UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip Code)

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

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/21

Date of reporting period: 08/31/20

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2020 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2020

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund (formerly Core Plus Bond 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
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Country Debt Fund
Investment Concentration Summary	3
Schedule of Investments	4
High Yield Fund
Investment Concentration Summary	16
Schedule of Investments	17
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Investment Concentration Summary	21
Schedule of Investments	22
Opportunistic Income Fund
Investment Concentration Summary	26
Schedule of Investments	27
U.S. Treasury Fund
Investment Concentration Summary	37
Schedule of Investments	38
Portfolio, Counterparty and Currency Abbreviations	39
Fund Financial Statements:
Statements of Assets and Liabilities	40
Statements of Operations	44
Statements of Changes in Net Assets	46
Financial Highlights	49
Notes to Financial Statements	55
Board Review of Investment Management Agreements	98
Liquidity Risk Management Program	106
Fund Expenses	107

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		96.0	%
Mutual Funds		3.9
Short-Term Investments		0.1
Other		0.0	^
		100.0	%

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

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 96.0%
		U.S. Government — 96.0%
	4,174,450	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		4,491,203
	9,693,968	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		10,771,096
	10,303,108	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		11,659,215
	25,356,077	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		31,134,489
	6,217,456	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		7,232,042
	11,253,189	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		13,232,168
	28,604,790	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		37,742,680
	16,229,484	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (a)		18,136,448
	8,243,542	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (a)		9,287,992
		Total U.S. Government		143,687,333
		TOTAL DEBT OBLIGATIONS (COST $128,680,790)		143,687,333
		MUTUAL FUNDS — 3.9%
		United States — 3.9%
		Affiliated Issuers — 3.9%
	1,162,268	GMO U.S. Treasury Fund		5,857,830
		TOTAL MUTUAL FUNDS (COST $5,856,994)		5,857,830
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	130,156	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		130,156
		TOTAL SHORT-TERM INVESTMENTS (COST $130,156)		130,156
		TOTAL INVESTMENTS — 100.0% (Cost $134,667,940)		149,675,319
		Other Assets and Liabilities (net) — 0.00%		19,302
		TOTAL NET ASSETS — 100.0%		$149,694,621

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 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 39.

2 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		94.5	%
Short-Term Investments		1.9
Loan Participations		0.9
Loan Assignments		0.5
Rights/Warrants		0.3
Swap Contracts		0.1
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.2	)
Other		2.0
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		14.0	%*
Mexico		7.0
Indonesia		5.5
Turkey		5.4
Oman		3.7
South Africa		3.7
Argentina		3.6
Saudi Arabia		3.4
Chile		3.3
Ukraine		3.1
Russia		3.0
Bahrain		2.9
Egypt		2.8
Dominican Republic		2.6
Qatar		2.6
Tunisia		2.2
Brazil		2.2
Ecuador		2.1
Pakistan		2.1
United Arab Emirates		2.1
Sri Lanka		2.1
Jordan		1.9
Colombia		1.8
Panama		1.7
Philippines		1.6
Costa Rica		1.6
Uruguay		1.3
Kenya		1.3
Kazakhstan		1.2
Ivory Coast		1.2
India		1.2
Ghana		1.2
Azerbaijan		1.2
Romania		1.1
Guatemala		1.0
Malaysia		1.0
United States		0.3
		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%.

3

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.5%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		45,728,738
		Angola — 0.6%
		Foreign Government Obligations
	23,300,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		19,135,125
	7,300,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,894,750
	819,000	Republic of Angola Via Avenir II BV, Reg S, 6 mo. LIBOR + 4.50%, 4.98%, due 12/07/23 (c)		712,530
		Total Angola		25,742,405
		Argentina — 3.3%
		Foreign Government Obligations
	5,400,000	Republic of Argentina, 7.50%, due 04/22/26 (d)		2,462,063
	39,858,000	Republic of Argentina, 6.88%, due 01/26/27 (d)		17,674,532
	8,176,000	Republic of Argentina, 5.88%, due 01/11/28 (d)		3,577,000
EUR	12,000,000	Republic of Argentina, Reg S, 5.25%, due 01/15/28 (d)		6,086,086
	14,692,000	Republic of Argentina, 6.63%, due 07/06/28 (d)		6,441,524
	10,786,557	Republic of Argentina, 8.28%, due 12/31/33 (d)		4,314,623
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		917,451
JPY	323,575,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		946,491
	27,500,000	Republic of Argentina, 7.63%, due 04/22/46 (d)		11,893,750
	7,600,000	Republic of Argentina, 7.13%, due 06/28/2117 (d)		3,270,375
EUR	17,641,371	Republic of Argentina Discount Bond, 7.82%, due 12/31/33 (d)		10,460,378
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (d)		20,935,275
EUR	116,880,000	Republic of Argentina Par Bond, Step Up, 3.38%, due 12/31/38 (d)		59,076,252
		Total Argentina		148,055,800
		Armenia — 0.5%
		Foreign Government Agency — 0.4%
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.50%, due 01/28/25		19,050,000

Par Value†		Description	Value ($)
		Armenia — continued
		Foreign Government Obligations — 0.1%
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,518,763
		Total Armenia		21,568,763
		Azerbaijan — 1.6%
		Foreign Government Agency — 1.1%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,476,960
	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		18,807,875
	14,900,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		17,783,150
				47,067,985
		Foreign Government Obligations — 0.5%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,330,000
		Total Azerbaijan		69,397,985
		Bahamas — 0.3%
		Foreign Government Obligations
	8,709,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		7,919,747
	8,323,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		7,573,930
		Total Bahamas		15,493,677
		Bahrain — 1.7%
		Foreign Government Obligations
	19,500,000	Bahrain Government International Bond, 144A, 5.63%, due 09/30/31		20,304,375
	4,100,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		4,056,438
	45,450,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		51,741,984
		Total Bahrain		76,102,797
		Barbados — 0.3%
		Foreign Government Obligations
	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		7,429,000
	7,900,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		7,722,250
		Total Barbados		15,151,250
		Belarus — 0.7%
		Foreign Government Agency — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		7,805,760

4 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Belarus — continued
		Foreign Government Obligations — 0.5%
	19,100,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		17,734,350
	3,800,000	Republic of Belarus Ministry of Finance, 144A, 5.88%, due 02/24/26		3,551,812
	4,500,000	Republic of Belarus Ministry of Finance, 144A, 6.38%, due 02/24/31		4,176,844
				25,463,006
		Total Belarus		33,268,766
		Belize — 0.5%
		Foreign Government Obligations
	50,932,100	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		22,410,124
		Bermuda — 0.3%
		Foreign Government Obligations
	9,490,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		11,319,791
		Brazil — 2.1%
		Corporate Debt — 0.5%
	22,662,254	MV24 Capital BV, 144A, 6.75%, due 06/01/34		23,420,023
		Foreign Government Agency — 0.9%
	3,100,000	Centrais Eletricas Brasileiras SA, 144A, 4.63%, due 02/04/30		3,134,875
	32,439,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		35,642,351
				38,777,226
		Foreign Government Obligations — 0.7%
	13,397,000	Republic of Brazil, 7.13%, due 01/20/37		17,185,839
	8,300,000	Republic of Brazil, 5.63%, due 02/21/47		9,296,000
	4,200,000	Republic of Brazil, 4.75%, due 01/14/50		4,214,438
				30,696,277
		Total Brazil		92,893,526
		Cameroon — 0.2%
		Foreign Government Obligations
	10,300,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		10,918,000
		Chile — 2.8%
		Corporate Debt — 1.4%
	26,100,000	Empresa de Transporte de Pasajeros Metro SA, 144A, 4.70%, due 05/07/50		32,494,500
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (a)		31,494,173
				63,988,673

Par Value†		Description	Value ($)
		Chile — continued
		Foreign Government Agency — 1.4%
	8,800,000	Corp Nacional del Cobre de Chile, Reg S, 4.25%, due 07/17/42		10,018,250
	31,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		33,909,094
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		9,459,281
	7,600,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		8,367,125
				61,753,750
		Total Chile		125,742,423
		China — 0.3%
		Corporate Debt
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		13,498,875
		Colombia — 2.0%
		Foreign Government Agency — 1.7%
	5,900,000	Ecopetrol SA, 6.88%, due 04/29/30		7,110,621
	45,411,000	Ecopetrol SA, 7.38%, due 09/18/43		58,807,245
	3,800,000	Ecopetrol SA, 5.88%, due 05/28/45		4,312,240
COP	30,200,000,000	Empresas Publicas de Medellin ESP, 144A, 8.38%, due 11/08/27		8,356,060
				78,586,166
		Foreign Government Obligations — 0.3%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		824,110
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		5,586,000
	4,800,000	Colombia Government International Bond, 5.63%, due 02/26/44		6,078,000
				12,488,110
		Total Colombia		91,074,276
		Congo Republic (Brazzaville) — 1.1%
		Foreign Government Obligations
	66,264,267	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		50,360,843
		Costa Rica — 1.7%
		Foreign Government Agency — 0.3%
	14,198,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		11,007,887
		Foreign Government Obligations — 1.4%
	26,400,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		28,445,989
	36,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		34,079,481
				62,525,470
		Total Costa Rica		73,533,357

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.3%
	14,737,942	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		14,728,731
		Foreign Government Obligations — 2.7%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,632,991
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		26,109,319
	48,011,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		50,891,660
	11,900,000	Dominican Republic International Bond, 144A, 6.40%, due 06/05/49		12,063,625
	8,600,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		8,218,375
				117,915,970
		Total Dominican Republic		132,644,701
		Ecuador — 2.3%
		Foreign Government Obligations
	85,900,000	Ecuador Government International Bond, Reg S, 10.75%, due 01/31/29 (d)		43,835,844
	5,151,241	Ecuador Government International Bond, Zero Coupon, due 07/31/30		2,549,864
	14,241,150	Ecuador Government International Bond, 0.50%, due 07/31/30		10,609,657
	37,320,855	Ecuador Government International Bond, 0.50%, due 07/31/35		23,325,534
	17,104,450	Ecuador Government International Bond, 0.50%, due 07/31/40		9,236,403
	19,875,364	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		12,918,987
		Total Ecuador		102,476,289
		Egypt — 2.0%
		Foreign Government Obligations
	28,500,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		27,547,031
	33,900,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		34,768,687
	17,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		18,057,938
	9,714,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		9,383,117
		Total Egypt		89,756,773
		El Salvador — 0.8%
		Foreign Government Obligations
	17,175,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		16,074,727
	21,500,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		18,490,000
		Total El Salvador		34,564,727

Par Value†		Description	Value ($)
		Ethiopia — 0.1%
		Foreign Government Obligations
	6,690,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		6,756,900
		Gabon — 0.5%
		Foreign Government Obligations
	5,879,378	Gabonese Republic, Reg S, 6.38%, due 12/12/24		5,815,072
	15,800,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		15,202,563
		Total Gabon		21,017,635
		Ghana — 1.3%
		Foreign Government Agency — 0.3%
	12,711,626	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,711,626
		Foreign Government Obligations — 1.0%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		21,459,155
	12,600,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		11,698,312
	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		13,013,000
				46,170,467
		Total Ghana		58,882,093
		Grenada — 0.2%
		Foreign Government Obligations
	11,501,250	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		8,050,875
		Guatemala — 0.8%
		Foreign Government Obligations
	11,765,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		16,357,026
	14,700,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		18,232,594
		Total Guatemala		34,589,620
		Honduras — 0.2%
		Foreign Government Obligations
	3,500,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		3,857,656
	6,500,000	Honduras Government International Bond, 144A, 5.63%, due 06/24/30		7,107,344
		Total Honduras		10,965,000

6 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		India — 1.2%
		Corporate Debt — 1.0%
	27,700,000	Delhi International Airport Ltd., 144A, 6.45%, due 06/04/29		27,665,375
	18,140,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		16,065,237
				43,730,612
		Foreign Government Agency — 0.2%
	1,500,000	Export-Import Bank of India, 144A, 3.25%, due 01/15/30		1,530,469
	7,500,000	Indian Railway Finance Corp., Ltd., 144A, 3.25%, due 02/13/30		7,619,531
				9,150,000
		Total India		52,880,612
		Indonesia — 5.3%
		Foreign Government Agency — 3.4%
	14,700,000	Hutama Karya Persero PT, 144A, 3.75%, due 05/11/30		16,055,156
	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		4,347,500
	15,000,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		18,262,500
	18,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		23,943,000
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,785,813
	9,900,000	Pertamina Persero PT, 144A, 4.15%, due 02/25/60		9,912,375
	8,000,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		10,475,000
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		18,721,813
	5,300,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50		5,709,094
	36,900,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		34,432,312
				151,644,563
		Foreign Government Obligations — 1.9%
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		61,552,800
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		10,482,313
	9,500,000	Indonesia Government International Bond, 4.35%, due 01/11/48		11,266,406
				83,301,519
		Total Indonesia		234,946,082

Par Value†		Description	Value ($)
		Israel — 0.5%
		Foreign Government Agency — 0.4%
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,775,927
		Foreign Government Obligations — 0.1%
	3,500,000	Israel Government International Bond, 3.88%, due 07/03/50		4,178,125
		Total Israel		21,954,052
		Ivory Coast — 0.8%
		Foreign Government Obligations
EUR	33,200,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		36,005,952
		Jamaica — 1.0%
		Corporate Debt — 0.1%
	6,251,000	TransJamaican Highway Ltd, 144A, 5.75%, due 10/10/36		6,209,978
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		12,255,000
		Foreign Government Obligations — 0.6%
	19,175,000	Jamaica Government International Bond, 7.88%, due 07/28/45		25,167,187
		Total Jamaica		43,632,165
		Jordan — 1.5%
		Foreign Government Obligations
	20,400,000	Jordan Government International Bond, 144A, 5.85%, due 07/07/30		20,604,000
	43,050,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		44,879,625
		Total Jordan		65,483,625
		Kazakhstan — 0.9%
		Foreign Government Agency
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		26,815,250
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,532,500
		Total Kazakhstan		39,347,750
		Kenya — 0.8%
		Foreign Government Obligations
	36,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		36,673,000

See accompanying notes to the financial statements. 7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Kuwait — 0.4%
		Corporate Debt
	7,300,000	Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26		7,824,688
	9,200,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		11,063,000
		Total Kuwait		18,887,688
		Lebanon — 0.4%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		2,325,000
	41,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		6,032,725
	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		2,726,000
	42,944,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		6,226,880
		Total Lebanon		17,310,605
		Malaysia — 0.6%
		Foreign Government Agency
	10,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		10,740,125
	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		16,818,750
		Total Malaysia		27,558,875
		Mexico — 6.1%
		Foreign Government Agency — 3.7%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		22,489,003
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		4,997,360
	131,800,000	Petroleos Mexicanos, 144A, 7.69%, due 01/23/50		117,528,538
	22,986,000	Petroleos Mexicanos, 144A, 6.95%, due 01/28/60		19,104,814
				164,119,715
		Foreign Government Obligations — 2.4%
	10,700,000	United Mexican States, 5.00%, due 04/27/51		12,337,100
	19,578,000	United Mexican States, 5.75%, due 10/12/2110		23,903,515
GBP	50,396,000	United Mexican States, 5.63%, due 03/19/2114		71,408,780
				107,649,395
		Total Mexico		271,769,110

Par Value†		Description	Value ($)
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		18,532,813
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, 5.00%, due 09/15/31		7,838,220
		Nigeria — 0.8%
		Foreign Government Obligations
	7,400,000	Nigeria Government International Bond, Reg S, 8.75%, due 01/21/31		7,961,937
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		10,365,625
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		10,209,141
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,117,750
		Total Nigeria		36,654,453
		Oman — 2.6%
		Foreign Government Obligations
	33,800,000	Oman Government International Bond, 144A, 6.00%, due 08/01/29		33,124,000
	19,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		16,815,000
	74,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		66,918,469
		Total Oman		116,857,469
		Pakistan — 0.9%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		41,193,932
		Panama — 1.7%
		Foreign Government Agency — 0.6%
	24,491,256	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		27,292,443
		Foreign Government Obligations — 1.1%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,312,782
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		11,348,438
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		21,840,000
	4,200,000	Panama Notas del Tesoro, 144A, 3.75%, due 04/17/26		4,415,250
				48,916,470
		Total Panama		76,208,913

8 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		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		1,400,000
		Peru — 1.1%
		Foreign Government Agency — 1.0%
	9,289,451	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25(c)		8,912,021
	30,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		37,364,144
				46,276,165
		Foreign Government Obligations — 0.1%
	3,700,000	Peruvian Government International Bond, 2.78%, due 01/23/31		4,034,850
		Total Peru		50,311,015
		Philippines — 1.7%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		13,766,696
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		62,177,760
		Total Philippines		75,944,456
		Qatar — 2.6%
		Foreign Government Agency — 0.3%
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,511,780
		Foreign Government Obligations — 2.3%
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		15,551,250
	7,300,000	Qatar Government International Bond, 144A, 3.40%, due 04/16/25		7,980,269
	17,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		19,740,187
	45,000,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		58,387,500
				101,659,206
		Total Qatar		115,170,986
		Romania — 0.7%
		Foreign Government Obligations
EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		12,800,210
	16,100,000	Romanian Government International Bond, 144A, 4.00%, due 02/14/51		16,261,000
		Total Romania		29,061,210

Par Value†		Description	Value ($)
		Russia — 2.7%
		Foreign Government Agency — 0.7%
	6,367,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		9,805,180
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		21,952,012
				31,757,192
		Foreign Government Obligations — 2.0%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		42,330,000
	8,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		10,956,000
	4,400,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		6,204,000
	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		28,340,000
				87,830,000
		Total Russia		119,587,192
		Rwanda — 0.1%
		Foreign Government Obligations
	3,587,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		3,649,773
		Saudi Arabia — 2.4%
		Corporate Debt — 0.7%
	26,550,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		29,603,250
		Foreign Government Obligations — 1.7%
	62,300,000	Saudi Government International Bond, 144A, 4.50%, due 04/22/60		77,656,950
		Total Saudi Arabia		107,260,200
		Senegal — 0.4%
		Foreign Government Obligations
	17,400,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		17,291,250
		South Africa — 3.5%
		Foreign Government Agency — 0.7%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		12,784,000
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		13,039,000
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,386,504
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		1,941,152
				29,150,656

See accompanying notes to the financial statements. 9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		South Africa — continued
		Foreign Government Obligations — 2.8%
	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		12,330,000
ZAR	453,000,000	Republic of South Africa Government International Bond, 8.75%, due 02/28/48		20,754,221
	12,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		12,186,563
	89,200,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		79,750,375
				125,021,159
		Total South Africa		154,171,815
		Sri Lanka — 1.9%
		Foreign Government Obligations
	9,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		7,902,500
	13,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		11,124,124
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		28,160,625
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		7,284,750
	35,300,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		28,780,531
		Total Sri Lanka		83,252,530
		SupraNational — 0.3%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		12,678,886
		Suriname — 0.5%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, 144A, 12.88%, due 12/30/23		9,100,000
	19,759,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26		11,009,468
		Total Suriname		20,109,468
		Tajikistan — 0.3%
		Foreign Government Obligations
	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		11,831,921
		Trinidad And Tobago — 0.9%
		Foreign Government Agency
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		9,836,750
	4,027,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,027,000
	13,521,000	Trinidad Petroleum Holdings Ltd, 144A, 9.75%, due 06/15/26		14,653,384

Par Value†		Description	Value ($)
		Trinidad And Tobago — continued
		Foreign Government Agency — continued
	10,867,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		11,777,111
		Total Trinidad And Tobago		40,294,245
		Tunisia — 1.4%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30(c)		46,444,779
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31(c)		15,359,713
		Total Tunisia		61,804,492
		Turkey — 4.2%
		Corporate Debt — 0.1%
	1,600,000	Turkiye Sinai Kalkinma Bankasi AS, 144A, 6.00%, due 01/23/25		1,486,000
		Foreign Government Agency — 0.6%
	12,400,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		11,842,000
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		4,665,625
	11,200,000	Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23		10,650,500
				27,158,125
		Foreign Government Obligations — 3.5%
	14,500,000	Republic of Turkey, 6.88%, due 03/17/36		13,960,781
	16,544,000	Republic of Turkey, 6.75%, due 05/30/40		15,349,730
	59,402,000	Republic of Turkey, 6.00%, due 01/14/41		51,141,409
	29,600,000	Republic of Turkey, 6.63%, due 02/17/45		26,612,250
	60,713,000	Republic of Turkey, 5.75%, due 05/11/47		49,727,742
				156,791,912
		Total Turkey		185,436,037
		Ukraine — 3.0%
		Foreign Government Agency — 0.7%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,438,368
	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		15,112,500
	4,094,500	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		4,217,335
	5,100,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		5,278,500
				29,046,703

10 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — 2.3%
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,097,417
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,948,410
	15,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		15,860,064
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,072,122
	35,900,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/28		41,051,650
	13,900,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		14,059,850
	11,300,000	Ukraine Government International Bond, 144A, 7.25%, due 03/15/33		11,296,469
				102,385,982
		Total Ukraine		131,432,685
		United Arab Emirates — 1.6%
		Foreign Government Agency — 1.0%
	10,000,000	DP World Plc, Reg S, 6.85%, due 07/02/37		12,715,625
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		14,630,000
	15,100,000	Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50		16,138,125
				43,483,750
		Foreign Government Obligations — 0.6%
	26,300,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		28,272,500
		Total United Arab Emirates		71,756,250
		United States — 3.7%
		Asset-Backed Securities — 0.4%
	2,039,672	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.40%, due 12/15/35		1,942,738
	971,272	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.40%, due 12/15/35		947,172
	1,500,224	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.36%, due 05/15/36		1,399,400
	9,325,244	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.33%, due 11/25/36		4,443,649

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	9,449,580	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 11/25/36		4,563,838
	4,976,863	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.54%, due 04/25/37		2,528,733
				15,825,530
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 12/31/99		528,001
	1,427,198	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23		1,423,630
				1,951,631
		U.S. Government — 3.3%
	8,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		8,156,562
	55,000,000	U.S. Treasury Note, 1.75%, due 02/28/22 (e)		56,319,141
	82,000,000	U.S. Treasury Note, 0.13%, due 05/31/22		81,971,172
	2,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.41%, due 10/31/21 (e)		2,006,467
				148,453,342
		Total United States		166,230,503
		Uruguay — 1.2%
		Foreign Government Obligations
	38,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		52,872,214
		Uzbekistan — 0.3%
		Foreign Government Obligations
	11,700,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		13,188,094
		Venezuela — 0.7%
		Foreign Government Agency — 0.2%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/49 (c) (d)		1,114,650
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		4,840,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		1,704,092
				7,658,742
		Foreign Government Obligations — 0.5%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		490,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,331,960

See accompanying notes to the financial statements. 11

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — continued
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		2,562,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		1,662,500
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		12,095,510
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		4,809,000
				22,950,970
		Total Venezuela		30,609,712
		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		22,376,255
		Foreign Government Obligations — 0.1%
	6,498,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 2.63%, due 03/13/28 (c)		5,880,690
		Total Vietnam		28,256,945
		Zambia — 0.4%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		1,876,500
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		14,346,056
		Total Zambia		16,222,556
		TOTAL DEBT OBLIGATIONS (COST $4,378,256,330)		4,205,525,760
		LOAN ASSIGNMENTS — 0.5%
		Chad — 0.4%
	8,142,416	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.24%, due 09/30/25 (c)		5,373,995
	20,774,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.49%, due 12/31/27 (c)		12,163,443
		Total Chad		17,537,438
		Indonesia — 0.0%
EUR	197,725	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (a)		230,281

Par Value†		Description	Value ($)
		Kenya — 0.1%
	6,083,333	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (a)		5,766,372
		TOTAL LOAN ASSIGNMENTS (COST $24,859,111)		23,534,091
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.6%
	12,731,250	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.56%, due 12/13/23 (c)		10,821,563
	7,283,938	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.56%, due 12/20/23 (c)		6,191,347
	12,666,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		11,653,333
		Total Angola		28,666,243
		Egypt — 0.0%
CHF	14,152	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		12,389
		Iraq — 0.3%
EUR	839,462	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (a)		652,840
JPY	2,173,530,179	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		9,206,724
JPY	283,992,408	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,203,016
JPY	120,710,790	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		509,518
		Total Iraq		11,572,098
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3
		TOTAL LOAN PARTICIPATIONS (COST $65,356,303)		40,250,733

12 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	14,838,144	GMO U.S. Treasury Fund		74,784,247
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247
		RIGHTS/WARRANTS — 0.3%
		Argentina — 0.0%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (f)		599,819
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (f)		35,117
		Total Argentina		634,936
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Reg S, Variable Rate, Expires 11/15/20 (c) (f)		84,000
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (f)		13,746,272
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, Variable Rate, Expires 01/02/21 (a) (f)		—
		TOTAL RIGHTS/WARRANTS (COST $49,622,469)		14,465,208

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.2%
	9,630,738	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g)		9,630,738
		U.S. Government — 0.1%
	1,500,000	U.S. Treasury Bill, 0.09%, due 01/31/21 (e) (h)		1,507,442
		TOTAL SHORT-TERM INVESTMENTS (COST $11,128,874)		11,138,180
		TOTAL INVESTMENTS — 98.2% (Cost $4,603,519,517)		4,369,698,219
		Other Assets and Liabilities (net) — 1.8%		80,685,079
		TOTAL NET ASSETS — 100.0%		$4,450,383,298

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/19/2020	MSCI		EUR	92,161,600		USD	105,660,417		(4,434,200	)
10/19/2020	BCLY		GBP	49,311,000		USD	62,307,407		(3,628,195	)
09/17/2020	JPM		TRY	84,000,000		USD	11,214,953		(177,246	)
10/19/2020	DB		USD	71,988,781		JPY	7,690,000,000		660,940
								$	(7,578,701	)

Reverse Repurchase Agreements

Average balance outstanding	$	(10,300,000	)
Average interest rate (net)		(0.10	)%
Maximum balance outstanding	$	(10,300,000	)

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

See accompanying notes to the financial statements. 13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
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)(a)		(701,250	)		57,489
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB)(a)		(947,472	)		(318,442	)
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)(a)		(63,322	)		86,477
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)(a)		(1,016,805	)		181,750
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)(a)		(3,490,667	)		(272,024	)
					$	(6,219,516	)	$	(264,750	)

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

140,060,000

1.00%

1.50%

N/A

06/20/2024

Quarterly

$

4,376,875

$

2,588,869

$

(1,788,006

)

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%		6.52%		N/A		12/20/2020		Quarterly		7,730,397			1,038,667			(6,691,730	)
Republic of South Africa	CITI	USD	22,400,000		1.00%		1.97%		N/A		06/20/2022		Quarterly		741,653			386,398			(355,255	)
Republic of South Africa	GS	USD	3,800,000		1.00%		1.97%		N/A		06/20/2022		Quarterly		213,052			65,550			(147,502	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		2.51%		N/A		06/20/2024		Quarterly		1,923,458			2,014,709			91,251
Commonwealth of Bahamas	DB	EUR	44,558,436		1.00%		6.11%		N/A		06/20/2025		Quarterly		6,171,081			6,519,163			348,082
Republic of South Africa	GS	USD	38,000,000		1.00%		2.90%		N/A		06/20/2025		Quarterly		4,401,764			3,187,615			(1,214,149	)
Republic of South Africa	GS	USD	3,800,000		1.00%		2.90%		N/A		06/20/2025		Quarterly		548,468			318,761			(229,707	)
Republic of Turkey	CITI	USD	12,000,000		1.00%		5.28%		N/A		06/20/2025		Quarterly		1,834,197			2,105,351			271,154
United States of Mexico	GS	USD	20,000,000		1.00%		1.78%		N/A		06/20/2029		Quarterly		1,589,641			1,233,915			(355,726	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.93%		N/A		09/20/2031		Quarterly		2,640,655			1,756,054			(884,601	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		6.52%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(1,028,319	)		6,487,045
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		6.31%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(462,745	)		178,718
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		6.31%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(925,623	)		338,292
Commonwealth of Bahamas	DB	USD	59,796,571		1.00%		6.10%		59,796,571 USD		06/20/2025		Quarterly		(6,983,424	)		(7,225,877	)		(242,453	)
Republic of Malaysia	CITI	USD	17,200,000		1.00%		0.76%		17,200,000 USD		12/20/2028		Quarterly		(845,599	)		321,665			1,167,264
Republic of Brazil	JPM	USD	10,000,000		1.00%		2.88%		10,000,000 USD		03/20/2030		Quarterly		(1,418,590	)		(1,487,418	)		(68,828	)
														$	9,126,011		$	7,817,866		$	(1,308,145	)

14 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 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 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	$	—	$	(3,288,928	)	$	(3,288,928	)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.53%	6 Month EURIBOR	EUR	30,000,000		01/24/2050	Semi-Annual		(29,167	)		(4,379,500	)		(4,350,333	)
0.18%	GBP — SONIA-COMPOUND	GBP	6,410,000		04/22/2050	Annually		7,914			548,047			540,133
							$	(21,253	)	$	(3,831,453	)	$	(3,810,200	)

As of August 31, 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 at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

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

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

(d) Security is in default.

(e) All or a portion of this security has been pledged to cover 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) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(g) The rate disclosed is the 7 day net yield as of August 31, 2020.

(h) 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 39.

See accompanying notes to the financial statements. 15

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Investment Funds		45.7	%
Debt Obligations		33.1
Short-Term Investments		19.1
Swap Contracts		1.0
Futures Contracts		0.0	^
Forward Currency Contracts		(0.1	)
Other		1.2
		100.0	%
Industry Group Summary¤	% of Investments
Consumer Cyclical		24.6	%
Communications		14.8
Consumer Non-Cyclical		13.3
Energy		11.5
Basic Industry		6.3
Finance Companies		6.2
Technology		6.2
Capital Goods		4.5
Transportation		3.7
Electric		1.5
Industrial Other		1.5
REITS		1.4
Banking		0.9
Insurance		0.8
		97.2	%

^&  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).

¤ 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%.

16

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 33.1%
		Corporate Debt — 33.0%
		Australia — 0.1%
	180,000	Adani Abbot Point Terminal Pty Ltd., 144A, 4.45%, due 12/15/22		167,936
		Canada — 2.5%
	625,000	Cenovus Energy, Inc., 5.38%, due 07/15/25		635,965
	1,000,000	Cenovus Energy, Inc., 5.25%, due 06/15/37		909,347
	1,125,000	Methanex Corp., 5.25%, due 12/15/29		1,134,804
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		91,250
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		536,250
	375,000	Taseko Mines Ltd., 144A, 8.75%, due 06/15/22		345,000
	500,000	Tervita Corp., 144A, 7.63%, due 12/01/21		420,000
		Total Canada		4,072,616
		Germany — 0.6%
	1,000,000	ZF North America Capital, Inc., 144A, 4.75%, due 04/29/25		1,056,375
		Luxembourg — 1.0%
	500,000	ArcelorMittal SA, 3.60%, due 07/16/24		526,125
	875,000	ArcelorMittal SA, 7.25%, due 10/15/39		1,124,375
		Total Luxembourg		1,650,500
		Netherlands — 0.3%
	500,000	OCI NV, 144A, 5.25%, due 11/01/24		513,750
		New Zealand — 0.4%
	750,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		690,000
		United Kingdom — 1.6%
	500,000	Avon Products, Inc., 7.00%, due 03/15/23		522,500
	44,000	Global Ship Lease, Inc., 144A, 9.88%, due 11/15/22		43,065
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		183,350
	1,125,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		1,088,488
	750,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		789,562
		Total United Kingdom		2,626,965
		United States — 26.5%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		127,813
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		420,949
	1,000,000	Antero Resources Corp., 5.13%, due 12/01/22		868,750

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	1,125,000	Apache Corp., 5.35%, due 07/01/49		1,085,051
	750,000	Ascent Resources Utica Holdings LLC / ARU Finance Corp., 144A, 10.00%, due 04/01/22		701,250
	500,000	Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144A, 10.50%, due 05/15/25		579,610
	375,000	Buckeye Partners LP, 4.35%, due 10/15/24		373,125
	625,000	Carnival Corp., 144A, 11.50%, due 04/01/23		697,212
	625,000	CDW LLC / CDW Finance Corp., 4.13%, due 05/01/25		651,703
	875,000	CenturyLink, Inc., 144A, 4.00%, due 02/15/27		889,114
	625,000	CHS/Community Health Systems, Inc., 6.25%, due 03/31/23		626,562
	875,000	Cinemark USA, Inc., 5.13%, due 12/15/22		820,312
	375,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		366,563
	1,375,000	Continental Resources, Inc., 3.80%, due 06/01/24		1,355,695
	366,000	Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, due 04/01/23		360,433
	875,000	CSC Holdings LLC, 6.75%, due 11/15/21		918,750
	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		265,000
	1,125,000	Delta Air Lines, Inc., 4.38%, due 04/19/28		1,050,418
	625,000	DISH DBS Corp., 5.88%, due 07/15/22		659,687
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		113,750
	1,375,000	EQM Midstream Partners LP, 4.75%, due 07/15/23		1,401,139
	875,000	Fluor Corp., 3.50%, due 12/15/24		683,357
	1,250,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,256,475
	980,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		996,974
	2,627,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		2,567,892
	375,000	Genworth Holdings, Inc., 7.20%, due 02/15/21		379,688
	182,000	HC2 Holdings, Inc., 144A, 11.50%, due 12/01/21		169,715
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		245,000
	375,000	Iron Mountain, Inc., 144A, REIT, 5.63%, due 07/15/32		403,125
	500,000	KB Home, 4.80%, due 11/15/29		541,250
	470,000	Kraft Heinz Foods Co., 3.95%, due 07/15/25		511,197
	625,000	Kraft Heinz Foods Co., 144A, 3.88%, due 05/15/27		668,298
	500,000	Kraft Heinz Foods Co., 6.75%, due 03/15/32		662,202

See accompanying notes to the financial statements. 17

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	696,000	Macy’s Retail Holdings LLC, 3.88%, due 01/15/22		636,840
	898,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		743,095
	1,039,000	Michael Kors USA, Inc., 144A, 4.25%, due 11/01/24		985,834
	375,000	Netflix, Inc., 4.38%, due 11/15/26		417,266
	625,000	Newell Brands, Inc., 4.70%, due 04/01/26		676,606
	500,000	Occidental Petroleum Corp., 2.90%, due 08/15/24		460,000
	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		385,000
	2,375,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		1,828,750
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		428,066
	250,000	OneMain Finance Corp., 7.75%, due 10/01/21		261,875
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		414,375
	1,125,000	QVC, Inc., 5.45%, due 08/15/34		1,119,375
	625,000	RHP Hotel Properties LP / RHP Finance Corp., REIT, 5.00%, due 04/15/23		614,456
	375,000	Rockies Express Pipeline LLC, 144A, 3.60%, due 05/15/25		368,265
	525,000	RR Donnelley & Sons Co., 8.25%, due 07/01/27		521,062
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		668,875
	500,000	Service Corp. International, 5.13%, due 06/01/29		553,935
	500,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		467,500
	1,125,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		973,125
	625,000	Southwestern Energy Co., 6.45%, due 01/23/25		627,837
	1,000,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		937,500
	625,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, due 01/15/28		638,925
	875,000	Tenet Healthcare Corp., 8.13%, due 04/01/22		944,562
	375,000	Toll Brothers Finance Corp., 5.88%, due 02/15/22		390,938
	250,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		252,563
	625,000	Urban One, Inc., 144A, 7.38%, due 04/15/22		562,500
	250,000	Vericast Corp., 144A, 8.38%, due 08/15/22		205,345

	Par Value† / Shares		Description	Value ($)
			Corporate Debt — continued
			United States — continued
		375,000	Veritas US, Inc. / Veritas Bermuda Ltd., 144A, 7.50%, due 02/01/23		375,469
		625,000	Vistra Operations Co. LLC, 144A, 5.50%, due 09/01/26		656,250
		375,000	Weekley Homes LLC / Weekley Finance Corp., 6.00%, due 02/01/23		374,063
		375,000	Western Midstream Operating LP, 4.00%, due 07/01/22		381,563
		500,000	Western Midstream Operating LP, 5.05%, due 02/01/30		512,600
		1,125,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		1,103,929
			Total United States		43,906,403
			Total Corporate Debt		54,684,545
			U.S. Government — 0.1%
		150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22 (a)		150,249
			TOTAL DEBT OBLIGATIONS (COST $53,113,717)		54,834,794
			INVESTMENT FUNDS — 45.7%
			United States — 45.7%
USD		889,667	iShares iBoxx $ High Yield Corporate Bond ETF		75,648,385
			TOTAL INVESTMENT FUNDS (COST $73,114,490)		75,648,385
			SHORT-TERM INVESTMENTS — 19.1%
			Foreign Government Obligations — 8.5%
JPY		1,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/05/20		14,163,427
			Money Market Funds — 0.9%
		1,466,462	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		1,466,462
			U.S. Government — 9.7%
		5,000,000	U.S. Treasury Bill, 0.12%, due 01/14/21 (a) (c)		4,997,821
		11,000,000	U.S. Treasury Bill, 0.11%, due 02/11/21 (c)		10,994,708
			Total U.S. Government		15,992,529
			TOTAL SHORT-TERM INVESTMENTS (COST $31,428,655)		31,622,418
			TOTAL INVESTMENTS — 97.9% (Cost $157,656,862)		162,105,597
			Other Assets and Liabilities (net) — 2.1%		3,561,404
			TOTAL NET ASSETS — 100.0%		$165,667,001

18 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
10/05/2020	DB	JPY	1,500,000,000	USD	13,966,415	$	(202,247	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
28	U.S. Treasury Note 2 Yr. (CBT)	December 2020			6,186,469			3,468
51	U.S. Treasury Note 5 Yr. (CBT)	December 2020			6,427,594			8,666
34	U.S. Treasury Note 10 Yr. (CBT)	December 2020			4,734,500			11,113
				$	17,348,563		$	23,247

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
7	U.S. Long Bond (CBT)	December 2020			1,230,031			4,413
49	U.S. Treasury Note 10 Yr. (CBT)	December 2020			6,823,250			(5,363	)
11	U.S. Ultra Bond (CBT)	December 2020			2,429,969			12,737
				$	10,483,250		$	11,787

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(743,429	)
Average interest rate (net)		(0.21	)%
Maximum balance outstanding	$	(898,268	)

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

Swap Contracts

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.34.V7-5Y	USD	29,325,690		5.00	%		3.66	%		29,325,690 USD		06/20/2025		Quarterly	$	43,723	$	1,676,579	$	1,632,856

^ 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

See accompanying notes to the financial statements. 19

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

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

⁽¹⁾  As of August 31, 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.

