)		—			—			—		(6,421,146	)
Swap Contracts, at value¤		—		—		—			—			(7,811,180	)		—		(7,811,180	)
Total	$	—	$	—	$	(7,028,978	)	$	(3,774,231	)	$	(7,811,180	)	$	—	$	(18,614,389	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(377,017	)	$	—		$	—		$	—	$	(377,017	)
Futures Contracts		—		—		(2,246,797	)		—			(1,349,741	)		—		(3,596,538	)
Written Options		—		—		1,753,187			—			—			—		1,753,187
Forward Currency Contracts		—		—		—			894,460			—			—		894,460
Swap Contracts		—		—		845,873			—			(17,619	)		—		828,254
Total	$	—	$	—	$	(24,754	)	$	894,460		$	(1,367,360	)	$	—	$	(497,654	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	669,519		$	(4,129	)	$	—		$	—	$	665,390
Forward Currency Contracts		—		—		—			(929,839	)		—			—		(929,839	)
Futures Contracts		—		—		3,386,598			—			—			—		3,386,598
Written Options		—		—		(4,346,937	)		—			—			—		(4,346,937	)
Swap Contracts		—		—		2,146,156			—			1,118,483			—		3,264,639
Total	$	—	$	—	$	1,855,336		$	(933,968	)	$	1,118,483		$	—	$	2,039,851
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	—	$	8,769,546		$	—		$	—		$	—	$	8,769,546
Swap Contracts, at value¤		—		—		4,827,122			—			—			—		4,827,122
Total	$	—	$	—	$	13,596,668		$	—		$	—		$	—	$	13,596,668
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(1,332,706	)	$	—		$	—	$	(1,332,706	)
Written Options, at value		—		—		(1,653,570	)		—			—			—		(1,653,570	)
Total	$	—	$	—	$	(1,653,570	)	$	(1,332,706	)	$	—		$	—	$	(2,986,276	)

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February 29, 2020

	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund (continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—			—	$	—			3,349,200		$	—		$	—	$	3,349,200
Futures Contracts		—			—		(39,821,586	)		—			—			—		(39,821,586	)
Swap Contracts		—			—		(3,364,042	)		—			—			—		(3,364,042	)
Total	$	—		$	—	$	(43,185,628	)	$	3,349,200		$	—		$	—	$	(39,836,428	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	—		$	(2,285,659	)	$	—		$	—	$	(2,285,659	)
Futures Contracts		—			—		25,444,991			—			—			—		25,444,991
Written Options		—			—		27,359			—			—			—		27,359
Swap Contracts		—			—		5,307,844			—			—			—		5,307,844
Total	$	—		$	—	$	30,780,194		$	(2,285,659	)	$	—		$	—	$	28,494,535
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	8,465,770		$	236,371		$	—		$	—	$	8,702,141
Unrealized Appreciation on Forward Currency Contracts		—			—		—			12,625,459			—			—		12,625,459
Unrealized Appreciation on Futures Contracts¤		—			—		27,829,967			—			—			—		27,829,967
Swap Contracts, at value¤		98,220			—		28,403,894			—			47,627,028			—		76,129,142
Total	$	98,220		$	—	$	64,699,631		$	12,861,830		$	47,627,028		$	—	$	125,286,709
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(18,815,887	)	$	—		$	—	$	(18,815,887	)
Unrealized Depreciation on Futures Contracts¤		—			—		(2,018,955	)		—			—			—		(2,018,955	)
Written Options, at value		—			—		(25,299,032	)		—			—			—		(25,299,032	)
Swap Contracts, at value¤		(54,748	)		—		—			—			(43,431,219	)		—		(43,485,967	)
Total	$	(54,748	)	$	—	$	(27,317,987	)	$	(18,815,887	)	$	(43,431,219	)	$	—	$	(89,619,841	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(5,933,463	)	$	—		$	(1,415,989	)	$	—	$	(7,349,452	)
Forward Currency Contracts		—			—		—			17,810,350			—			—		17,810,350
Futures Contracts		—			—		(182,636,760	)		—			—			—		(182,636,760	)
Written Options		—			—		3,315,658			171,669			—			—		3,487,327
Swap Contracts		57,357			—		(7,078,732	)		—			11,120,866			—		4,099,491
Total	$	57,357		$	—	$	(192,333,297	)	$	17,982,019		$	9,704,877		$	—	$	(164,589,044	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	5,969,368		$	518,919		$	781,808		$	—	$	7,270,095
Forward Currency Contracts		—			—		—			(10,182,229	)		—			—		(10,182,229	)
Futures Contracts		—			—		98,453,681			—			—			—		98,453,681
Written Options		—			—		(11,375,965	)		(171,668	)		—			—		(11,547,633	)
Swap Contracts		462,991			—		30,098,766			—			680,330			—		31,242,087
Total	$	462,991		$	—	$	123,145,850		$	(9,834,978	)	$	1,462,138		$	—	$	115,236,001
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	—		$	6,860,363		$	—		$	—	$	6,860,363
Unrealized Appreciation on Futures Contracts¤		—			4,764,954		17,735,069			—			—			—		22,500,023
Total	$	—		$	4,764,954	$	17,735,069		$	6,860,363		$	—		$	—	$	29,360,386

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	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated SGM Major Markets Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(9,765,278	)	$	—		$	—	$	(9,765,278	)
Unrealized Depreciation on Futures Contracts¤		—		(1,824,189	)		(6,949,530	)		—			—			—		(8,773,719	)
Total	$	—	$	(1,824,189	)	$	(6,949,530	)	$	(9,765,278	)	$	—		$	—	$	(18,538,997	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	11,760,199		$	—		$	—	$	11,760,199
Futures Contracts		—		(4,206,425	)		(12,103,252	)		—			(26,358,288	)		—		(42,667,965	)
Total	$	—	$	(4,206,425	)	$	(12,103,252	)	$	11,760,199		$	(26,358,288	)	$	—	$	(30,907,766	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(2,337,624	)	$	—		$	—	$	(2,337,624	)
Futures Contracts		—		891,401			2,369,629			—			(2,030,789	)		—		1,230,241
Total	$	—	$	891,401		$	2,369,629		$	(2,337,624	)	$	(2,030,789	)	$	—	$	(1,107,383	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	187,782		$	—		$	—		$	—	$	187,782
Total	$	—	$	—		$	187,782		$	—		$	—		$	—	$	187,782
Liability Derivatives
Written Options, at value	$	—	$	—		$	(348,120	)	$	—		$	—		$	—	$	(348,120	)
Total	$	—	$	—		$	(348,120	)	$	—		$	—		$	—	$	(348,120	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—		$	(939,968	)	$	—		$	—		$	—	$	(939,968	)
Total	$	—	$	—		$	(939,968	)	$	—		$	—		$	—	$	(939,968	)
Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	—		$	5,760		$	—		$	—		$	—	$	5,760
Swap Contracts		—		—			252,870			—			—			—		252,870
Total	$	—	$	—		$	258,630		$	—		$	—		$	—	$	258,630

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

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

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

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Notes to Financial Statements — (Continued)

February 29, 2020

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 February 29, 2020, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 29, 2020:

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.	$	7,374	$	—		$	7,374		$	—
Barclays Bank PLC		10,700		—			10,700			—
Citibank N.A.		77,676		—			(55,738	)		21,938
Deutsche Bank AG		10,815		—			10,815			—
Goldman Sachs International		949,253		(711,399	)		(237,854	)		—	*
JPMorgan Chase Bank, N.A.		567,191		—			567,191			—
Morgan Stanley & Co. International PLC		3,296,706		(1,050,000	)		(1,449,762	)		796,944
Morgan Stanley & Co. LLC		1,090,593		—			1,090,593			—
State Street Bank and Trust Company		4,906		—			—			4,906
UBS AG		94,059		—			94,059			—
Total	$	6,109,273	$	(1,761,399	)	$	37,378		$	823,788
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.	$	385,995	$	(378,621	)	$	(7,374	)	$	—	*
Barclays Bank PLC		255,468		—			(10,700	)		244,768
Citibank N.A.		55,738		—			55,738			—
Deutsche Bank AG		70,605		—			(10,815	)		59,790
Goldman Sachs International		237,854		—			237,854			—
JPMorgan Chase Bank, N.A.		815,739		—			(567,191	)		248,548
Morgan Stanley & Co. International PLC		1,449,762		—			1,449,762			—
Morgan Stanley & Co. LLC		6,421,146		(5,330,553	)		(1,090,593	)		—	*
UBS AG		503,070		(73,007	)		(94,059	)		336,004
Total	$	10,195,377	$	(5,782,181	)	$	(37,378	)	$	889,110

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February 29, 2020

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	$	3,476,266	$	(3,310,000	)	$	—	$	166,266
Morgan Stanley Capital Services LLC		1,350,856		(979,000	)		—		371,856
Total	$	4,827,122	$	(4,289,000	)	$	—	$	538,122
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Barclays Bank PLC	$	1,012,977	$	—		$	—	$	1,012,977
Morgan Stanley & Co. International PLC		319,729		—			—		319,729
Morgan Stanley & Co. LLC		1,653,570		—			—		1,653,570
Total	$	2,986,276	$	—		$	—	$	2,986,276

Consolidated Implementation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Citibank N.A.	$	468,480	$	—		$	(405,920	)	$	62,560
Deutsche Bank AG		2,675		—			2,675			—
Goldman Sachs International		24,145,725		(22,610,000	)		(1,087,419	)		448,306
JPMorgan Chase Bank, N.A.		1,954,065		—			1,954,065			—
Morgan Stanley & Co. International PLC		10,453,752		(2,856,728	)		(7,597,024	)		—	*
Morgan Stanley & Co. LLC		8,465,770		—			8,465,770			—
Morgan Stanley Capital Services LLC		4,339,247		(3,099,000	)		(21,031	)		1,219,216
Total	$	49,829,714	$	(28,565,728	)	$	1,311,116		$	1,730,082
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	1,360,222	$	(765,763	)	$	—		$	594,459
Barclays Bank PLC		3,952,764		—			—			3,952,764
Citibank N.A.		405,920		—			405,920			—
Deutsche Bank AG		435,282		(265,959	)		(2,675	)		166,648
Goldman Sachs International		1,087,419		—			1,087,419			—
JPMorgan Chase Bank, N.A.		4,010,973		(882,337	)		(1,954,065	)		1,174,571
Morgan Stanley & Co. International PLC		7,597,024		—			7,597,024			—
Morgan Stanley & Co. LLC		25,299,032		(16,833,262	)		(8,465,770	)		—	*
Morgan Stanley Capital Services LLC		21,031		—			21,031			—
Total	$	44,169,667	$	(18,747,321	)	$	(1,311,116	)	$	5,888,442