As of August 31, 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 August 31, 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 39

20 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund)

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		61.7	%
Short-Term Investments		29.9
Investment Funds		18.0
Mutual Funds		3.4
Swap Contracts		0.5
Loan Participations		0.0	^
Futures Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.2	)
Other		(13.3	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		87.0	%
Canada		11.0
Switzerland		9.1
Sweden		5.7
Other Emerging		4.8	*
Australia		3.8
Japan		0.1
United Kingdom		(1.5	)
New Zealand		(3.0	)
Euro Region		(17.0	)§
		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 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%.

21

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†			Value ($)
		DEBT OBLIGATIONS — 40.3%
		United States — 40.3%
		Asset-Backed Securities — 18.6%
	1,250,000	BAMLL Commercial Mortgage Securities Trust, Series 12-PARK, Class A, 144A, 2.96%, due 12/10/30		1,307,443
	5,100,000	CGRBS Commercial Mortgage Trust, Series 13-VN05, Class C, 144A, Variable Rate, 3.70%, due 03/13/35		5,388,645
	31,520,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		33,355,946
	2,210,000	Commercial Mortgage Trust, Series 13-WWP, Class B, 144A, 3.73%, due 03/10/31		2,353,556
	6,461,000	Commercial Mortgage Trust, Series 13-WWP, Class C, 144A, 3.54%, due 03/10/31		6,854,584
	6,310,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		6,744,124
	3,986,999	Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 06-4TS, Class A, 144A, 5.40%, due 12/13/28		3,991,925
	1,000,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class A, 144A, 3.35%, due 07/13/29		1,015,156
	490,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29		497,670
	250,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class E, 144A, Variable Rate, 3.56%, due 07/13/29		253,913
	300,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class F, 144A, Variable Rate, 3.56%, due 07/13/29		304,696
	375,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		381,828
	100,000	Morgan Stanley Capital I Trust, Series 14-MP, Class C, 144A, Variable Rate, 3.82%, due 08/11/33		102,004
	5,000,000	Morgan Stanley Capital I Trust, Series 14-MP, Class E, 144A, Variable Rate, 3.82%, due 08/11/33		5,100,220
		Total Asset-Backed Securities		67,651,710
		U.S. Government — 7.5%
	7,407,000	U.S. Treasury Bond, 3.75%, due 11/15/43		10,928,218
	4,750,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		6,659,463
	8,170,000	U.S. Treasury Note, 2.25%, due 08/15/49 (a)		9,664,855
		Total U.S. Government		27,252,536
		U.S. Government Agency — 14.2%
	10,600,000	Federal National Mortgage Association, TBA, 2.50%, due 09/17/35		11,121,305
	10,800,000	Federal National Mortgage Association, TBA, 3.00%, due 09/14/50		11,389,781
	15,200,000	Federal National Mortgage Association, TBA, 3.50%, due 09/14/50		16,031,250

	Par Value† / Shares			Value ($)
			U.S. Government Agency — continued
		11,500,000	Federal National Mortgage Association, TBA, 4.00%, due 09/14/50		12,255,586
		1,000,000	Government National Mortgage Association, TBA, 3.50%, due 09/21/50		1,052,500
			Total U.S. Government Agency		51,850,422
			TOTAL DEBT OBLIGATIONS (COST $139,984,418)		146,754,668
			INVESTMENT FUNDS — 18.0%
			United States — 18.0%
		483,362	iShares iBoxx $ Investment Grade Corporate Bond ETF		65,543,887
			TOTAL INVESTMENT FUNDS (COST $58,541,403)		65,543,887
			MUTUAL FUNDS — 28.5%
			United States — 28.5%
			Affiliated Issuers — 28.5%
		703,696	GMO Emerging Country Debt Fund, Class IV		18,887,198
		2,829,708	GMO Opportunistic Income Fund, Class VI		73,261,150
		2,257,034	GMO U.S. Treasury Fund		11,375,452
			TOTAL MUTUAL FUNDS (COST $106,599,495)		103,523,800
			SHORT-TERM INVESTMENTS — 27.0%
			Foreign Government Obligations — 26.1%
CAD		13,400,000	Canadian Treasury Bill, Zero Coupon, due 10/01/20		10,272,083
JPY		1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/26/20		17,941,583
JPY		3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/28/20		31,159,020
JPY		3,750,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/14/20		35,407,027
			Total Foreign Government Obligations		94,779,713
			Money Market Funds — 0.9%
		3,165,756	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		3,165,756
			TOTAL SHORT-TERM INVESTMENTS (COST $96,713,634)		97,945,469
			TOTAL INVESTMENTS — 113.8% (Cost $401,838,950)		413,767,824
			Other Assets and Liabilities (net) — (13.8%)		(50,066,715	)
			TOTAL NET ASSETS — 100.0%		$363,701,109

22 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
10/06/2020	JPM	AUD	8,410,000	USD	6,076,990		(126,533	)
10/06/2020	MSCI	AUD	14,096,000	USD	10,041,173		(356,553	)
09/03/2020	JPM	CAD	1,909,422	USD	1,410,000		(53,897	)
09/03/2020	MSCI	CAD	5,159,912	USD	3,790,000		(165,952	)
10/01/2020	DB	CAD	13,400,000	USD	9,995,293		(278,968	)
10/14/2020	MSCI	CHF	14,730,189	USD	16,150,283		(165,395	)
09/01/2020	DB	CLP	352,479,600	USD	451,943		(1,413	)
09/01/2020	JPM	CLP	2,896,938,400	USD	3,598,575		(127,439	)
09/01/2020	MSCI	CLP	1,267,259,000	USD	1,611,442		(18,493	)
11/02/2020	JPM	CLP	205,784,900	USD	262,950		(1,813	)
11/03/2020	JPM	COP	9,359,361,500	USD	2,490,616		(1,227	)
09/03/2020	MSCI	EUR	2,150,000	USD	2,434,536		(131,220	)
10/14/2020	JPM	GBP	4,679,000	USD	6,127,834		(128,513	)
10/14/2020	BOA	HUF	112,678,930	USD	380,000		1,903
10/14/2020	MSCI	HUF	580,996,591	USD	1,853,377		(96,170	)
10/26/2020	BCLY	INR	70,412,348	USD	934,371		(20,641	)
09/09/2020	DB	JPY	235,801,280	USD	2,200,000		(26,479	)
09/09/2020	JPM	JPY	270,619,401	USD	2,530,000		(25,238	)
09/09/2020	MSCI	JPY	238,179,914	USD	2,260,000		11,061
09/14/2020	DB	JPY	3,750,000,000	USD	34,974,459		(436,391	)
09/28/2020	MSCI	JPY	3,300,000,000	USD	30,746,978		(421,127	)
10/26/2020	DB	JPY	1,900,000,000	USD	17,903,584		(47,729	)
09/29/2020	BCLY	KRW	1,148,077,700	USD	960,000		(6,710	)
09/29/2020	CITI	KRW	442,871,500	USD	370,000		(2,909	)
09/29/2020	JPM	KRW	524,955,200	USD	440,000		(2,025	)
09/29/2020	MSCI	KRW	1,703,854,260	USD	1,430,000		(4,687	)
09/04/2020	JPM	NOK	53,707,670	USD	5,948,124		(200,054	)
10/20/2020	JPM	NOK	12,773,819	USD	1,450,000		(12,677	)
10/05/2020	JPM	NZD	5,340,000	USD	3,531,672		(65,176	)
11/03/2020	MSCI	PEN	1,900,395	USD	540,822		4,659
09/01/2020	BCLY	PHP	14,007,560	USD	280,000		(8,905	)
09/01/2020	CITI	PHP	9,063,900	USD	180,000		(6,942	)
09/01/2020	JPM	PHP	18,817,830	USD	370,000		(18,117	)
09/01/2020	MSCI	PHP	41,889,290	USD	863,750		(213	)
10/01/2020	MSCI	PHP	27,306,500	USD	561,250		(1,307	)
09/15/2020	JPM	PLN	9,686,455	USD	2,462,522		(167,797	)
10/15/2020	BCLY	RUB	176,898,180	USD	2,465,490		93,979
10/05/2020	BCLY	SEK	9,589,067	USD	1,100,000		(9,020	)
10/19/2020	BCLY	SGD	450,145	USD	330,000		(866	)
10/19/2020	MSCI	SGD	451,328	USD	330,000		(1,735	)
10/15/2020	BCLY	THB	44,278,143	USD	1,400,000		(22,481	)
10/15/2020	BOA	THB	10,403,217	USD	330,000		(4,214	)
09/17/2020	JPM	TRY	5,115,427	USD	682,968		(10,794	)
10/06/2020	BCLY	TWD	18,947,800	USD	650,000		3,633
10/06/2020	JPM	TWD	11,382,540	USD	390,000		1,707
11/04/2020	MSCI	USD	1,512,412	BRL	7,772,435		(96,397	)
09/03/2020	GS	USD	1,140,000	CAD	1,523,448		27,983
09/03/2020	JPM	USD	13,370,000	CAD	17,894,606		349,266
09/03/2020	MSCI	USD	6,197,657	CAD	8,461,833		289,780
10/14/2020	JPM	USD	1,670,000	CHF	1,515,017		8,086
09/01/2020	DB	USD	460,000	CLP	352,479,600		(6,644	)
09/01/2020	JPM	USD	3,705,003	CLP	2,896,938,400		21,011
09/01/2020	MSCI	USD	1,633,416	CLP	1,267,259,000		(3,480	)
10/19/2020	BOA	USD	620,000	CZK	13,660,158		750
09/03/2020	DB	USD	2,413,416	EUR	2,150,000		152,339
10/27/2020	BOA	USD	1,084,028	EUR	929,000		25,923
10/27/2020	JPM	USD	5,920,365	EUR	5,020,000		77,435
10/27/2020	MSCI	USD	2,102,055	EUR	1,760,000		760
10/14/2020	JPM	USD	3,627,284	GBP	2,750,000		49,774
10/14/2020	BCLY	USD	240,000	HUF	69,888,240		(5,488	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
10/14/2020	CITI	USD	820,000	HUF	240,765,978		(12,104	)
10/14/2020	MSCI	USD	200,000	HUF	58,441,920		(3,897	)
09/21/2020	JPM	USD	860,741	IDR	12,753,596,000		12,693
09/21/2020	MSCI	USD	300,000	IDR	4,440,660,000		4,120
10/30/2020	JPM	USD	1,462,056	ILS	4,925,594		7,520
10/26/2020	BCLY	USD	410,000	INR	30,885,710		8,907
10/26/2020	JPM	USD	710,000	INR	53,347,270		13,556
09/09/2020	CITI	USD	160,000	JPY	17,377,701		4,083
09/09/2020	GS	USD	1,450,000	JPY	153,948,820		3,613
09/09/2020	JPM	USD	16,111,064	JPY	1,764,251,753		547,326
09/29/2020	MSCI	USD	1,366,211	KRW	1,641,885,000		16,297
10/21/2020	JPM	USD	359,882	MXN	8,007,702		3,892
09/04/2020	JPM	USD	5,638,704	NOK	53,707,670		509,474
10/05/2020	BCLY	USD	119,936	NZD	180,000		1,306
10/05/2020	JPM	USD	6,681,333	NZD	10,160,000		162,107
09/01/2020	BCLY	USD	288,834	PHP	14,007,560		71
09/01/2020	CITI	USD	186,896	PHP	9,063,900		46
09/01/2020	JPM	USD	388,021	PHP	18,817,830		96
09/01/2020	MSCI	USD	847,915	PHP	41,889,290		16,048
09/15/2020	BOA	USD	970,000	PLN	3,623,157		13,854
09/15/2020	CITI	USD	2,470,857	PLN	9,506,749		110,665
09/15/2020	DB	USD	1,230,000	PLN	4,577,146		12,907
09/15/2020	JPM	USD	29,143	PLN	111,096		1,024
09/30/2020	BCLY	USD	210,000	RON	861,710		2,172
09/30/2020	BOA	USD	211,530	RON	918,178		14,546
09/30/2020	CITI	USD	180,000	RON	736,901		1,441
10/15/2020	BCLY	USD	1,090,000	RUB	81,104,516		(2,707	)
10/15/2020	CITI	USD	280,000	RUB	20,557,292		(4,407	)
10/05/2020	JPM	USD	15,010,417	SEK	130,620,649		96,471
10/15/2020	BCLY	USD	420,000	THB	13,086,108		405
10/15/2020	JPM	USD	216,548	THB	6,794,634		1,736
10/06/2020	JPM	USD	440,000	TWD	12,872,640		(875	)
10/06/2020	MSCI	USD	1,473,031	TWD	42,813,660		(12,527	)
10/30/2020	JPM	USD	2,471,211	ZAR	41,180,503		(56,775	)
						$	(696,696	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
24	U.S. Long Bond (CBT)	December 2020			4,217,250			(4,498	)
74	U.S. Treasury Note 2 Yr. (CBT)	December 2020			16,349,953			8,776
451	U.S. Treasury Note 5 Yr. (CBT)	December 2020			56,840,094			78,848
71	U.S. Treasury Note 10 Yr. (CBT)	December 2020			9,886,750			23,207
105	U.S. Treasury Ultra 10 Yr. (CBT)	December 2020			16,740,938			35,960
25	U.S. Ultra Bond (CBT)	December 2020			5,522,656			(8,852	)
				$	109,557,641		$	133,441

See accompanying notes to the financial statements. 23

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
6	Canadian Government Bond 10 Yr.	December 2020		$	694,323		$	2,014

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	0.19%	AUD	20,020,000		09/16/2022	Quarterly		2,385			9,366			6,981
(0.68)%	6 Month CHF LIBOR	CHF	26,550,000		09/16/2022	Semi-Annually		—			21,760			21,760
6 Month CHF LIBOR	(0.63)%	CHF	4,950,000		09/16/2022	Semi-Annually		354			928			574
6 Month CHF LIBOR	(0.65)%	CHF	3,650,000		09/16/2022	Semi-Annually		—			(745	)		(745	)
3 Month NZD Bank Bill Rate	0.09%	NZD	8,550,000		09/16/2022	Quarterly		—			2,472			2,472
0.21%	3 Month NZD Bank Bill Rate	NZD	24,350,000		09/16/2022	Quarterly		—			(47,212	)		(47,212	)
0.19%	3 Month NZD Bank Bill Rate	NZD	12,500,000		09/16/2022	Quarterly		—			(19,607	)		(19,607	)
(0.04)%	3 Month SEK STIBOR	SEK	218,800,000		09/16/2022	Quarterly		—			7,453			7,453
(0.03)%	3 Month SEK STIBOR	SEK	220,000,000		09/16/2022	Quarterly		—			2,909			2,909
(0.03)%	3 Month SEK STIBOR	SEK	444,700,000		09/16/2022	Quarterly		3,799			5,366			1,567
3 Month SEK STIBOR	0.02%	SEK	108,200,000		09/16/2022	Quarterly		—			8,840			8,840
(0.02)%	3 Month SEK STIBOR	SEK	55,050,000		09/16/2022	Quarterly		—			(674	)		(674	)
0.56%	3 Month CAD LIBOR	CAD	45,600,000		09/19/2022	Semi-Annually		4,390			(8,348	)		(12,738	)
6 Month EURIBOR	(0.44)%	EUR	3,350,000		09/21/2022	Semi-Annually		(431	)		(638	)		(207	)
6 Month GBP LIBOR	0.10%	GBP	32,870,000		09/21/2022	Semi-Annually		(4,350	)		(6,241	)		(1,891	)
6 Month GBP LIBOR	0.10%	GBP	42,190,000		09/21/2022	Semi-Annually		4,791			(12,554	)		(17,345	)
0.12%	6 Month GBP LIBOR	GBP	7,980,000		09/21/2022	Semi-Annually		(353	)		(1,922	)		(1,569	)
3 Month USD LIBOR	0.21%	USD	61,990,000		09/21/2022	Quarterly		5,770			(4,174	)		(9,944	)
0.84%	6 Month AUD BBSW	AUD	8,970,000		09/16/2030	Semi-Annually		(18,221	)		41,666			59,887
0.82%	6 Month AUD BBSW	AUD	4,140,000		09/16/2030	Semi-Annually		(6,567	)		23,841			30,408
6 Month AUD BBSW	0.90%	AUD	3,390,000		09/16/2030	Semi-Annually		—			816			816
6 Month AUD BBSW	0.83%	AUD	12,290,000		09/16/2030	Semi-Annually		(4,284	)		(61,502	)		(57,218	)
6 Month AUD BBSW	0.83%	AUD	7,830,000		09/16/2030	Semi-Annually		2,171			(40,309	)		(42,480	)
6 Month AUD BBSW	0.81%	AUD	5,690,000		09/16/2030	Semi-Annually		—			(38,491	)		(38,491	)
3 Month CAD LIBOR	1.07%	CAD	6,520,000		09/16/2030	Semi-Annually		(2,116	)		(20,250	)		(18,134	)
3 Month CAD LIBOR	1.06%	CAD	4,110,000		09/16/2030	Semi-Annually		—			(17,037	)		(17,037	)
3 Month CAD LIBOR	0.98%	CAD	7,990,000		09/16/2030	Semi-Annually		(6,383	)		(83,538	)		(77,155	)
3 Month CAD LIBOR	1.00%	CAD	19,160,000		09/16/2030	Semi-Annually		54,289			(164,764	)		(219,053	)
3 Month CAD LIBOR	1.08%	CAD	1,500,000		09/16/2030	Semi-Annually		—			(3,879	)		(3,879	)
3 Month CAD LIBOR	1.14%	CAD	31,480,000		09/16/2030	Semi-Annually		1,346			56,466			55,120
0.93%	3 Month CAD LIBOR	CAD	4,940,000		09/16/2030	Semi-Annually		—			69,619			69,619
(0.19)%	6 Month CHF LIBOR	CHF	2,080,000		09/16/2030	Semi-Annually		—			(9,252	)		(9,252	)
6 Month CHF LIBOR	(0.33)%	CHF	5,250,000		09/16/2030	Semi-Annually		—			(60,060	)		(60,060	)
6 Month CHF LIBOR	(0.19)%	CHF	11,940,000		09/16/2030	Semi-Annually		—			40,917			40,917
6 Month CHF LIBOR	(0.21)%	CHF	21,650,000		09/16/2030	Semi-Annually		(6,280	)		32,423			38,703
(0.32)%	6 Month CHF LIBOR	CHF	720,000		09/16/2030	Semi-Annually		—			8,032			8,032
(0.25)%	6 Month CHF LIBOR	CHF	990,000		09/16/2030	Semi-Annually		204			2,337			2,133
3 Month NZD Bank Bill Rate	0.74%	NZD	4,375,000		09/16/2030	Quarterly		39,260			36,305			(2,955	)
0.64%	3 Month NZD Bank Bill Rate	NZD	3,840,000		09/16/2030	Quarterly		—			(6,319	)		(6,319	)
0.61%	3 Month NZD Bank Bill Rate	NZD	1,740,000		09/16/2030	Quarterly		—			1,073			1,073
0.59%	3 Month NZD Bank Bill Rate	NZD	5,620,000		09/16/2030	Quarterly		(1,131	)		11,317			12,448
3 Month NZD Bank Bill Rate	0.71%	NZD	5,000,000		09/16/2030	Quarterly		—			30,348			30,348
3 Month NZD Bank Bill Rate	0.64%	NZD	2,570,000		09/16/2030	Quarterly		—			4,229			4,229
0.52%	3 Month NZD Bank Bill Rate	NZD	12,460,000		09/16/2030	Quarterly		27,447			81,458			54,011

24 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR	0.32%	SEK	11,900,000		09/16/2030	Quarterly		—			(11,953	)		(11,953	)
3 Month SEK STIBOR	0.28%	SEK	44,200,000		09/16/2030	Quarterly		—			(66,685	)		(66,685	)
3 Month SEK STIBOR	0.28%	SEK	44,350,000		09/16/2030	Quarterly		—			(64,116	)		(64,116	)
3 Month SEK STIBOR	0.29%	SEK	89,950,000		09/16/2030	Quarterly		—			(124,370	)		(124,370	)
3 Month SEK STIBOR	0.37%	SEK	11,200,000		09/16/2030	Quarterly		—			(5,474	)		(5,474	)
0.34%	3 Month SEK STIBOR	SEK	23,000,000		09/16/2030	Quarterly		(1,656	)		18,358			20,014
0.32%	3 Month SEK STIBOR	SEK	22,000,000		09/16/2030	Quarterly		—			22,098			22,098
0.36%	3 Month SEK STIBOR	SEK	21,700,000		09/16/2030	Quarterly		2,460			11,849			9,389
3 Month SEK STIBOR	0.49%	SEK	95,500,000		09/16/2030	Quarterly		—			91,233			91,233
3 Month SEK STIBOR	0.51%	SEK	127,520,000		09/16/2030	Quarterly		(11,056	)		149,590			160,646
6 Month EURIBOR	(0.25)%	EUR	960,000		09/18/2030	Semi-Annually		—			(13,199	)		(13,199	)
(0.19)%	6 Month EURIBOR	EUR	22,700,000		09/18/2030	Semi-Annually		3,831			142,429			138,598
(0.20)%	6 Month EURIBOR	EUR	32,940,000		09/18/2030	Semi-Annually		28,957			259,148			230,191
(0.20)%	6 Month EURIBOR	EUR	670,000		09/18/2030	Semi-Annually		(185	)		4,861			5,046
0.32%	6 Month GBP LIBOR	GBP	3,950,000		09/18/2030	Semi-Annually		—			75,486			75,486
0.30%	6 Month GBP LIBOR	GBP	12,010,000		09/18/2030	Semi-Annually		27,130			262,269			235,139
6 Month GBP LIBOR	0.31%	GBP	1,720,000		09/18/2030	Semi-Annually		—			(35,730	)		(35,730	)
6 Month GBP LIBOR	0.28%	GBP	1,050,000		09/18/2030	Semi-Annually		—			(26,282	)		(26,282	)
6 Month GBP LIBOR	0.30%	GBP	1,990,000		09/18/2030	Semi-Annually		—			(42,265	)		(42,265	)
6 Month GBP LIBOR	0.41%	GBP	2,770,000		09/18/2030	Semi-Annually		(7,307	)		(21,612	)		(14,305	)
6 Month GBP LIBOR	0.45%	GBP	1,620,000		09/18/2030	Semi-Annually		694			(3,049	)		(3,743	)
0.32%	6 Month GBP LIBOR	GBP	11,270,000		09/18/2030	Semi-Annually		7,948			211,625			203,677
0.60%	3 Month USD LIBOR	USD	11,260,000		09/18/2030	Quarterly		(17,204	)		119,575			136,779
0.61%	3 Month USD LIBOR	USD	26,350,000		09/18/2030	Quarterly		(71,507	)		253,846			325,353
0.70%	3 Month USD LIBOR	USD	1,450,000		09/18/2030	Quarterly		(45	)		1,105			1,150
3 Month USD LIBOR	0.53%	USD	1,300,000		09/18/2030	Quarterly		—			(22,969	)		(22,969	)
3 Month USD LIBOR	0.63%	USD	3,850,000		09/18/2030	Quarterly		—			(30,258	)		(30,258	)
3 Month USD LIBOR	0.68%	USD	1,500,000		09/18/2030	Quarterly		40			(3,434	)		(3,474	)
							$	58,190		$	1,044,501		$	986,311

As of August 31, 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 August 31, 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 39.

See accompanying notes to the financial statements. 25

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		81.4	%
Short-Term Investments		14.6
Mutual Funds		1.3
Swap Contracts		1.3
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		0.0	^
Written Options		0.0	^
Other		1.4
		100.0	%
Industry Sector Summary	% of Debt Obligations
Collateralized Loan Obligations		19.2	%
Commercial Mortgage-Backed Securities		18.4
Student Loans – Private		17.7
Residential Mortgage-Backed Securities – Other		12.1
Small Balance Commercial Mortgages		11.8
Residential Mortgage-Backed Securities – Prime		6.8
Student Loans – Federal Family Education Loan Program		6.8
Residential Mortgage-Backed Securities – Subprime		3.1
U.S. Government Agency		1.6
Residential Mortgage-Backed Securities – Alt-A		1.4
CMBS Collateralized Debt Obligations		0.9
U.S. Government		0.2
Auto Retail Subprime		0.0	^
Time Share		0.0	^
		100.0	%

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

^ Rounds to 0.0%.

26

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 81.4%
		Asset-Backed Securities — 79.9%
		Auto Retail Subprime — 0.0%
	252,148	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		253,812
		CMBS Collateralized Debt Obligations — 0.7%
	719,315	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		719,891
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,477,330
	370,553	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)		364,995
	1,714,150	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,623,985
		Total CMBS Collateralized Debt Obligations		6,186,201
		Collateralized Loan Obligations — 15.6%
	6,177,781	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 1.84%, due 05/01/27		6,176,608
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.17%, due 10/17/26		1,795,981
	171,460	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 1.22%, due 01/25/29		171,380
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.04%, due 01/27/28		4,081,000
	5,510,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.39%, due 01/20/30		5,402,054
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.41%, due 04/22/30		4,088,182
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.92%, due 07/17/28		1,233,626
	6,360,000	Garrison BSL CLO Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 1.24%, due 07/17/28		6,289,220
	3,660,112	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.28%, due 08/15/23		3,661,792
	6,412,272	Loomis Sayles CLO II Ltd., Series 15-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.18%, due 04/15/28		6,339,871

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.62%, due 07/20/26		1,465,464
	15,030,900	Mountain View CLO Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.40%, due 07/15/31		14,700,235
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.32%, due 04/22/31		3,828,099
	2,003,158	Saranac CLO III Ltd, Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.91%, due 06/22/30		1,998,394
	7,880,500	Saratoga Investment Corp. CLO Ltd., Series 13-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 2.30%, 2.57%, due 01/20/30		7,881,067
	2,845,600	Shackleton CLO Ltd., Series 13-4RA, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.27%, due 04/13/31		2,790,330
	11,974,000	Sound Point CLO II Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.07%, 1.31%, due 01/26/31		11,794,558
	6,235,025	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 1.28%, due 04/15/31		6,114,477
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.37%, due 07/18/31		4,875,036
	2,932,000	Venture XII CLO Ltd., Series 12-12A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 1.46%, due 02/28/26		2,853,968
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.14%, due 07/25/26		1,569,187
	606,934	WhiteHorse IX Ltd, Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 1.43%, due 07/17/26		605,664
	7,746,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.53%, due 10/15/31		7,639,272
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.78%, due 04/15/28		6,700,313
	18,544,342	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.43%, due 04/15/28		18,441,699
	1,878,017	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.23%, due 04/15/29		1,820,334
		Total Collateralized Loan Obligations		134,317,811
		Commercial Mortgage-Backed Securities — 15.0%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,956,826

See accompanying notes to the financial statements. 27

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		5,761,562
	4,834,200	BBCMS Mortgage Trust, Series 17-C1, Class A4, 3.67%, due 02/15/50		5,474,632
	4,498,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		4,753,833
	1,470,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		1,437,384
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		4,516,753
	7,000,000	Commercial Mortgage Trust, Series 15-CR24, Class A5, 3.70%, due 08/10/48		7,792,459
	6,334,436	Commercial Mortgage Trust, Series 15-CR25, Class A4, 3.76%, due 08/10/48		7,050,071
	233,407	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.41%, due 04/15/37		224,071
	184,408	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		184,035
	6,372,761	CSAILCommercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		7,037,986
	6,101,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		4,465,525
	4,454,370	GS Mortgage Securities Trust, Series 15-GC32, Class A4, 3.76%, due 07/10/48		4,958,765
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,209,929
	3,750,000	GS Mortgage Securities Trust, Series 16-GS2, Class B, Variable Rate, 3.76%, due 05/10/49		3,919,199
	276,240	JP Morgan Chase Commercial Mortgage Securities Trust, Series 15-JP1, Class A5, 3.91%, due 01/15/49		311,240
	805,930	JPMBB Commercial Mortgage Securities Trust, Series 15-C32, Class A5, 3.60%, due 11/15/48		891,942
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		1,371,528
	1,500,000	Manhattan West, Series 20-1MW, Class C, 144A, Variable Rate, 2.41%, due 09/10/39		1,491,755
	500,000	Manhattan West, Series 20-1MW, Class D, 144A, Variable Rate, 2.41%, due 09/10/39		487,177
	5,504,257	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		5,507,614
	4,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		3,722,574

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,239,637
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.22%, due 07/15/46		3,967,633
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 8.07%, due 07/15/33		1,111,740
	10,135,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38		8,032,108
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 3.34%, due 11/23/43		2,533,693
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.90%, due 03/23/45		8,341,726
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		7,314,666
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		1,610,052
	960,073	Wells Fargo Commercial Mortgage Trust, Series 15-NXS1, Class A5, 3.15%, due 05/15/48		1,038,525
	4,392,094	Wells Fargo Commercial Mortgage Trust, Series 16-C32, Class A4, 3.56%, due 01/15/59		4,851,861
		Total Commercial Mortgage-Backed Securities		128,568,501
		Residential Mortgage-Backed Securities — Other — 9.9%
	967,475	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28% 0.46%, due 02/25/36		308,759
	19,613,149	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.54%, due 02/25/36		1,987,483
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		7,855,363
	5,212,238	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,802,452
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,252,108
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		944,630

28 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	483,002	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 02/25/37		435,131
	2,635,130	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,575,626
	5,157,052	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,006,756
	5,227,670	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		5,318,904
	3,007,470	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,918,371
	1,953,341	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.31%, due 06/15/37		1,857,893
	352,634	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.68%, due 10/25/34		329,827
	6,638,218	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.47%, due 09/25/37		6,672,482
	4,861,062	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		1,213,240
	30,254,212	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.44%, due 06/25/36		2,379,491
	12,991,089	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		8,750,106
	12,425,634	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		5,359,772
	3,996,793	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 03/25/36		590,522
	455,823	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 02/26/34		388,401
	14,018,944	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.38%, due 03/25/36		838,214
	7,996,693	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.52%, due 03/25/36		481,352
	21,320,064	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 03/25/36		1,283,125
	510,260	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.08%, due 08/25/35		768,889

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	6,276,119	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		5,956,440
	1,572,382	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,614,019
	1,984,156	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,033,444
	4,794,483	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		4,050,383
	10,483,738	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,992,442
	1,170,253	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		950,376
	758,285	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		754,611
		Total Residential Mortgage-Backed Securities — Other		84,670,612
		Residential Mortgage-Backed Securities — Prime — 5.6%
	1,136,781	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 3.17%, due 08/25/35		1,111,956
	972,247	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.41%, due 10/25/35		972,060
	645,611	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.23%, due 08/25/35		673,829
	5,447,214	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,394,666
	2,092,648	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.72%, due 12/25/36		1,881,740
	1,617,273	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.68%, due 03/25/37		1,487,076
	11,165,424	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 04/25/46		10,055,675
	1,993,210	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,492,089
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,055,744

See accompanying notes to the financial statements. 29

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	1,316,561	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.34%, due 09/25/35		1,274,879
	1,407,725	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.03%, due 09/25/35		1,476,120
	1,519,325	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.93%, due 01/25/47		1,427,034
	3,645,287	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.63%, due 06/25/35		2,956,227
	15,075,364	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		15,451,547
		Total Residential Mortgage-Backed Securities — Prime		47,710,642
		Residential Mortgage-Backed Securities — Subprime — 2.5%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.63%, due 06/25/35		1,883,357
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.57%, due 05/26/37		2,452,177
	1,723,153	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.26%, due 08/25/35		1,717,198
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 2.05%, due 08/25/35		3,310,429
	2,335,333	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.29%, due 04/25/31 (b)		5,778,548
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 07/25/36		3,415,767
	1,544,516	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.55%, due 11/20/34		1,540,136
	1,666,320	GSAA Trust, Series 05-1, Class M1, Step Up, 5.30%, due 11/25/34		1,703,111
		Total Residential Mortgage-Backed Securities — Subprime		21,800,723
		Residential Mortgage-Backed Securities — Alt-A — 1.1%
	715,787	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		752,322

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,001,370	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.88%, due 05/25/36		841,855
	2,110,329	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.88%, due 10/25/36		806,063
	3,015,308	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,093,241
	4,870,577	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.09%, due 07/25/36		3,251,432
	946,317	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		959,441
		Total Residential Mortgage-Backed Securities — Alt-A		9,704,354
		Small Balance Commercial Mortgages — 9.6%
	420,679	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 1.02%, due 04/25/34		417,372
	380,988	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.98%, due 04/25/34		379,171
	423,422	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 3.03%, due 04/25/34		422,270
	4,676,384	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.31%, 0.49%, due 08/25/35		4,313,936
	2,396,060	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.57%, due 01/25/36		2,251,956
	1,264,535	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 0.56%, due 04/25/36		1,127,378
	1,845,991	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.23%, 0.41%, due 07/25/36		1,713,647
	3,775,997	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.46%, due 07/25/36		3,515,353
	4,928,326	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.43%, due 10/25/36		4,571,595
	2,487,152	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.40%, due 03/25/37		2,342,498
	2,015,221	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.42%, due 07/25/37		1,888,271

30 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	8,150,811	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 07/25/37		7,569,661
	5,249,067	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.50%, due 07/25/37		4,700,999
	1,128,058	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 1.03%, due 12/25/37		1,122,834
	9,654,031	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 12/25/37		9,717,356
	2,391,540	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.17%, 0.33%, due 04/15/35		2,391,540
	1,917,958	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.16%, due 04/16/35		1,726,162
	2,479,796	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.18%, due 08/25/45		2,384,863
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.58%, due 06/25/37		4,001,573
	420,403	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.43%, due 02/25/30		416,587
	1,068,262	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.53%, due 02/25/30		1,049,553
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 0.73%, due 02/25/30		971,575
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 09/25/30		2,353,673
	5,102,207	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.71%, due 04/25/31		4,999,212
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 04/25/31		1,870,855
	1,298,703	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.57%, due 09/25/36		1,256,791

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	5,924,638	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 6.21%, due 10/25/37		5,987,978
	349,202	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.08%, due 12/27/49		349,101
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.45%, due 12/27/49		3,422,457
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.61%, due 12/27/49		3,118,894
		Total Small Balance Commercial Mortgages		82,355,111
		Student Loans — Federal Family Education Loan Program — 5.5%
	4,896,307	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.43%, due 10/25/24		4,749,520
	10,100,217	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 01/25/43		8,310,347
	12,028,510	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.30%, due 01/25/23		11,760,525
	4,177,674	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.63%, due 03/28/35 (a)		3,447,186
	7,720,600	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.21%, due 06/15/21		7,371,574
	12,014,920	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.89%, due 07/25/22		11,789,562
		Total Student Loans — Federal Family Education Loan Program		47,428,714
		Student Loans — Private — 14.4%
	3,755,661	AccessLex Institute, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/25/34		3,416,494
	2,988,132	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 1.04%, due 09/27/38		2,939,317
	20,241,579	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.79%, due 12/27/41		19,632,340
	2,449,966	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 04/28/42		2,387,420