198

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February 29, 2020

Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	74,126	$	—		$	74,126		$	—
Deutsche Bank AG		405,878		(405,878	)		—			—	*
Goldman Sachs International		276,086		—			276,086			—
JPMorgan Chase Bank, N.A.		1,190,414		—			1,190,414			—
Morgan Stanley & Co. International PLC		3,603,651		(1,379,000	)		(644,343	)		1,580,308
State Street Bank and Trust Company		59,374		—			59,374			—
UBS AG		1,250,834		—			1,250,834			—
Total	$	6,860,363	$	(1,784,878	)	$	2,206,491		$	1,580,308
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	1,133,643	$	(698,354	)	$	—		$	435,289
Barclays Bank PLC		204,697		—			(74,126	)		130,571
Goldman Sachs International		803,717		(302,018	)		(276,086	)		225,613
JPMorgan Chase Bank, N.A.		1,192,946		—			(1,190,414	)		2,532
Morgan Stanley & Co. International PLC		644,343		—			644,343			—
State Street Bank and Trust Company		346,427		—			(59,374	)		287,053
UBS AG		5,439,505		(3,196,006	)		(1,250,834	)		992,665
Total	$	9,765,278	$	(4,196,378	)	$	(2,206,491	)	$	2,073,723

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	$	187,782	$	(70,000	)	$	—	$	117,782
Total	$	187,782	$	(70,000	)	$	—	$	117,782
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	348,120	$	—		$	—	$	348,120
Total	$	348,120	$	—		$	—	$	348,120

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

199

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Notes to Financial Statements — (Continued)

February 29, 2020

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 year ended February 29, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Consolidated Alternative Allocation Fund		316,873,980		96,997,308		956,021		5,234		373,369,883
Benchmark-Free Fund		68,493,960		199,067,358		—		14		25,198,975
Consolidated Implementation Fund		1,795,152,223		763,214,688		4,126,014		39,144		2,546,578,842
Consolidated SGM Major Markets Fund		1,209,523,986		1,688,913,948		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		3		3,789,550

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:

	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		0.73%		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.

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

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 February 29, 2020

200

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February 29, 2020

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 year ended February 29, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 29, 2020, 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.

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February 29, 2020

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. 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.

202

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Notes to Financial Statements — (Continued)

February 29, 2020

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 year ended February 29, 2020 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Consolidated Alternative Allocation Fund		4,581		468
Benchmark-Free Allocation Fund		294,202		29,557
Benchmark-Free Fund		80,535		8,309
Global Asset Allocation Fund		49,977		5,045
Global Developed Equity Allocation Fund		8,826		829
Global Equity Allocation Fund		45,513		4,611
Consolidated Implementation Fund		221,236		23,522
International Developed Equity Allocation Fund		13,746		1,400
International Equity Allocation Fund		26,105		2,555
Consolidated SGM Major Markets Fund		29,668		3,181
Consolidated Special Opportunities Fund		8,661		1,438
Strategic Opportunities Allocation Fund		24,270		2,483

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2020 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		0.085%
Benchmark-Free Allocation Fund		0.204%	*
Benchmark-Free Fund		0.226%
Global Asset Allocation Fund		0.560%	*
Global Developed Equity Allocation Fund		0.520%
Global Equity Allocation Fund		0.572%
International Developed Equity Allocation Fund		0.611%
International Equity Allocation Fund		0.649%
Strategic Opportunities Allocation Fund		0.458%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, 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 year ended February 29, 2020, the Funds did not engage in these transactions.

203

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February 29, 2020

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 29, 2020 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)
Consolidated Alternative Allocation Fund		65,328,591		331,019,833		15,277,605		228,671,007
Benchmark-Free Allocation Fund		—		1,059,998,472		—		3,270,779,983
Benchmark-Free Fund		99,586,472		1,311,250,233		317,968,413		1,712,274,815
Global Asset Allocation Fund		—		484,014,640		—		830,881,615
Global Developed Equity Allocation Fund		—		60,775,000		—		435,180,896
Global Equity Allocation Fund		—		320,597,495		—		465,868,000
Consolidated Implementation Fund		498,778,218		6,801,780,048		1,524,762,444		7,611,520,010
International Developed Equity Allocation Fund		—		50,081,127		—		332,719,189
International Equity Allocation Fund		—		58,670,906		—		111,615,087
Consolidated SGM Major Markets Fund		338,662,210		—		621,155,894		—
Consolidated Special Opportunities Fund		—		135,319,411		—		235,300,489
Strategic Opportunities Allocation Fund		12,100,343		329,292,602		48,742,508		438,407,505

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 year ended February 29, 2020. 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.

204

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February 29, 2020

8. Principal shareholders and related parties as of February 29, 2020

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
Alternative Allocation Fund		2‡		81.48%		0.07%		85.21%
Benchmark-Free Allocation Fund		1		32.12%		1.09%		8.66%
Benchmark-Free Fund		—		—		—		100.00%
Global Asset Allocation Fund		1†		10.47%		0.13%		10.47%
Global Developed Equity Allocation Fund		3		89.62%		0.02%		—
Global Equity Allocation Fund		3		55.55%		0.02%		0.38%
Implementation Fund		1‡		100.00%		—		100.00%
International Developed Equity Allocation Fund		3		95.70%		0.01%		3.45%
International Equity Allocation Fund		4		70.22%		0.01%		1.21%
SGM Major Markets Fund		2#		92.11%		0.25%		92.95%
Special Opportunities Fund		2#		97.01%		1.15%		97.61%
Strategic Opportunities Allocation Fund		2		21.49%		< 0.01%		99.91%

‡ One of the shareholders is another fund of the Trust.

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

# Two of the shareholders are other funds of the Trust.

9. Share transactions

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

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares	Amount
Consolidated Alternative Allocation Fund
Class VI:*
Shares sold		10,854,051		$	216,921,996
Shares issued to shareholders in reinvestment of distributions		244,857			4,899,582
Shares repurchased		(775,804	)		(15,497,995	)
Net increase (decrease)		10,323,104		$	206,323,583
Class I:**
Shares sold		1,756,057			35,182,098
Shares issued to shareholders in reinvestment of distributions		22,166			443,534
Shares repurchased		(17,167	)		(340,795	)
Net increase (decrease)		1,761,056		$	35,284,837

205

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Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund
Class III:
Shares sold		24,257,167		$	640,075,459			32,631,304		$	862,230,122
Shares issued to shareholders in reinvestment of distributions		4,613,259			124,178,972			5,811,792			145,209,181
Shares repurchased		(56,749,593	)		(1,517,816,871	)		(48,294,259	)		(1,277,160,943	)
Purchase premiums		—			—			—			39,641
Redemption fees		—			—			—			167,615
Net increase (decrease)		(27,879,167	)	$	(753,562,440	)		(9,851,163	)	$	(269,514,384	)
Class IV:
Shares sold		7,923,022		$	212,654,200			7,662,380		$	205,663,818
Shares issued to shareholders in reinvestment of distributions		2,512,433			67,603,590			3,065,368			76,610,120
Shares repurchased		(32,635,505	)		(860,251,221	)		(6,147,951	)		(165,132,629	)
Purchase premiums		—			—			—			21,378
Redemption fees		—			—			—			90,813
Net increase (decrease)		(22,200,050	)	$	(579,993,431	)		4,579,797		$	117,253,500
Class MF:
Shares sold		803,494		$	21,189,670			3,426,511		$	93,600,847
Shares issued to shareholders in reinvestment of distributions		4,026,104			108,452,767			6,001,525			150,215,640
Shares repurchased		(43,051,526	)		(1,147,137,535	)		(62,982,219	)		(1,665,823,005	)
Purchase premiums		—			—			—			43,344
Redemption fees		—			—			—			184,060
Net increase (decrease)		(38,221,928	)	$	(1,017,495,098	)		(53,554,183	)	$	(1,421,779,114	)
Class I:***
Shares sold		3,946,657		$	105,678,811
Shares issued to shareholders in reinvestment of distributions		77,829			2,094,391
Shares repurchased		(166,498	)		(4,455,002	)
Net increase (decrease)		3,857,988		$	103,318,200
Benchmark-Free Fund
Class III:
Shares sold		1,317,983		$	25,892,943			1,450,645		$	28,887,826
Shares issued to shareholders in reinvestment of distributions		5,386,720			108,505,171			6,502,932			120,659,905
Shares repurchased		(31,708,368	)		(626,946,188	)		(60,662,790	)		(1,208,110,666	)
Purchase premiums		—			—			—			336
Redemption fees		—			—			—			207,148
Net increase (decrease)		(25,003,665	)	$	(492,548,074	)		(52,709,213	)	$	(1,058,355,451	)
Global Asset Allocation Fund
Class III:
Shares sold		1,000,287		$	32,203,398			5,490,395		$	173,901,818
Shares issued to shareholders in reinvestment of distributions		1,786,325			59,695,328			1,865,170			55,431,050
Shares repurchased		(14,588,483	)		(474,038,279	)		(20,986,043	)		(673,632,516	)
Purchase premiums		—			—			—			27,802
Redemption fees		—			—			—			108,369
Net increase (decrease)		(11,801,871	)	$	(382,139,553	)		(13,630,478	)	$	(444,163,477	)

206

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Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund (continued)
Class R6:****
Shares sold		607,847		$	19,935,268
Shares issued to shareholders in reinvestment of distributions		15,735			527,446
Shares repurchased		(55,676	)		(1,850,896	)
Net increase (decrease)		567,906		$	18,611,818
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		446,904			9,818,537			596,334			11,632,446
Shares repurchased		(18,054,457	)		(382,052,946	)		(442,673	)		(9,789,591	)
Purchase premiums		—			—			—			258
Redemption fees		—			—			—			1,005
Net increase (decrease)		(17,606,285	)	$	(372,206,442	)		610,755		$	12,166,699
Global Equity Allocation Fund
Class III:
Shares sold		2,875,035		$	74,723,516			444,185		$	10,967,674
Shares issued to shareholders in reinvestment of distributions		1,937,148			52,274,016			2,124,109			47,654,007
Shares repurchased		(11,553,457	)		(298,075,823	)		(22,767,344	)		(574,345,381	)
Purchase premiums		—			—			—			1,206
Redemption fees		—			—			—			38,129
Net increase (decrease)		(6,741,274	)	$	(171,078,291	)		(20,199,050	)	$	(515,684,365	)
Consolidated Implementation Fund
Core Class:
Shares sold		45,504,277		$	615,547,348			53,767,458		$	725,998,997
Shares issued to shareholders in reinvestment of distributions		22,932,913			310,939,020			32,476,425			409,637,549
Shares repurchased		(188,088,082	)		(2,520,911,268	)		(224,797,135	)		(2,976,877,616	)
Purchase premiums		—			—			—			64,769
Redemption fees		—			—			—			265,297
Net increase (decrease)		(119,650,892	)	$	(1,594,424,900	)		(138,553,252	)	$	(1,840,911,004	)
International Developed Equity Allocation Fund
Class III:
Shares sold		2,432,306		$	36,078,936			2,924,421		$	45,659,271
Shares issued to shareholders in reinvestment of distributions		803,039			12,819,179			1,267,608			17,246,624
Shares repurchased		(21,571,600	)		(331,589,749	)		(3,755,589	)		(54,697,422	)
Purchase premiums		—			—			—			13,253
Redemption fees		—			—			—			2,696
Net increase (decrease)		(18,336,255	)	$	(282,691,634	)		436,440		$	8,224,422