See accompanying notes to the financial statements. 31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 07/28/42		4,855,208
	1,289,442	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.66%, due 10/15/28		1,255,245
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b)		2,632,500
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		2,173,125
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		933,375
	3,157,894	National Collegiate Student Loan Trust, Series 05-3, Class A51, Variable Rate, 1 mo. LIBOR + 0.38%, 0.56%, due 10/25/33		3,034,707
	8,862,822	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.49%, due 05/25/32		8,410,870
	5,386,619	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.53%, due 03/25/33		5,090,398
	9,513,373	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.55%, due 06/25/33		9,040,281
	14,180,016	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.48%, due 10/25/33		12,976,413
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.72%, due 12/26/33		2,943,471
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		60,000
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		20,000
	6,555,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b)		6,292,800

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	3,350,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b)		3,216,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.91%, due 09/15/32		1,435,714
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.74%, due 09/15/33		8,410,241
	2,288,516	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.59%, due 12/15/38		2,271,675
	4,455,410	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.60%, due 06/15/39		4,207,023
	3,269,334	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.64%, due 06/15/39		3,089,885
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.70%, due 12/15/39		2,285,933
	3,983,397	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 1.68%, due 01/25/36		3,975,205
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.23%, due 01/25/46		6,453,538
		Total Student Loans — Private		123,439,178
		Time Share — 0.0%
	162,639	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		162,031
		Total Asset-Backed Securities		686,597,690
		U.S. Government — 0.2%
	1,586,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.22%, due 01/31/21 (c)		1,586,650
		U.S. Government Agency — 1.3%
	4,443,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — 0.02%, 0.30%, due 02/01/25 (b)		4,292,006

32 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	4,875,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.47%, due 10/29/26 (b)		4,683,329
	2,115,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.34%, due 07/01/23 (b)		2,067,834
		Total U.S. Government Agency		11,043,169
		TOTAL DEBT OBLIGATIONS (COST $730,543,266)	$	699,227,509
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers — 1.3%
	2,183,242	GMO U.S. Treasury Fund		11,003,541
		TOTAL MUTUAL FUNDS (COST $11,003,541)		11,003,541

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 14.6%
		Money Market Funds — 0.3%
	2,149,218	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d)	$	2,149,218
		U.S. Government — 14.3%
	45,500,000	U.S. Treasury Bill, 0.10%, due 09/10/20 (e)		45,499,118
	2,000,000	U.S. Treasury Bill, 0.20%, due 10/27/20 (e)		1,999,697
	75,000,000	U.S. Treasury Bill, 0.11%, due 02/04/21 (e)		74,964,250
		Total U.S. Government		122,463,065
		TOTAL SHORT-TERM INVESTMENTS (COST $124,612,457)		$124,612,283

Purchased options — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Option on Credit Default Swaps — Puts — 0.0%

ITRAXX.EUROPES.33.V1-5Y

DB

57.50

%

10/21/20

EUR 66,132,000

Fixed Spread

Pay

149,393

TOTAL PURCHASED OPTIONS (COST $164,257)	149,393
TOTAL INVESTMENTS — 97.3% (Cost $866,323,521)	834,992,726
Other Assets and Liabilities (net) — 2.7%	23,583,247
TOTAL NET ASSETS — 100.0%	$858,575,973

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/19/2020	BCLY		EUR	897,497		USD	1,065,337		(6,796	)
10/19/2020	DB		EUR	431,522		USD	507,510		(7,978	)
10/19/2020	MSCI		EUR	2,202,364		USD	2,527,176		(103,729	)
10/19/2020	BOA		USD	474,738		EUR	407,405		11,941
10/19/2020	DB		USD	983,729		EUR	858,105		41,347
10/19/2020	MSCI		USD	2,775,914		EUR	2,421,273		116,495
								$	51,280

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
36	U.S. Treasury Note 5 Yr. (CBT)		December 2020	$	4,537,125	$	(6,574	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal / Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps — Puts

ITRAXX.EUROPES.33.V1-5Y

DB

80.00

%

11/18/20

EUR

(66,132,000

)

Fixed Spread

Pay

(79,701)

CDX.NA.IGS.34.V1-5Y

BCLY

80.00

%

11/18/20

USD

(91,830,000

)

Fixed Spread

Pay

(191,489)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $457,508)

$(271,190)

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%		3.40%		N/A		12/20/2023		Quarterly		(2,406,883	)		(1,351,017	)		1,055,866
CDX-NA.HYS.33.V3-5Y	USD	8,035,200		5.00%		3.56%		N/A		12/20/2024		Quarterly		415,507			(451,249	)		(866,756	)
CDX-NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.62%		N/A		12/20/2024		Quarterly		(417,804	)		(785,856	)		(368,052	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.51%		N/A		12/20/2024		Quarterly		(859,948	)		(749,326	)		110,622
CDX-NA.IGS.34.V1-5Y	USD	91,830,000		1.00%		0.65%		N/A		06/20/2025		Quarterly		(1,388,772	)		(1,514,369	)		(125,597	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.75%		17,200,000 USD		06/20/2022		Quarterly		300,982			78,914			(222,068	)
CDX-NA.HYS.33.V3-5Y	USD	2,326,500		5.00%		3.56%		2,326,500 USD		12/20/2024		Quarterly		79,786			130,654			50,868
													$	(4,277,132	)	$	(4,642,249	)	$	(365,117	)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.74%		N/A		12/20/2020		Quarterly		710,600			(13,488	)		(724,088	)
CDX.NA.IGS.25.V1-5Y	CITI	USD	4,300,000		1.00%		0.74%		N/A		12/20/2020		Quarterly		547,891			(13,181	)		(561,072	)
CDX.NA.HYS.27.V2-5Y	GS	USD	4,458,000		5.00%		2.33%		N/A		12/20/2021		Quarterly		11,145			(4,496	)		(15,641	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		2.33%		N/A		12/20/2021		Quarterly		(11,825	)		(4,336	)		7,489
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.12%		N/A		06/20/2022		Quarterly		(165,250	)		(276,290	)		(111,040	)
CDX-NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		3.15%		N/A		12/20/2022		Quarterly		(282,711	)		363,282			645,993
CDX-NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		3.15%		N/A		12/20/2022		Quarterly		(51,765	)		49,190			100,955
CDX-NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		3.15%		N/A		12/20/2022		Quarterly		(188,414	)		195,107			383,521
Navient Corp.	GS	USD	4,050,000		5.00%		2.83%		N/A		12/20/2022		Quarterly		(421,122	)		(194,045	)		227,077
Navient Corp.	GS	USD	2,700,000		5.00%		2.83%		N/A		12/20/2022		Quarterly		(277,471	)		(129,363	)		148,108
Navient Corp.	BCLY	USD	2,082,800		5.00%		2.83%		N/A		12/20/2022		Quarterly		(160,628	)		(99,792	)		60,836
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.83%		N/A		12/20/2022		Quarterly		(264,646	)		(164,588	)		100,058
CDX-NA.HYS.33.V3-5Y	GS	USD	5,952,000		5.00%		3.83%		N/A		12/20/2024		Quarterly		(46,426	)		(378,014	)		(331,588	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		0.55%		N/A		12/20/2024		Quarterly		748,704			565,493			(183,211	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		5.27%		N/A		01/17/2047		Monthly		89,177			134,403			45,226
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		1.38%		N/A		01/17/2047		Monthly		7,975			(19,043	)		(27,018	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.89%		N/A		01/17/2047		Monthly		(119,899	)		(26,553	)		93,346

34 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

OTC Credit Default Swaps — (continued)

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.89%		N/A		01/17/2047		Monthly		47,352			(15,723	)		(63,075	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.89%		N/A		01/17/2047		Monthly		197,704			(58,209	)		(255,913	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.89%		N/A		01/17/2047		Monthly		112,812			(15,357	)		(128,169	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.89%		N/A		01/17/2047		Monthly		205,782			(46,315	)		(252,097	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.85%		N/A		10/17/2057		Monthly		247,717			123,693			(124,024	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		1.14%		N/A		10/17/2057		Monthly		140,432			18,822			(121,610	)
CMBX.NA.AS.8	CITI	USD	8,892,000		1.00%		1.14%		N/A		10/17/2057		Monthly		73,095			49,458			(23,637	)
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		9.66%		N/A		10/17/2057		Monthly		1,034,610			1,555,277			520,667
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		9.66%		N/A		10/17/2057		Monthly		400,908			953,620			552,712
CMBX.NA.AAA.9	CGMI	USD	4,000,000		0.50%		0.24%		N/A		09/17/2058		Monthly		(17,096	)		(51,918	)		(34,822	)
CMBX.NA.AAA.9	GS	USD	2,902,300		0.50%		0.24%		N/A		09/17/2058		Monthly		(14,187	)		(37,670	)		(23,483	)
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.24%		N/A		09/17/2058		Monthly		(31,983	)		(43,195	)		(11,212	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.24%		N/A		09/17/2058		Quarterly		(102,116	)		(129,794	)		(27,678	)
CMBX.NA.AAA.9	MORD	USD	5,000,000		0.50%		0.24%		N/A		09/17/2058		Monthly		(51,058	)		(64,897	)		(13,839	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		7.89%		N/A		09/17/2058		Monthly		584,727			1,052,868			468,141
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		7.89%		N/A		09/17/2058		Monthly		517,160			877,184			360,024
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		7.89%		N/A		09/17/2058		Monthly		950,085			905,374			(44,711	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		7.89%		N/A		09/17/2058		Monthly		346,611			362,150			15,539
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		7.89%		N/A		09/17/2058		Monthly		63,490			531,907			468,417
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		7.89%		N/A		09/17/2058		Monthly		955,105			704,793			(250,312	)
CMBX.NA.AAA.10	MSCI	USD	9,668,400		0.50%		0.28%		N/A		11/17/2059		Monthly		(15,090	)		(125,583	)		(110,493	)
CMBX.NA.AAA.10	MSCI	USD	1,381,200		0.50%		0.28%		N/A		11/17/2059		Monthly		(2,156	)		(17,940	)		(15,784	)
CMBX.NA.A.6	CGMI	USD	2,840,000		2.00%		8.09%		N/A		05/11/2063		Monthly		340,958			317,592			(23,366	)
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		1.63%		N/A		05/11/2063		Monthly		35,145			12,684			(22,461	)
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		22.86%		N/A		05/11/2063		Monthly		1,357,351			1,356,995			(356	)
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		2.33%		2,084,000 USD		12/20/2021		Quarterly		268,315			116,570			(151,745	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		2.33%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			481,048			(662,752	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		2.33%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			477,971			(891,793	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		2.33%		7,735,000 USD		12/20/2021		Quarterly		1,096,050			432,663			(663,387	)
CDX-NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		3.15%		5,994,100 USD		12/20/2022		Quarterly		229,274			459,605			230,331
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		3.15%		4,264,000 USD		12/20/2022		Quarterly		644,717			326,948			(317,769	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		3.15%		5,115,600 USD		12/20/2022		Quarterly		742,274			392,245			(350,029	)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,156,815		5.00%		3.41%		18,156,815 USD		12/20/2023		Quarterly		3,615,022			2,613,856			(1,001,166	)
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	1,281,711		5.00%		3.78%		1,281,711 EUR		12/20/2023		Quarterly		(953,768	)		(1,181,644	)		(227,876	)
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	310,239		5.00%		3.78%		310,239 EUR		12/20/2023		Quarterly		(216,624	)		(286,018	)		(69,394	)
CDX-NA.HYS.33.V3-5Y	CITI	USD	4,185,980		5.00%		3.83%		4,185,980 USD		12/20/2024		Quarterly		442,946			732,505			289,559
CDX-NA.HYS.33.V3-5Y	GS	USD	9,508,027		5.00%		3.83%		9,508,027 USD		12/20/2024		Quarterly		1,343,520			1,663,811			320,291
CDX-NA.HYS.33.V8-5Y	GS	USD	6,509,493		5.00%		3.83%		6,509,493 USD		12/20/2024		Quarterly		1,066,493			1,139,097			72,604
CDX-NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		0.73%		1,472,000 USD		12/20/2024		Quarterly		(820,051	)		(664,974	)		155,077
CDX.NA.HYS.33.V1-5Y	GS	USD	25,942,112		5.00%		3.83%		25,942,112 USD		12/20/2024		Quarterly		5,737,747			4,539,615			(1,198,132	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.55%		25,000,000 EUR		12/20/2024		Quarterly		114,434			174,373			59,939
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.55%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,479,992			(187,697	)
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		3.30%		6,822,400 USD		09/17/2058		Monthly		89,487			(417,534	)		(507,021	)
														$	26,083,782		$	21,680,231		$	(4,403,551	)

^ 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.

See accompanying notes to the financial statements. 35

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

⁽¹⁾  As of August 31, 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	9,700,000		11/10/2022	Quarterly		(3,226	)		(328,562	)		(325,336	)
0.27%		3 Month USD LIBOR	USD	3,700,000		05/22/2023	Quarterly		—			(5,057	)		(5,057	)
0.30%		3 Month USD LIBOR	USD	9,750,000		08/17/2024	Quarterly		—			(10,219	)		(10,219	)
1.41%		3 Month USD LIBOR	USD	32,360,000		08/20/2024	Quarterly		—			(1,463,447	)		(1,463,447	)
1.33%		3 Month USD LIBOR	USD	6,570,000		08/29/2024	Quarterly		—			(276,100	)		(276,100	)
1.80%		3 Month USD LIBOR	USD	18,686,000		01/18/2025	Quarterly		(12,720	)		(1,235,239	)		(1,222,519	)
0.46%		3 Month USD LIBOR	USD	884,000		04/29/2025	Quarterly		—			(6,279	)		(6,279	)
0.39%		3 Month USD LIBOR	USD	4,400,000		05/28/2025	Quarterly		—			(15,926	)		(15,926	)
0.48%		3 Month USD LIBOR	USD	5,200,000		04/30/2026	Quarterly		—			(29,031	)		(29,031	)
0.48%		3 Month USD LIBOR	USD	3,200,000		05/07/2026	Quarterly		—			(18,012	)		(18,012	)
1.85%		3 Month USD LIBOR	USD	4,000,000		05/19/2026	Quarterly		(7,878	)		(334,996	)		(327,118	)
0.42%		3 Month USD LIBOR	USD	3,940,000		06/04/2026	Quarterly		2,090			(8,958	)		(11,048	)
0.48%		3 Month USD LIBOR	USD	1,870,000		08/19/2027	Quarterly		—			794			794
0.88%		3 Month USD LIBOR	USD	6,595,000		03/06/2028	Quarterly		(15,632	)		(174,490	)		(158,858	)
1.94%		3 Month USD LIBOR	USD	7,123,000		06/04/2028	Quarterly		(7,452	)		(765,109	)		(757,657	)
1.95%		3 Month USD LIBOR	USD	5,500,000		07/30/2028	Quarterly		(8,135	)		(601,142	)		(593,007	)
0.56%		3 Month USD LIBOR	USD	4,790,000		09/01/2028	Quarterly		—			3,513			3,513
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			(590,359	)		(590,359	)
1.53%		3 Month USD LIBOR	USD	3,900,000		02/11/2030	Quarterly		—			(314,012	)		(314,012	)
								$	(52,953	)	$	(6,172,631	)	$	(6,119,678	)

As of August 31, 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 August 31, 2020.

(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 39

.

36 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investments Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.9	%
Other		0.1
		100.0	%

37

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investment

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value † / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		U.S. Government — 94.7%
	29,900,000	U.S. Treasury Bill, 0.12%, due 01/07/21 (a)		29,887,774
	39,000,000	U.S. Treasury Bill, 0.11%, due 01/21/21 (a)		38,983,655
	15,000,000	U.S. Treasury Note, 1.25%, due 03/31/21		15,094,336
	40,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		40,318,750
	30,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		30,274,219
	30,000,000	U.S. Treasury Note, 1.13%, due 06/30/21		30,242,578
	30,000,000	U.S. Treasury Note, 1.13%, due 07/31/21		30,261,328
	30,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		30,287,109
	20,000,000	U.S. Treasury Note, 1.13%, due 09/30/21		20,206,250
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.41%, due 10/31/21		50,161,664
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22		45,074,814
	25,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		25,599,610
		Total U.S. Government		386,392,087
		U.S. Government Agency — 4.9%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 0.19%, due 10/07/20		3,000,281
	12,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20		12,001,539
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.16%, due 09/10/21		5,000,276
		Total U.S. Government Agency		20,002,096
		Money Market Funds — 0.3%
	1,023,850	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.03% (b)		1,023,850
		TOTAL SHORT-TERM INVESTMENTS (COST $406,981,704)		407,418,033
		TOTAL INVESTMENTS — 99.9% (Cost $406,981,704)		407,418,033
		Other Assets and Liabilities (net) — 0.1%		476,525
		TOTAL NET ASSETS — 100.0%		$407,894,558

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 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 39.

38 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2020 (Unaudited)

Portfolio Abbreviations:

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

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

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

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

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

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

GBP LIBOR - London Interbank Offered Rate denominated in British 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

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

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

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

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

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

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

See accompanying notes to the financial statements. 39

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited)

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,857,830	$	74,784,247	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		143,817,489		4,294,913,972		162,105,597
Foreign currency, at value (Note 2)(c)		—		1,169,162		—
Cash		—		2,753,751		—
Receivable for investments sold		—		71,559,064		—
Dividends and interest receivable		187,801		65,131,807		732,769
Unrealized appreciation on open forward currency contracts (Note 4)		—		660,940		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		69,858
Due from broker (Note 2)		—		10,460,150		3,147,218
Receivable for open OTC swap contracts (Note 4)		—		18,947,848		—
Interest receivable for open OTC swap contracts (Note 4)		—		373,821		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		11,678		5,081		—
Receivable for options (Note 4)(d)		—		325,716		—
Miscellaneous receivable		—		1,761		—
Total assets		149,874,798		4,541,087,320		166,055,442
Liabilities:
Payable for investments purchased		887		64,490,510		—
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		—		—		2,483
Payable to affiliate for (Note 5):
Management fee		31,625		1,321,981		49,018
Shareholder service fee		9,824		427,919		7,703
Payable to agents unaffiliated with GMO		54		1,212		54
Payable for variation margin on open futures contracts (Note 4)		—		—		35,445
Payable for variation margin on open cleared swap contracts (Note 4)		—		152,818		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		8,239,641		202,247
Interest payable for open OTC swap contracts (Note 4)		—		507,408		—
Payable for open OTC swap contracts (Note 4)		—		14,418,910		—
Payable for options (Note 4)(d)		—		590,466		—
Payable to Trustees and related expenses		2,177		11,298		457
Accrued expenses		135,610		541,859		91,034
Total liabilities		180,177		90,704,022		388,441
Net assets	$	149,694,621	$	4,450,383,298	$	165,667,001
(a)  Cost of investments – affiliated issuers:	$	5,856,994	$	74,296,430	$	—
(b)  Cost of investments – unaffiliated issuers:	$	128,810,946	$	4,529,223,087	$	157,656,862
(c)  Cost of foreign currency:	$	—	$	1,192,283	$	—
(d)  Premiums on options:	$	—	$	6,219,516	$	—

40 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	194,373,255		$	4,757,749,995		$	163,144,557
Distributable earnings (accumulated loss)		(44,678,634	)		(307,366,697	)		2,522,444
	$	149,694,621		$	4,450,383,298		$	165,667,001
Net assets attributable to:
Class III	$	35,885,565		$	1,191,398,065		$	—
Class IV	$	—		$	3,258,985,233		$	—
Class VI	$	113,809,056		$	—		$	165,667,001
Shares outstanding:
Class III		1,486,545			44,315,160			—
Class IV		—			121,418,767			—
Class VI		4,700,743			—			8,263,504
Net asset value per share:
Class III	$	24.14		$	26.88		$	—
Class IV	$	—		$	26.84		$	—
Class VI	$	24.21		$	—		$	20.05

See accompanying notes to the financial statements. 41

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	103,523,800	$	11,003,541	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		310,244,024		823,989,185		407,418,033
Foreign currency, at value (Note 2)(c)		—		71,072		—
Cash		1,130		238,753		—
Receivable for investments sold		—		92,476		—
Receivable for Fund shares sold		—		515,825		—
Receivable for closed swap contracts (Note 4)		16,851		1,615,217		—
Dividends and interest receivable		330,265		1,880,172		587,666
Unrealized appreciation on open forward currency contracts (Note 4)		2,686,425		169,783		—
Due from broker (Note 2)		2,368,717		7,825,648		—
Receivable for variation margin on open futures contracts (Note 4)		170,666		—		—
Receivable for open OTC swap contracts (Note 4)		—		26,160,191		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,275,351		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		59,972		52,363		7,710
Total assets		419,401,850		874,889,577		408,013,409
Liabilities:
Foreign currency due to custodian(c)		8,074		—		—
Payable for investments purchased		51,861,039		165,729		—
Payable for Fund shares repurchased		—		10,000,000		—
Payable to affiliate for (Note 5):
Management fee		77,183		292,306		26,706
Shareholder service fee		34,298		53,062		—
Payable to agents unaffiliated with GMO		132		241		86
Payable for variation margin on open futures contracts (Note 4)		—		1,406		—
Payable for variation margin on open cleared swap contracts (Note 4)		208,101		218,331		—
Dividend payable		—		—		21,994
Unrealized depreciation on open forward currency contracts (Note 4)		3,383,121		118,503		—
Interest payable for open OTC swap contracts (Note 4)		—		490,279		—
Payable for open OTC swap contracts (Note 4)		—		4,479,960		—
Payable to Trustees and related expenses		2,239		2,688		5,620
Written options outstanding, at value (Note 4)(d)		—		271,190		—
Accrued expenses		126,554		219,909		64,445
Total liabilities		55,700,741		16,313,604		118,851
Net assets	$	363,701,109	$	858,575,973	$	407,894,558
(a)  Cost of investments – affiliated issuers:	$	106,599,495	$	11,003,541	$	—
(b)  Cost of investments – unaffiliated issuers:	$	295,239,455	$	855,319,980	$	406,981,704
(c)  Cost of foreign currency:	$	—	$	70,423	$	—
(d)  Premiums on written options:	$	—	$	457,508	$	—

42 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	363,939,787		$	953,347,638		$	407,554,910
Distributable earnings (accumulated loss)		(238,678	)		(94,771,665	)		339,648
	$	363,701,109		$	858,575,973		$	407,894,558
Net assets attributable to:
Core Class	$	—		$	—		$	407,894,558
Class III	$	81,830,551		$	—		$	—
Class IV	$	281,870,558		$	—		$	—
Class VI	$	—		$	692,323,321		$	—
Class I	$	—		$	166,252,652		$	—
Shares outstanding:
Core Class		—			—			80,971,786
Class III		3,693,113			—			—
Class IV		12,678,480			—			—
Class VI		—			26,745,605			—
Class I		—			6,432,831			—
Net asset value per share:
Core Class	$	—		$	—		$	5.04
Class III	$	22.16		$	—		$	—
Class IV	$	22.23		$	—		$	—
Class VI	$	—		$	25.89		$	—
Class I	$	—		$	25.84		$	—

See accompanying notes to the financial statements. 43

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Interest	$	937,726		$	120,533,702		$	1,184,791
Dividends from unaffiliated issuers		1,195			432,073			1,478,006
Dividends from affiliated issuers (Note 10)		11,957			115,761			7,267
Total investment income		950,878			121,081,536			2,670,064
Expenses:
Management fee (Note 5)		206,997			7,231,875			281,607
Shareholder service fee – Class III (Note 5)		25,747			819,323			—
Shareholder service fee – Class IV (Note 5)		—			1,520,034			—
Shareholder service fee – Class VI (Note 5)		36,099			—			44,253
Audit and tax fees		41,634			84,176			36,762
Custodian, fund accounting agent and transfer agent fees		19,928			334,976			25,800
Legal fees		10,077			115,285			8,811
Registration fees		4,864			38,312			680
Trustees’ fees and related expenses (Note 5)		3,274			67,344			2,445
Interest expense (Note 2)		—			95,728			1,244
Recoupment of past waived and/or reimbursed fees (Note 5)		—			—			7,278
Miscellaneous		4,366			74,002			8,349
Total expenses		352,986			10,381,055			417,229
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(72,759	)		—			—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(2,884	)		(30,142	)		(1,839	)
Net expenses		277,343			10,350,913			415,390
Net investment income (loss)		673,535			110,730,623			2,254,674
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		7,391,077			36,017,439			548,538
Investments in affiliated issuers		58,744			—			30,662
Futures contracts		—			—			428,985
Options		—			(7,034	)		—
Swap contracts		—			33,890,132			(5,869,039	)
Forward currency contracts		—			269,472			(555,894	)
Foreign currency and foreign currency related transactions		—			205,803			85,096
Net realized gain (loss)		7,449,821			70,375,812			(5,331,652	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		662,684			(108,570,493	)		4,311,614
Investments in affiliated issuers		(19,006	)		296,763			—
Futures contracts		—			—			(36,598	)
Options		—			(1,293,884	)		—
Swap contracts		—			(19,404,376	)		1,929,278
Forward currency contracts		—			(9,992,586	)		417,442
Foreign currency and foreign currency related transactions		—			147,934			—
Net change in unrealized appreciation (depreciation)		643,678			(138,816,642	)		6,621,736
Net realized and unrealized gain (loss)		8,093,499			(68,440,830	)		1,290,084
Net increase (decrease) in net assets resulting from operations	$	8,767,034		$	42,289,793		$	3,544,758

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	1,354,704		$	19,219,252		$	635,252
Dividends from affiliated issuers (Note 10)		1,089,506			8,083			—
Dividends from unaffiliated issuers		1,143,690			13,228			5,719
Total investment income		3,587,900			19,240,563			640,971
Expenses:
Management fee (Note 5)		496,879			1,537,235			138,513
Shareholder service fee – Class III (Note 5)		56,565			—			—
Shareholder service fee – Class IV (Note 5)		161,042			—			—
Shareholder service fee – Class VI (Note 5)		—			195,276			—
Shareholder service fee – Class I (Note 5)		—			43,892			—
Audit and tax fees		41,634			66,289			16,986
Custodian, fund accounting agent and transfer agent fees		79,112			125,121			31,680
Legal fees		17,657			13,580			8,366
Registration fees		4,828			18,144			1,848
Trustees’ fees and related expenses (Note 5)		7,575			12,926			4,732
Interest expense (Note 2)		9,907			709			—
Miscellaneous		6,161			18,735			4,027
Total expenses		881,360			2,031,907			206,152
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(136,615	)		(207,593	)		(58,506	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(204,788	)		(2,070	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(32,515	)		—			—
Net expenses		507,442			1,822,244			147,646
Net investment income (loss)		3,080,458			17,418,319			493,325
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		3,161,732			(761,000	)		898,838
Investments in affiliated issuers		(1,270,643	)		61,299			—
Realized gain distributions from affiliated issuers (Note 10)		220,820			—			—
Futures contracts		6,171,866			801,368			—
Written options		—			(57,708	)		—
Swap contracts		7,657,696			5,174,925			—
Forward currency contracts		(1,715,010	)		1,012			—
Foreign currency and foreign currency related transactions		(827,111	)		5,047			—
Net realized gain (loss)		13,399,350			5,224,943			898,838
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,040,493			(29,763,245	)		(237,879	)
Investments in affiliated issuers		(744,796	)		(40,861	)		—
Futures contracts		(1,778,156	)		(68,554	)		—
Written Options		—			1,694,138			—
Swap contracts		(4,234,309	)		4,088,374			—
Forward currency contracts		495,613			82,246			—
Foreign currency and foreign currency related transactions		1,918			(3,996	)		—
Net change in unrealized appreciation (depreciation)		(5,219,237	)		(24,011,898	)		(237,879	)
Net realized and unrealized gain (loss)		8,180,113			(18,786,955	)		660,959
Net increase (decrease) in net assets resulting from operations	$	11,260,571		$	(1,368,636	)	$	1,154,284

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Emerging Country Debt Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	673,535		$	7,889,067		$	110,730,623		$	221,319,017
Net realized gain (loss)		7,449,821			6,054,299			70,375,812			111,192,411
Change in net unrealized appreciation (depreciation)		643,678			15,537,386			(138,816,642	)		27,585,038
Net increase (decrease) in net assets from operations		8,767,034			29,480,752			42,289,793			360,096,466
Distributions to shareholders:
Class III		(72,392	)		(2,812,796	)		(30,738,803	)		(86,984,349	)
Class IV		—			—			(85,667,038	)		(184,491,074	)
Class VI		(251,385	)		(10,562,420	)		—			—
Total distributions		(323,777	)		(13,375,216	)		(116,405,841	)		(271,475,423	)
Net share transactions (Note 9):
Class III		(7,231,868	)		(44,781,434	)		68,994,032			(193,723,603	)
Class IV		—			—			99,873,983			310,461,408
Class VI		(85,050,607	)		(126,433,401	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(92,282,475	)		(171,214,835	)		168,868,015			116,737,805
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			677,525			1,185,127
Class IV		—			—			1,911,308			2,605,465
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			2,588,833			3,790,592
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(92,282,475	)		(171,214,835	)		171,456,848			120,528,397
Total increase (decrease) in net assets		(83,839,218	)		(155,109,299	)		97,340,800			209,149,440
Net assets:
Beginning of period		233,533,839			388,643,138			4,353,042,498			4,143,893,058
End of period	$	149,694,621		$	233,533,839		$	4,450,383,298		$	4,353,042,498

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,254,674		$	4,998,965		$	3,080,458		$	15,443,713
Net realized gain (loss)		(5,331,652	)		13,609,310			13,399,350			33,693,622
Change in net unrealized appreciation (depreciation)		6,621,736			(3,757,036	)		(5,219,237	)		23,835,389
Net increase (decrease) in net assets from operations		3,544,758			14,851,239			11,260,571			72,972,724
Distributions to shareholders:
Class III		—			—			(2,551,326	)		(4,223,692	)
Class IV		—			—			(9,048,529	)		(27,712,585	)
Class VI		(1,296,440	)		(16,679,907	)		—			—
Total distributions		(1,296,440	)		(16,679,907	)		(11,599,855	)		(31,936,277	)
Net share transactions (Note 9):
Class III		—			—			1,398,480			(8,936,625	)
Class IV		—			—			(167,652,043	)		(166,424,406	)
Class VI		1,969,203			(49,483,824	)		—			—
Increase (decrease) in net assets resulting from net share transactions		1,969,203			(49,483,824	)		(166,253,563	)		(175,361,031	)
Total increase (decrease) in net assets		4,217,521			(51,312,492	)		(166,592,847	)		(134,324,584	)
Net assets:
Beginning of period		161,449,480			212,761,972			530,293,956			664,618,540
End of period	$	165,667,001		$	161,449,480		$	363,701,109		$	530,293,956

See accompanying notes to the financial statements. 47

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	17,418,319		$	51,863,736		$	493,325		$	9,860,244
Net realized gain (loss)		5,224,943			5,513,015			898,838			1,018,767
Change in net unrealized appreciation (depreciation)		(24,011,898	)		(7,623,564	)		(237,879	)		864,705
Net increase (decrease) in net assets from operations		(1,368,636	)		49,753,187			1,154,284			11,743,716
Distributions to shareholders:
Core Class		—			—			(492,200	)		(9,860,244	)
Class VI		(7,315,089	)		(48,827,021	)		—			—
Class I		(431,114	)		(249,504	)*		—			—
Total distributions		(7,746,203	)		(49,076,525	)		(492,200	)		(9,860,244	)
Net share transactions (Note 9):
Core Class		—			—			184,470,847			(414,899,246	)
Class VI		(123,421,071	)		(176,144,018	)		—			—
Class I		142,551,991			22,560,690	*		—			—
Increase (decrease) in net assets resulting from net share transactions		19,130,920			(153,583,328	)		184,470,847			(414,899,246	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		—			320,758			—			—
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			320,758			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		10,016,081			(152,585,908	)		185,132,931			(413,015,774	)
Net assets:
Beginning of period		848,559,892			1,001,145,800			222,761,627			635,777,401
End of period	$	858,575,973		$	848,559,892		$	407,894,558		$	222,761,627

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

48 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016								2020				2019				2018				2017				2016
Net asset value, beginning of period		$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	26.36			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21			$	26.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09				0.55				0.54				0.33				0.18				0.01				0.10				0.56				0.57				0.36				0.21				0.06
Net realized and unrealized gain (loss)			1.44				1.52				0.18				(0.31	)			(0.19	)			(2.58	)			1.44				1.53				0.18				(0.33	)			(0.19	)			(2.61	)
Total from investment operations			1.53				2.07				0.72				0.02				(0.01	)			(2.57	)			1.54				2.09				0.75				0.03				0.02				(2.55	)
Less distributions to shareholders:
From net investment income			(0.05	)			(1.02	)			(1.06	)			(0.22	)			—				(1.63	)			(0.05	)			(1.04	)			(1.10	)			(0.24	)			—				(1.64	)
Total distributions			(0.05	)			(1.02	)			(1.06	)			(0.22	)			—				(1.63	)			(0.05	)			(1.04	)			(1.10	)			(0.24	)			—				(1.64	)
Net asset value, end of period		$	24.14			$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	24.21			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21
Total Return(b)			6.75	%**			9.74	%			3.37	%			0.07	%			(0.05	)%			(9.88	)%			6.80	%**			9.83	%			3.48	%			0.12	%			0.09	%			(9.79	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	35,886			$	41,124			$	82,801			$	207,008			$	282,272			$	352,828			$	113,809			$	192,410			$	305,842			$	1,019,135			$	1,209,721			$	1,888,505
Net operating expenses to average daily net assets			0.41	%(c)*			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.40	%(c)			0.32	%(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			0.41	%(c)*			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.42	%(c)			0.32	%(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)			0.77	%*			2.49	%			2.48	%			1.50	%			0.81	%			0.03	%			0.82	% *			2.49	%			2.57	%			1.59	%			0.94	%			0.27	%
Portfolio turnover rate			19	%(f)**			16	%(f)			59	%(f)			89	%			130	%(f)			177	%			19	%(f)**			16	%(f)			59	%(f)			89	%			130	%(f)			177	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%(g)*			0.06	%(g)			0.04	%			0.02	%			0.02	%			0.03	%			0.09	%(g)*			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 expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 25%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 49

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	28.47			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98			$	28.44
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.68				1.44				1.36				1.36				1.94				1.53				0.68				1.43				1.37				1.39				1.95				1.53
Net realized and unrealized gain (loss)			(0.47	)			0.91				(1.19	)			0.32				3.01	(c)			(2.04	)			(0.46	)			0.94				(1.19	)			0.29				3.01	(c)			(2.01	)
Total from investment operations			0.21				2.35				0.17				1.68				4.95				(0.51	)			0.22				2.37				0.18				1.68				4.96				(0.48	)
Less distributions to shareholders:
From net investment income			(0.40	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(0.41	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)
From net realized gains			(0.31	)			—				—				—				—				—				(0.31	)			—				—				—				—				—
Total distributions			(0.71	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(0.72	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)			(1.98	)
Net asset value, end of period		$	26.88			$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	26.84			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98
Total Return(d)			0.92	%**			8.97	%			0.97	%			5.81	%			19.47	%			(1.77	)%			0.95	%**			9.08	%			1.02	%			5.83	%			19.50	%			(1.73	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,191,398			$	1,133,945			$	1,294,577			$	1,273,188			$	1,067,086			$	827,667			$	3,258,985			$	3,219,098			$	2,849,316			$	2,862,977			$	3,018,159			$	3,099,809
Net operating expenses to average daily net assets(e)			0.54	%*			0.53	%			0.52	%			0.53	%			0.54	%			0.54	%			0.49	%*			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)			0.00	%(g)*			0.01	%			0.02	%			0.00	%(g)			—				0.00	%(g)			0.00	%(g)*			0.01	%			0.02	%			0.00	%(g)			—				0.00	%(g)
Total net expenses to average daily net assets(e)			0.54	%*			0.54	%			0.54	%			0.53	%			0.54	%			0.54	%			0.49	%*			0.49	%			0.49	%			0.48	%			0.49	%			0.49	%
Net investment income (loss) to average daily net assets(b)			5.33	%*			5.23	%			4.99	%			4.57	%			6.76	%			5.58	%			5.37	%*			5.22	%			5.04	%			4.67	%			6.81	%			5.60	%
Portfolio turnover rate			29	%(h)**			41	%(h)			15	%(h)			34	%(h)			21	%(h)			20	%			29	%(h)**			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)			0.00	%(g)			0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.03			$	0.03			$	0.03			$	0.04	(a)		$	0.04	(a)		$	0.02			$	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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 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.

* Annualized.

** Not annualized.

50 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 29, 2020				Period From June 25, 2018 (commencement of operations) through February 28, 2019
Net asset value, beginning of period		$	19.94			$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.27				0.48				0.27
Net realized and unrealized gain (loss)			0.02				0.82				0.71
Total from investment operations			0.29				1.30				0.98
Less distributions to shareholders:
From net investment income			(0.16	)			(1.57	)			(0.61	)
From net realized gains			(0.02	)			—				(0.16	)
Total distributions			(0.18	)			(1.57	)			(0.77	)
Net asset value, end of period		$	20.05			$	19.94			$	20.21
Total Return(b)			1.49	%**			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	165,667			$	161,449			$	212,762
Net operating expenses to average daily net assets(c)(d)			0.52	%*			0.52	%			0.51	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(g)*			0.03	%			0.04	%*
Total net expenses to average daily net assets(c)(d)			0.52	%*			0.55	%			0.55	%*
Net investment income (loss) to average daily net assets(a)			2.80	%*			2.34	%			2.00	%*
Portfolio turnover rate(f)			199	%**			105	%			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(g)(h)*			0.00	%(g)(h)			0.12	%*

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

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020 and February 28, 2019, including transactions in USTF, was 216%, 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.

See accompanying notes to the financial statements. 51

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (FORMERLY CORE PLUS BOND FUND)

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	22.19			$	20.88			$	20.93			$	21.10			$	21.39			$	23.43			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45			$	23.49
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.18				0.53				0.51				0.41				0.26				0.24				0.17				0.54				0.48				0.46				0.24				0.27
Net realized and unrealized gain (loss)			0.52				2.01				0.49				(0.06	)			0.25				(1.14	)			0.53				2.02				0.53				(0.10	)			0.29				(1.17	)
Total from investment operations			0.70				2.54				1.00				0.35				0.51				(0.90	)			0.70				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			(0.73	)			(0.59	)			—				—				—				—				(0.73	)			(0.59	)			—				—				—				—
Total distributions			(0.73	)			(1.23	)			(1.05	)			(0.52	)			(0.80	)			(1.14	)			(0.73	)			(1.24	)			(1.05	)			(0.53	)			(0.83	)			(1.14	)
Net asset value, end of period		$	22.16			$	22.19			$	20.88			$	20.93			$	21.10			$	21.39			$	22.23			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45
Total Return(c)			3.19	%**			12.38	%			4.88	%			1.61	%			2.44	%			(3.93	)%			3.18	%**			12.44	%			4.93	%			1.68	%			2.55	%			(3.91	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	81,831			$	80,639			$	84,163			$	34,641			$	22,172			$	52,187			$	281,871			$	449,655			$	580,456			$	920,637			$	566,433			$	215,060
Net operating expenses to average daily net assets(d)			0.30	%*			0.29	%			0.29	%			0.29	%			0.35	%			0.35	%			0.25	%*			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)			0.00	%(f)			0.01	%			0.00	%(f)*			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.01	%
Total net expenses to average daily net assets(d)			0.30	%*			0.29	%			0.29	%			0.29	%			0.35	%			0.36	%			0.25	%*			0.24	%			0.24	%			0.24	%			0.30	%			0.31	%
Net investment income (loss) to average daily net assets(b)			1.58	%*			2.43	%			2.41	%			1.91	%			1.21	%			1.14	%			1.54	%*			2.47	%			2.29	%			2.14	%			1.10	%			1.17	%
Portfolio turnover rate			114	%(g)**			215	%(g)			201	%(g)			198	%(g)			216	%(g)			21	%			114	%(g)**			215	%(g)			201	%(g)			198	%(g)			216	%(g)			21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.19	%*			0.16	%			0.16	%			0.14	%			0.30	%			0.21	%			0.19	%*			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 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) 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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 157%, 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.

* Annualized.

** Not annualized.

52 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
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29																				Six Months Ended August 31, 2020 (Unaudited)				Period from November 5, 2019 (commencement of operations) through February 29, 2020
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	26.15			$	26.21			$	26.41			$	25.78			$	24.57			$	24.80			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.58				1.46				1.32				1.15				0.96				0.53				0.52				0.54
Net realized and unrealized gain (loss)			(0.56	)			(0.06	)			(0.38	)			0.18				0.89				(0.34	)			(0.54	)			(0.08	)
Total from investment operations			0.02				1.40				0.94				1.33				1.85				0.19				(0.02	)			0.46
Less distributions to shareholders:
From net investment income			(0.28	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(0.26	)			(1.19	)
Total distributions			(0.28	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(0.42	)			(0.26	)			(1.19	)
Net asset value, end of period		$	25.89			$	26.15			$	26.21			$	26.41			$	25.78			$	24.57	(b)		$	25.84			$	26.12
Total Return(c)			0.08	%**			5.45	%			3.58	%			5.18	%			7.62	%			0.77	%			(0.05	)%**			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	692,323			$	825,876			$	1,001,146			$	1,205,954			$	1,510,894			$	1,648,019			$	166,253			$	22,684
Net operating expenses to average daily net assets(d)			0.46	%*			0.47	%			0.49	%			0.47	%			0.33	%			0.31	%			0.65	%*			0.66	%*
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)			0.00	%(f)			0.00	%(f)			0.00	%(f)*			0.00	%(f)*
Total net expenses to average daily net assets(d)			0.46	%*			0.47	%			0.49	%			0.47	%			0.33	%			0.31	%			0.65	%*			0.66	%*
Net investment income (loss) to average daily net assets(a)			4.58	%*			5.50	%			4.99	%			4.39	%			3.82	%			2.13	%			4.01	%*			6.55	%*
Portfolio turnover rate			14	%(g)**			47	%(g)			75	%(g)			152	%(g)			66	%(g)			66	%			14	%(g)**			47	%(g)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(h)*			0.04	%(h)			0.04	%			0.03	%			0.04	%			0.03	%			0.08	%(h)*			0.07	%(h)*
		$	—			$	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 the 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)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 17%, 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. 53

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019(a)				2018(a)				2017(a)				2016(a)
Net asset value, beginning of period		$	5.02			$	5.00			$	5.00			$	5.01			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.10				0.10				0.05				0.02				0.01
Net realized and unrealized gain (loss)			0.02				0.02				0.01				(0.01	)			0.00	(b)			0.00	(b)
Total from investment operations			0.03				0.12				0.11				0.04				0.02				0.01
Less distributions to shareholders:
From net investment income			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)
From net realized gains			—				—				—				—				(0.00	)(b)			(0.00	)(b)
Total distributions			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)			(0.01	)
Net asset value, end of period		$	5.04			$	5.02			$	5.00			$	5.00			$	5.01			$	5.01
Total Return(c)			0.55	%**			2.47	%			2.16	%			0.96	%			0.54	%			0.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	407,895			$	222,762			$	635,777			$	2,324,706			$	2,666,697			$	4,033,504
Net expenses to average daily net assets			0.09	% *			0.06	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			0.28	% *			2.03	%			1.97	%			1.06	%			0.47	%			0.16	%
Portfolio turnover rate(e)			0	% **			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	% *			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.

* Annualized.

** Not annualized.

54 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2020 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund (formerly Core Plus Bond 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
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of benchmark
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Bloomberg Barclays U.S. Aggregate 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

55

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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.

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 period ended August 31, 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

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

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price 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 August 31, 2020:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	143,687,333	$	—	$	143,687,333
TOTAL DEBT OBLIGATIONS		—		143,687,333		—		143,687,333
Mutual Funds		5,857,830		—		—		5,857,830
Short-Term Investments		130,156		—		—		130,156
Total Investments		5,987,986		143,687,333		—		149,675,319
Total	$	5,987,986	$	143,687,333	$	—	$	149,675,319
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	30,554,261	$	—	$	30,554,261
Corporate Debt		—		171,282,557		31,494,173		202,776,730
Foreign Government Agency		—		1,081,181,982		104,396,951		1,185,578,933
Foreign Government Obligations		—		2,505,078,781		133,083,713		2,638,162,494
U.S. Government		148,453,342		—		—		148,453,342
TOTAL DEBT OBLIGATIONS		148,453,342		3,788,097,581		268,974,837		4,205,525,760
Loan Assignments		—		—		23,534,091		23,534,091
Loan Participations		—		—		40,250,733		40,250,733
Mutual Funds		74,784,247		—		—		74,784,247
Rights/Warrants		—		14,346,091		119,117		14,465,208
Short-Term Investments		11,138,180		—		—		11,138,180
Total Investments		234,375,769		3,802,443,672		332,878,778		4,369,698,219
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		660,940		—		660,940
Options
Credit Risk		—		—		325,716		325,716
Swap Contracts
Credit Risk		—		21,536,717		—		21,536,717
Interest Rate Risk		—		548,047		—		548,047
Total	$	234,375,769	$	3,825,189,376	$	333,204,494	$	4,392,769,639

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August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(8,239,641	)	$	—		$	(8,239,641	)
Options
Credit Risk		—			—			(590,466	)		(590,466	)
Swap Contracts
Credit Risk		—			(11,129,982	)		—			(11,129,982	)
Interest Rate Risk		—			(7,668,428	)		—			(7,668,428	)
Total	$	—		$	(27,038,051	)	$	(590,466	)	$	(27,628,517	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	54,684,545		$	—		$	54,684,545
U.S. Government		150,249			—			—			150,249
TOTAL DEBT OBLIGATIONS		150,249			54,684,545			—			54,834,794
Investment Funds		75,648,385			—			—			75,648,385
Short-Term Investments		17,458,991			14,163,427			—			31,622,418
Total Investments		93,257,625			68,847,972			—			162,105,597
Derivatives^
Futures Contracts
Interest Rate Risk		40,397			—			—			40,397
Swap Contracts
Credit Risk		—			1,676,579			—			1,676,579
Total	$	93,298,022		$	70,524,551		$	—		$	163,822,573
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(202,247	)	$	—		$	(202,247	)
Futures Contracts
Interest Rate Risk		(5,363	)		—			—			(5,363	)
Total	$	(5,363	)	$	(202,247	)	$	—		$	(207,610	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	67,651,710		$	—		$	67,651,710
U.S. Government		27,252,536			—			—			27,252,536
U.S. Government Agency		—			51,850,422			—			51,850,422
TOTAL DEBT OBLIGATIONS		27,252,536			119,502,132			—			146,754,668
Investment Funds		65,543,887			—			—			65,543,887
Mutual Funds		103,523,800			—			—			103,523,800
Short-Term Investments		3,165,756			94,779,713			—			97,945,469
Total Investments		199,485,979			214,281,845			—			413,767,824
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,686,425			—			2,686,425
Futures Contracts
Interest Rate Risk		148,805			—			—			148,805
Swap Contracts
Interest Rate Risk		—			2,123,413			—			2,123,413
Total	$	199,634,784		$	219,091,683		$	—		$	418,726,467

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August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(3,383,121	)	$	—	$	(3,383,121	)
Futures Contracts
Interest Rate Risk		(13,350	)		—			—		(13,350	)
Swap Contracts
Interest Rate Risk		—			(1,078,912	)		—		(1,078,912	)
Total	$	(13,350	)	$	(4,462,033	)	$	—	$	(4,475,383	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	661,679,161		$	24,918,529	$	686,597,690
U.S. Government		1,586,650			—			—		1,586,650
U.S. Government Agency		—			—			11,043,169		11,043,169
TOTAL DEBT OBLIGATIONS		1,586,650			661,679,161			35,961,698		699,227,509
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		124,612,283			—			—		124,612,283
Purchased Options		—			149,393			—		149,393
Total Investments		137,202,474			661,828,554			35,961,698		834,992,726
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			169,783			—		169,783
Swap Contracts
Credit Risk		—			26,369,759			—		26,369,759
Interest Rate Risk		—			4,307			—		4,307
Total	$	137,202,474		$	688,372,403		$	35,961,698	$	861,536,575
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(118,503	)	$	—	$	(118,503	)
Futures Contracts
Interest Rate Risk		(6,574	)		—			—		(6,574	)
Written Options
Credit Risk		—			(271,190	)		—		(271,190	)
Swap Contracts
Credit Risk		—			(9,331,777	)		—		(9,331,777	)
Interest Rate Risk		—			(6,176,938	)		—		(6,176,938	)
Total	$	(6,574	)	$	(15,898,408	)	$	—	$	(15,904,982	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	407,418,033		$	—		$	—	$	407,418,033
Total Investments		407,418,033			—			—		407,418,033
Total	$	407,418,033		$	—		$	—	$	407,418,033

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.

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

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on a comparable bond and applying a 200 basis point discount for liquidity considerations and a Republic of Kenya loan agreement, which is valued by applying 500 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 150 basis points for liquidity considerations and six asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt, valued using the latest transaction of a comparable bond, or priced in line with broker marks. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 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 29, 2020		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3		Balances as of August 31, 2020			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	29,902,115	$	—	$	—		$	(806	)	$	—		$	1,592,864		$	—	$	—	$	31,494,173		$	1,592,864
Foreign Government Agency		170,402,802		—		(25,952,601	)		8,005,038			1,595,536			(49,653,824	)		—		—		104,396,951			(43,880,196	)
Foreign Government Obligations		173,035,182		1,465,730		(8,323,335	)		13,887,212			—			(46,981,076	)		—		—		133,083,713			(46,135,194	)
Loan Assignments		14,402,514		11,639,508		(1,059,476	)		281,380			—			(1,729,835	)		—		—		23,534,091			(1,729,835	)
Loan Participations		47,750,729		2,632,500		(7,701,233	)		1,226,005			—			(3,657,268	)		—		—		40,250,733			(3,657,267	)
Rights/Warrants		2,082,394		—		—			—			(5,892,796	)		3,929,519			—		—		119,117			(883,216	)
Total Investments		437,575,736		15,737,738		(43,036,645	)		23,398,829			(4,297,260	)		(96,499,620	)		—		—		332,878,778			(94,692,844	)
Derivatives
Options		1,036,169		—		—			—			(7,034	)		(1,293,885	)		—		—		(264,750	)		(935,551	)
Total	$	438,611,905	$	15,737,738	$	(43,036,645	)#	$	23,398,829		$	(4,304,294	)	$	(97,793,505	)	$	—	$	—	$	332,614,028		$	(95,628,395	)

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August 31, 2020 (Unaudited)

	Balances as of February 29, 2020		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	25,989,481	$	30	$	(1,985,348	)	$	99,380	$	—	$	(1,358,139	)	$	2,173,125	‡	$	—	$	24,918,529	$	(1,358,139	)
U.S. Government Agency		12,228,802		—		(1,221,250	)		16,406		—		19,211			—			—		11,043,169		19,211
Total	$	38,218,283	$	30	$	(3,206,598	)##	$	115,786	$	—	$	(1,338,928	)	$	2,173,125		$	—	$	35,961,698	$	(1,338,928	)

# Includes $13,337,682 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $3,206,598 of proceeds received from partial calls and/or principal paydowns as applicable.

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

Some Funds have material Level 3 investments. The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2020.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Emerging Country Debt Fund
Foreign Government Olbigations		45,728,738		Fair Value		Discount for lack of liquidity/marketabilty		1.40% (N/A)
Corporate Debt		31,494,173		Fair Value		Discount for lack of liquidity/marketabilty		2.00% (N/A)
Loan Assignments and Participations		6,661,882		Fair Value		Discount for lack of liquidity/marketabilty		5.00%-6.00% (5.14%)
Options		(264,750)		Fair Value		Probability of CDS threshold event		<5% (N/A)
Warrants		0		Fair Value		Probability of warrant payment trigger		<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		5,778,548		Fair Value		Probability and timing of cash flow receipt		25-75% (N/A)
Asset-Backed Securities		5,739,000		Fair Value		Broker mark of comparable bond		N/A (N/A)
Asset-Backed Securities		9,508,800		Fair Value		Trade correlation with observed comparable bond		N/A (N/A)
Government Agency		11,043,169		Fair Value		Discount for lack of liquidity/marketabilty		1.50% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2020, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $248,993,985 and $3,892,181, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

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.

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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

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

62

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August 31, 2020 (Unaudited)

Reverse repurchase agreements

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

Inflation-indexed bonds

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

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

Delayed delivery commitments and when-issued securities

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

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the 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

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large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 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 their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

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

As of February 29, 2020, certain Funds elected to defer to March 1, 2020 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		(166,200)		—
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		(1,188,513)		—
Opportunistic Income Fund		—		—
U.S. Treasury Fund		—		(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)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		(291,118)		(24,729,028)
Opportunistic Income Fund		—		(66,270,766)
U.S. Treasury Fund		(941,359)		(25,858)

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As of August 31, 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		134,786,004		14,889,315		—		14,889,315		—
Emerging Country Debt Fund		4,741,553,242		351,836,374		(723,691,397)		(371,855,023)		(16,707,757)
High Yield Fund		157,670,574		5,132,709		(697,686)		4,435,023		1,465,643
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		401,866,335		15,079,711		(3,178,222)		11,901,489		425,070
Opportunistic Income Fund		870,935,734		18,588,238		(54,531,246)		(35,943,008)		(10,657,322)
U.S. Treasury Fund		406,981,704		437,008		(679)		436,329		—

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

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/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).

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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 (e.g., 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. For example, GMO 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), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of August 31, 2020, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Emerging Country Debt Fund(1)	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund(2)	U.S. Treasury Fund
Purchase Premium	—	1.00%	—	—	—	—
Redemption Fee	—	1.00%	—	—	—	—

⁽¹⁾  For the periods from May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed. 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 March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU 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.

	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond 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
Smaller 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

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expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and 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,

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netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner can be expected to be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

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

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

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

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

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.

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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 investments 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 investment 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, forward contracts, 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., forward currency contracts), (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

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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 the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.

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.

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 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, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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 generally is less favorable to the Funds than the documentation for typical bilateral derivatives. For

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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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. 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 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 these 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 different kinds of costs and risks.

The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.

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). If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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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 do 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. A Fund that invests in Underlying Funds (including underlying GMO Funds) is exposed to the risk that the Underlying Funds will not perform as expected. A Fund also is 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), 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.

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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.

The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.

• 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 increases 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 recover or be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, should the futures commission merchant become insolvent, a Fund may be unable to recover all (or any) of the margin it has deposited or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits (referred to as “speculative position limits”) on the maximum net long or net short positions that any person and certain of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives, and those limits may adversely affect the market liquidity of those futures and derivatives. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

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Futures contracts traded on markets outside the United States are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange nor have the power to compel enforcement of the rules of a foreign exchange or the laws of the country where the exchange is located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity securities or securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress. For example, inflation-protected securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are often more susceptible than other securities to price declines when market prices decline generally.

A Fund may buy securities or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

The Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is 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 under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of 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

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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. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or

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digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics 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, as well as in early 2020) 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

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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 have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in 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 subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.

Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and 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, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, 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

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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. Issuers of asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds are 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. 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 be attributable to 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. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 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.

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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, for example, 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 investments, 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 principal 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 fee.

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. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a material adverse effect on 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 imposition of 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.

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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 GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.

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

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

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

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war); increased risk of nationalization, expropriation, or other confiscation of issuer assets; greater governmental involvement in the economy or in the affairs of specific companies or industries (including wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e. a market freeze); unavailability of currency hedging techniques; less rigorous auditing and financial

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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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.

• SMALLER 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.

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.

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

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

For Funds that held derivatives during the period ended August 31, 2020, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk	X	X	X	X
Adjust exposure to foreign currencies	X	X	X
Futures contracts
Adjust interest rate exposure		X	X	X
Maintain the diversity and liquidity of the portfolio		X	X	X
Options (Purchased)
Adjust currency exchange rate risk			X
Adjust exposure to foreign currencies			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
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
Provide a measure of protection against default loss	X			X
Provide exposure to the Fund’s benchmark		X	X
Adjust exposure to foreign currencies	X
Hedge non-core equity exposure			X

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Forward currency contracts

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

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

Futures contracts

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

Options

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

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

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized

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gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

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

Swap contracts

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

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

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

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

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

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

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

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a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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

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

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

* * *

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020 and the Statements of Operations for the period ended August 31, 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 Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	660,940	$	—	$	—	$	660,940
Options, at value		325,716		—		—		—		—		325,716
Swap Contracts, at value¤		21,536,717		—		—		548,047		—		22,084,764
Total	$	21,862,433	$	—	$	660,940	$	548,047	$	—	$	23,071,420

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Emerging Country Debt Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(8,239,641	)	$	—		$	—	$	(8,239,641	)
Options, at value		(590,466	)		—		—			—			—		(590,466	)
Swap Contracts, at value¤		(11,129,982	)		—		—			(7,668,428	)		—		(18,798,410	)
Total	$	(11,720,448	)	$	—	$	(8,239,641	)	$	(7,668,428	)	$	—	$	(27,628,517	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	269,472		$	—		$	—	$	269,472
Options		(7,034	)		—		—			—			—		(7,034	)
Swap Contracts		35,280,121			—		—			(1,389,989	)		—		33,890,132
Total	$	35,273,087		$	—	$	269,472		$	(1,389,989	)	$	—	$	34,152,570
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	(9,992,586	)	$	—		$	—	$	(9,992,586	)
Options		(1,293,884	)		—		—			—			—		(1,293,884	)
Swap Contracts		(21,409,849	)		—		—			2,005,473			—		(19,404,376	)
Total	$	(22,703,733	)	$	—	$	(9,992,586	)	$	2,005,473		$	—	$	(30,690,846	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—		$	—	$	—		$	40,397		$	—	$	40,397
Swap Contracts, at value¤		1,676,579			—		—			—			—		1,676,579
Total	$	1,676,579		$	—	$	—		$	40,397		$	—	$	1,716,976
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(202,247	)	$	—		$	—	$	(202,247	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(5,363	)		—		(5,363	)
Total	$	—		$	—	$	(202,247	)	$	(5,363	)	$	—	$	(207,610	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	(555,894	)	$	—		$	—	$	(555,894	)
Futures Contracts		—			—		—			428,985			—		428,985
Swap Contracts		(3,174,820	)		—		—			(2,694,219	)		—		(5,869,039	)
Total	$	(3,174,820	)	$	—	$	(555,894	)	$	(2,265,234	)	$	—	$	(5,995,948	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	417,442		$	—		$	—	$	417,442
Futures Contracts		—			—		—			(36,598	)		—		(36,598	)
Swap Contracts		1,815,337			—		—			113,941			—		1,929,278
Total	$	1,815,337		$	—	$	417,442		$	77,343		$	—	$	2,310,122
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	2,686,425		$	—		$	—	$	2,686,425
Unrealized Appreciation on Futures Contracts¤		—			—		—			148,805			—		148,805
Swap Contracts, at value¤		—			—		—			2,123,413			—		2,123,413
Total	$	—		$	—	$	2,686,425		$	2,272,218		$	—	$	4,958,643
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(3,383,121	)	$	—		$	—	$	(3,383,121	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(13,350	)		—		(13,350	)
Swap Contracts, at value¤		—			—		—			(1,078,912	)		—		(1,078,912	)
Total	$	—		$	—	$	(3,383,121	)	$	(1,092,262	)	$	—	$	(4,475,383	)

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	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	4,830		$	—		$	—	$	4,830
Forward Currency Contracts		—			—		(1,715,010	)		—			—		(1,715,010	)
Futures Contracts		—			—		—			6,171,866			—		6,171,866
Swap Contracts		—			—		—			7,657,696			—		7,657,696
Total	$	—		$	—	$	(1,710,180	)	$	13,829,562		$	—	$	12,119,382
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	4,601		$	—		$	—	$	4,601
Forward Currency Contracts		—			—		495,613			—			—		495,613
Futures Contracts		—			—		—			(1,778,156	)		—		(1,778,156	)
Swap Contracts		—			—		—			(4,234,309	)		—		(4,234,309	)
Total	$	—		$	—	$	500,214		$	(6,012,465	)	$	—	$	(5,512,251	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	149,393		$	—	$	—		$	—		$	—	$	149,393
Unrealized Appreciation on Forward Currency Contracts		—			—		169,783			—			—		169,783
Swap Contracts, at value¤		26,369,759			—		—			4,307			—		26,374,066
Total	$	26,519,152		$	—	$	169,783		$	4,307		$	—	$	26,693,242
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(118,503	)	$	—		$	—	$	(118,503	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			(6,574	)		—		(6,574	)
Written Options, at value		(271,190	)		—		—			—			—		(271,190	)
Swap Contracts, at value¤		(9,331,777	)		—		—			(6,176,938	)		—		(15,508,715	)
Total	$	(9,602,967	)	$	—	$	(118,503	)	$	(6,183,512	)	$	—	$	(15,904,982	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	738,408		$	—	$	—		$	—		$	—	$	738,408
Forward Currency Contracts		—			—		1,012			—			—		1,012
Futures Contracts		—			—		—			801,368			—		801,368
Written Options		(57,708	)		—		—			—			—		(57,708	)
Swap Contracts		7,414,859			—		—			(2,239,934	)		—		5,174,925
Total	$	8,095,559		$	—	$	1,012		$	(1,438,566	)	$	—	$	6,658,005
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(1,202,199	)	$	—	$	—		$	—		$	—	$	(1,202,199	)
Forward Currency Contracts		—			—		82,246			—			—		82,246
Futures Contracts		—			—		—			(68,554	)		—		(68,554	)
Written Options		1,694,138			—		—			—			—		1,694,138
Swap Contracts		6,458,883			—		—			(2,370,509	)		—		4,088,374
Total	$	6,950,822		$	—	$	82,246		$	(2,439,063	)	$	—	$	4,594,005

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements 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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 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 August 31, 2020:

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
Citibank N.A.	$	4,828,123	$	(4,828,123	)	$	—		$	—	*
Deutsche Bank AG		8,544,486		—			8,544,486			—
Goldman Sachs International		6,561,895		(3,272,967	)		(3,288,928	)		—	*
Total	$	19,934,504	$	(8,101,090	)	$	5,255,558		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	3,628,195	$	(3,525,065	)	$	—		$	103,130
Deutsche Bank AG		10,233,030		(1,688,544	)		(8,544,486	)		—	*
Goldman Sachs International		3,288,928		—			3,288,928			—
JPMorgan Chase Bank, N.A.		1,664,664		(1,549,216	)		—			115,448
Morgan Stanley & Co. International PLC		4,434,200		(4,202,752	)		—			231,448
Total	$	23,249,017	$	(10,965,577	)	$	(5,255,558	)	$	450,026

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High Yield Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Deutsche Bank AG	$	202,247	$	(181,921	)	$	—	$	20,326
Total	$	202,247	$	(181,921	)	$	—	$	20,326

Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	56,976	$	—		$	—		$	56,976
Barclays Bank PLC		110,473		(33,655	)		(76,818	)		—	*
Citibank N.A.		116,235		—			—			116,235
Deutsche Bank AG		165,246		—			165,246			—
Goldman Sachs International		31,596		—			—			31,596
JPMorgan Chase Bank, N.A.		1,863,174		(798,937	)		(998,950	)		65,287
Morgan Stanley & Co. International PLC		342,725		—			342,725			—
Total	$	2,686,425	$	(832,592	)	$	(567,797	)	$	270,094
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.	$	4,214	$	(4,214	)	$	—		$	—	*
Barclays Bank PLC		76,818		—			76,818			—
Citibank N.A.		26,362		(26,362	)		—			—	*
Deutsche Bank AG		797,624		(632,378	)		(165,246	)		—	*
JPMorgan Chase Bank, N.A.		998,950		—			998,950			—
Morgan Stanley & Co. International PLC		1,479,153		(1,136,428	)		(342,725	)		—	*
Total	$	3,383,121	$	(1,799,382	)	$	567,797		$	—

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.	$	1,622,023	$	(1,392,809	)	$	(29,211	)	$	200,003
Citibank N.A.		1,241,568		(560,000	)		(678,155	)		3,413
Citigroup Global Markets Inc.		2,513,783		(2,461,865	)		(51,918	)		—	*
Credit Suisse International		123,693		(100,000	)		—			23,693
Deutsche Bank AG		1,973,298		(1,640,000	)		(172,441	)		160,857
Goldman Sachs International		12,822,816		(11,497,500	)		(1,325,316	)		—	*
JPMorgan Chase Bank, N.A.		3,940,039		(2,468,041	)		(1,471,998	)		—	*
Morgan Stanley & Co. International PLC		116,495		—			116,495			—
Morgan Stanley Capital Services LLC		2,125,652		(2,014,440	)		(111,212	)		—	*
Total	$	26,479,367	$	(22,134,655	)	$	(3,723,756	)	$	387,966

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Opportunistic Income 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.	$	29,211	$	—		$	29,211		$	—
Barclays Bank PLC		738,955		(738,955	)		—			—	*
Citibank N.A.		678,155		—			678,155			—
Citigroup Global Markets Inc.		51,918		—			51,918			—
Deutsche Bank AG		172,441		—			172,441			—
Goldman Sachs International		1,325,316		—			1,325,316			—
JPMorgan Chase Bank, N.A.		1,471,998		—			1,471,998			—
Morgan Stanley & Co. International PLC		290,447		(173,952	)		(116,495	)		—	*
Morgan Stanley Capital Services LLC		111,212		—			111,212			—
Total	$	4,869,653	$	(912,907	)	$	3,723,756		$	—

* 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 principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		222,648,250		—		251,543,000		801,805,604
High Yield Fund		36,396,358		15,997,456		—		65,599,026
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		393,404,618		114,960,076		1,773,830		461,897,078
Opportunistic Income Fund		7,047,490		11,519,914		66,070,421		715,692,222

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	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund	U.S. Treasury Fund
Management Fee	0.25%	0.35%	0.35%	0.25%	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

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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%
Emerging Country Debt Fund		0.15%			0.10%
High Yield Fund		0.15%	*		0.10%	*		0.085%*		0.055%		0.15%*		0.15%	*
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		0.15%			0.10%							0.15%*		0.15%	*
Opportunistic Income Fund		0.15%	*							0.055%		0.15%*		0.15%

* Class is offered but has no shareholders as of August 31, 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to Class I shareholders 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.

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

For the period ended August 31, 2020, GMO recouped the following previously recorded waivers and/or reimbursements.

	Recoupment Amount ($)
High Yield Fund, Class VI		7,278

On August 31, 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		$    —		$85,249		$        —

GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee to the extent necessary to offset the management fee and shareholder service fee paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

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August 31, 2020 (Unaudited)

These contractual waivers and reimbursements will continue through at least June 30, 2021 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 provided by financial intermediaries 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 for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of 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. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. 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 I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		3,274		350
Emerging Country Debt Fund		67,344		6,962
High Yield Fund		2,445		237
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		7,575		754
Opportunistic Income Fund		12,926		1,343
U.S. Treasury Fund		4,732		387

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 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
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		0.122%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2020, the Funds did not engage in these transactions.

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6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2020 are noted in the table below:

Fund Name	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		30,674,749		11,341,713		119,119,258		14,180,000
Emerging Country Debt Fund		225,132,629		1,115,096,564		615,035,135		527,319,513
High Yield Fund		50,315,517		214,883,089		50,529,533		197,463,507
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		362,808,486		200,925,089		456,861,785		271,036,160
Opportunistic Income Fund		—		118,621,702		24,625,107		149,868,982
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.

8. Principal shareholders and related parties as of August 31, 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	‡		88.20%		<0.01%		99.97%
Emerging Country Debt Fund		1			10.17%		0.13%		14.85%
High Yield Fund		3	‡		99.94%		0.05%		99.94%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		2	#		65.11%		0.01%		93.80%
Opportunistic Income Fund		3	#		72.36%		0.49%		79.61%
U.S. Treasury Fund		3	‡		51.83%		3.66%		67.80%

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

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

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August 31, 2020 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		69,213		$	1,589,816			110,325		$	2,474,600
Shares issued to shareholders in reinvestment of distributions		3,103			72,392			126,900			2,798,964
Shares repurchased		(400,686	)		(8,894,076	)		(2,253,855	)		(50,054,998	)
Net increase (decrease)		(328,370	)	$	(7,231,868	)		(2,016,630	)	$	(44,781,434	)
Class VI:
Shares sold		384,442		$	8,853,053			202,925		$	4,483,781
Shares issued to shareholders in reinvestment of distributions		8,263			193,346			414,203			9,160,744
Shares repurchased		(4,161,410	)		(94,097,006	)		(6,261,332	)		(140,077,926	)
Net increase (decrease)		(3,768,705	)	$	(85,050,607	)		(5,644,204	)	$	(126,433,401	)
Emerging Country Debt Fund
Class III:
Shares sold		3,405,778		$	83,432,956			7,880,299		$	217,000,478
Shares issued to shareholders in reinvestment of distributions		1,118,039			28,521,163			2,957,296			79,423,521
Shares repurchased		(1,619,469	)		(42,960,087	)		(17,701,435	)		(490,147,602	)
Purchase premiums		—			473,308			—			446,109
Redemption fees		—			204,217			—			739,018
Net increase (decrease)		2,904,348		$	69,671,557			(6,863,840	)	$	(192,538,476	)
Class IV:
Shares sold		9,388,512		$	241,628,831			19,712,189		$	544,492,697
Shares issued to shareholders in reinvestment of distributions		2,973,816			75,743,088			5,991,783			160,731,422
Shares repurchased		(8,696,510	)		(217,497,936	)		(14,371,734	)		(394,762,711	)
Purchase premiums		—			1,333,546			—			993,428
Redemption fees		—			577,762			—			1,612,037
Net increase (decrease)		3,665,818		$	101,785,291			11,332,238		$	313,066,873
High Yield Fund
Class VI:
Shares sold		1,855,180		$	35,072,764			98,276		$	2,056,846
Shares issued to shareholders in reinvestment of distributions		67,876			1,296,439			820,617			16,679,907
Shares repurchased		(1,756,894	)		(34,400,000	)		(3,348,294	)		(68,220,577	)
Net increase (decrease)		166,162		$	1,969,203			(2,429,401	)	$	(49,483,824	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III:
Shares sold		454,165		$	10,140,846			171,785		$	3,857,759
Shares issued to shareholders in reinvestment of distributions		116,286			2,551,326			197,461			4,223,692
Shares repurchased		(510,930	)		(11,293,692	)		(765,786	)		(17,018,076	)
Net increase (decrease)		59,521		$	1,398,480			(396,540	)	$	(8,936,625	)

95

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued)
Class IV:
Shares sold		910,569		$	20,098,246			360,886		$	7,771,423
Shares issued to shareholders in reinvestment of distributions		381,197			8,393,955			1,233,567			26,460,017
Shares repurchased		(8,812,567	)		(196,144,244	)		(9,111,663	)		(200,655,846	)
Net increase (decrease)		(7,520,801	)	$	(167,652,043	)		(7,517,210	)	$	(166,424,406	)
Opportunistic Income Fund
Class VI:
Shares sold		1,458,047		$	37,400,430			702,105		$	18,486,845
Shares issued to shareholders in reinvestment of distributions		249,677			6,366,770			1,589,564			41,113,159
Shares repurchased		(6,547,641	)		(167,188,271	)		(8,905,218	)		(235,744,022	)
Purchase premiums		—			—			—			69,702
Redemption fees		—			—			—			251,056
Net increase (decrease)		(4,839,917	)	$	(123,421,071	)		(6,613,549	)	$	(175,823,260	)
Class I:*
Shares sold		5,828,054			148,979,080			880,843			22,880,307
Shares issued to shareholders in reinvestment of distributions		10,318			262,810			9,193			236,179
Shares repurchased		(273,950	)		(6,689,899	)		(21,627	)		(555,796	)
Net increase (decrease)		5,564,422		$	142,551,991			868,409		$	22,560,690
U.S. Treasury Fund
Core Class:
Shares sold		233,358,882		$	1,175,253,157			785,807,533		$	3,930,131,346
Shares issued to shareholders in reinvestment of distributions		38,409			193,486			1,061,376			5,309,001
Shares repurchased		(196,773,285	)		(990,975,796	)		(869,725,175	)		(4,350,339,593	)
Net increase (decrease)		36,624,006		$	184,470,847			(82,856,266	)	$	(414,899,246	)

* The period under the heading “Year Ended February 29, 2020” represents the period from November 5, 2019 (commencement of operations) through 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 period ended August 31, 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
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	8,656,379	$	11,341,713	$	14,180,000	$	11,957	$	—	$	58,744	$	(19,006	)	$	5,857,830
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,487,484	$	—	$	—	$	115,761	$	—	$	—	$	296,763		$	74,784,247

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August 31, 2020 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
High Yield Fund
GMO U.S. Treasury Fund	$	385,180	$	28,755,749	$	29,171,591	$	7,267	$	—	$	30,662		$	—		$	—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
GMO Emerging Country Debt Fund, Class IV	$	29,316,657	$	—	$	9,500,000	$	285,841	$	220,820	$	(1,146,052	)	$	216,593		$	18,887,198
GMO Opportunistic Income Fund, Class VI		108,395,452		—		34,000,000		780,716		—		(176,931	)		(957,371	)		73,261,150
GMO U.S. Treasury Fund		4,517,130		171,600,000		164,790,000		22,949		—		52,340			(4,018	)		11,375,452
Totals	$	142,229,239	$	171,600,000	$	208,290,000	$	1,089,506	$	220,820	$	(1,270,643	)	$	(744,796	)	$	103,523,800
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,256,103	$	18,500,000	$	17,773,000	$	8,083	$	—	$	61,299		$	(40,861	)	$	11,003,541

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

97

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2020 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

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GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches

99

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO High Yield Fund

Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

100

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Multi-Sector Fixed Income Fund

Approval of renewal of management agreement for GMO Multi-Sector Fixed Income Fund (formerly, GMO Core Plus Bond Fund) (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance

101

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

102

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

103

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management agreement. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

104

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2020 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

105

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2020 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.