207

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Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
International Equity Allocation Fund
Class III:
Shares sold		247,154		$	7,467,402			1,893,252		$	52,196,705
Shares issued to shareholders in reinvestment of distributions		931,484			28,142,608			1,163,600			30,504,692
Shares repurchased		(10,725,589	)		(294,708,095	)		(5,250,756	)		(153,022,310	)
Purchase premiums		—			—			—			2,500
Redemption fees		—			—			—			112,011
Net increase (decrease)		(9,546,951	)	$	(259,098,085	)		(2,193,904	)	$	(70,206,402	)
Class R6:*****
Shares sold		8,056,830		$	218,098,392
Shares issued to shareholders in reinvestment of distributions		291,593			8,867,347
Shares repurchased		(687,274	)		(20,900,000	)
Net increase (decrease)		7,661,149		$	206,065,739
Consolidated SGM Major Markets Fund
Class III:
Shares sold		525,054		$	16,975,147			698,577		$	22,365,425
Shares issued to shareholders in reinvestment of distributions		7,014			225,366			493			15,376
Shares repurchased		(1,348,349	)		(42,435,255	)		(123,398	)		(3,927,391	)
Net increase (decrease)		(816,281	)	$	(25,234,742	)		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		1,257,758		$	40,323,424			3,148,079		$	101,038,565
Shares issued to shareholders in reinvestment of distributions		477,353			15,034,172			161,370			5,015,389
Shares repurchased		(11,128,347	)		(354,021,072	)		(25,149,237	)		(797,582,448	)
Net increase (decrease)		(9,393,236	)	$	(298,663,476	)		(21,839,788	)	$	(691,528,494	)
Consolidated Special Opportunities Fund
Class VI:
Shares sold		126,580		$	2,408,910			2,131,059		$	39,420,310
Shares issued to shareholders in reinvestment of distributions		2,552,208			44,327,184			11,369,351			229,777,570
Shares repurchased		(7,471,715	)		(143,105,055	)		(32,277,502	)		(703,196,434	)
Purchase premiums		—			12,105			—			183,017
Redemption fees		—			715,525			—			3,500,942
Net increase (decrease)		(4,792,927	)	$	(95,641,331	)		(18,777,092	)	$	(430,314,595	)

208

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

	Year Ended February 29, 2020						Year Ended February 28, 2019
	Shares			Amount			Shares			Amount
Strategic Opportunities Allocation Fund
Class III:
Shares sold		2,855,111		$	54,190,000			772,153		$	15,269,024
Shares issued to shareholders in reinvestment of distributions		1,875,730			38,161,859			4,419,377			84,991,102
Shares repurchased		(10,966,560	)		(216,222,583	)		(17,197,584	)		(345,325,134	)
Redemption fees		—			—			—			192,588
Net increase (decrease)		(6,235,719	)	$	(123,870,724	)		(12,006,054	)	$	(244,872,420	)

* The period under the heading “Year Ended February 29, 2020 ” represents the period from May 1, 2019 (commencement of operations) through February 29, 2020.

** The period under the heading “Year Ended February 29, 2020 “represents the period from September 4, 2019 (commencement of operations) through February 29, 2020.

*** The period under the heading “Year Ended February 29, 2020 “represents the period from August 8, 2019 (commencement of operations) through February 29, 2020.

**** The period under the heading “Year Ended February 29, 2020 “(Unaudited)” represents the period from September 30, 2019 (commencement of operations) through February 29, 2020.

***** The period under the heading “Year Ended February 29, 2020 “(Unaudited)” represents the period from August 30, 2019 (commencement of operations) through February 29, 2020.

****** For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 29, 2020 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
Consolidated Alternative Allocation Fund
GMO Alpha Only Fund, Class IV	$	—	$	27,877,632	$	24,965,528	$	1,039,423	$	411,484	$	(2,912,104	)	$	—		$	—
GMO Emerging Markets Fund, Class VI		—		14,500,000		—		—		—		—			(904,301	)		13,595,699
GMO International Equity Fund, Class IV		—		10,000,000		—		—		—		—			(902,904	)		9,097,096
GMO Resources Fund, Class IV		—		7,500,000		—		—		—		—			(931,729	)		6,568,271
GMO U.S Treasury Fund		—		6,500,000		6,500,000		482		—		—			—			—
Totals	$	—	$	66,377,632	$	31,465,528	$	1,039,905	$	411,484	$	(2,912,104	)	$	(2,738,934	)	$	29,261,066
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund Class IV	$	455,898,632	$	21,662,213	$	222,907,519	$	20,875,386	$	—	$	(1,860,666	)	$	12,191,253		$	264,983,913
GMO High Yield Fund Class VI		149,579,077		11,795,952		50,000,000		11,795,952		—		884,086			(2,074,677	)		110,184,438
GMO Implementation Fund		8,726,210,310		925,568,828		2,277,293,390		310,021,480		—		51,180,298			(311,439,721	)		7,114,226,325