106

GMO Trust Funds

Fund Expenses

August 31, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 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, March 1, 2020 through August 31, 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 March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,067.50		$2.14		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,068.00		$1.67		$1,000.00		$1,023.59		$1.63		0.32%
Emerging Country Debt Fund
Class III		$1,000.00		$1,009.20		$2.73		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$1,009.50		$2.48		$1,000.00		$1,022.74		$2.50		0.49%
High Yield Fund
Class VI		$1,000.00		$1,014.90		$2.64		$1,000.00		$1,022.58		$2.65		0.52%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III		$1,000.00		$1,031.90		$2.15		$1,000.00		$1,023.09		$2.14		0.42%
Class IV		$1,000.00		$1,031.80		$1.89		$1,000.00		$1,023.34		$1.89		0.37%
Opportunistic Income Fund
Class VI		$1,000.00		$1,000.80		$2.32		$1,000.00		$1,022.89		$2.35		0.46%
Class I		$1,000.00		$999.50		$3.28		$1,000.00		$1,021.93		$3.31		0.65%
U.S. Treasury Fund
Core		$1,000.00		$1,005.50		$0.45		$1,000.00		$1,024.75		$0.46		0.09%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

107

GMO Trust

Semiannual Report

August 31, 2020

Climate Change Fund

Cyclical Focus 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 or private placement memorandum, 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 and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect). The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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

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

TABLE OF CONTENTS

Climate Change Fund
Investment Concentration Summary	1
Schedule of Investments	2
Cyclical Focus Fund
Investment Concentration Summary	5
Schedule of Investments	6
Emerging Domestic Opportunities Fund
Investment Concentration Summary	8
Schedule of Investments	9
Emerging Markets Fund
Investment Concentration Summary	12
Schedule of Investments	13
International Equity Fund
Investment Concentration Summary	20
Schedule of Investments	21
Quality Fund
Investment Concentration Summary	25
Schedule of Investments	26
Resources Fund
Investment Concentration Summary	28
Schedule of Investments	29
Risk Premium Fund
Investment Concentration Summary	32
Schedule of Investments	33
Tax-Managed International Equities Fund
Investment Concentration Summary	34
Schedule of Investments	35
U.S. Equity Fund
Investment Concentration Summary	40
Schedule of Investments	41
U.S. Small Cap Value Fund
Investment Concentration Summary	45
Schedule of Investments	46
Portfolio, Counterparty and Currency Abbreviations	51
Fund Financial Statements:
Statements of Assets and Liabilities	52
Statements of Operations	58
Statements of Changes in Net Assets	61
Financial Highlights	67
Notes to Financial Statements	84
Board Review of Investment Management Agreements	133
Liquidity Risk Management Program	146
Fund Expenses	147

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		92.7	%
Mutual Funds		4.0
Preferred Stocks		3.0
Short-Term Investments		0.5
Other		(0.2	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		31.0	%
France		9.0
Japan		9.0
Canada		7.7
China		4.9
Russia		4.6
Italy		4.5
United Kingdom		3.3
Chile		3.0
Other Emerging		3.0	†
Germany		2.7
Spain		2.7
Mexico		2.4
Other Developed		2.0	‡
Norway		1.7
Portugal		1.7
Finland		1.5
Brazil		1.5
Switzerland		1.4
Denmark		1.2
Australia		1.2
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		39.8	%
Energy Efficiency		23.1
Agriculture		14.0
Electric Grid		9.1
Water		7.5
Copper		6.5
		100.0	%

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

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

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

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

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

1

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.7%
		Argentina — 0.9%
	260,615	Adecoagro SA *		1,318,712
		Australia — 1.2%
	364,764	Sandfire Resources NL		1,250,686
	100,804	Tassal Group Ltd		270,843
	145,129	Western Areas Ltd		237,116
		Total Australia		1,758,645
		Brazil — 1.5%
	173,400	Duratex SA		503,567
	277,400	Sao Martinho SA		1,223,831
	73,300	SLC Agricola SA		336,095
		Total Brazil		2,063,493
		Canada — 7.7%
	231,863	Canadian Solar Inc *		7,533,229
	217,400	Ivanhoe Mines Ltd – Class A *		858,366
	1,720,100	Largo Resources Ltd *(a)		1,411,053
	52,600	Lundin Mining Corp		329,468
	54,100	NFI Group Inc (a)		732,062
	10,000	TransAlta Renewables Inc (a)		122,207
		Total Canada		10,986,385
		China — 4.9%
	495,500	CECEP Solar Energy Co Ltd – Class A		321,363
	1,097,000	Chaowei Power Holdings Ltd		467,607
	667,000	China Longyuan Power Group Corp Ltd – Class H		420,423
	1,450,000	China Suntien Green Energy Corp Ltd – Class H *		388,619
	732,000	China Water Affairs Group Ltd		601,870
	55,500	Hollysys Automation Technologies Ltd		601,065
	1,382,000	Sinofert Holdings Ltd *		129,983
	140,100	Sungrow Power Supply Co Ltd – Class A		447,848
	950,000	Tianneng Power International Ltd		2,043,654
	848,000	Wasion Group Holdings Ltd		250,267
	425,474	Zhengzhou Yutong Bus Co Ltd – Class A		881,030
	127,200	Zhuzhou CRRC Times Electric Co Ltd – Class H		407,898
		Total China		6,961,627
		Denmark — 1.2%
	785	Rockwool International A/S – Class B		296,601
	9,683	Vestas Wind Systems A/S		1,463,993
		Total Denmark		1,760,594
		Finland — 1.5%
	42,741	Kemira Oyj		590,745
	29,153	Neste Oyj		1,560,716
		Total Finland		2,151,461

Shares		Description	Value ($)
		France — 9.0%
	8,365	Albioma SA		442,756
	107,732	Electricite de France SA		1,133,246
	22,332	Nexans SA *		1,252,753
	12,492	Schneider Electric SE		1,544,903
	36,243	STMicroelectronics NV		1,095,245
	118,357	Suez		2,043,873
	78,929	Valeo SA		2,423,868
	94,616	Veolia Environnement SA		2,282,801
	10,885	Vilmorin & Cie SA		615,266
		Total France		12,834,711
		Germany — 2.7%
	13,683	CENTROTEC Sustainable AG *		230,251
	74,818	E.ON SE		886,130
	9,265	Encavis AG		169,230
	4,900	Infineon Technologies AG		136,251
	209	Knorr-Bremse AG		26,557
	17,650	Siemens AG (Registered)		2,445,683
		Total Germany		3,894,102
		India — 0.5%
	609,266	Jain Irrigation Systems Ltd *		94,026
	265,086	Power Grid Corp of India Ltd		648,425
		Total India		742,451
		Israel — 0.8%
	322,795	ICL Group Ltd		1,199,188
		Italy — 4.5%
	446,185	Enel SPA		4,040,291
	8,164	ERG SPA		216,022
	76,070	Prysmian SPA		2,125,901
		Total Italy		6,382,214
		Japan — 8.9%
	10,100	Central Japan Railway Co		1,514,211
	900	Daikin Industries Ltd		169,529
	22,700	East Japan Railway Co		1,477,741
	46,300	Ebara Corp		1,191,113
	56,200	GS Yuasa Corp		930,038
	15,300	Iseki & Co Ltd		167,379
	32,600	Kurita Water Industries Ltd		1,020,993
	5,700	METAWATER Co Ltd		239,461
	47,700	Osaki Electric Co Ltd		243,650
	208,000	Panasonic Corp		1,916,753
	232,900	Renesas Electronics Corp *		1,465,845
	14,000	Sanken Electric Co Ltd		288,429
	47,200	Takuma Co Ltd		755,584
	17,600	Tsukishima Kikai Co Ltd		208,500

2 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	21,800	West Japan Railway Co		1,146,397
		Total Japan		12,735,623
		Mexico — 2.4%
	1,203,057	Grupo Mexico SAB de CV		3,210,791
	196,700	Grupo Rotoplas SAB de CV * (a)		143,826
		Total Mexico		3,354,617
		Netherlands — 0.8%
	48,743	Arcadis NV * (a)		1,118,369
		Norway — 1.7%
	224,754	Austevoll Seafood ASA		2,072,804
	27,157	Grieg Seafood ASA		275,028
	1,183	Mowi ASA		23,142
		Total Norway		2,370,974
		Pakistan — 0.4%
	769,421	Fauji Fertilizer Co Ltd		501,223
		Portugal — 1.7%
	463,127	EDP—Energias de Portugal SA		2,354,338
		Russia — 4.6%
	123,414	MMC Norilsk Nickel PJSC ADR		3,238,950
	182,766	PhosAgro PJSC GDR (Registered)		2,162,850
	116,061	Ros Agro Plc GDR (Registered)		1,168,379
		Total Russia		6,570,179
		Spain — 2.7%
	6,627	Acciona SA (a)		792,366
	2,409	Construcciones y Auxiliar de Ferrocarriles SA		86,225
	58,919	Endesa SA		1,635,575
	12,468	Fomento de Construcciones y Contratas SA		122,204
	54,179	Red Electrica Corp SA		1,036,885
	31,940	Talgo SA *		145,713
		Total Spain		3,818,968
		Sweden — 0.3%
	12,960	Holmen AB – B Shares *		462,221
		Switzerland — 1.4%
	769	Gurit Holding AG		1,455,050
	9,179	Landis+Gyr Group AG *		553,682
		Total Switzerland		2,008,732
		Taiwan — 0.3%
	58,000	Delta Electronics Inc		373,020
		Thailand — 0.2%
	525,000	SPCG Pcl		301,954

Shares		Description	Value ($)
		Ukraine — 0.7%
	98,018	Kernel Holding SA		1,025,949
		United Kingdom — 3.3%
	19,600	Abengoa Yield Plc		588,588
	213,489	Drax Group Plc		803,786
	60,493	Go-Ahead Group Plc		529,196
	156,230	KAZ Minerals Plc		1,205,138
	90,880	Polypipe Group Plc		526,889
	159,653	Renewables Infrastructure Group Ltd (The)		292,087
	961,840	Renewi Plc		298,797
	667,156	Stagecoach Group Plc		384,179
		Total United Kingdom		4,628,660
		United States — 26.9%
	17,300	AGCO Corp.		1,230,030
	11,460	Albemarle Corp.		1,042,975
	74,439	BorgWarner, Inc.		3,021,479
	54,400	Delphi Technologies Plc *		944,928
	19,100	Eaton Corp Plc		1,950,110
	15,300	Edison International		802,944
	5,000	Emerson Electric Co.		347,350
	15,400	EnerSys		1,108,492
	31,100	Exelon Corp.		1,147,901
	31,300	First Solar, Inc. *		2,397,267
	128,509	Freeport-McMoRan, Inc.		2,006,025
	49,100	FutureFuel Corp.		594,110
	787,366	GrafTech International Ltd. (a)		5,243,858
	120,900	Livent Corp. *(a)		1,025,232
	238,284	Mosaic Co. (The)		4,343,917
	14,600	MYR Group, Inc. *		566,626
	78,000	ON Semiconductor Corp. *		1,666,860
	33,800	Owens Corning		2,286,232
	93,428	Renewable Energy Group, Inc. *		3,123,298
	8,200	Rexnord Corp.		237,472
	6,987	SolarEdge Technologies, Inc. *		1,545,175
	15,400	TE Connectivity Ltd.		1,487,640
	1,600	Valmont Industries, Inc.		203,280
		Total United States		38,323,201
		TOTAL COMMON STOCKS (COST $118,064,944)		132,001,611
		PREFERRED STOCKS (b) — 3.0%
		Chile — 3.0%
	137,200	Sociedad Quimica y Minera de Chile SA Sponsored ADR		4,302,592
		TOTAL PREFERRED STOCKS (COST $5,011,244)		4,302,592

See accompanying notes to the financial statements. 3

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 4.0%
		United States — 4.0%
		Affiliated Issuers — 4.0%
	75,069	GMO U.S. Treasury Fund (c)		5,778,990
		TOTAL MUTUAL FUNDS (COST $5,778,990)		5,778,990
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	670,861	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d)		670,861
		TOTAL SHORT-TERM INVESTMENTS (COST $670,861)		670,861
		TOTAL INVESTMENTS — 100.2% (Cost $129,526,039)		142,754,054
		Other Assets and Liabilities (net) — (0.2%)		(310,244	)
		TOTAL NET ASSETS — 100.0%		$142,443,810

* 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).

(d) The rate disclosed is the 7 day net yield as of August 31, 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 51.

4 See accompanying notes to the financial statements.

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.8	%
Preferred Stocks		2.4
Mutual Funds		0.5
Short-Term Investments		0.1
Other		0.2
		100.0	%

Country/Region Summary¤	% of Investments
United States		51.4	%
United Kingdom		11.8
France		7.4
Spain		4.6
Russia		4.5
Canada		3.5
Germany		3.4
Finland		2.9
Mexico		2.7
Brazil		2.4
Japan		2.4
Ireland		2.1
Other Developed		0.9	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Consumer Durables & Apparel		15.1	%
Capital Goods		12.5
Energy		12.2
Materials		12.0
Consumer Services		9.6
Diversified Financials		7.8
Semiconductors & Semiconductor Equipment		6.1
Banks		5.0
Retailing		4.9
Transportation		4.3
Automobiles & Components		3.1
Technology Hardware & Equipment		3.0
Software & Services		2.2
Insurance		2.2
		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.

5

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.8%
		Canada — 3.5%
	69,374	Brookfield Asset Management Inc – Class A		2,340,679
	66,300	Nutrien Ltd		2,444,481
		Total Canada		4,785,160
		Finland — 2.9%
	74,161	Neste Oyj		3,970,235
		France — 7.4%
	4,745	Kering SA		2,911,360
	6,649	LVMH Moet Hennessy Louis Vuitton SE		3,122,520
	34,646	Safran SA *		4,001,073
		Total France		10,034,953
		Germany — 3.4%
	167,689	Infineon Technologies AG		4,662,825
		Ireland — 2.1%
	201,778	Ryanair Holdings Plc *		2,868,746
		Japan — 2.4%
	18,500	FANUC Corp		3,245,500
		Mexico — 2.7%
	1,383,000	Grupo Mexico SAB de CV Series B		3,691,034
		Russia — 4.4%
	43,366	LUKOIL PJSC Sponsored ADR		2,967,192
	20,778	Novatek PJSC Sponsered GDR (Registered)		3,101,803
		Total Russia		6,068,995
		Spain — 4.6%
	54,026	Amadeus IT Group SA		3,035,030
	113,962	Industria de Diseno Textil SA		3,204,295
		Total Spain		6,239,325
		Switzerland — 0.9%
	1,198	Partners Group Holding AG		1,220,413
		United Kingdom — 11.8%
	144,342	Anglo American Plc		3,547,160
	64,499	Berkeley Group Holdings Plc (The)		3,897,897
	258,958	Compass Group Plc		4,190,446
	128,502	Persimmon Plc		4,465,218
		Total United Kingdom		16,100,721
		United States — 50.7%
	41,676	American Express Co.		4,233,865
	17,299	Applied Materials, Inc.		1,065,618
	1,800	Booking Holdings, Inc. *		3,438,810

Shares		Description	Value ($)
		United States — continued
	104,100	BorgWarner, Inc.		4,225,419
	78,427	Charles Schwab Corp. (The)		2,786,511
	107,985	Cheesecake Factory, Inc. (The)		3,188,797
	34,400	Chevron Corp.		2,887,192
	93,500	Corteva, Inc.		2,669,425
	77,852	EOG Resources, Inc.		3,529,810
	33,600	Hasbro, Inc.		2,652,384
	31,522	Hilton Worldwide Holdings, Inc.		2,848,328
	16,300	Honeywell International, Inc.		2,698,465
	17,200	Illinois Tool Works, Inc.		3,397,860
	55,563	Las Vegas Sands Corp.		2,817,600
	100,300	Lyft, Inc. – Class A *(a)		2,975,901
	2,759	Markel Corp. *		2,998,564
	54,292	Micron Technology, Inc. *		2,470,829
	58,082	Raytheon Technologies Corp.		3,543,002
	98,687	Sensata Technologies Holding Plc *		4,109,327
	117,485	US Bancorp		4,276,454
	41,100	Verso Corp. – Class A		538,821
	52,323	VF Corp.		3,440,237
	103,279	Wells Fargo & Co.		2,494,188
		Total United States		69,287,407
		TOTAL COMMON STOCKS (COST $116,454,539)		132,175,314
		PREFERRED STOCKS (b) — 2.4%
		Brazil — 2.4%
	414,500	Bradespar SA		3,328,257
		TOTAL PREFERRED STOCKS (COST $2,340,330)		3,328,257
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	128,968	GMO U.S. Treasury Fund		650,000
		TOTAL MUTUAL FUNDS (COST $650,000)		650,000
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	113,682	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c)		113,682
		TOTAL SHORT-TERM INVESTMENTS (COST $113,682)		113,682
		TOTAL INVESTMENTS — 99.8% (Cost $119,558,551)		136,267,253
		Other Assets and Liabilities (net) — 0.2%		269,640
		TOTAL NET ASSETS — 100.0%		$136,536,893

6 See accompanying notes to the financial statements.

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

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) The rate disclosed is the 7 day net yield as of August 31, 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 51.

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		79.9	%
Investment Funds		14.0
Mutual Funds		2.1
Short-Term Investments		1.7
Preferred Stocks		0.8
Futures Contracts		0.2
Forward Currency Contracts		(0.1	)
Swap Contracts		(0.1	)
Other		1.5
		100.0	%

Country/Region Summary¤	% of Investments
China		41.1	%
United States		17.4	*
Taiwan		13.8
South Korea		7.7
India		6.3
Russia		5.9
Brazil		2.6
Switzerland		2.3
Philippines		0.6
Mexico		0.5
Thailand		0.5
Japan		0.3
Indonesia		0.3
Panama		0.2
France		0.2
Singapore		0.2
Vietnam		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Retailing		18.0	%
Media & Entertainment		17.4
Technology Hardware & Equipment		12.5
Semiconductors & Semiconductor Equipment		11.4
Food, Beverage & Tobacco		6.3
Banks		5.5
Consumer Services		3.5
Consumer Durables & Apparel		3.4
Food & Staples Retailing		2.9
Materials		2.7
Diversified Financials		2.5
Telecommunication Services		2.0
Capital Goods		2.0
Energy		1.7
Insurance		1.5
Pharmaceuticals, Biotechnology & Life Sciences		1.5
Transportation		1.4
Automobiles & Components		0.9
Health Care Equipment & Services		0.8
Real Estate		0.6
Software & Services		0.6
Household & Personal Products		0.6
Utilities		0.3
		100.0	%

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

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

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

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

8

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 79.9%
		Brazil — 1.8%
	827,600	Atacadao SA		2,953,287
	316,200	B3 SA—Brasil Bolsa Balcao		3,393,732
	3,700	MercadoLibre Inc *		4,323,783
	19,654,500	Oi SA *		6,098,868
		Total Brazil		16,769,670
		China — 38.5%
	424,400	Alibaba Group Holding Ltd *		15,276,210
	228,576	Alibaba Group Holding Ltd Sponsored ADR *		65,608,169
	351,191	Angel Yeast Co Ltd – Class A		3,559,423
	740,000	Anhui Conch Cement Co Ltd – Class H		5,357,185
	133,000	Archosaur Games, Inc. *		388,693
	329,400	Beijing Oriental Yuhong Waterproof Technology Co Ltd – Class A		2,877,564
	37,800	Bilibili, Inc. Sponsored ADR *		1,786,050
	199,300	Chacha Food Co Ltd – Class A		2,011,971
	1,972,002	China Merchants Bank Co Ltd – Class H		9,408,329
	560,500	China Mobile Ltd		3,922,331
	2,380,000	CSPC Pharmaceutical Group Ltd		5,258,414
	17,200	Hangzhou Tigermed Consulting Co Ltd – Class H *		281,629
	432,800	JD.com Inc ADR *		34,035,392
	124,350	JD.com Inc – Class A *		4,983,498
	604,752	Jiangsu Hengli Hydraulic Co Ltd – Class A		5,774,429
	3,158,000	Kunlun Energy Co Ltd		2,349,732
	34,987	Kweichow Moutai Co Ltd – Class A		9,112,268
	826,000	Li Ning Co Ltd		3,488,945
	455,500	Longfor Group Holdings Ltd		2,409,829
	351,300	Meituan Dianping – Class B *		11,580,322
	4,245,200	MGM China Holdings Ltd		6,166,594
	1,135,282	Midea Group Co Ltd – Class A		11,679,624
	90,200	NetEase Inc		1,810,936
	43,200	NetEase Inc ADR		21,047,472
	32,600	New Oriental Education & Technology Group Inc Sponsored ADR *		4,780,138
	20,800	Nongfu Spring Co Ltd		58,283
	1,079,746	Ping An Insurance Group Co of China Ltd – Class H		11,527,801
	37,500	QUALCOMM, Inc.		4,466,250
	331,400	SF Holding Co Ltd – Class A		4,113,946
	117,683	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		5,871,958
	850,721	Shenzhen YUTO Packaging Technology Co Ltd – Class A		4,580,540
	276,900	Shenzhou International Group Holdings Ltd		4,458,270
	1,062,062	Suofeiya Home Collection Co Ltd – Class A		4,117,726
	108,800	TAL Education Group ADR *		8,030,528
	940,384	Tencent Holdings Ltd		64,245,487
	167,700	Tencent Music Entertainment Group ADR *		2,621,151

Shares		Description	Value ($)
		China — continued
	153,430	Wuliangye Yibin Co Ltd – Class A		5,367,679
	218,000	Yihai International Holding Ltd		3,420,711
	115,800	Yum China Holdings Inc		6,682,818
	366,500	Zhongsheng Group Holdings Ltd		2,285,671
		Total China		366,803,966
		France — 0.2%
	5,956	L’Oreal SA		1,976,496
		India — 6.0%
	34,983	Britannia Industries Ltd		1,768,173
	177,437	Cipla Ltd		1,706,355
	125,365	Deepak Nitrite Ltd		1,160,333
	21,690	Dixon Technologies India Ltd		2,380,792
	6,052,457	Gayatri Projects Ltd *		1,301,437
	159,609	HDFC Bank Ltd *		2,412,805
	164,583	Hero MotoCorp Ltd		6,730,632
	466,704	ICICI Bank Ltd *		2,470,011
	24,265	IndiaMART InterMESH Ltd *		1,241,146
	69,271	Ipca Laboratories Ltd		1,787,414
	42,148	Jubilant Foodworks Ltd		1,198,558
	94,882	Kotak Mahindra Bank Ltd		1,805,119
	586,324	Muthoot Finance Ltd		9,167,213
	405,300	Reliance Industries Ltd		11,388,646
	407,539	SBI Cards & Payment Services Ltd		4,456,323
	338,398	Tata Consumer Products Ltd		2,455,960
	60,502	Torrent Pharmaceuticals Ltd		2,176,582
	9,663,064	Yes Bank Ltd *		1,880,426
		Total India		57,487,925
		Indonesia — 0.2%
	1,050,800	Bank Central Asia Tbk PT		2,263,389
		Japan — 0.3%
	13,000	Daikin Industries Ltd		2,448,748
		Mexico — 0.5%
	2,002,924	Wal-Mart de Mexico SAB de CV		4,796,327
		Panama — 0.2%
	37,500	Copa Holdings SA – Class A		1,996,875
		Philippines — 0.6%
	3,653,440	Puregold Price Club Inc		4,065,515
	9,925,400	Semirara Mining & Power Corp		1,927,228
		Total Philippines		5,992,743
		Russia — 1.8%
	1,213,380	Moscow Exchange MICEX-RTS PJSC		2,243,752
	366,866	Sberbank of Russia PJSC Sponsored ADR *		4,408,143

See accompanying notes to the financial statements. 9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	177,820	X5 Retail Group NV GDR (Registered)		6,516,315
	55,600	Yandex NV – Class A *		3,793,588
		Total Russia		16,961,798
		Singapore — 0.2%
	10,700	Sea Ltd ADR *		1,635,067
		South Korea — 7.4%
	11,662	Kakao Corp		3,984,691
	111,969	KB Financial Group Inc		3,473,905
	1,893	LG Household & Health Care Ltd		2,344,150
	13,510	NAVER Corp		3,658,223
	1,093,270	Samsung Electronics Co Ltd		49,641,171
	78,859	SK Hynix Inc		4,983,571
	10,938	SK Telecom Co Ltd		2,280,591
		Total South Korea		70,366,302
		Switzerland — 2.2%
	173,887	Nestle SA (Registered)		20,944,191
		Taiwan — 13.4%
	335,458	Advantech Co Ltd		3,474,419
	200,000	Airtac International Group		4,430,208
	1,107,000	Delta Electronics Inc		7,119,543
	1,455,000	E Ink Holdings Inc		2,034,691
	4,191,991	E.Sun Financial Holding Co Ltd		3,886,449
	20,000	Largan Precision Co Ltd		2,310,769
	169,000	MediaTek Inc		3,195,766
	765,000	Micro-Star International Co Ltd		3,531,760
	1,596,000	Pegatron Corp		3,394,808
	2,095,000	Quanta Computer Inc		5,490,917
	512,000	Sinbon Electronics Co Ltd		3,150,021
	4,805,385	Taiwan Cement Corp		7,025,947
	4,728,800	Taiwan Semiconductor Manufacturing Co Ltd		68,922,610
	71,900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,698,075
	3,289,000	Wistron Corp		3,567,292
		Total Taiwan		127,233,275
		Thailand — 1.1%
	2,414,300	Airports of Thailand Pcl (Foreign Registered)		4,362,011
	2,133,600	CP ALL Pcl (Foreign Registered) *		4,359,113
	6,630,900	Quality Houses Leasehold Property Fund		2,100,597
		Total Thailand		10,821,721
		United States — 4.8%
	96,400	Apple, Inc.		12,439,456
	97,450	Facebook, Inc. – Class A *		28,572,340
	20,600	Visa, Inc. – Class A		4,366,994
		Total United States		45,378,790

Shares		Description	Value ($)
		Vietnam — 0.7%
	1,868,190	Bank for Foreign Trade of Vietnam JSC		6,677,807
		TOTAL COMMON STOCKS (COST $617,656,759)		760,555,090
		PREFERRED STOCKS (a) — 0.8%
		Brazil — 0.8%
	1,029,300	Banco Bradesco SA		3,896,629
	389,700	Telefonica Brasil SA		3,402,984
		Total Brazil		7,299,613
		TOTAL PREFERRED STOCKS (COST $7,720,934)		7,299,613
		INVESTMENT FUNDS — 14.0%
		China — 1.2%
	2,496,700	iShares FTSE A50 China ETF		5,504,811
	149,600	iShares MSCI China A ETF		5,692,280
		Total China		11,197,091
		Russia — 3.9%
	1,660,500	VanEck Vectors Russia ETF		37,660,140
		Thailand — 2.2%
	43,578,190	Digital Telecommunications Infrastructure Fund		20,710,593
		United States — 6.7%
	1,201,775	iShares Core MSCI Emerging Markets ETF		64,054,608
		TOTAL INVESTMENT FUNDS (COST $130,067,075)		133,622,432
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers — 2.1%
	4,000,761	GMO U.S. Treasury Fund		20,163,838
		TOTAL MUTUAL FUNDS (COST $20,163,838)		20,163,838
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 1.2%
	10,987,007	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		10,987,007

10 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — 0.5%
	5,000,000	U.S. Treasury Bill, 0.05%, due 01/14/21 (c)(d)		4,997,820
		TOTAL SHORT-TERM INVESTMENTS (COST $15,984,446)		15,984,827
		TOTAL INVESTMENTS — 98.5% (Cost $791,593,052)		937,625,800
		Other Assets and Liabilities (net) — 1.5%		14,540,500
		TOTAL NET ASSETS — 100.0%		$952,166,300

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appre- ciation (Depre- ciation) ($)
10/30/2020	BCLY		THB	287,504,475		USD	9,044,406		(191,578	)
11/23/2020	BCLY		THB	290,804,608		USD	9,287,529		(53,760	)
02/25/2021	MSCI		THB	1,537,784,049		USD	48,609,987		(775,882	)
02/25/2021	MSCI		USD	48,894,048		THB	1,537,784,049		491,821
								$	(529,399	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
546	Mini MSCI Emerging Markets	September 2020	$	30,040,920	$	583,196
Sales
4,942	SET 50	September 2020	$	26,774,898	$	1,336,959

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total return on MSCI Vietnam Net Total Return Index	3 Month USD LIBOR plus a spread of (4.00)%	GS	USD	2,499,996	07/30/2021		Quarterly		—		(267,235	)		(267,235	)
Total return on MSCI Vietnam Net Total Return Index	3 Month USD LIBOR plus a spread of (4.00)%	GS	USD	2,817,982	07/30/2021		Quarterly		—		(290,978	)		(290,978	)
								$	—	$	(558,213	)	$	(558,213	)

As of August 31, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(b) The rate disclosed is the 7 day net yield as of August 31, 2020.

(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 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 51.

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.3	%
Preferred Stocks		4.3
Investment Funds		2.1
Short-Term Investments		1.5
Debt Obligations		0.7
Futures Contracts		0.5
Swap Contracts		0.0	^
Other		1.6
		100.0	%
Country/Region Summary¤	% of Investments
China		38.5	%
Taiwan		17.7
Russia		15.9
United States		8.3	*
South Africa		3.9
South Korea		3.7
Mexico		2.3
Indonesia		2.3
Poland		1.4
India		1.2
Turkey		1.1
United Kingdom		0.7	*
Thailand		0.7
Kuwait		0.5
Qatar		0.4
Pakistan		0.4
Philippines		0.3
Vietnam		0.1
Brazil		0.1
United Arab Emirates		0.1
Argentina		0.1
Malaysia		0.1
Colombia		0.1
Czech Republic		0.1
Chile		0.0	^
Sri Lanka		0.0	^
Saudi Arabia		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		17.0	%
Technology Hardware & Equipment		12.1
Materials		10.8
Energy		10.4
Retailing		8.7
Real Estate		7.8
Semiconductors & Semiconductor Equipment		7.0
Insurance		4.3
Media & Entertainment		3.9
Automobiles & Components		3.3
Capital Goods		3.0
Diversified Financials		2.5
Consumer Durables & Apparel		2.3
Utilities		1.8
Food, Beverage & Tobacco		1.3
Household & Personal Products		1.1
Telecommunication Services		0.7
Transportation		0.7
Pharmaceuticals, Biotechnology & Life Sciences		0.5
Food & Staples Retailing		0.4
Software & Services		0.1
Commercial & Professional Services		0.1
Consumer Services		0.1
Health Care Equipment & Services		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.

* 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%.

12

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.3%
		Argentina — 0.1%
	161,800	Banco BBVA Argentina SA ADR *		545,265
	56,800	Banco Macro SA ADR *		1,076,360
	91,900	Grupo Financiero Galicia SA ADR *		949,327
		Total Argentina		2,570,952
		Brazil — 0.0%
	85,500	WEG SA		1,008,490
		Chile — 0.0%
	556,965	Banco de Chile		46,556
	4,647,578	Enel Americas SA		668,722
	54,123	Inversiones La Construccion SA		351,543
		Total Chile		1,066,821
		China — 38.3%
	4,972,000	361 Degrees International Ltd		659,980
	319,000	A-Living Services Co Ltd – Class H		1,643,795
	1,624,000	Agile Group Holdings Ltd		2,238,881
	16,691,400	Agricultural Bank of China Ltd – Class A		7,814,689
	86,383,290	Agricultural Bank of China Ltd – Class H		28,849,915
	121,900	Alibaba Group Holding Ltd *		4,387,771
	518,926	Alibaba Group Holding Ltd Sponsored ADR *		148,947,330
	4,191,457	Anhui Conch Cement Co Ltd – Class A		37,198,442
	1,528,899	Anhui Expressway Co Ltd – Class A		1,201,560
	124,000	ANTA Sports Products Ltd		1,222,320
	506,000	Asia Cement China Holdings Corp		512,377
	91,548,682	Bank of China Ltd – Class H		29,770,674
	3,311,992	Beijing North Star Co Ltd – Class A		1,351,886
	642,500	Budweiser Brewing Co APAC Ltd		2,164,620
	8,521,878	China Communications Services Corp Ltd – Class H		5,582,410
	10,714,537	China Construction Bank Corp – Class A		9,688,577
	133,136,906	China Construction Bank Corp – Class H		93,823,382
	1,484,000	China Dongxiang Group Co Ltd		193,369
	4,196,000	China Feihe Ltd		8,486,098
	532,300	China International Travel Service Corp Ltd – Class A		16,131,875
	12,836,000	China Jinmao Holdings Group Ltd		8,015,156
	200,000	China Kepei Education Group Ltd		176,628
	2,438,000	China Lesso Group Holdings Ltd		4,539,821
	9,465,000	China Machinery Engineering Corp – Class H		2,219,515
	1,024,000	China Medical System Holdings Ltd		1,153,288
	115,464	China Merchants Bank Co Ltd – Class A		634,805
	51,500	China Merchants Bank Co Ltd – Class H		245,704
	778,437	China Mobile Ltd		5,447,435
	4,706,000	China Oriental Group Co Ltd		1,321,457
	1,240,000	China Overseas Grand Oceans Group Ltd		806,528
	8,956,500	China Overseas Land & Investment Ltd		25,906,591

Shares		Description	Value ($)
		China — continued
	200	China Pacific Insurance Group Co Ltd – Class H		555
	11,890,000	China Resources Cement Holdings Ltd		17,315,431
	1,122,000	China Resources Gas Group Ltd		5,262,957
	7,006,000	China Resources Land Ltd		32,364,980
	887,000	China SCE Group Holdings Ltd		461,658
	5,636,796	China Shenhua Energy Co Ltd – Class A		13,278,503
	12,872,500	China Shenhua Energy Co Ltd – Class H		21,376,072
	5,190,081	China Vanke Co Ltd – Class A		20,636,373
	225,200	China Vanke Co Ltd – Class H		699,054
	38,000	CIFI Holdings Group Co Ltd		32,300
	12,670,714	Country Garden Holdings Co Ltd		15,688,388
	264,000	Country Garden Services Holdings Co Ltd		1,839,322
	162,000	Dali Foods Group Co Ltd		99,148
	433,200	Dongfang Electric Corp Ltd – Class A		632,151
	3,099,000	Dongyue Group Ltd		1,327,665
	67,200	ENN Energy Holdings Ltd		744,574
	423,000	Fu Shou Yuan International Group Ltd		437,561
	11,169,000	Geely Automobile Holdings Ltd		23,770,757
	2,127,000	Greenland Hong Kong Holdings Ltd		706,691
	17,722,000	Guangdong Investment Ltd		27,634,329
	413,000	Haier Electronics Group Co Ltd		1,413,046
	193,000	Haitian International Holdings Ltd		466,920
	679,922	Hangzhou Robam Appliances Co Ltd – Class A		3,865,314
	56,300	Hangzhou Tigermed Consulting Co Ltd – Class H *		921,843
	160,000	Hansoh Pharmaceutical Group Co Ltd *		756,365
	1,279,500	Hebei Construction Group Corp Ltd – Class H		2,824,688
	36,000	Hengan International Group Co Ltd		283,463
	7,271,255	Hisense Home Appliances Group Co Ltd – Class A		14,859,617
	217,500	Hollysys Automation Technologies Ltd		2,355,525
	168,000	Hopson Development Holdings Ltd		336,238
	10,248,000	Hua Han Health Industry Holdings Ltd *(a)		687,590
	920,650	Huaxin Cement Co Ltd – Class A		3,748,358
	1,152,342	Huayu Automotive Systems Co Ltd – Class A		4,196,429
	6,179,800	Industrial & Commercial Bank of China Ltd – Class A		4,470,809
	101,008,647	Industrial & Commercial Bank of China Ltd – Class H		56,298,095
	1,684,000	Kingboard Laminates Holdings Ltd		2,120,821
	68,707	Kweichow Moutai Co Ltd – Class A		17,894,549
	3,133,000	KWG Property Holding Ltd		5,945,733
	130,492	Lao Feng Xiang Co Ltd – Class A		1,023,381
	535,900	Livzon Pharmaceutical Group Inc – Class A		4,177,295
	3,227,000	Logan Group Co Ltd		6,002,205
	2,486,000	Longfor Group Holdings Ltd		13,152,219
	2,888,000	Lonking Holdings Ltd		826,538
	550,506	Midea Group Co Ltd – Class A		5,663,530
	108,000	Minth Group Ltd		364,095
	186,100	NetEase Inc		3,736,311