209

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Allocation Fund (continued)
GMO Opportunistic Income Fund Class VI	$	551,229,863	$	42,902,983	$	147,691,324	$	26,883,054		$	—	$	9,886,015		$	(9,736,937	)	$	446,590,600
GMO Risk Premium Fund Class VI		286,420,244		11,888,844		302,508,214		4,931,216			6,362,924		676,119			3,523,007			—
GMO SGM Major Markets Fund Class VI		840,481,004		12,146,735		165,055,535		12,146,735			—		(2,213,814	)		(20,714,473	)		664,643,917
GMO Special Opportunities Fund Class VI		294,753,740		34,032,917		105,324,002		—			31,682,083		(13,956,528	)		(13,675,232	)		195,830,895
Totals	$	11,304,572,870	$	1,059,998,472	$	3,270,779,984	$	386,653,823		$	38,045,007	$	44,595,510		$	(341,926,780	)	$	8,796,460,088
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	152,403,763	$	6,234,740	$	73,120,000	$	6,234,740		$	—	$	(1,180,364	)	$	4,501,222		$	88,839,361
GMO Emerging Markets Fund, Class VI		382,252,830		15,535,147		109,000,000		15,535,147			—		12,757,431			(23,825,549	)		277,719,859
GMO Opportunistic Income Fund, Class VI		187,691,229		9,447,919		22,892,000		9,447,919			—		2,345,860			(2,205,347	)		174,387,661
GMO Risk Premium Fund, Class VI		111,153,978		3,934,924		116,736,481		1,721,244			2,213,680		250,373			1,397,206			—
GMO SGM Major Markets Fund, Class VI		134,030,636		2,006,424		12,425,000		2,006,424			—		633,028			(4,588,662	)		119,656,426
GMO Special Opportunities Fund, Class VI		109,380,816		11,437,207		26,560,000		—			11,437,207		602,183			(13,237,142	)		81,623,064
GMO U.S. Treasury Fund		—		58,555,374		56,700,545		—	*		—		(9,461	)		3,673			1,849,041
Totals	$	1,076,913,252	$	107,151,735	$	417,434,026	$	34,945,474		$	13,650,887	$	15,399,050		$	(37,954,599	)	$	744,075,412
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	55,140,779	$	1,316,698	$	51,977,352	$	856,980		$	459,718	$	(11,515,867	)	$	7,035,742		$	—
GMO Alternative Allocation Fund, Class VI		—		182,788,873		15,497,994		445,563			3,466,403		(18,085	)		(4,450,129	)		162,822,665
GMO Asset Allocation Bond Fund, Class VI		227,286,993		8,809,848		122,968,168		7,126,067			—		(9,227,765	)		18,450,917			122,351,825
GMO Core Plus Bond Fund, Class IV		282,224,826		16,018,304		81,682,115		6,846,605			6,234,848		2,066,714			15,625,546			234,253,275
GMO Emerging Country Debt Fund, Class IV		65,866,747		3,880,433		13,913,179		3,880,433			—		(207,182	)		1,652,036			57,278,855
GMO Emerging Markets Fund, Class VI		358,618,059		38,941,034		77,867,543		16,617,842			—		10,623,731			(23,508,041	)		306,807,240
GMO International Equity Fund, Class IV		410,667,438		62,299,625		93,302,249		15,217,212			—		(10,422,399	)		6,101,894			375,344,309
GMO Opportunistic Income Fund, Class VI		36,987,265		1,876,009		5,389,195		1,876,009			—		332,942			(336,857	)		33,470,164
GMO Quality Fund, Class VI		140,373,291		3,676,000		125,043,890		705,093			2,970,907		11,736,736			(1,266,034	)		29,476,103
GMO Risk Premium Fund, Class VI		48,646,796		15,796,840		32,927,546		346,014			450,825		(131,610	)		129,981			31,514,461
GMO SGM Major Markets Fund, Class VI		57,183,044		—		55,433,940		—			—		(289,086	)		(1,460,018	)		—
GMO U.S. Equity Fund, Class VI		143,172,153		15,797,277		31,459,780		3,231,758			12,565,518		(1,213,499	)		(9,495,912	)		116,800,239