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	111,300	NetEase Inc ADR		54,226,473
	66,200	Nongfu Spring Co Ltd		185,498
	1,642,000	PAX Global Technology Ltd		943,917
	32,615,000	PICC Property & Casualty Co Ltd – Class H		25,151,172
	36,600	Poly Property Services Co Ltd		320,035
	20,685,000	Postal Savings Bank of China Co Ltd – Class H		9,792,333
	5,848,400	Qingling Motors Co Ltd – Class H		1,040,619
	203,000	Road King Infrastructure Ltd		269,508
	22,000	Seazen Group Ltd		19,956
	3,890,789	Shenzhen Investment Ltd		1,318,724
	3,467,481	Shenzhen YUTO Packaging Technology Co Ltd – Class A		18,669,969
	131,300	Shenzhou International Group Holdings Ltd		2,114,015
	5,143,500	Shimao Group Holdings Ltd		23,116,069
	788,000	Shui On Land Ltd		107,673
	2,213,500	Sinopec Engineering Group Co Ltd – Class H		980,604
	1,990,500	Sinotruk Hong Kong Ltd		5,166,032
	4,999,924	Suofeiya Home Collection Co Ltd – Class A		19,385,229
	598,965	Tencent Holdings Ltd		40,920,303
	2,148,000	Tianneng Power International Ltd		4,620,810
	345,000	Times China Holdings Ltd		529,692
	1,620,400	Vipshop Holdings Ltd ADR *		26,752,804
	5,074,000	Want Want China Holdings Ltd		3,477,803
	9,819,303	Weifu High-Technology Group Co Ltd – Class A		35,670,372
	123,200	Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd – Class A		817,948
	976,000	Xinyi Glass Holdings Ltd		1,685,447
	1,754,000	Xtep International Holdings Ltd		582,980
	2,644,000	Yadea Group Holdings Ltd *		2,661,837
	37,921,800	Yangzijiang Shipbuilding Holdings Ltd		25,475,712
	12,600	Yum China Holdings Inc		727,146
	7,383,707	Yuzhou Group Holdings Co Ltd		3,443,867
	363,667	Zhejiang Supor Co Ltd – Class A		4,492,672
	200	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		250
	1,136,000	Zhongsheng Group Holdings Ltd		7,084,643
		Total China		1,116,788,437
		Czech Republic — 0.0%
	560,674	Moneta Money Bank AS		1,410,339
		India — 2.1%
	256,987	Asian Paints Ltd		6,616,828
	199,069	Coal India Ltd		362,922
	16,772,852	Gayatri Projects Ltd *(b)		3,606,602
	230,960	HDFC Bank Ltd *		3,491,417
	6,931	Hero MotoCorp Ltd		283,444
	261,937	Hindustan Unilever Ltd		7,508,555
	252,428	Housing Development Finance Corp Ltd		6,270,451

Shares		Description	Value ($)
		India — continued
	1,332,810	ICICI Bank Ltd *		7,053,839
	3,013,682	Jai Balaji Industries Ltd *		794,511
	1,322,083	Kiri Industries Ltd		9,724,945
	386,197	Kotak Mahindra Bank Ltd		7,347,351
	234,754	Muthoot Finance Ltd		3,670,394
	312,651	Titan Co Ltd		4,661,204
		Total India		61,392,463
		Indonesia — 2.3%
	5,926,300	Astra International Tbk PT		2,079,478
	2,389,600	Bank BTPN Syariah Tbk PT		639,777
	9,929,500	Bank Central Asia Tbk PT		21,387,823
	12,036,800	Bank Mandiri Persero Tbk PT		4,921,886
	13,491,200	Bank Negara Indonesia Persero Tbk PT		4,723,776
	1,745,600	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		126,448
	16,317,200	Bank Pembangunan Daerah Jawa Timur Tbk PT		667,144
	80,204,200	Bank Rakyat Indonesia Persero Tbk PT		19,322,149
	18,560,300	Bank Tabungan Negara Persero Tbk PT		2,006,288
	17,926,500	Bukit Asam Tbk PT		2,506,179
	5,802,391	Indo Tambangraya Megah Tbk PT		3,291,739
	6,222,100	Matahari Department Store Tbk PT *		539,689
	15,171,500	Pakuwon Jati Tbk PT		424,959
	204,441,600	Panin Financial Tbk PT *		2,889,505
	41,919,500	Ramayana Lestari Sentosa Tbk PT		1,883,353
	2,190,800	Telekomunikasi Indonesia Persero Tbk PT		431,080
	384,000	United Tractors Tbk PT		606,377
		Total Indonesia		68,447,650
		Kuwait — 0.6%
	1,418,311	Alimtiaz Investment Group KSC *		395,111
	116,741	Humansoft Holding Co KSC *		966,257
	1,746,387	Kuwait Finance House KSCP		3,578,397
	835,952	Kuwait Projects Co Holding KSCP		407,613
	3,797,246	National Bank of Kuwait SAKP		10,689,512
		Total Kuwait		16,036,890
		Malaysia — 0.1%
	305,900	Top Glove Corp Berhad		1,932,078
		Mexico — 2.4%
	128,700	America Movil SAB de CV – Class L Sponsored ADR		1,566,279
	5,590,700	America Movil SAB de CV – Series L		3,398,058
	617,800	Banco del Bajio SA *		494,082
	2,849,800	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		1,816,777
	1,400	Coca-Cola Femsa SAB de CV Sponsored ADR		58,506

14 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	308,600	Concentradora Fibra Danhos SA de CV (REIT)		291,930
	76,800	Corp Inmobiliaria Vesta SAB de CV		114,066
	1,692,200	Credito Real SAB de CV SOFOM ER *		951,196
	296,400	El Puerto de Liverpool SAB de CV – Class C1 (c)		780,756
	9,677,900	Fibra Uno Administracion SA de CV (REIT)		7,571,778
	1,407,600	Gentera SAB de CV * (c)		461,224
	1,171,000	Grupo Aeroportuario del Centro Norte SAB de CV *		5,362,668
	24,200	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		882,332
	26,600	Grupo Aeroportuario del Pacifico SAB de CV ADR		2,060,968
	98,100	Grupo Aeroportuario del Pacifico SAB de CV – Class B		762,940
	24,900	Grupo Aeroportuario del Sureste SAB de CV ADR *		2,825,154
	66,090	Grupo Aeroportuario del Sureste SAB de CV – Class B *		750,573
	7,212,400	Grupo Financiero Banorte SAB de CV – Class O *		24,786,239
	674,800	Grupo Financiero Inbursa SAB de CV – Class O *		493,410
	1,686,200	Grupo Mexico SAB de CV Series B		4,500,232
	55,400	Industrias Bachoco SAB de CV		175,223
	189,000	Kimberly-Clark de Mexico SAB de CV – Class A		301,526
	341,227	Qualitas Controladora SAB de CV		1,344,199
	391,000	Regional SAB de CV *		977,411
	565,190	Unifin Financiera SAB de CV SOFOM ENR *(c)		474,737
	2,435,300	Wal-Mart de Mexico SAB de CV		5,831,721
		Total Mexico		69,033,985
		Pakistan — 0.4%
	461,510	Engro Corp Ltd		830,635
	4,395,647	Engro Fertilizers Ltd		1,679,389
	970,146	Fauji Fertilizer Co Ltd		631,981
	4,224,260	Oil & Gas Development Co Ltd		2,927,069
	579,662	Pakistan Oilfields Ltd		1,505,765
	2,137,670	Pakistan Petroleum Ltd		1,315,854
	299,159	Pakistan State Oil Co Ltd		347,085
	651,100	Searle Co Ltd (The)		1,021,748
	935,771	United Bank Ltd		705,700
		Total Pakistan		10,965,226
		Philippines — 0.3%
	2,200	Globe Telecom Inc		94,656
	360,810	Manila Electric Co		2,001,014
	35,122,800	Megaworld Corp		2,106,091
	22,432,000	Metro Pacific Investments Corp		1,554,489
	216,900	Metropolitan Bank & Trust Co		149,811
	251,700	Security Bank Corp		504,507

Shares		Description	Value ($)
		Philippines — continued
	6,401,200	Semirara Mining & Power Corp		1,242,929
		Total Philippines		7,653,497
		Poland — 1.5%
	246,460	Alior Bank SA *		917,963
	327,796	Bank Polska Kasa Opieki SA *		4,646,841
	46,679	Budimex SA		2,968,463
	55,951	Lubelski Wegiel Bogdanka SA *		289,249
	4,484,425	Powszechny Zaklad Ubezpieczen SA *		33,064,958
	21,588	Santander Bank Polska SA *		886,759
		Total Poland		42,774,233
		Qatar — 0.5%
	1,456,860	Doha Bank QPSC *		953,045
	110,881	Qatar Electricity & Water Co QSC		523,617
	469,279	Qatar Insurance Co SAQ		274,139
	2,385,481	Qatar National Bank QPSC		11,787,151
	1,027,776	Qatar National Cement Co QSC		1,125,335
		Total Qatar		14,663,287
		Russia — 14.4%
	27,785,390	Alrosa PJSC		24,698,666
	6,411,000	Credit Bank of Moscow PJSC *		531,106
	1,043,230	Detsky Mir PJSC		1,640,484
	893,920,000	Federal Grid Co Unified Energy System PJSC		2,358,230
	398,340	Gazprom Neft PJSC		1,712,124
	6,771	Gazprom Neft PJSC Sponsored ADR		143,194
	676,755	Globaltrans Investment Plc Sponsored GDR (Registered)		4,187,298
	66,798,000	Inter RAO UES PJSC		4,705,380
	89,002	LSR Group PJSC		944,076
	682,771	LSR Group PJSC GDR (Registered)		1,434,034
	1,132,518	LUKOIL PJSC Sponsored ADR		77,489,252
	608,667	M.Video PJSC		4,632,499
	7,416,900	Magnitogorsk Iron & Steel Works PJSC		3,766,468
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,608,127
	2,672,559	MMC Norilsk Nickel PJSC ADR		70,140,223
	589,900	Mobile TeleSystems PJSC Sponsored ADR		5,497,868
	9,624,497	Moscow Exchange MICEX-RTS PJSC		17,797,383
	84,571	Novatek PJSC Sponsered GDR (Registered)		12,625,014
	10,410	Novolipetsk Steel PJSC		21,715
	1,332,483	Novolipetsk Steel PJSC GDR		27,768,363
	56,723	PhosAgro PJSC GDR (Registered)		671,259
	109,630	Polymetal International Plc (d)		2,931,262
	406,254	Polymetal International Plc (d)		11,024,866
	37,092	Polyus PJSC GDR (Registered)		4,539,131
	204,215	QIWI Plc Sponsored ADR (c)		3,669,744
	944,570	Raspadskaya OJSC		1,462,388
	124,625	Rostelecom PJSC		163,077

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	33,228	Rostelecom PJSC Sponsored ADR		261,777
	82,660	Safmar Financial Investment *		589,007
	2,108,815	Sberbank of Russia PJSC Sponsored ADR *		25,338,836
	849,604	Severstal PJSC GDR (Registered)		10,733,399
	29,856,800	Surgutneftegas PJSC		14,766,642
	4,762,114	Surgutneftegas PJSC Sponsored ADR		23,804,575
	1,058,583	Tatneft PJSC Sponsored ADR *		47,497,367
	253,725	TCS Group Holding Plc GDR (Registered)		6,248,589
	81,393,000	Unipro PJSC		2,963,560
		Total Russia		420,366,983
		Saudi Arabia — 0.0%
	1,873	Arab National Bank		10,362
		South Africa — 4.0%
	352,522	Absa Group Ltd		1,596,709
	94,126	Anglo American Platinum Ltd (c)		7,010,778
	482,942	Aspen Pharmacare Holdings Ltd *		3,856,733
	56,443	Astral Foods Ltd		442,956
	90,263	AVI Ltd		366,766
	209,092	Barloworld Ltd		733,415
	13,364	Bid Corp Ltd		219,998
	26,017	Capitec Bank Holdings Ltd		1,277,023
	262,136	Clicks Group Ltd		3,547,804
	361,153	Discovery Ltd		2,570,275
	1,688,726	Emira Property Fund Ltd (REIT)		540,748
	2,964,569	FirstRand Ltd		6,596,214
	806,695	Foschini Group Ltd (The) (c)		3,631,034
	14,040	Gold Fields Ltd		183,741
	441,500	Gold Fields Ltd Sponsored ADR		5,752,745
	5,557,192	Growthpoint Properties Ltd (REIT)		4,002,874
	863,796	Investec Ltd		1,601,128
	159,421	Kumba Iron Ore Ltd (c)		4,995,870
	801,497	Lewis Group Ltd		835,325
	111,656	Liberty Holdings Ltd		398,525
	1,381,067	Mr Price Group Ltd		9,411,611
	443,152	Nedbank Group Ltd		2,499,456
	26,044,009	Old Mutual Ltd		17,149,699
	427,818	Rand Merchant Investment Holdings Ltd		756,214
	239,517	Remgro Ltd		1,234,228
	18,269,130	RMB Holdings Ltd		1,320,044
	6,072,910	Sanlam Ltd		19,571,795
	93,401	Shoprite Holdings Ltd		609,283
	17	SPAR Group Ltd (The)		162
	88,690	Standard Bank Group Ltd		550,733
	81,575	Tiger Brands Ltd		827,831
	3,157,161	Truworths International Ltd		5,654,096
	446,093	Vodacom Group Ltd		3,357,845
	382,233	Wilson Bayly Holmes-Ovcon Ltd		2,498,482
		Total South Africa		115,602,140

Shares		Description	Value ($)
		South Korea — 1.6%
	52,222	BNK Financial Group Inc		222,892
	8,287	Bukwang Pharmaceutical Co Ltd		263,690
	30,580	Daou Data Corp		347,979
	202,686	DB Insurance Co Ltd		7,438,619
	1,140,977	Dongwon Development Co Ltd		3,680,958
	10,572	Eone Diagnomics Genome Center Co Ltd *		138,377
	2,322	Genexine Co Ltd *		350,413
	9,337	GS Home Shopping Inc		918,223
	2,429	Huons Co Ltd		148,047
	29,672	Hy-Lok Corp		293,115
	51,655	Hyundai Mobis Co Ltd		9,666,972
	463,257	Korea Asset In Trust Co Ltd		1,390,276
	14,509	KT Skylife Co Ltd		103,905
	60	NCSoft Corp		41,626
	8	NHN KCP Corp		483
	9,517	Pharmicell Co Ltd *		179,015
	37,643	S&T Motiv Co Ltd		1,737,934
	14,427	Samsung Electronics Co Ltd GDR		17,352,199
	24,343	Sangsangin Co Ltd		122,676
	5,360	Seegene Inc		1,191,114
		Total South Korea		45,588,513
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd *(b)		612,665
		Taiwan — 18.2%
	71,000	Accton Technology Corp		566,206
	27,000	Acter Group Corp Ltd		188,269
	1,206,035	Advantech Co Ltd		12,491,195
	373,000	Alchip Technologies Ltd		6,708,550
	291,000	Amazing Microelectronic Corp		808,641
	716,689	Asustek Computer Inc		5,935,446
	433,000	Aten International Co Ltd		1,246,085
	129,200	Aurora Corp		371,763
	7,814,000	Catcher Technology Co Ltd		53,344,554
	2,782,153	Cathay Financial Holding Co Ltd		3,778,808
	3,312,865	Chailease Holding Co Ltd		14,632,514
	410,000	Chicony Electronics Co Ltd		1,236,842
	10,321,000	China Development Financial Holding Corp		3,010,035
	772,000	Chong Hong Construction Co Ltd		2,204,980
	4,568,400	Coretronic Corp		5,441,352
	46,576,720	CTBC Financial Holding Co Ltd		30,108,467
	148,000	Elan Microelectronics Corp		717,152
	1,576,000	Elite Material Co Ltd		9,127,926
	1,766,000	Farglory Land Development Co Ltd		2,887,509
	4,998,000	FLEXium Interconnect Inc		21,440,020
	3,055,075	Foxconn Technology Co Ltd		5,433,871
	10,791,000	Fubon Financial Holding Co Ltd		15,756,534
	2,470,000	Grand Pacific Petrochemical *		1,616,392
	21,232,532	Hon Hai Precision Industry Co Ltd		55,686,306

16 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	1,951,000	Huaku Development Co Ltd		5,961,590
	1,431,806	IEI Integration Corp		2,231,039
	147,900	Innodisk Corp		800,003
	179,000	International Games System Co Ltd		5,362,997
	272,000	Kung Long Batteries Industrial Co Ltd		1,287,195
	3,522,000	Lite-On Technology Corp		5,577,494
	77,000	Lotes Co Ltd		1,121,517
	481,425	Mercuries Life Insurance Co Ltd *		154,515
	1,631,000	Merry Electronics Co Ltd		8,546,559
	1,944,000	Micro-Star International Co Ltd		8,974,825
	971,000	Nantex Industry Co Ltd		1,555,318
	1,299,810	Novatek Microelectronics Corp		10,634,550
	450,000	Pegatron Corp		957,183
	386,000	Quanta Computer Inc		1,011,692
	1,698,000	Quanta Storage Inc		2,539,064
	10,805,870	Radiant Opto-Electronics Corp		39,680,467
	828,000	Shinkong Insurance Co Ltd		995,794
	1,642,068	Simplo Technology Co Ltd		18,722,202
	324,200	Sitronix Technology Corp		1,592,761
	2,110,250	Syncmold Enterprise Corp		5,951,215
	8,923,000	Taiwan Semiconductor Manufacturing Co Ltd		130,053,386
	10	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		792
	378,000	Test Research Inc		756,053
	68,000	Thinking Electronic Industrial Co Ltd		252,644
	1,377,000	Transcend Information Inc		3,091,179
	1,377,160	Tripod Technology Corp		5,437,818
	785,224	United Integrated Services Co Ltd		5,506,854
	175,000	Wiwynn Corp		4,668,128
	147,000	Yulon Nissan Motor Co Ltd		1,232,463
	323,000	Zeng Hsing Industrial Co Ltd		1,512,663
		Total Taiwan		530,909,377
		Thailand — 0.4%
	552,100	Bangkok Bank Pcl (Foreign Registered)		1,891,198
	43,175,400	Beauty Community Pcl		1,914,436
	399,800	Hana Microelectronics Pcl (Foreign Registered)		510,480
	224,700	Kiatnakin Phatra Bank Pcl (Foreign Registered)		287,756
	1,191,300	Krung Thai Bank Pcl (Foreign Registered)		367,079
	1,198,100	Origin Property Pcl (Foreign Registered) *		285,019
	3,818,200	Pruksa Holding Pcl (Foreign Registered)		1,424,713
	7,002,192	Quality Houses Pcl (Foreign Registered)		499,939
	100	Siam Commercial Bank Pcl (The) (Foreign Registered)		234
	641,600	SPCG Pcl		369,016
	4,111,575	Supalai Pcl (Foreign Registered)		2,224,338
	560,900	Thai Vegetable Oil Pcl (Foreign Registered)		486,837
	45,200	Tisco Financial Group Pcl (Foreign Registered)		98,025
	1,358,400	TTW Pcl (Foreign Registered)		584,277
	1,797,900	Univentures Pcl (Foreign Registered)		166,334
		Total Thailand		11,109,681

Shares		Description	Value ($)
		Turkey — 1.1%
	6,038,037	Aselsan Elektronik Sanayi Ve Ticaret AS		13,386,982
	22,693	BIM Birlesik Magazalar AS		209,798
	5,674,747	Dogan Sirketler Grubu Holding AS		1,624,224
	41,758,246	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		10,022,013
	173,119	Enerjisa Enerji AS		192,422
	151	Eregli Demir ve Celik Fabrikalari TAS		180
	460,056	Koza Altin Isletmeleri AS *		4,880,879
	839,051	Koza Anadolu Metal Madencilik Isletmeleri AS *		1,470,334
	71,398	Selcuk Ecza Deposu Ticaret ve Sanayi AS		77,767
	1,224,635	Soda Sanayii AS		1,139,930
	15,067	Turkiye Is Bankasi AS – Class C *		10,094
	51	Turkiye Vakiflar Bankasi TAO – Class D *		28
		Total Turkey		33,014,651
		United Arab Emirates — 0.1%
	427,567	Abu Dhabi Islamic Bank PJSC		464,963
	1,281,075	Dubai Islamic Bank PJSC		1,426,193
	717,123	Emaar Malls PJSC *		270,720
	187,039	Emirates NBD Bank PJSC		548,724
		Total United Arab Emirates		2,710,600
		United Kingdom — 0.8%
	386,665	Unilever Plc		22,860,365
		Vietnam — 0.1%
	1,594,290	Kinh Bac City Development Share Holding Corp		941,275
	201,330	PetroVietnam Gas JSC		641,736
	1,985,700	PetroVietnam Technical Services Corp		1,077,108
	153,200	Pha Lai Thermal Power JSC		155,183
	380,860	Vinh Hoan Corp *		624,677
		Total Vietnam		3,439,979
		TOTAL COMMON STOCKS (COST $2,636,862,842)		2,601,969,664
		PREFERRED STOCKS (e) — 4.3%
		Brazil — 0.1%
	130,300	Cia Paranaense de Energia – Class B		1,469,368
	95,100	Lojas Americanas SA		560,168
		Total Brazil		2,029,536
		Colombia — 0.1%
	60,938	Banco Davivienda SA		472,062
	4,476,333	Grupo Aval Acciones y Valores SA		1,118,784
		Total Colombia		1,590,846

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — 1.9%
	254,972	Bashneft PJSC		4,617,747
	213,090	Nizhnekamskneftekhim PJSC		230,210
	98,683,100	Surgutneftegas PJSC		49,465,175
	481	Transneft PJSC		894,690
		Total Russia		55,207,822
		South Korea — 2.2%
	1,612,650	Samsung Electronics Co Ltd		64,419,730
		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd		1,348,795
		TOTAL PREFERRED STOCKS (COST $110,980,665)		124,596,729
		INVESTMENT FUNDS — 2.1%
		Thailand — 0.4%
	22,546,425	Digital Telecommunications Infrastructure Fund		10,715,219
		United States — 1.7%
	957,183	iShares Core MSCI Emerging Markets ETF		51,017,854
		TOTAL INVESTMENT FUNDS (COST $61,390,555)		61,733,073
		DEBT OBLIGATIONS — 0.7%
		United States — 0.7%
	19,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22(f)		19,031,588
		TOTAL DEBT OBLIGATIONS (COST $19,018,518)		19,031,588

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.5%
		Money Market Funds — 0.4%
	12,237,299	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g)		12,237,299
		U.S. Government — 1.1%
	30,000,000	U.S. Treasury Bill, 0.10%, due 02/04/21 (f) (h)		29,985,701
		TOTAL SHORT-TERM INVESTMENTS (COST $42,222,610)		42,223,000
		TOTAL INVESTMENTS — 97.9% (Cost $2,870,475,190)		2,849,554,054
		Other Assets and Liabilities (net) — 2.1%		62,594,539
		TOTAL NET ASSETS — 100.0%		$2,912,148,593

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3,283	Mini MSCI Emerging Markets	September 2020	$	180,630,660	$	15,525,340
Sales
1,157	SGX Nifty 50	September 2020	$	26,294,899	$	229,665

+ 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 9.25%)

Appreciation on Total Return on CSI 500 Index

GS

USD

38,958,297

12/07/2020

At Maturity

$

—

$

693,922

$

693,922

As of August 31, 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.

18 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) Affiliated company (Note 10).

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

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

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

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

(g) The rate disclosed is the 7 day net yield as of August 31, 2020.

(h) 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 51.

See accompanying notes to the financial statements. 19

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.6	%
Short-Term Investments		1.7
Preferred Stocks		0.3
Futures Contracts		0.0	^
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
Japan		20.4	%
United Kingdom		17.1
France		8.4
Netherlands		7.3
Switzerland		6.3
Spain		6.1
Germany		4.9
Italy		4.2
Australia		4.2
Singapore		4.1
Sweden		3.8
Portugal		3.2
Norway		2.6
Hong Kong		2.2
United States		1.6
Other Developed		1.3	‡
Belgium		1.2
Ireland		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		14.2	%
Food, Beverage & Tobacco		10.0
Utilities		7.9
Materials		7.7
Capital Goods		6.9
Banks		5.6
Consumer Durables & Apparel		5.5
Telecommunication Services		5.0
Software & Services		4.9
Diversified Financials		4.7
Retailing		3.8
Semiconductors & Semiconductor Equipment		3.7
Household & Personal Products		3.1
Technology Hardware & Equipment		2.8
Insurance		2.8
Commercial & Professional Services		2.7
Transportation		2.3
Automobiles & Components		1.8
Food & Staples Retailing		1.7
Health Care Equipment & Services		1.3
Energy		1.2
Consumer Services		0.2
Media & Entertainment		0.1
Real Estate		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 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%.

20

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 4.2%
	767,641	Austal Ltd		1,996,364
	5,154,133	Fortescue Metals Group Ltd		65,876,920
	499,255	Pact Group Holdings Ltd		900,975
	551,315	Rio Tinto Ltd		39,672,789
	863,262	Sandfire Resources NL		2,959,912
		Total Australia		111,406,960
		Belgium — 1.2%
	421,500	AGFA-Gevaert NV *		1,780,848
	78,288	Orange Belgium SA		1,319,434
	234,439	UCB SA		27,824,869
		Total Belgium		30,925,151
		Denmark — 0.0%
	10,980	Per Aarsleff Holding A/S		444,564
	7,459	Schouw & Co A/S		723,278
		Total Denmark		1,167,842
		France — 8.4%
	6,194	Alten SA *		536,843
	190,667	BNP Paribas SA *		8,307,022
	15,339	Christian Dior SE		6,569,033
	5,705	Eiffage SA *		524,655
	25,100	Gaztransport Et Technigaz SA		2,368,668
	14,927	IPSOS		394,150
	212,017	L’Oreal SA		70,357,764
	134,133	Metropole Television SA *		1,674,840
	3,156	Nexans SA *		177,041
	585,385	Peugeot SA *		10,092,387
	761,752	Sanofi		77,156,903
	44,828	Sanofi ADR		2,267,400
	652	Sartorius Stedim Biotech		233,031
	63,698	Schneider Electric SE		7,877,622
	1,146,022	STMicroelectronics NV – NY Shares		34,667,166
		Total France		223,204,525
		Germany — 5.0%
	113,175	ADVA Optical Networking SE *		960,509
	131,093	Allianz SE (Registered)		28,445,578
	29,017	Bayer AG (Registered)		1,929,980
	49,205	Bechtle AG		9,944,708
	17,265	Carl Zeiss Meditec AG		1,948,730
	1,041,111	CECONOMY AG *		4,794,660
	5,093	Cewe Stiftung & Co KGaA *		604,469
	682,295	Deutsche Pfandbriefbank AG		4,969,901
	484,153	Dialog Semiconductor Plc *		21,033,062
	105,160	DWS Group GmbH & Co KGaA *		4,145,343
	30,313	Hannover Rueck SE		5,169,228

Shares		Description	Value ($)
		Germany — continued
	44,569	Henkel AG & Co KGaA		4,010,083
	6,074	Indus Holding AG		209,984
	44,433	Merck KGaA		6,039,100
	119,405	Siemens Healthineers AG		5,439,949
	221,879	Software AG		11,063,100
	1,725	Talanx AG *		64,138
	115,451	Volkswagen AG *		20,802,113
		Total Germany		131,574,635
		Hong Kong — 2.2%
	495,500	BOC Hong Kong Holdings Ltd		1,405,546
	1,574,640	Champion (REIT)		832,261
	1,505,014	Dah Sing Banking Group Ltd		1,429,719
	407,515	Dah Sing Financial Holdings Ltd		1,158,455
	4,557,096	Esprit Holdings Ltd *		522,270
	860,500	Johnson Electric Holdings Ltd		1,697,586
	794,257	Luk Fook Holdings International Ltd		1,776,683
	1,574,400	Man Wah Holdings Ltd		2,198,348
	1,405,647	Pacific Textiles Holdings Ltd		621,478
	1,484,000	Shun Tak Holdings Ltd		514,336
	1,323,173	SmarTone Telecommunications Holdings Ltd		725,213
	377,880	Television Broadcasts Ltd		426,057
	50,885,920	WH Group Ltd		43,858,841
		Total Hong Kong		57,166,793
		Ireland — 1.0%
	70,354	CRH Plc		2,623,901
	553,300	CRH Plc Sponsored ADR		20,527,430
	167	Flutter Entertainment Plc *		27,441
	49,273	Glanbia Plc		566,431
	31,920	Kerry Group Plc – Class A		4,191,708
		Total Ireland		27,936,911
		Italy — 4.3%
	793,653	Anima Holding SPA		3,486,385
	35,918	De’ Longhi SPA *		1,192,143
	7,625,619	Enel SPA		69,051,447
	599,923	EXOR NV		35,382,487
	41,785	La Doria SPA		549,600
	445,076	Societa Cattolica di Assicurazioni SC *		2,647,775
	132,581	Unipol Gruppo SPA *		639,320
		Total Italy		112,949,157
		Japan — 20.5%
	72,453	AOKI Holdings Inc		390,296
	2,291,076	Asahi Kasei Corp		19,192,882
	3,601,950	Astellas Pharma Inc		56,507,933
	51,727	Autobacs Seven Co Ltd		668,932
	592,121	Brother Industries Ltd		9,795,986
	45,036	Cawachi Ltd		1,281,486

See accompanying notes to the financial statements. 21

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	85,719	Daiwabo Holdings Co Ltd		5,161,714
	337,562	DCM Holdings Co Ltd		4,129,715
	80,385	Dexerials Corp		803,915
	27,100	Dip Corp		598,715
	61,078	Doutor Nichires Holdings Co Ltd		945,223
	30,066	DTS Corp		630,384
	6,621	Ehime Bank Ltd (The)		72,131
	29,300	Fuji Corp		526,072
	388,945	Fuji Electric Co Ltd		12,134,170
	59,600	Fujitsu General Ltd		1,559,482
	405,396	Fujitsu Ltd		52,920,416
	29,789	Fuyo General Lease Co Ltd		1,794,126
	147,012	Geo Holdings Corp		2,382,728
	20,135	Gunze Ltd		724,790
	89,500	Haseko Corp		1,221,348
	1,070,978	Hitachi Ltd		35,629,819
	1,163,868	ITOCHU Corp		29,867,506
	203,500	Itochu Techno-Solutions Corp		7,366,091
	51,900	K’s Holdings Corp		735,395
	159,611	Kanematsu Corp		2,015,151
	1,988,300	KDDI Corp		57,795,586
	103,117	Keihin Corp		2,503,821
	25,569	Kohnan Shoji Co Ltd		923,254
	308,400	Konica Minolta Inc		994,838
	24,867	Mandom Corp		395,280
	2,660,356	Mitsubishi Chemical Holdings Corp		15,535,609
	1,205,300	Mitsubishi UFJ Financial Group Inc		5,028,960
	3,178	Mitsui Sugar Co Ltd		57,964
	45,150	Modec Inc		755,226
	76,266	Namura Shipbuilding Co Ltd		110,699
	232,900	NEC Corp		12,297,383
	120,000	NEC Networks & System Integration Corp		2,231,039
	145,457	Nichias Corp		3,443,605
	109,909	Nippo Corp		2,846,295
	67,333	Nippon Signal Co Ltd		650,774
	2,507,588	Nippon Telegraph & Telephone Corp		57,061,666
	139,100	NS Solutions Corp		4,053,662
	404,100	NTT DOCOMO Inc		11,268,318
	554,300	Obayashi Corp		5,417,967
	96,801	Okinawa Electric Power Co (The)		1,516,912
	109,800	Otsuka Corp		5,388,555
	93,902	Press Kogyo Co Ltd		268,707
	71,896	Prima Meat Packers Ltd		2,104,677
	37,457	San-A Co Ltd		1,522,093
	24,700	SCSK Corp		1,337,613
	98,887	Seiko Holdings Corp		1,393,579
	477,428	Sekisui Chemical Co Ltd		7,638,065
	262,700	Shimizu Corp		2,017,896
	207,800	Showa Corp		4,456,595
	2,612,887	Sojitz Corp		5,976,126
	116,900	Sony Corp		9,153,777

Shares		Description	Value ($)
		Japan — continued
	8,114,463	Sumitomo Chemical Co Ltd		26,318,428
	74,903	T-Gaia Corp		1,474,939
	109,900	Tokyo Electron Ltd		28,190,240
	42,861	Tokyo Seimitsu Co Ltd		1,311,582
	149,395	Tokyu Construction Co Ltd		684,973
	86,211	Towa Pharmaceutical Co Ltd		1,712,059
	10,500	Toyo Suisan Kaisha Ltd		597,000
	27,682	TPR Co Ltd		368,145
	143,867	TS Tech Co Ltd		4,208,389
	75,819	TSI Holdings Co Ltd		230,254
	109,914	Valor Holdings Co Ltd		2,810,300
	23,104	Warabeya Nichiyo Holdings Co Ltd		326,142
	26,746	Yahagi Construction Co Ltd		230,379
		Total Japan		543,665,777
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—
		Netherlands — 7.3%
	50,877	ASM International NV		7,638,566
	505,260	ASR Nederland NV		17,468,256
	74,683	Flow Traders		2,943,693
	177,743	Heineken Holding NV		14,543,329
	1,370,427	ING Groep NV *		11,185,518
	570,385	Koninklijke Ahold Delhaize NV		17,160,482
	314,313	Koninklijke Philips NV *		14,873,648
	196,213	Koninklijke Vopak NV		10,773,293
	218,033	Randstad NV		11,347,180
	828,920	Signify NV		27,650,710
	702,980	Wolters Kluwer NV		57,667,640
		Total Netherlands		193,252,315
		Norway — 2.6%
	373,819	BW LPG Ltd		1,743,999
	2,598,357	DNB ASA *		41,623,440
	131,200	Frontline Ltd		1,044,352
	294,427	Gjensidige Forsikring ASA		6,267,751
	77,764	Norwegian Finans Holding ASA *		589,257
	1,722,837	Orkla ASA		17,523,872
	10,853	SpareBank 1 Nord Norge		83,569
		Total Norway		68,876,240
		Portugal — 3.2%
	128,547	Altri SGPS SA		644,809
	287,147	CTT-Correios de Portugal SA *		895,379
	62,058	EDP Renovaveis SA		1,061,562
	8,678,655	EDP – Energias de Portugal SA		44,118,532
	1,352,045	Galp Energia SGPS SA		14,518,462
	1,293,951	Jeronimo Martins SGPS SA		21,294,610
	252,886	NOS SGPS SA		1,024,234

22 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	630,348	REN – Redes Energeticas Nacionais SGPS SA		1,835,160
		Total Portugal		85,392,748
		Singapore — 4.1%
	1,354,200	AEM Holdings Ltd		4,003,122
	777,100	ComfortDelGro Corp Ltd		843,464
	3,256,200	DBS Group Holdings Ltd		49,901,153
	733,400	Hi-P International Ltd		667,425
	526,300	Mapletree Industrial Trust (REIT)		1,177,904
	2,617,000	Singapore Exchange Ltd		16,548,717
	937,900	United Overseas Bank Ltd		13,448,361
	756,600	Venture Corp Ltd		11,026,879
	684,600	Wilmar International Ltd		2,190,277
	11,736,300	Yangzijiang Shipbuilding Holdings Ltd		7,884,399
		Total Singapore		107,691,701
		Spain — 6.2%
	297,963	Aena SME SA *		44,484,690
	280,175	Cia de Distribucion Integral Logista Holdings SA		4,967,947
	132,422	Ebro Foods SA		3,250,863
	1,773,496	Endesa SA		49,231,759
	3,074,587	Iberdrola SA		38,791,676
	569,231	Industria de Diseno Textil SA		16,005,195
	115,077	Mediaset Espana Comunicacion SA *		382,374
	79,011	Viscofan SA		5,845,650
		Total Spain		162,960,154
		Sweden — 3.8%
	396,177	Betsson AB *		3,316,701
	720,708	Swedish Match AB		54,737,741
	2,254,346	Volvo AB – B Shares *		43,180,718
		Total Sweden		101,235,160
		Switzerland — 6.4%
	62,696	ABB Ltd (Registered)		1,598,696
	50,929	Ascom Holding AG (Registered) *		683,550
	982	Banque Cantonale Vaudoise (Registered)		104,873
	48,307	Galenica AG		3,468,642
	8,342	Kardex Holding AG (Registered)		1,733,493
	135,624	Nestle SA (Registered)		16,335,522
	468,673	Novartis AG (Registered)		40,393,519
	31,277	Roche Holding AG		10,972,012
	251,707	Roche Holding AG – Genusschein		88,051,838
	93,014	Wizz Air Holdings Plc *		4,824,877
	4,556	Zehnder Group AG – Class RG		235,816
		Total Switzerland		168,402,838
		United Kingdom — 17.2%
	2,702,938	3i Group Plc		33,215,068
	35,896	Ashtead Group Plc		1,244,606

Shares		Description	Value ($)
		United Kingdom — continued
	239,487	Avast Plc		1,712,522
	175,602	AVEVA Group Plc		11,862,710
	86,527	BAE Systems Plc		600,677
	3,579,480	Barratt Developments Plc		24,995,865
	224,342	Bellway Plc		7,126,833
	323,402	Berkeley Group Holdings Plc (The)		19,544,297
	1,203,175	British American Tobacco Plc		40,553,037
	715,400	British American Tobacco Plc Sponsored ADR		24,159,058
	263,343	Centamin Plc		739,776
	323,535	Coca-Cola HBC AG *		8,594,154
	37,951	Cranswick Plc		1,881,204
	435,100	Dunelm Group Plc		8,277,239
	973,195	Electrocomponents Plc		8,804,201
	59,983	Ferguson Plc		5,882,255
	1,551,115	Ferrexpo Plc		3,811,629
	5,150,932	Firstgroup Plc *		3,025,775
	264,593	Galliford Try Holdings Plc		299,012
	23,880	Games Workshop Group Plc		2,934,250
	2,798,851	GlaxoSmithKline Plc		54,670,850
	71,690	Grafton Group Plc		739,762
	99,425	Greggs Plc		1,878,328
	117,113	Halfords Group Plc		258,117
	32,728	Halma Plc		970,413
	230,103	Howden Joinery Group Plc		1,718,902
	1,232,400	HSBC Holdings Plc		5,342,768
	1,106,148	IG Group Holdings Plc		11,519,034
	852,714	Inchcape Plc *		5,744,272
	1,335,665	JD Sports Fashion Plc		12,853,740
	3,999,481	Legal & General Group Plc		11,496,232
	351,702	National Express Group Plc		596,004
	357,927	Next Plc		28,679,585
	1,623,694	Persimmon Plc		56,420,503
	705,210	Pets at Home Group Plc		2,750,092
	619,703	Plus500 Ltd		12,060,026
	993,967	QinetiQ Group Plc		3,846,510
	71,919	Royal Dutch Shell Plc – B Shares		1,011,807
	61,068	Savills Plc		665,443
	51,500	Smith & Nephew Plc Sponsored ADR		2,093,475
	238,057	Softcat Plc		4,408,788
	84,002	Spectris Plc		2,855,079
	968,264	Spirent Communications Plc		3,804,085
	1,959,960	Tate & Lyle Plc		17,770,754
	309,192	Vesuvius Plc *		1,663,177
	27,982	Vistry Group Plc		238,342
		Total United Kingdom		455,320,256
		TOTAL COMMON STOCKS (COST $2,549,566,808)		2,583,129,163

See accompanying notes to the financial statements. 23

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 0.3%
		Germany — 0.3%
	33,284	Draegerwerk AG & Co KGaA *		2,822,333
	54,560	Henkel AG & Co KGaA		5,578,140
	148,175	Schaeffler AG		993,552
		Total Germany		9,394,025
		TOTAL PREFERRED STOCKS (COST $8,742,729)		9,394,025
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.0%
	192,377	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c)		192,377

Shares / Par Value†		Description	Value ($)
		U.S. Government — 1.7%
	1,000,000	U.S. Treasury Bill, 0.10%, due 11/12/20 (d) (e)		999,810
	18,000,000	U.S. Treasury Bill, 0.12%, due 01/07/21 (d) (e)		17,992,640
	25,000,000	U.S. Treasury Bill, 0.11%, due 02/04/21 (d)		24,988,083
		Total U.S. Government		43,980,533
		TOTAL SHORT-TERM INVESTMENTS (COST $44,172,662)		44,172,910
		TOTAL INVESTMENTS — 99.6% (Cost $2,602,482,199)		2,636,696,098
		Other Assets and Liabilities (net) — 0.4%		10,342,087
		TOTAL NET ASSETS — 100.0%		$2,647,038,185

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
264	Mini MSCI EAFE	September 2020	$	25,081,320	$	424,735

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

As of August 31, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of August 31, 2020.

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

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

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 51.

24 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.5	%
Short-Term Investments		0.6
Debt Obligations		0.6
Mutual Funds		0.2
Other		0.1
		100.0	%
Country/Region Summary¤	% of Investments
United States		84.3	%
United Kingdom		4.1
Switzerland		3.7
Germany		3.6
Taiwan		2.8
Other Developed		1.5	‡
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		18.3	%
Health Care Equipment & Services		14.1
Pharmaceuticals, Biotechnology & Life Sciences		10.2
Technology Hardware & Equipment		10.1
Media & Entertainment		8.0
Semiconductors & Semiconductor Equipment		7.5
Capital Goods		6.4
Food, Beverage & Tobacco		6.4
Banks		4.9
Diversified Financials		3.6
Consumer Services		2.8
Household & Personal Products		2.6
Retailing		2.5
Consumer Durables & Apparel		1.7
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.

‡ “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.

25

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Banks — 4.9%
	5,867,501	US Bancorp		213,577,037
	5,575,629	Wells Fargo & Co.		134,651,440
		Total Banks		348,228,477
		Capital Goods — 6.3%
	1,111,982	3M Co.		181,275,306
	200,235	Honeywell International, Inc.		33,148,904
	580,416	Knorr-Bremse AG		73,751,520
	1,293,020	Otis Worldwide Corp.		81,330,958
	1,346,103	Raytheon Technologies Corp.		82,112,283
		Total Capital Goods		451,618,971
		Consumer Durables & Apparel — 1.7%
	124,083	LVMH Moet Hennessy Louis Vuitton SE		58,272,185
	547,335	NIKE, Inc. – Class B		61,241,313
		Total Consumer Durables & Apparel		119,513,498
		Consumer Services — 2.7%
	7,471,999	Compass Group Plc		120,911,527
	869,375	Starbucks Corp.		73,436,106
		Total Consumer Services		194,347,633
		Diversified Financials — 3.5%
	1,652,051	American Express Co.		167,831,861
	2,332,054	Charles Schwab Corp. (The)		82,857,879
		Total Diversified Financials		250,689,740
		Food, Beverage & Tobacco — 6.3%
	5,219,969	Coca-Cola Co. (The)		258,545,065
	615,949	Nestle SA (Registered)		74,189,293
	1,474,877	Philip Morris International, Inc.		117,680,436
		Total Food, Beverage & Tobacco		450,414,794
		Health Care Equipment & Services — 13.9%
	1,257,931	Abbott Laboratories		137,705,706
	689,455	Anthem, Inc.		194,095,372
	2,084,180	Medtronic Plc		223,986,825
	1,041,197	Quest Diagnostics, Inc.		115,822,754
	1,023,218	UnitedHealth Group, Inc.		319,806,786
		Total Health Care Equipment & Services		991,417,443
		Household & Personal Products — 2.6%
	274,530	Unilever NV		15,952,010
	2,866,860	Unilever Plc		169,494,178
		Total Household & Personal Products		185,446,188
		Media & Entertainment — 7.9%
	111,075	Alphabet, Inc. – Class A *		181,000,045

Shares / Par Value†		Description	Value ($)
		Media & Entertainment — continued
	91,705	Alphabet, Inc. – Class C *		149,862,477
	795,167	Facebook, Inc. – Class A *		233,142,964
		Total Media & Entertainment		564,005,486
		Pharmaceuticals, Biotechnology & Life Sciences — 10.0%
	857,313	Eli Lilly & Co.		127,216,676
	1,554,416	Johnson & Johnson		238,462,958
	1,945,054	Merck & Co., Inc.		165,854,755
	529,833	Roche Holding AG – Genusschein		185,345,539
		Total Pharmaceuticals, Biotechnology & Life Sciences		716,879,928
		Retailing — 2.5%
	3,228,070	TJX Cos, Inc. (The)		176,865,955
		Semiconductors & Semiconductor Equipment — 7.4%
	84,341	ASML Holding NV		31,518,755
	297,656	Lam Research Corp.		100,113,619
	13,703,790	Taiwan Semiconductor Manufacturing Co Ltd		199,733,754
	1,367,064	Texas Instruments, Inc.		194,328,148
		Total Semiconductors & Semiconductor Equipment		525,694,276
		Software & Services — 18.0%
	1,136,815	Accenture Plc – Class A		272,756,023
	2,142,269	Microsoft Corp.		483,145,928
	4,277,962	Oracle Corp.		244,784,986
	1,072,362	SAP SE		177,309,513
	527,860	Visa, Inc. – Class A		111,901,041
		Total Software & Services		1,289,897,491
		Technology Hardware & Equipment — 9.9%
	4,262,496	Apple, Inc.		550,032,484
	3,819,126	Cisco Systems, Inc.		161,243,500
		Total Technology Hardware & Equipment		711,275,984
		Transportation — 0.9%
	2,137,911	Lyft, Inc. – Class A *		63,431,819
		TOTAL COMMON STOCKS (COST $4,407,220,221)		7,039,727,683
		DEBT OBLIGATIONS — 0.6%
		U.S. Government — 0.6%
	21,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		21,104,180
	20,000,000	U.S. Treasury Note, 2.25%, due 03/31/21		20,239,062
		Total U.S. Government		41,343,242
		TOTAL DEBT OBLIGATIONS (COST $41,196,042)		41,343,242

26 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	3,141,064	GMO U.S. Treasury Fund		15,830,961
		TOTAL MUTUAL FUNDS (COST $15,705,282)		15,830,961
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.1%
	3,966,735	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		3,966,735
		U.S. Government — 0.5%
	23,000,000	U.S. Treasury Bill, 0.11%, due 01/21/21 (b)		22,990,360
	15,000,000	U.S. Treasury Bill, 0.11%, due 02/04/21 (b)		14,992,850
		Total U.S. Government		37,983,210
		TOTAL SHORT-TERM INVESTMENTS (COST $41,947,841)		41,949,945
		TOTAL INVESTMENTS — 99.9% (Cost $4,506,069,386)		7,138,851,831
		Other Assets and Liabilities (net) — 0.1%		5,676,953
		TOTAL NET ASSETS — 100.0%		$7,144,528,784

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2020.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 51.

See accompanying notes to the financial statements. 27

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		86.0	%
Preferred Stocks		9.9
Debt Obligations		3.5
Short-Term Investments		0.3
Rights/Warrants		0.0	^
Other		0.3
		100.0	%
Country/Region Summary¤	% of Investments
United States		17.8	%
Russia		14.5
United Kingdom		13.4
Brazil		6.4
Canada		6.1
Australia		4.9
Other Emerging		4.7	†
China		3.5
Japan		3.3
France		3.3
Mexico		3.1
Chile		3.1
Norway		2.9
India		2.8
Israel		2.0
Thailand		1.7
Other Developed		1.3	‡
Finland		1.1
Spain		1.1
Argentina		1.0
Austria		1.0
Sweden		1.0
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		43.9	%
Industrial Metals		39.7
Agriculture		13.3
Water		3.1
		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%.

28

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.0%
		Argentina — 1.0%
	1,195,954	Adecoagro SA *		6,051,527
		Australia — 4.9%
	1,336,180	Beach Energy Ltd		1,494,311
	887,101	Fortescue Metals Group Ltd		11,338,373
	4,770,582	Jupiter Mines Ltd		962,462
	246,223	Mineral Resources Ltd (a)		5,281,447
	1,610,282	Sandfire Resources NL		5,521,259
	1,853,907	South32 Ltd		2,866,083
	455,819	Tassal Group Ltd		1,224,708
		Total Australia		28,688,643
		Austria — 1.0%
	184,816	OMV AG *		5,982,583
		Brazil — 1.5%
	800,000	Duratex SA		2,323,264
	342,700	Petroleo Brasileiro SA		1,396,197
	1,194,657	Sao Martinho SA		5,270,577
		Total Brazil		8,990,038
		Canada — 6.0%
	599,600	Canadian Solar Inc * (a)		19,481,004
	243,200	Enerflex Ltd (a)		1,090,750
	459,100	Enerplus Corp		1,217,837
	283,100	Frontera Energy Corp		592,527
	1,523,700	Ivanhoe Mines Ltd – Class A * (a)		6,016,066
	8,838,100	Largo Resources Ltd *		7,250,176
		Total Canada		35,648,360
		China — 3.5%
	5,046,000	China High Speed Transmission Equipment Group Co Ltd		3,658,937
	2,444,000	China Water Affairs Group Ltd		2,009,522
	13,345,000	CNOOC Ltd		15,122,624
		Total China		20,791,083
		Colombia — 0.9%
	9,030,253	Ecopetrol SA		5,286,355
		Denmark — 0.7%
	42,150	Maersk Drilling A/S *(a)		998,104
	21,946	Vestas Wind Systems A/S		3,318,061
		Total Denmark		4,316,165
		Finland — 1.1%
	125,659	Neste Oyj		6,727,199

Shares		Description	Value ($)
		France — 3.3%
	251,925	Suez		4,350,420
	191,710	TOTAL SA		7,605,532
	171,815	Veolia Environnement SA		4,145,382
	58,741	Vilmorin & Cie SA		3,320,286
		Total France		19,421,620
		Hungary — 0.8%
	888,713	MOL Hungarian Oil & Gas Plc *		4,993,646
		India — 2.7%
	4,374,429	Oil & Natural Gas Corp Ltd		4,862,761
	1,192,557	Oil India Ltd		1,534,904
	5,642,401	Vedanta Ltd		9,798,956
		Total India		16,196,621
		Israel — 2.0%
	63,085	Equital Ltd *		1,259,954
	1,672,519	ICL Group Ltd		6,213,435
	32,304	Israel Corp Ltd (The) *		3,839,493
	94,114	Naphtha Israel Petroleum Corp Ltd *		347,555
		Total Israel		11,660,437
		Japan — 3.4%
	122,100	Ebara Corp		3,141,144
	770,500	Inpex Corp		4,886,052
	77,100	Kurita Water Industries Ltd		2,414,680
	273,400	Mitsubishi Materials Corp		5,735,188
	53,600	Nittetsu Mining Co Ltd		2,126,401
	94,500	Takuma Co Ltd		1,512,769
		Total Japan		19,816,234
		Mexico — 3.0%
	6,722,540	Grupo Mexico SAB de CV – Series B		17,941,520
		Norway — 2.8%
	670,145	Austevoll Seafood ASA		6,180,443
	2,922,953	DNO ASA (a)		1,845,565
	331,128	Equinor ASA		5,358,218
	133,695	Grieg Seafood ASA		1,353,972
	160,538	TGS NOPEC Geophysical Co ASA		2,090,081
		Total Norway		16,828,279
		Pakistan — 0.8%
	2,391,500	Fauji Fertilizer Co Ltd		1,557,893
	3,032,049	Oil & Gas Development Co Ltd		2,100,963
	457,975	Pakistan Oilfields Ltd		1,189,664
		Total Pakistan		4,848,520

See accompanying notes to the financial statements. 29

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.7%
	3,113,073	Polskie Gornictwo Naftowe i Gazownictwo SA		4,328,369
		Russia — 12.4%
	1,265,530	Gazprom Neft PJSC		5,439,434
	699,380	Gazprom PJSC		1,708,283
	253,760	LUKOIL PJSC Sponsored ADR		17,362,790
	526,088	MMC Norilsk Nickel PJSC ADR		13,806,966
	117,574	Novatek PJSC Sponsered GDR (Registered)		17,551,802
	543,499	PhosAgro PJSC GDR (Registered)		6,431,759
	575,419	Ros Agro Plc GDR (Registered)		5,792,705
	411,269	Rosneft Oil Co PJSC GDR (Registered)		2,104,763
	384,335	Tatneft PJSC		2,829,776
		Total Russia		73,028,278
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (b)		—
		South Africa — 0.2%
	76,549	African Rainbow Minerals Ltd		960,021
		South Korea — 0.2%
	2,326	Young Poong Corp		957,841
		Spain — 1.1%
	817,862	Repsol SA		6,460,452
		Sweden — 1.0%
	121,065	Boliden AB		3,617,043
	56,067	Holmen AB – B Shares *		1,999,639
		Total Sweden		5,616,682
		Switzerland — 0.6%
	1,745	Gurit Holding AG		3,301,770
		Thailand — 1.7%
	1,938,064	PTT Exploration & Production Pcl (Foreign Registered)		5,548,766
	3,629,100	PTT Pcl (Foreign Registered)		4,199,181
		Total Thailand		9,747,947
		Turkey — 0.5%
	1,642,447	Koza Anadolu Metal Madencilik Isletmeleri AS *		2,878,186
		Ukraine — 0.6%
	325,180	Kernel Holding SA		3,403,643
		United Kingdom — 13.3%
	998,144	Anglo American Plc		24,529,082
	240,520	BHP Group Plc		5,474,778
	358,136	BP Plc		1,249,456
	887,859	Central Asia Metals Plc		2,077,673

Shares		Description	Value ($)
		United Kingdom — continued
	1,637,147	Ferrexpo Plc		4,023,040
	8,592,617	Glencore Plc		21,127,751
	861,358	John Wood Group Plc *		2,825,423
	561,101	KAZ Minerals Plc		4,328,262
	744,897	Petrofac Ltd (a)		1,614,224
	91,051	Rio Tinto Plc		5,662,498
	403,065	Royal Dutch Shell Plc – A Shares (a)		5,932,975
		Total United Kingdom		78,845,162
		United States — 14.3%
	42,400	AGCO Corp.		3,014,640
	33,631	Albemarle Corp. (a)		3,060,757
	88,800	Baker Hughes Co.		1,268,064
	80,900	First Solar, Inc. *		6,196,131
	613,382	Freeport-McMoRan, Inc.		9,574,893
	111,700	FutureFuel Corp.		1,351,570
	497,424	GrafTech International Ltd.		3,312,844
	129,400	Halliburton Co.		2,093,692
	5,086,900	Kosmos Energy Ltd.		7,477,743
	400,400	Livent Corp. *(a)		3,395,392
	276,100	Marathon Oil Corp.		1,457,808
	957,107	Mosaic Co. (The)		17,448,061
	323,900	NexTier Oilfield Solutions, Inc. *		816,228
	214,000	ProPetro Holding Corp. *		1,343,920
	468,154	Renewable Energy Group, Inc. *		15,650,388
	20,855	SolarEdge Technologies, Inc. *		4,612,083
	170,200	Talos Energy, Inc. *		1,278,202
	435,000	W&T Offshore, Inc. * (a)		970,050
		Total United States		84,322,466
		TOTAL COMMON STOCKS (COST $493,038,011)		508,039,647
		PREFERRED STOCKS (c) — 9.9%
		Brazil — 4.8%
	3,358,099	Bradespar SA		26,964,092
	409,900	Petroleo Brasileiro SA		1,637,804
		Total Brazil		28,601,896
		Chile — 3.0%
	571,412	Sociedad Quimica y Minera de Chile SA Sponsored ADR		17,919,480
		Russia — 2.1%
	74,885	Bashneft PJSC		1,356,227
	5,091,084	Surgutneftegas PJSC		2,551,920
	1,143,931	Tatneft PJSC		8,287,538
		Total Russia		12,195,685
		TOTAL PREFERRED STOCKS (COST $48,435,670)		58,717,061

30 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 3.5%
		United States — 3.5%
	20,000,000	U.S. Treasury Note, 1.38%, due 01/31/22		20,345,312
		TOTAL DEBT OBLIGATIONS (COST $20,356,388)		20,345,312
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23*(a)(b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.1%
	442,310	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (d)		442,310
		U.S. Government — 0.2%
	1,500,000	U.S. Treasury Bill, 0.10%, due 11/12/20 (e)		1,499,715
		TOTAL SHORT-TERM INVESTMENTS (COST $1,941,845)		1,942,025
		TOTAL INVESTMENTS — 99.7% (Cost $563,771,914)		589,044,045
		Other Assets and Liabilities (net) — 0.3%		2,011,072
		TOTAL NET ASSETS — 100.0%		$591,055,117

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

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

(d) The rate disclosed is the 7 day net yield as of August 31, 2020.

(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 51.

See accompanying notes to the financial statements. 31

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		50.8	%
Short-Term Investments		48.4
Written Options		(0.8	)
Other		1.6
		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).

32

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 50.8%
		U.S. Government — 50.8%
	8,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.16%, due 07/31/22		8,499,379
		TOTAL DEBT OBLIGATIONS (COST $8,500,000)		8,499,379
		SHORT-TERM INVESTMENTS — 48.4%
		Money Market Funds — 0.2%
	26,596	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		26,596
		U.S. Government — 48.2%
	8,000,000	U.S. Treasury Note, 1.13%, due 06/30/21 (b)		8,064,688
		TOTAL SHORT-TERM INVESTMENTS (COST $8,064,440)		8,091,284
		TOTAL INVESTMENTS — 99.2% (Cost $16,564,440)		16,590,663
		Other Assets and Liabilities (net) — 0.8%		139,273
		TOTAL NET ASSETS — 100.0%		$16,729,936

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Written Options — Puts

Index Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount				Value ($)
S&P 500 Index	3,385.00		09/18/20		49		USD	(17,151,519	)		(139,160	)
	TOTAL WRITTEN INDEX OPTIONS — PUTS (Premiums $309,517)										$(139,160)

As of August 31, 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) The rate disclosed is the 7 day net yield as of August 31, 2020.

(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).

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 51.

See accompanying notes to the financial statements. 33

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.4	%
Mutual Funds		1.5
Preferred Stocks		0.8
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		0.2
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.2	%
United Kingdom		12.9
France		8.2
Netherlands		7.6
Switzerland		6.3
Germany		5.7
Spain		5.6
Italy		3.9
Australia		3.8
Portugal		3.3
Singapore		3.1
South Korea		2.3
Other Emerging		2.2	†
Sweden		2.1
China		2.0
Ireland		1.9
Turkey		1.5
United States		1.5
Belgium		1.4
Hong Kong		1.3
Russia		1.2
Other Developed		1.0	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		14.3	%
Food, Beverage & Tobacco		8.4
Utilities		8.1
Capital Goods		7.1
Materials		6.8
Consumer Durables & Apparel		6.5
Telecommunication Services		5.4
Software & Services		5.4
Banks		5.2
Diversified Financials		4.2
Semiconductors & Semiconductor Equipment		3.8
Household & Personal Products		3.8
Retailing		3.4
Commercial & Professional Services		3.3
Food & Staples Retailing		2.8
Technology Hardware & Equipment		2.5
Automobiles & Components		2.2
Insurance		1.9
Health Care Equipment & Services		1.8
Energy		1.2
Transportation		1.3
Real Estate		0.4
Media & Entertainment		0.1
Consumer Services		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%.

34

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Australia — 3.8%
	6,116	Accent Group Ltd		7,129
	1,462	Australian Pharmaceutical Industries Ltd		1,167
	1,325	Coca-Cola Amatil Ltd		8,876
	78,087	Fortescue Metals Group Ltd		998,059
	3,342	JB Hi-Fi Ltd		123,146
	4,615	Rio Tinto Ltd		332,097
		Total Australia		1,470,474
		Belgium — 1.4%
	4,732	UCB SA		561,627
		Brazil — 0.8%
	30,600	Banco do Brasil SA		182,366
	23,200	JBS SA		95,027
	3,600	Qualicorp Consultoria e Corretora de Seguros SA		20,528
		Total Brazil		297,921
		China — 2.0%
	20,500	BAIC Motor Corp Ltd – Class H		9,826
	856,000	Bank of China Ltd – Class H		278,362
	90,000	Bank of Communications Co Ltd – Class H		46,999
	47,000	China CITIC Bank Corp Ltd – Class H		19,633
	89,000	China Everbright Bank Co Ltd – Class H		31,887
	90,000	China Huarong Asset Management Co Ltd – Class H		10,322
	90,000	China Lesso Group Holdings Ltd		167,590
	41,000	China Medical System Holdings Ltd		46,176
	49,000	China Minsheng Banking Corp Ltd – Class H		29,827
	35,000	China Railway Group Ltd – Class H		17,951
	27,000	China SCE Group Holdings Ltd		14,053
	37,000	Chongqing Rural Commercial Bank Co Ltd – Class H		15,076
	10,000	Huabao International Holdings Ltd		8,926
	13,000	IGG Inc		14,996
	30,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		54,988
	10,000	Tianneng Power International Ltd		21,512
		Total China		788,124
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		43,341
		France — 8.2%
	420	Alten SA *		36,402
	87	Christian Dior SE		37,259
	1,540	Dassault Systemes SE		290,593
	1,112	Eiffage SA *		102,264
	27	Faurecia SE *		1,182
	432	Kaufman & Broad SA		17,156

Shares		Description	Value ($)
		France — continued
	3,443	L’Oreal SA		1,142,558
	196	Legrand SA		16,360
	555	Nexans SA *		31,134
	11,442	Peugeot SA *		197,267
	1,207	Quadient SA		16,821
	11,054	Sanofi		1,119,646
	1,567	Schneider Electric SE		193,793
	361	Valeo SA		11,086
		Total France		3,213,521
		Germany — 5.0%
	276	AIXTRON SE *		3,192
	980	Allianz SE (Registered)		212,648
	148	Aurubis AG		10,638
	362	BASF SE		22,106
	4,747	Bayer AG (Registered)		315,733
	179	Bayerische Motoren Werke AG		12,899
	1,030	Bechtle AG		208,171
	317	CANCOM SE		17,511
	692	Carl Zeiss Meditec AG		78,107
	1,435	Deutsche Pfandbriefbank AG		10,453
	7,151	Dialog Semiconductor Plc *		310,661
	360	Eckert & Ziegler Strahlen- und Medizintechnik AG		18,172
	356	Elmos Semiconductor AG		9,252
	471	Hannover Rueck SE		80,319
	1,087	HeidelbergCement AG		68,961
	951	Henkel AG & Co KGaA		85,566
	941	Merck KGaA		127,896
	804	SAP SE		132,937
	1,701	Siemens Healthineers AG		77,495
	844	Software AG		42,083
	549	Volkswagen AG *		98,920
		Total Germany		1,943,720
		Hong Kong — 1.3%
	11,200	Dah Sing Banking Group Ltd		10,640
	6,000	Johnson Electric Holdings Ltd		11,837
	532,500	WH Group Ltd		458,964
	5,000	Wharf Real Estate Investment Co Ltd		20,781
		Total Hong Kong		502,222
		Hungary — 0.2%
	3,883	Magyar Telekom Telecommunications Plc		4,769
	2,515	Richter Gedeon Nyrt		61,251
		Total Hungary		66,020
		India — 0.3%
	27,323	Power Finance Corp Ltd		35,062
	1,169	Rajesh Exports Ltd		7,101

See accompanying notes to the financial statements. 35

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		India — continued
	60,826	REC Ltd		88,025
		Total India		130,188
		Ireland — 1.9%
	6,765	CRH Plc		252,463
	5,360	CRH Plc Sponsored ADR		198,856
	432	Kerry Group Plc – Class A		56,730
	5,872	Smurfit Kappa Group Plc		207,935
	301	Smurfit Kappa Group Plc		10,659
		Total Ireland		726,643
		Italy — 3.9%
	3,466	Arnoldo Mondadori Editore SPA *		4,367
	307	Banca Mediolanum SPA		2,275
	109,023	Enel SPA		987,224
	8,788	EXOR NV		518,302
	238	Recordati Industria Chimica e Farmaceutica SPA		12,983
		Total Italy		1,525,151
		Japan — 21.2%
	50,000	Astellas Pharma Inc		784,408
	4,300	Bandai Namco Holdings Inc		266,957
	8,200	Brother Industries Ltd		135,660
	1,300	Casio Computer Co Ltd		20,943
	3,900	Chugai Pharmaceutical Co Ltd		173,772
	700	Daiwabo Holdings Co Ltd		42,152
	600	Dip Corp		13,256
	700	Fuji Corp		12,568
	3,500	FUJIFILM Holdings Corp		166,479
	2,300	Fujitsu General Ltd		60,181
	6,000	Fujitsu Ltd		783,240
	13,300	Haseko Corp		181,497
	8,400	Hitachi Ltd		279,455
	200	Hoya Corp		19,675
	25,100	ITOCHU Corp		644,123
	3,600	Itochu Techno-Solutions Corp		130,309
	29,000	KDDI Corp		842,967
	300	Matsumotokiyoshi Holdings Co Ltd		10,515
	17,200	Mitsubishi Chemical Holdings Corp		100,442
	3,400	NEC Corp		179,524
	900	NEC Networks & System Integration Corp		16,733
	1,000	Nichias Corp		23,674
	35,600	Nippon Telegraph & Telephone Corp		810,099
	500	Nomura Real Estate Holdings Inc		9,539
	400	NS Solutions Corp		11,657
	12,800	NTT DOCOMO Inc		356,928
	9,500	Obayashi Corp		92,857
	100	Obic Co Ltd		17,704
	1,200	Otsuka Corp		58,891
	2,900	Recruit Holdings Co Ltd		109,911

Shares		Description	Value ($)
		Japan — continued
	700	SCSK Corp		37,908
	1,600	Sekisui Chemical Co Ltd		25,597
	2,600	Sekisui House Ltd		51,364
	5,300	Shimizu Corp		40,711
	1,200	Shionogi & Co Ltd		66,634
	1,100	Showa Corp		23,591
	39,300	Sojitz Corp		89,886
	5,500	Sony Corp		430,674
	200	Sugi Holdings Co Ltd		14,450
	2,400	Teijin Ltd		37,631
	3,100	Tokyo Electron Ltd		795,175
	13,400	Tosoh Corp		198,239
	500	Toyo Suisan Kaisha Ltd		28,429
	400	Toyota Tsusho Corp		11,625
	200	Uchida Yoko Co Ltd		11,924
	2,000	Ushio Inc		24,732
		Total Japan		8,244,686
		Malaysia — 0.0%
	3,700	Kossan Rubber Industries		14,235
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *(a)		—
		Netherlands — 7.5%
	715	Aalberts NV		26,911
	1,247	ASM International NV		187,222
	2,749	ASR Nederland NV		95,041
	990	Heineken Holding NV		81,004
	24,071	Koninklijke Ahold Delhaize NV		724,195
	5,346	Koninklijke Philips NV *		252,979
	1,779	Pharming Group NV *		2,250
	5,681	Randstad NV		295,658
	12,656	Signify NV		422,173
	2,754	TomTom NV *		22,094
	10,164	Wolters Kluwer NV		833,784
		Total Netherlands		2,943,311
		Norway — 0.7%
	3,525	BW LPG Ltd		16,445
	97	Grieg Seafood ASA		982
	19,143	Orkla ASA		194,714
	35	Salmar ASA *		1,894
	2,884	SpareBank 1 Nord Norge		22,207
	2,652	SpareBank 1 SR-Bank ASA *		23,820
		Total Norway		260,062
		Philippines — 0.0%
	70	Globe Telecom Inc		3,012

36 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.0%
	807	Asseco Poland SA		15,559
	142	Polski Koncern Naftowy ORLEN SA		1,953
		Total Poland		17,512
		Portugal — 3.3%
	83,727	Banco Comercial Portugues SA – Class R *		9,909
	3,650	EDP Renovaveis SA		62,437
	163,591	EDP – Energias de Portugal SA		831,626
	3,794	Galp Energia SGPS SA		40,741
	19,706	Jeronimo Martins SGPS SA		324,302
	6,632	NOS SGPS SA		26,861
		Total Portugal		1,295,876
		Russia — 1.2%
	705,000	Inter RAO UES PJSC		49,662
	2,149	LUKOIL PJSC		144,336
	2,822	LUKOIL PJSC Sponsored ADR		193,087
	399,000	ROSSETI PJSC		7,848
	130,800	Surgutneftegas PJSC		64,691
		Total Russia		459,624
		Singapore — 3.1%
	17,700	AEM Holdings Ltd		52,323
	7,200	City Developments Ltd		42,427
	30,700	DBS Group Holdings Ltd		470,476
	1,600	Jardine Cycle & Carriage Ltd		22,266
	17,500	Mapletree Industrial Trust (REIT)		39,166
	12,300	Mapletree Logistics Trust (REIT)		18,689
	10,400	Oversea-Chinese Banking Corp Ltd		66,195
	33,200	Singapore Exchange Ltd		209,942
	11,700	Venture Corp Ltd		170,519
	31,100	Wilmar International Ltd		99,500
	19,700	Yangzijiang Shipbuilding Holdings Ltd		13,234
	16,000	Yanlord Land Group Ltd		14,212
		Total Singapore		1,218,949
		South Africa — 0.1%
	3,591	Absa Group Ltd		16,265
	11,423	Netcare Ltd		8,446
		Total South Africa		24,711
		South Korea — 2.3%
	104	DongKook Pharmaceutical Co Ltd (a)		14,264
	182	DoubleUGames Co Ltd		11,180
	12,560	Hana Financial Group Inc		297,260
	487	KB Financial Group Inc		15,109
	12,122	Kia Motors Corp		431,135
	293	Sebang Global Battery Co Ltd		6,727
	4,407	Shinhan Financial Group Co Ltd		109,686
		Total South Korea		885,361

Shares		Description	Value ($)
		Spain — 5.6%
	2,995	Aena SME SA *		447,142
	699	Cia de Distribucion Integral Logista Holdings SA		12,394
	16,779	Endesa SA		465,780
	52,620	Iberdrola SA		663,900
	17,928	Industria de Diseno Textil SA		504,086
	1,950	Mediaset Espana Comunicacion SA *		6,479
	1,150	Viscofan SA		85,083
		Total Spain		2,184,864
		Sweden — 2.1%
	1,355	Betsson AB *		11,344
	481	Bufab AB *		6,508
	580	Lindab International AB		9,348
	911	Mycronic AB		20,750
	1,530	Skanska AB – B Shares *		31,117
	7,819	Swedish Match AB		593,853
	2,393	Volvo AB – A Shares *		46,425
	4,684	Volvo AB – B Shares *		89,719
		Total Sweden		809,064
		Switzerland — 6.3%
	834	ABB Ltd (Registered)		21,266
	160	ALSO Holding AG (Registered)		43,353
	745	Galenica AG		53,494
	1,691	Nestle SA (Registered)		203,676
	7,167	Novartis AG (Registered)		617,702
	235	Roche Holding AG		82,438
	4,026	Roche Holding AG – Genusschein		1,408,371
	165	Vetropack Holding AG (Registered) *		10,356
		Total Switzerland		2,440,656
		Taiwan — 0.7%
	10,000	Hon Hai Precision Industry Co Ltd		26,227
	37,000	Inventec Corp		28,640
	104,000	Pou Chen Corp		98,261
	27,000	Radiant Opto-Electronics Corp		99,147
	11,000	Sunplus Technology Co Ltd		4,643
	4,595	TOPBI International Holdings Ltd		5,489
		Total Taiwan		262,407
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		10,702
		Turkey — 1.5%
	80,666	Akbank TAS *		53,802
	12,547	Aselsan Elektronik Sanayi Ve Ticaret AS		27,818
	63,814	Eregli Demir ve Celik Fabrikalari TAS		75,816
	29,132	Haci Omer Sabanci Holding AS		30,691
	3,563	Soda Sanayii AS		3,317
	11,400	TAV Havalimanlari Holding AS		23,305

See accompanying notes to the financial statements. 37

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	38,893	Trakya Cam Sanayii AS		20,814
	25,116	Turk Telekomunikasyon AS		23,388
	129,074	Turkiye Garanti Bankasi AS *		118,842
	33,420	Turkiye Halk Bankasi AS *		22,364
	140,014	Turkiye Is Bankasi AS – Class C *		93,802
	112,012	Turkiye Sinai Kalkinma Bankasi AS *		16,634
	30,804	Turkiye Sise ve Cam Fabrikalari AS		25,334
	68,795	Turkiye Vakiflar Bankasi TAO – Class D *		38,175
	84,748	Yapi ve Kredi Bankasi AS *		23,445
		Total Turkey		597,547
		United Kingdom — 12.9%
	40,340	3i Group Plc		495,718
	1,532	Avast Plc		10,955
	41,931	BAE Systems Plc		291,088
	53,885	Barratt Developments Plc		376,284
	2,561	Bellway Plc		81,357
	5,101	Berkeley Group Holdings Plc (The)		308,271
	9,844	British American Tobacco Plc		331,792
	7,100	British American Tobacco Plc Sponsored ADR		239,767
	4,860	Centamin Plc		13,653
	3,896	Coca-Cola HBC AG		103,491
	1,582	Computacenter Plc		43,010
	9,200	ConvaTec Group Plc		23,490
	443	Cranswick Plc		21,959
	8,165	Diageo Plc		272,802
	4,640	Dunelm Group Plc		88,270
	8,877	Electrocomponents Plc		80,307
	1,805	Ferguson Plc		177,008
	17,524	Ferrexpo Plc		43,063
	2	GlaxoSmithKline Plc		39
	2,600	GlaxoSmithKline Plc Sponsored ADR		102,960
	5,217	Howden Joinery Group Plc		38,972
	4,605	IG Group Holdings Plc		47,955
	2,037	Imperial Brands Plc		33,987
	12,408	Inchcape Plc *		83,586
	2,511	Intermediate Capital Group Plc		45,456
	10,825	JD Sports Fashion Plc		104,174
	6,108	John Laing Group Plc		23,534
	116,009	Legal & General Group Plc		333,460
	1,218	Morgan Sindall Group Plc		20,499
	2,264	Next Plc		181,407
	14,442	Persimmon Plc		501,834
	81	Phoenix Group Holdings Plc		749
	5,371	Plus500 Ltd		104,525
	11,898	QinetiQ Group Plc		46,044
	40	Sage Group Plc (The)		395
	1,000	Smith & Nephew Plc Sponsored ADR		40,650
	1,531	Softcat Plc		28,354
	6,954	Spirent Communications Plc		27,321

Shares		Description	Value ($)
		United Kingdom — continued
	27,974	Tate & Lyle Plc		253,637
	5,280	Taylor Wimpey Plc		8,536
		Total United Kingdom		5,030,359
		TOTAL COMMON STOCKS (COST $29,640,380)		37,971,890
		PREFERRED STOCKS (b) — 0.8%
		Brazil — 0.1%
	2,000	Cia Paranaense de Energia – Class B		22,554
		Germany — 0.6%
	458	Bayerische Motoren Werke AG		25,825
	318	Draegerwerk AG & Co KGaA *		26,965
	2,233	Henkel AG & Co KGaA		228,299
		Total Germany		281,089
		Russia — 0.1%
	43,100	Surgutneftegas PJSC		21,604
		TOTAL PREFERRED STOCKS (COST $274,178)		325,247
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	114,120	GMO U.S. Treasury Fund		575,165
		TOTAL MUTUAL FUNDS (COST $574,107)		575,165
		SHORT-TERM INVESTMENTS — 0.1%
		MONEY MARKET FUNDS — 0.1%
	41,793	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c)		41,793
		TOTAL SHORT-TERM INVESTMENTS (COST $41,793)		41,793
		TOTAL INVESTMENTS — 99.8% (Cost $30,530,458)		38,914,095
		Other Assets and Liabilities (net) — 0.2%		61,445
		TOTAL NET ASSETS — 100.0%		$38,975,540

38 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
1	Buys Mini MSCI EAFE	September 2020	$	95,005	$	7,654

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 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 August 31, 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 51.