210

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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 U.S. Small Cap Value Fund, Class VI	$	—	$	109,190,706	$	13,713,140	$	870,705		$	—	$	361,653		$	(9,398,812	)	$	86,440,407
GMO U.S. Treasury Fund		83,433,020		23,622,994		106,354,105		428,028			—		19,396			4,546			725,851
Totals	$	1,909,600,411	$	484,014,641	$	827,530,196	$	58,448,309		$	26,148,219	$	(7,884,321	)	$	(915,141	)	$	1,557,285,394
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	45,675,429	$	972,073	$	38,066,064	$	577,073		$	—	$	4,771,733		$	(5,744,513	)	$	7,608,658
GMO International Equity Fund, Class IV		212,821,229		5,373,832		179,147,037		1,658,061			—		(14,117,022	)		11,250,572			36,181,574
GMO Quality Fund, Class VI		91,967,553		3,185,978		91,708,327		378,025			1,552,430		8,255,609			(2,486,324	)		9,214,489
GMO U.S. Equity Fund, Class VI		97,294,103		7,048,053		90,443,945		656,996			2,992,680		(7,483,844	)		7,157,443			13,571,810
GMO U.S. Small Cap Value Fund, Class VI		—		44,195,064		35,815,523		66,572			—		(905,143	)		(704,311	)		6,770,087
Totals	$	447,758,314	$	60,775,000	$	435,180,896	$	3,336,727		$	4,545,110	$	(9,478,667	)	$	9,472,867		$	73,346,618
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	432,155,290	$	50,143,834	$	57,660,459	$	21,162,771		$	—	$	6,965,322		$	(26,213,819	)	$	405,390,168
GMO International Equity Fund, Class IV		677,968,641		53,422,621		118,226,492		23,826,665			—		(24,159,367	)		19,297,604			608,303,007
GMO Quality Fund, Class VI		237,080,031		26,599,199		73,621,865		3,312,911			14,370,957		9,674,357			(2,070,569	)		197,661,153
GMO U.S. Equity Fund, Class VI		290,040,276		21,214,201		198,667,687		3,427,540			13,936,535		(15,768,440	)		10,275,849			107,094,199
GMO U.S. Small Cap Value Fund, Class VI		—		169,217,640		17,691,497		1,348,982			—		740,690			(15,079,996	)		137,186,837
Totals	$	1,637,244,238	$	320,597,495	$	465,868,000	$	53,078,869		$	28,307,492	$	(22,547,438	)	$	(13,790,931	)	$	1,455,635,364
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	—	$	169,006,988	$	162,875,635	$	—	*	$	—	$	(40,139	)	$	11,987		$	6,103,201
International Developed Equity Allocation Fund
GMO Emerging Markets Fund Class VI	$	57,057,016	$	8,112,687	$	33,736,560	$	2,102,139		$	—	$	5,702,711		$	(6,456,241	)	$	30,679,613
GMO International Equity Fund Class IV		515,607,672		41,968,440		298,982,629		13,569,936			—		(28,212,505	)		36,317,116			266,698,094
Totals	$	572,664,688	$	50,081,127	$	332,719,189	$	15,672,075		$	—	$	(22,509,794	)	$	29,860,875		$	297,377,707
International Equity Allocation Fund
GMO Emerging Markets Fund Class VI	$	322,997,438	$	33,618,041	$	35,644,640	$	15,860,810		$	—	$	3,562,074		$	(18,069,938	)	$	306,462,975
GMO International Equity Fund Class IV		606,692,593		25,052,865		75,970,447		21,407,781			—		(12,886,875	)		7,216,378			550,104,514
Totals	$	929,690,031	$	58,670,906	$	111,615,087	$	37,268,591		$	—	$	(9,324,801	)	$	(10,853,560	)	$	856,567,489

211

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 29, 2020

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
Consolidated Special Opportunities Fund
Eventbrite, Inc. – Class A	$	—	#	$	—	$	5,030,297	$	—	$	—	$	(2,641,020	)	$	—		$	—	##
Jagercor Energy Corp		45,594			—		—		—		—		(317,181	)		271,587			—
Totals	$	45,594		$	—	$	5,030,297	$	—	$	—	$	(2,958,201	)	$	271,587		$	—
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	90,334,045		$	3,540,075	$	32,993,114	$	1,852,814	$	1,687,261	$	1,601,414		$	4,838,917		$	67,321,337
GMO Emerging Country Debt Fund, Class IV		31,398,277			1,771,151		6,869,201		1,771,151		—		(66,311	)		820,993			27,054,909
GMO Emerging Markets Fund, Class VI		206,302,480			35,849,071		50,881,420		9,336,071		—		9,998,659			(18,514,955	)		182,753,835
GMO International Equity Fund, Class IV		228,072,858			25,250,864		54,032,000		7,422,864		—		(3,628,618	)		2,640,019			198,303,123
GMO Opportunistic Income Fund, Class VI		23,830,200			1,169,502		3,825,000		1,169,502		—		299,608			(247,418	)		21,226,892
GMO Quality Fund, Class VI		80,218,024			8,794,292		33,901,565		918,344		3,975,948		3,268,361			(991,900	)		57,387,212
GMO U.S. Equity Fund, Class VI		48,300,438			6,105,731		23,524,151		732,274		2,873,457		(2,911,522	)		381,019			28,351,515
GMO U.S. Small Cap Value Fund Class VI		—			71,013,634		12,917,000		465,522		—		203,168			(4,907,231	)		53,392,571
GMO U.S. Treasury Fund		24,214,549			42,702,311		61,124,002		178,080		—		68			11,551			5,804,477
Totals	$	732,670,871		$	196,196,631	$	280,067,453	$	23,846,622	$	8,536,666	$	8,764,827		$	(15,969,005	)	$	641,595,871

* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. 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 $20,589 and $87,904 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

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

## Security is no longer an affiliate at year end.

11. Subsequent events

Subsequent to February 29, 2020, GMO SGM Major Markets Fund received redemption requests in the amount of $286,341,512.

In April 2020, GMO received notification from an investor of their intention to redeem approximately $300,000,000 from GMO SGM Major Markets Fund in early May 2020.

212

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Alternative Allocation Fund, GMO Benchmark- Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund (twelve of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, GMO Strategic Opportunity Allocation Fund	Statements of operations for the year ended February 29, 2020 and the statements of changes in net assets for each of the two years in the period ended February 29, 2020
GMO Alternative Allocation Fund	Statements of operations and changes in net assets for the period May 1, 2019 (commencement of operations) through February 29, 2020

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, MA

April 24, 2020

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

213

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 29, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2020.

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, September 1, 2019 through February 29, 2020.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$993.90		$5.60		$1,000.00		$1,019.24		$5.67		1.13%
Class I(a)		$1,000.00		$988.00		$6.53		$1,000.00		$1,018.15		$6.77		1.35%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,011.70		$4.30		$1,000.00		$1,020.59		$4.32		0.86%
Class IV		$1,000.00		$1,012.00		$4.05		$1,000.00		$1,020.84		$4.07		0.81%
Class MF		$1,000.00		$1,011.60		$4.05		$1,000.00		$1,020.84		$4.07		0.81%
Class I		$1,000.00		$1,011.30		$4.70		$1,000.00		$1,020.19		$4.72		0.94%
Benchmark-Free Fund
Class III		$1,000.00		$1,012.90		$1.30		$1,000.00		$1,023.57		$1.31		0.26%
Global Asset Allocation Fund
Class III		$1,000.00		$1,023.30		$2.92		$1,000.00		$1,021.98		$2.92		0.58%
Class R6(b)		$1,000.00		$1,002.20		$2.40		$1,000.00		$1,021.98		$2.92		0.58%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,026.40		$2.67		$1,000.00		$1,022.23		$2.66		0.53%
Global Equity Allocation Fund
Class III		$1,000.00		$1,031.40		$2.88		$1,000.00		$1,022.03		$2.87		0.57%
Implementation Fund
Core Class		$1,000.00		$1,016.40		$0.25		$1,000.00		$1,024.62		$0.25		0.05%

214

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

February 29, 2020 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Beginning Account Value September 1, 2019		Ending Account Value February 29, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,056.20		$3.12		$1,000.00		$1,021.83		$3.07		0.61%
International Equity Allocation Fund
Class III		$1,000.00		$1,050.30		$3.31		$1,000.00		$1,021.63		$3.27		0.65%
Class R6		$1,000.00		$1,050.40		$3.31		$1,000.00		$1,021.63		$3.27		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$1,005.00		$4.99		$1,000.00		$1,019.89		$5.02		1.00%
Class VI		$1,000.00		$1,005.80		$4.54		$1,000.00		$1,020.34		$4.57		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$976.80		$6.05		$1,000.00		$1,018.75		$6.17		1.23%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,023.30		$2.57		$1,000.00		$1,022.33		$2.56		0.51%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2020, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

^(a)  For the period September 4, 2019 (commencement of operations) through February 20, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February, 20, 2020, multiplied by the average account value over the period, multiplied by 178 days in the period, divided by 366 days in the year.

^(b)  For the period September 30, 2019 (commencement of operations) through February 20, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February, 20, 2020, multiplied by the average account value over the period, multiplied by 151 days in the period, divided by 366 days in the year.

215

GMO Trust Funds

Tax Information for the Tax Year Ended February 29, 2020 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 29, 2020:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)		Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income(3) ($)		Short- Term Capital Gain Dividends(3) ($)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid(4) ($)		Foreign Source Income(4) ($)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Consolidated Alternative Allocation Fund		6.59%		14.66%		11.25%		541,320		4,739,787		—		—		—		—
Benchmark-Free Allocation Fund		3.78%		60.40%		16.30%		72,555,162		—		2,927,257		22,403,235		221,226,540		—
Benchmark-Free Fund		1.90%		53.11%		11.66%		22,870,642		—		—		—		—		384,818
Global Asset Allocation Fund		7.42%		50.77%		10.21%		12,287,703		—		—		3,425,677		32,151,264		—
Global Developed Equity Allocation Fund		22.32%		70.04%		—		—		—		5,176,611		234,086		2,361,410		—
Global Equity Allocation Fund		13.68%		89.68%		—		—		—		—		4,819,902		45,848,265		—
Consolidated Implementation Fund		3.92%		62.63%		10.87%		50,314,651		—		—		24,033,045		239,117,444		1,550,205
International Developed Equity Allocation Fund		—		100.00%		—		—		—		—		1,621,068		16,900,452		—
International Equity Allocation Fund		—		93.53%		—		—		—		—		3,974,289		38,276,793		—
Consolidated SGM Major Markets Fund		—		—		96.70%		13,322,398		—		—		—		—		—
Consolidated Special Opportunities Fund		100.00%		100.00%		—		—		315,324		44,011,860		—		—		—
Strategic Opportunities Allocation Fund		9.94%		66.65%		7.65%		3,776,116		—		13,376,095		1,976,753		18,513,450		162,597

⁽¹⁾ Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾ All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾ These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds.

⁽⁴⁾ The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

⁽⁵⁾  The Funds hereby designate the above qualified business income under Section 199A of the Code.

In early 2021, the Funds will notify applicable shareholders of amounts for use in preparing 2020 U.S. federal income tax forms.

216

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 29, 2020. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex1 Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		31	Director, BeiGene Ltd. (biotech research).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		31	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		31	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 –April 2019).
Interested Trustee and Officer
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017-2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006-2016)		46	None.

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

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

217

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA -CREF (2006 – 2016).
Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007-June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004-November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 –November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present); Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser. With the exception of Mr. Feigelson and Ms. Saw, each officer listed in the table above also serves as an officer of GMO Series Trust.

218

Item 2. Code of Ethics.

As of February 29, 2020, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 29, 2020 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2020 and 2019 were $1,564,726 and $1,558,384, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2020 and 2019 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $37,173 and $38,898, respectively. The aggregate fees billed in 2020 and 2019 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $443,735 and $443,735, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2020 and 2019 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $505,503 and $590,207, respectively. The aggregate fees billed in 2020 and 2019 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2020 or 2019.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2020 and 2019 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,021,411 and $1,107,840, respectively. For the fiscal year ended February 29, 2020, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2019, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

*Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

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

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

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

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer
	Date: April 30, 2020

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

By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Executive Officer
	Date: April 30, 2020

By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: April 30, 2020