See accompanying notes to the financial statements. 39

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.5	%
Short-Term Investments		0.8
Mutual Funds		0.6
Futures Contracts		0.0	^
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		12.2	%
Pharmaceuticals, Biotechnology & Life Sciences		11.3
Technology Hardware & Equipment		11.0
Retailing		10.0
Capital Goods		8.8
Semiconductors & Semiconductor Equipment		8.1
Media & Entertainment		6.4
Food, Beverage & Tobacco		5.8
Consumer Durables & Apparel		4.5
Health Care Equipment & Services		4.4
Household & Personal Products		3.0
Materials		2.6
Insurance		2.6
Diversified Financials		2.0
Food & Staples Retailing		1.7
Banks		1.6
Automobiles & Components		1.4
Commercial & Professional Services		1.0
Energy		0.6
Consumer Services		0.5
Telecommunication Services		0.4
Real Estate		0.1
Utilities		0.0	^
		100.0	%

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

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

^ Rounds to 0.0%.

40

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.5%
		Automobiles & Components — 1.4%
	18,300	Aptiv Plc		1,575,996
	6,600	Autoliv, Inc.		517,044
	29,000	BorgWarner, Inc.		1,177,110
	35,300	Gentex Corp.		954,865
	5,200	Lear Corp.		592,436
	4,700	Standard Motor Products, Inc.		213,568
	3,700	Visteon Corp. *		279,091
		Total Automobiles & Components		5,310,110
		Banks — 1.6%
	9,800	Associated Banc-Corp.		131,712
	14,300	Citizens Financial Group, Inc.		369,941
	5,200	East West Bancorp, Inc.		191,256
	41,900	Investors Bancorp, Inc.		324,725
	39,000	JPMorgan Chase & Co.		3,907,410
	34,000	MGIC Investment Corp.		311,780
	2,400	Park National Corp.		215,784
	5,900	PennyMac Financial Services, Inc.		311,048
	1,300	Signature Bank/New York NY		126,139
	4,100	Walker & Dunlop, Inc.		224,598
		Total Banks		6,114,393
		Capital Goods — 8.6%
	4,300	A O Smith Corp.		210,571
	2,400	Acuity Brands, Inc.		262,296
	10,900	AGCO Corp.		774,990
	13,100	Allison Transmission Holdings, Inc.		469,897
	9,400	BMC Stock Holdings, Inc. *		375,248
	28,200	Builders FirstSource, Inc. *		863,484
	6,300	Crane Co.		356,202
	13,526	Cummins, Inc.		2,803,264
	7,900	Curtiss-Wright Corp.		808,328
	20,400	Eaton Corp Plc		2,082,840
	6,600	EMCOR Group, Inc.		495,066
	14,600	Emerson Electric Co.		1,014,262
	3,600	EnerSys		259,128
	12,794	Federal Signal Corp.		410,943
	5,500	Fortive Corp.		396,605
	4,600	Generac Holdings, Inc. *		873,908
	9,500	General Dynamics Corp.		1,418,825
	3,800	Gibraltar Industries, Inc. *		237,291
	3,900	Huntington Ingalls Industries, Inc.		590,928
	10,400	Lockheed Martin Corp.		4,058,704
	13,500	Masco Corp.		787,050
	6,396	Moog, Inc. – Class A		385,615
	12,800	Mueller Industries, Inc.		380,160
	8,600	Northrop Grumman Corp.		2,946,446
	10,331	Oshkosh Corp.		795,590
	6,100	Owens Corning		412,604
	28,300	PACCAR, Inc.		2,429,272
	5,600	Parker-Hannifin Corp.		1,153,656

Shares		Description	Value ($)
		Capital Goods — continued
	5,900	Stanley Black & Decker, Inc.		951,670
	2,823	Teledyne Technologies, Inc. *		885,321
	2,900	Tennant Co.		192,763
	27,991	Textron, Inc.		1,103,685
	8,579	Timken Co. (The)		464,896
	2,800	Toro Co. (The)		210,784
	14,696	UFP Industries, Inc.		872,208
	600	WW Grainger, Inc.		219,258
		Total Capital Goods		32,953,758
		Commercial & Professional Services — 1.0%
	14,009	Brady Corp. – Class A		656,882
	13,500	CBIZ, Inc. *		328,320
	3,200	Cimpress Plc *		296,640
	7,600	CoreLogic Inc/United States		504,640
	9,400	Deluxe Corp.		266,960
	2,646	FTI Consulting, Inc. *		303,655
	19,004	Herman Miller, Inc.		452,865
	10,700	HNI Corp.		340,795
	5,100	ManpowerGroup, Inc.		373,881
	18,000	Steelcase, Inc. – Class A		188,100
		Total Commercial & Professional Services		3,712,738
		Consumer Durables & Apparel — 4.5%
	9,745	Acushnet Holdings Corp.		343,901
	6,000	Brunswick Corp.		371,340
	4,000	Deckers Outdoor Corp. *		815,480
	31,900	DR Horton, Inc.		2,276,703
	26,887	Garmin Ltd.		2,785,762
	41,100	Hanesbrands, Inc.		628,419
	2,700	Helen of Troy Ltd. *		558,414
	12,600	La-Z-Boy, Inc.		409,500
	9,100	MDC Holdings, Inc.		394,758
	24,000	NIKE, Inc. – Class B		2,685,360
	300	NVR, Inc. *		1,250,502
	10,600	Polaris, Inc.		1,071,024
	26,600	PulteGroup, Inc.		1,186,094
	5,900	Ralph Lauren Corp.		406,097
	26,400	Skechers U.S.A., Inc. – Class A *		788,040
	9,500	Steven Madden Ltd.		201,020
	5,900	Tempur Sealy International, Inc. *		504,686
	22,600	TRI Pointe Group, Inc. *		381,488
		Total Consumer Durables & Apparel		17,058,588
		Consumer Services — 0.5%
	7,400	Adtalem Global Education, Inc. *		245,680
	7,600	Brinker International, Inc.		342,304
	1,048	Graham Holdings Co. – Class B		448,492
	37,100	H&R Block, Inc.		537,950
	20,600	Perdoceo Education Corp. *		296,022
		Total Consumer Services		1,870,448

See accompanying notes to the financial statements. 41

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — 2.0%
	4,700	Affiliated Managers Group, Inc.		322,655
	10,614	Ameriprise Financial, Inc.		1,664,275
	9,600	Artisan Partners Asset Management, Inc. – Class A		371,616
	12,200	Eaton Vance Corp.		500,444
	22,300	Federated Hermes, Inc.		533,193
	3,100	Nasdaq, Inc.		416,702
	9,300	Raymond James Financial, Inc.		704,196
	17,100	SEI Investments Co.		895,356
	50,000	SLM Corp.		382,000
	25,900	State Street Corp.		1,763,531
		Total Diversified Financials		7,553,968
		Energy — 0.6%
	33,104	Phillips 66		1,935,591
	16,900	World Fuel Services Corp.		446,160
		Total Energy		2,381,751
		Food & Staples Retailing — 1.6%
	8,500	Costco Wholesale Corp.		2,955,110
	85,600	Kroger Co. (The)		3,054,208
	12,400	Sprouts Farmers Market, Inc. *		289,540
		Total Food & Staples Retailing		6,298,858
		Food, Beverage & Tobacco — 5.7%
	10,300	Campbell Soup Co.		541,883
	41,700	General Mills, Inc.		2,666,715
	17,600	Hershey Co. (The)		2,616,064
	3,100	Ingredion, Inc.		249,364
	59,100	Mondelez International, Inc. – Class A		3,452,622
	71,400	PepsiCo, Inc.		10,000,284
	31,000	Tyson Foods, Inc. – Class A		1,946,800
	5,400	Universal Corp.		234,414
		Total Food, Beverage & Tobacco		21,708,146
		Health Care Equipment & Services — 4.3%
	14,500	AmerisourceBergen Corp.		1,406,935
	3,700	Cardinal Health, Inc.		187,812
	16,700	Cerner Corp.		1,225,279
	10,400	HCA Healthcare, Inc.		1,411,488
	4,600	Hill-Rom Holdings, Inc.		431,434
	8,200	Hologic, Inc. *		489,704
	14,078	McKesson Corp.		2,160,128
	48,300	Medtronic Plc		5,190,801
	8,400	STERIS Plc		1,340,976
	9,000	West Pharmaceutical Services, Inc.		2,555,640
		Total Health Care Equipment & Services		16,400,197
		Household & Personal Products — 3.0%
	10,100	Church & Dwight Co., Inc.		967,883
	7,200	Clorox Co. (The)		1,609,200

Shares		Description	Value ($)
		Household & Personal Products — continued
	61,300	Colgate-Palmolive Co.		4,858,638
	3,700	Energizer Holdings, Inc.		171,273
	24,100	Kimberly-Clark Corp.		3,802,016
		Total Household & Personal Products		11,409,010
		Insurance — 2.5%
	31,702	Allstate Corp. (The)		2,948,286
	25,200	Fidelity National Financial, Inc.		827,316
	16,704	First American Financial Corp.		878,129
	4,800	Hanover Insurance Group, Inc. (The)		491,952
	44,307	Progressive Corp. (The)		4,210,938
	6,000	W.R. Berkley Corp.		372,300
		Total Insurance		9,728,921
		Materials — 2.6%
	1,100	Air Products and Chemicals, Inc.		321,486
	5,900	Avery Dennison Corp.		680,801
	16,400	Avient Corp.		418,528
	4,700	Berry Global Group, Inc. *		242,238
	13,400	Eastman Chemical Co.		979,674
	5,700	FMC Corp.		609,102
	17,700	Graphic Packaging Holding Co.		247,446
	5,300	Innospec, Inc.		395,857
	20,579	LyondellBasell Industries NV – Class A		1,347,513
	1,600	NewMarket Corp.		595,984
	13,900	Reliance Steel & Aluminum Co.		1,457,693
	7,400	Schweitzer-Mauduit International, Inc.		224,442
	2,300	Scotts Miracle-Gro Co. (The)		387,619
	5,600	Sealed Air Corp.		220,080
	13,900	Silgan Holdings, Inc.		529,034
	7,000	Steel Dynamics, Inc.		206,640
	2,000	Stepan Co.		230,580
	37,600	Valvoline, Inc.		767,040
		Total Materials		9,861,757
		Media & Entertainment — 6.3%
	63,900	Activision Blizzard, Inc.		5,336,928
	1,700	Alphabet, Inc. – Class C *		2,778,106
	87,800	Comcast Corp. – Class A		3,934,318
	10,100	DISH Network Corp. – Class A *		358,752
	59,600	Electronic Arts, Inc. *		8,312,412
	31,800	Interpublic Group of Cos., Inc. (The)		564,768
	19,489	Omnicom Group, Inc.		1,054,160
	35,685	TEGNA, Inc.		446,776
	143,900	Zynga Inc. – Class A *		1,303,734
		Total Media & Entertainment		24,089,954
		Pharmaceuticals, Biotechnology & Life Sciences — 11.1%
	16,200	AbbVie, Inc.		1,551,474
	31,400	Amgen, Inc.		7,954,248

42 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	13,800	Biogen, Inc. *		3,969,432
	63,800	Bristol-Myers Squibb Co.		3,968,360
	53,300	Eli Lilly & Co.		7,909,187
	58,200	Gilead Sciences, Inc.		3,884,850
	83,731	Merck & Co., Inc.		7,139,742
	19,900	Mylan NV *		325,962
	133,538	Pfizer, Inc.		5,046,401
	6,600	Prestige Consumer Healthcare, Inc. *		240,438
	4,500	United Therapeutics Corp. *		481,320
		Total Pharmaceuticals, Biotechnology & Life Sciences		42,471,414
		Real Estate — 0.1%
	4,288	Jones Lang LaSalle, Inc.		441,836
		Retailing — 9.8%
	2,500	Amazon.com, Inc. *		8,627,400
	4,000	Asbury Automotive Group, Inc. *		423,160
	15,400	AutoNation, Inc. *		875,644
	500	AutoZone, Inc. *		598,155
	37,340	Best Buy Co., Inc.		4,141,379
	6,100	Big Lots, Inc.		287,615
	11,000	Core-Mark Holding Co., Inc.		367,620
	35,800	Designer Brands, Inc. – Class A		252,390
	15,000	Dick’s Sporting Goods, Inc.		811,800
	10,800	Dollar General Corp.		2,180,304
	145,755	eBay, Inc.		7,984,459
	14,400	Gap Inc. (The) *		250,416
	7,800	Genuine Parts Co.		736,632
	6,689	Group 1 Automotive, Inc.		578,197
	1,500	Lithia Motors, Inc. – Class A		373,440
	16,800	Lowe’s Cos., Inc.		2,766,792
	5,800	Murphy U.S.A., Inc. *		782,188
	4,400	Penske Automotive Group, Inc.		207,548
	22,600	Qurate Retail, Inc. – Series A *		249,730
	4,300	Sleep Number Corp. *		206,400
	6,400	Sonic Automotive, Inc. – Class A		270,464
	1,000	Stamps.com, Inc. *		249,340
	12,300	Target Corp.		1,859,883
	27,200	TJX Cos., Inc. (The)		1,490,288
	11,200	Williams-Sonoma, Inc.		982,912
		Total Retailing		37,554,156
		Semiconductors & Semiconductor Equipment — 8.0%
	16,200	Amkor Technology, Inc. *		197,559
	115,500	Applied Materials, Inc.		7,114,800
	6,400	Cirrus Logic, Inc. *		387,776
	14,000	Entegris, Inc.		936,460
	223,300	Intel Corp.		11,377,135

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	7,500	KLA Corp.		1,538,550
	12,900	Lam Research Corp.		4,338,786
	10,800	Maxim Integrated Products, Inc.		739,152
	37,800	Micron Technology, Inc. *		1,720,278
	3,100	Skyworks Solutions, Inc.		449,035
	2,800	Synaptics, Inc. *		238,924
	15,700	Teradyne, Inc.		1,334,029
		Total Semiconductors & Semiconductor Equipment		30,372,484
		Software & Services — 12.1%
	8,800	ACI Worldwide, Inc. *		258,544
	3,700	Akamai Technologies, Inc. *		430,791
	17,420	Amdocs Ltd.		1,066,627
	14,400	Booz Allen Hamilton Holding Corp.		1,268,064
	1,300	CACI International, Inc. – Class A *		304,447
	48,905	Cadence Design Systems, Inc. *		5,424,053
	15,727	Citrix Systems, Inc.		2,283,560
	4,900	CSG Systems International, Inc.		208,593
	9,100	Fortinet, Inc. *		1,201,245
	14,295	Intuit, Inc.		4,937,350
	3,900	j2 Global, Inc. *		272,961
	51,753	Microsoft Corp.		11,671,854
	81,400	NortonLifeLock, Inc.		1,914,528
	140,900	Oracle Corp.		8,062,298
	9,648	Progress Software Corp.		365,563
	10,310	Sykes Enterprises, Inc. *		341,313
	24,919	Synopsys, Inc. *		5,514,575
	25,400	Western Union Co. (The)		599,186
		Total Software & Services		46,125,552
		Technology Hardware & Equipment — 10.8%
	130,220	Apple, Inc.		16,803,589
	11,533	Arrow Electronics, Inc. *		906,033
	9,000	Avnet, Inc.		247,590
	8,600	CDW Corp.		977,390
	17,000	Ciena Corp. *		965,090
	15,100	Corning, Inc.		490,146
	5,100	F5 Networks, Inc. *		674,883
	48,200	Flex Ltd. *		523,452
	151,614	Hewlett Packard Enterprise Co.		1,466,107
	166,240	HP, Inc.		3,249,992
	5,200	II-VI, Inc. *		231,400
	6,920	Insight Enterprises, Inc. *		413,851
	18,400	Jabil, Inc.		628,360
	72,800	Juniper Networks, Inc.		1,820,000
	19,607	Motorola Solutions, Inc.		3,034,183
	15,700	National Instruments Corp.		563,473
	19,200	NetApp, Inc.		909,888
	13,400	Sanmina Corp. *		379,220

See accompanying notes to the financial statements. 43

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	39,100	Seagate Technology Plc		1,876,409
	6,200	Super Micro Computer, Inc. *		169,818
	5,900	SYNNEX Corp.		750,185
	37,300	TE Connectivity Ltd.		3,603,180
	32,700	Xerox Holdings Corp. *		616,722
		Total Technology Hardware & Equipment		41,300,961
		Telecommunication Services — 0.4%
	10,500	Telephone & Data Systems, Inc.		242,865
	22,400	Verizon Communications, Inc.		1,327,648
		Total Telecommunication Services		1,570,513
		Utilities — 0.0%
	1,000	DTE Energy Co.		118,670
		TOTAL COMMON STOCKS (COST $319,988,414)		376,408,183
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	456,408	GMO U.S. Treasury Fund		2,300,296
		TOTAL MUTUAL FUNDS (COST $2,300,296)		2,300,296
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	2,894,890	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		2,894,890
		TOTAL SHORT-TERM INVESTMENTS (COST $2,894,890)		2,894,890
		TOTAL INVESTMENTS — 99.9% (Cost $325,183,600)		381,603,369
		Other Assets and Liabilities (net) — 0.1%		519,669
		TOTAL NET ASSETS — 100.0%		$382,123,038

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 5	S&P 500 E-Mini	September 2020	$	874,725	$	116,237

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 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 August 31, 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 51.

44 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.6	%
Mutual Funds		0.2
Short-Term Investments		0.1
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Other		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		12.1	%
Banks		10.7
Retailing		9.9
Materials		8.1
Technology Hardware & Equipment		7.2
Commercial & Professional Services		6.2
Real Estate		5.6
Diversified Financials		5.5
Consumer Durables & Apparel		5.3
Health Care Equipment & Services		4.7
Consumer Services		3.9
Pharmaceuticals, Biotechnology & Life Sciences		3.2
Energy		3.2
Software & Services		3.0
Media & Entertainment		2.7
Telecommunication Services		1.8
Automobiles & Components		1.3
Food, Beverage & Tobacco		1.2
Household & Personal Products		1.1
Food & Staples Retailing		1.0
Insurance		0.8
Semiconductors & Semiconductor Equipment		0.7
Transportation		0.7
Utilities		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).

# 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%.

45

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Automobiles & Components — 1.3%
	38,600	Cooper Tire & Rubber Co.		1,334,402
	70,600	Dana, Inc.		984,870
	22,100	Garrett Motion, Inc. *		60,775
	700	Gentherm, Inc. *		31,661
	18,800	Modine Manufacturing Co. *		127,276
	31,200	Standard Motor Products, Inc.		1,417,728
	79,100	Stoneridge, Inc. *		1,597,820
	6,800	Tenneco, Inc. – Class A *		55,284
		Total Automobiles & Components		5,609,816
		Banks — 10.5%
	12,800	1st Source Corp.		440,960
	24,500	Amalgamated Bank – Class A		288,365
	3,100	Arrow Financial Corp.		88,815
	59,400	Associated Banc-Corp.		798,336
	41,800	Bancorp, Inc. (The) *		397,100
	42,200	Boston Private Financial Holdings, Inc.		250,668
	17,000	Bridge Bancorp, Inc.		340,170
	57,800	Brookline Bancorp, Inc.		554,880
	11,800	Cathay General Bancorp		291,342
	2,900	Century Bancorp, Inc. – Class A		204,305
	5,800	Civista Bancshares, Inc.		77,430
	1,200	CNB Financial Corp.		19,140
	7,695	Community Trust Bancorp, Inc.		248,318
	81,800	Dime Community Bancshares, Inc.		1,055,220
	15,500	Essent Group Ltd.		553,350
	16,400	Financial Institutions, Inc.		282,572
	8,576	First Community Bankshares, Inc.		165,002
	10,900	First Financial Corp.		374,851
	182,600	Flagstar Bancorp, Inc.		5,737,292
	9,800	Flushing Financial Corp.		118,874
	8,800	Great Southern Bancorp, Inc.		339,152
	216,400	Hilltop Holdings, Inc.		4,457,840
	6,300	Independent Bank Corp.		93,933
	84,400	International Bancshares Corp.		2,665,352
	449,500	Investors Bancorp, Inc.		3,483,625
	12,500	Lakeland Financial Corp.		571,125
	7,000	Mercantile Bank Corp.		152,880
	5,400	Merchants Bancorp		110,052
	4,500	Northrim BanCorp, Inc.		121,095
	59,700	Northwest Bancshares, Inc.		603,567
	129,400	OFG Bancorp		1,661,496
	19,400	Old National Bancorp		271,212
	1,500	Park National Corp.		134,865
	151,900	PennyMac Financial Services, Inc.		8,008,168
	67,244	Premier Financial Corp.		1,228,884
	70,500	Radian Group, Inc.		1,088,520
	5,700	Sierra Bancorp		101,859
	3,000	Territorial Bancorp, Inc.		63,480
	17,900	Towne Bank/Portsmouth VA		317,367
	28,500	TriCo Bancshares		789,165
	35,700	TrustCo Bank Corp. NY		212,772

Shares		Description	Value ($)
		Banks — continued
	29,900	Umpqua Holdings Corp.		337,272
	107,800	Walker & Dunlop, Inc.		5,905,284
	58,803	Waterstone Financial, Inc.		910,858
		Total Banks		45,916,813
		Capital Goods — 12.0%
	500	AAR Corp.		10,090
	9,800	AGCO Corp.		696,780
	8,900	Allied Motion Technologies, Inc.		379,051
	2,300	Applied Industrial Technologies, Inc.		138,483
	41,400	Arcosa, Inc.		1,916,406
	34,900	AZZ, Inc.		1,212,077
	202,000	Builders FirstSource, Inc. *		6,185,240
	23,700	Ducommun, Inc. *		885,669
	9,800	Encore Wire Corp.		505,778
	16,100	EnPro Industries, Inc.		942,172
	184,500	Federal Signal Corp.		5,926,140
	21,600	Gibraltar Industries, Inc. *		1,348,812
	27,225	Gorman-Rupp Co. (The)		869,839
	107,900	Griffon Corp.		2,344,667
	5,400	Hurco Cos, Inc.		152,712
	34,200	Hyster-Yale Materials Handling, Inc.		1,379,628
	5,200	Insteel Industries, Inc.		95,888
	93,300	Meritor, Inc. *		2,123,508
	9,400	Miller Industries, Inc.		294,878
	87,000	Moog, Inc. – Class A		5,245,230
	69,500	Mueller Industries, Inc.		2,064,150
	7,700	National Presto Industries, Inc.		692,461
	41,400	nVent Electric Plc		791,568
	14,100	Park-Ohio Holdings Corp.		223,062
	3,100	Preformed Line Products Co.		168,671
	222,500	Resideo Technologies, Inc. *		2,972,600
	22,000	Systemax, Inc.		488,180
	13,800	Tennant Co.		917,286
	51,200	Terex Corp.		1,001,984
	125,100	UFP Industries, Inc.		7,424,685
	64,000	Vectrus, Inc. *		2,778,240
	5,500	Veritiv Corp. *		95,590
		Total Capital Goods		52,271,525
		Commercial & Professional Services — 6.1%
	425,929	ACCO Brands Corp.		2,760,020
	140,900	Brady Corp. – Class A		6,606,801
	53,500	CBIZ, Inc. *		1,301,120
	15,500	CRA International, Inc.		658,905
	88,000	Deluxe Corp.		2,499,200
	28,600	Ennis, Inc.		524,238
	26,500	Heidrick & Struggles International, Inc.		573,195
	187,100	Herman Miller, Inc.		4,458,593
	41,900	HNI Corp.		1,334,515
	6,800	Huron Consulting Group, Inc. *		294,984
	58,400	Interface, Inc.		441,504

46 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — continued
	54,900	Kelly Services, Inc. – Class A		1,042,551
	8,900	Kforce, Inc.		305,626
	96,600	Kimball International, Inc. – Class B		1,082,886
	60,600	Resources Connection, Inc.		744,774
	198,600	Steelcase, Inc. – Class A		2,075,370
	10,300	TrueBlue, Inc. *		174,276
		Total Commercial & Professional Services		26,878,558
		Consumer Durables & Apparel — 5.2%
	132,900	Acushnet Holdings Corp.		4,690,041
	6,026	Clarus Corp.		75,867
	136,600	Ethan Allen Interiors, Inc.		1,945,184
	63,800	G-III Apparel Group Ltd. *		705,628
	21,000	Hooker Furniture Corp.		517,650
	19,900	Johnson Outdoors, Inc. – Class A		1,705,629
	76,500	La-Z-Boy, Inc.		2,486,250
	88,500	MDC Holdings, Inc.		3,839,130
	57,800	Movado Group, Inc.		630,598
	125,700	Nautilus, Inc. *		1,489,545
	23,600	Rocky Brands, Inc.		568,288
	85,400	TRI Pointe Group, Inc. *		1,441,552
	15,800	Universal Electronics, Inc. *		649,064
	119,800	Vera Bradley, Inc. *		631,346
	68,300	Vista Outdoor, Inc. *		1,325,703
		Total Consumer Durables & Apparel		22,701,475
		Consumer Services — 3.8%
	59,000	Adtalem Global Education, Inc. *		1,958,800
	14,700	American Public Education, Inc. *		462,168
	95,800	Bloomin’ Brands, Inc.		1,373,772
	196,300	Brinker International, Inc.		8,841,352
	28,600	Carriage Services, Inc.		633,204
	800	Graham Holdings Co. – Class B		342,360
	89,500	H&R Block, Inc.		1,297,750
	120,500	Perdoceo Education Corp. *		1,731,585
		Total Consumer Services		16,640,991
		Diversified Financials — 5.5%
	17,300	Ares Commercial Real Estate Corp. (REIT)		172,308
	46,800	Artisan Partners Asset Management, Inc. – Class A		1,811,628
	62,500	Brightsphere Investment Group, Inc.		866,250
	30,500	Curo Group Holdings Corp.		234,850
	800	Diamond Hill Investment Group, Inc.		99,128
	134,700	Donnelley Financial Solutions, Inc. *		1,468,230
	37,400	Ellington Financial, Inc. (REIT)		466,004
	36,700	Encore Capital Group, Inc. *		1,685,998
	189,317	Enova International, Inc. *		3,233,534
	63,000	Federated Hermes, Inc.		1,506,330
	33,900	Oppenheimer Holdings, Inc. – Class A		828,177
	247,100	PennyMac Mortgage Investment Trust (REIT)		4,235,294

Shares		Description	Value ($)
		Diversified Financials — continued
	163,400	SLM Corp.		1,248,376
	46,500	StoneX Group, Inc. *		2,636,550
	202,500	Waddell & Reed Financial, Inc. – Class A		3,189,375
	18,400	Westwood Holdings Group, Inc.		209,392
		Total Diversified Financials		23,891,424
		Energy — 3.1%
	58,700	Evolution Petroleum Corp.		160,251
	11,800	Exterran Corp. *		54,280
	25,500	Geospace Technologies Corp. *		167,025
	42,665	Laredo Petroleum, Inc. *		697,573
	28,500	Liberty Oilfield Services, Inc. – Class A		183,825
	39,880	Matrix Service Co. *		368,491
	76,100	Penn Virginia Corp. *		869,062
	29,300	Plains GP Holdings LP – Class A		214,183
	60,800	Renewable Energy Group, Inc. *		2,032,544
	4,200	REX American Resources Corp. *		259,476
	22,300	RPC, Inc. *		69,799
	902,600	Southwestern Energy Co. *		2,509,228
	226,800	World Fuel Services Corp.		5,987,520
		Total Energy		13,573,257
		Food & Staples Retailing — 1.0%
	27,400	Ingles Markets, Inc. – Class A		1,106,960
	7,200	Natural Grocers by Vitamin Cottage, Inc.		84,384
	70,000	SpartanNash Co.		1,398,600
	26,500	United Natural Foods, Inc. *		478,325
	8,800	Village Super Market, Inc. – Class A		223,872
	19,100	Weis Markets, Inc.		940,293
		Total Food & Staples Retailing		4,232,434
		Food, Beverage & Tobacco — 1.2%
	6,016	Seneca Foods Corp. – Class A *		284,918
	112,000	Universal Corp.		4,861,920
		Total Food, Beverage & Tobacco		5,146,838
		Health Care Equipment & Services — 4.6%
	123,800	Allscripts Healthcare Solutions, Inc. *		1,105,534
	40,900	AngioDynamics, Inc. *		383,029
	48,100	Computer Programs & Systems, Inc.		1,316,016
	15,300	FONAR Corp. *		388,161
	31,700	HealthStream, Inc. *		656,665
	28,100	Inogen, Inc. *		849,463
	34,000	Integer Holdings Corp. *		2,354,840
	41,300	Lantheus Holdings, Inc. *		554,246
	80,500	Meridian Bioscience, Inc. *		1,138,270
	35,900	Natus Medical, Inc. *		651,944
	52,600	NextGen Healthcare, Inc. *		697,476
	65,200	OraSure Technologies, Inc. *		764,144
	193,100	Owens & Minor, Inc.		3,201,598

See accompanying notes to the financial statements. 47

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	93,600	Patterson Cos., Inc.		2,715,336
	5,500	Providence Service Corp. (The) *		509,245
	9,500	SeaSpine Holdings Corp. *		126,445
	85,900	Select Medical Holdings Corp. *		1,724,013
	71,500	Surgalign Holdings, Inc. *		158,730
	8,700	Surmodics, Inc. *		393,675
	6,500	Triple-S Management Corp. – Class B *		120,900
	33,500	Varex Imaging Corp. *		371,515
		Total Health Care Equipment & Services		20,181,245
		Household & Personal Products — 1.1%
	11,900	Central Garden & Pet Co. *		484,211
	42,600	Central Garden & Pet Co. – Class A *		1,583,016
	23,600	Inter Parfums, Inc.		1,054,212
	11,200	Nu Skin Enterprises, Inc. – Class A		529,424
	16,200	USANA Health Sciences, Inc. *		1,270,242
		Total Household & Personal Products		4,921,105
		Insurance — 0.8%
	19,200	American Equity Investment Life Holding Co.		459,072
	33,000	Employers Holdings, Inc.		1,075,140
	6,600	FedNat Holding Co.		56,034
	41,500	National General Holdings Corp.		1,413,075
	32,700	Universal Insurance Holdings, Inc.		606,585
		Total Insurance		3,609,906
		Materials — 8.0%
	21,000	American Vanguard Corp.		297,150
	86,600	Avient Corp.		2,210,032
	5,900	Cabot Corp.		218,359
	30,500	FutureFuel Corp.		369,050
	83,900	Greif, Inc. – Class A		3,091,715
	4,500	Hawkins, Inc.		225,990
	3,700	HB Fuller Co.		178,229
	75,500	Innospec, Inc.		5,639,095
	24,400	Koppers Holdings, Inc. *		587,064
	5,900	Kronos Worldwide, Inc.		73,691
	72,100	Materion Corp.		3,935,939
	3,000	Minerals Technologies, Inc.		152,250
	23,300	Neenah, Inc.		1,031,724
	36,200	Reliance Steel & Aluminum Co.		3,796,294
	126,400	Schweitzer-Mauduit International, Inc.		3,833,712
	18,800	Silgan Holdings, Inc.		715,528
	19,229	Stepan Co.		2,216,911
	74,900	Tredegar Corp.		1,268,057
	128,200	Valvoline, Inc.		2,615,280
	45,100	Verso Corp. – Class A		591,261
	46,300	Worthington Industries, Inc.		1,922,839
		Total Materials		34,970,170

Shares		Description	Value ($)
		Media & Entertainment — 2.6%
	67,900	Cars.com, Inc. *		589,372
	92,200	DHI Group, Inc. *		224,046
	270,600	Liberty TripAdvisor Holdings, Inc. – Class A *		757,680
	79,400	Marchex, Inc. – Class B *		142,126
	41,100	Scholastic Corp.		924,750
	63,300	Sciplay Corp. – Class A *		834,611
	553,000	TEGNA, Inc.		6,923,560
	66,000	Tribune Publishing Co.		749,100
	65,200	TrueCar, Inc. *		308,396
	6,100	WideOpenWest, Inc. *		35,075
		Total Media & Entertainment		11,488,716
		Pharmaceuticals, Biotechnology & Life Sciences — 3.2%
	41,900	Amneal Pharmaceuticals, Inc. *		172,209
	22,300	Arcus Biosciences, Inc. *		530,740
	56,900	CytomX Therapeutics, Inc. *		415,370
	23,300	Enanta Pharmaceuticals, Inc. *		1,216,027
	581,200	Endo International Plc *		1,749,412
	39,900	Kezar Life Sciences, Inc. *		193,914
	95,500	Luminex Corp.		2,548,895
	227,900	PDL BioPharma, Inc. *		763,465
	14,000	Phibro Animal Health Corp. – Class A		300,440
	141,300	Prestige Consumer Healthcare, Inc. *		5,147,559
	4,800	Scholar Rock Holding Corp. *		72,480
	4,000	United Therapeutics Corp. *		427,840
	39,900	Vanda Pharmaceuticals, Inc. *		410,571
		Total Pharmaceuticals, Biotechnology & Life Sciences		13,948,922
		Real Estate — 5.5%
	424,800	CoreCivic, Inc. (REIT)		3,954,888
	220,000	CorePoint Lodging, Inc. (REIT)		1,249,600
	347,900	GEO Group, Inc. (REIT)		3,882,564
	604,600	Newmark Group, Inc. – Class A		2,678,378
	321,800	Realogy Holdings Corp.		3,565,544
	125,900	Retail Properties of America, Inc. – Class A (REIT)		794,429
	297,800	Summit Hotel Properties, Inc. (REIT)		1,754,042
	402,500	Sunstone Hotel Investors, Inc. (REIT)		3,352,825
	67,900	Uniti Group, Inc. (REIT)		666,778
	224,100	Xenia Hotels & Resorts, Inc. (REIT)		2,012,418
		Total Real Estate		23,911,466
		Retailing — 9.8%
	92,800	AutoNation, Inc. *		5,276,608
	126,900	Big Lots, Inc.		5,983,335
	23,500	Cato Corp. (The) – Class A		188,000
	83,400	Core-Mark Holding Co., Inc.		2,787,228
	29,800	Designer Brands, Inc. – Class A		210,090

48 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	113,900	Dick’s Sporting Goods, Inc.		6,164,268
	43,100	Genesco, Inc. *		840,450
	89,200	Group 1 Automotive, Inc.		7,710,448
	83,813	Haverty Furniture Cos, Inc.		1,770,131
	23,400	Hibbett Sports, Inc. *		780,858
	11,850	ODP Corp. (The)		277,053
	23,600	Rent-A-Center, Inc.		724,520
	82,800	Sally Beauty Holdings, Inc. *		924,048
	60,300	Shoe Carnival, Inc.		1,982,664
	127,800	Sonic Automotive, Inc. – Class A		5,400,828
	2,600	Weyco Group, Inc.		46,800
	62,200	Zumiez, Inc. *		1,597,296
		Total Retailing		42,664,625
		Semiconductors & Semiconductor Equipment — 0.7%
	51,500	Alpha & Omega Semiconductor Ltd. *		697,825
	23,800	Amkor Technology, Inc. *		290,241
	104,600	DSP Group, Inc. *		1,499,964
	4,200	Kulicke & Soffa Industries, Inc.		100,716
	48,700	Photronics, Inc. *		488,461
	900	Synaptics, Inc. *		76,797
		Total Semiconductors & Semiconductor Equipment		3,154,004
		Software & Services — 2.9%
	8,600	Avaya Holdings Corp. *		133,472
	22,200	Cerence, Inc. *		1,181,040
	54,000	CSG Systems International, Inc.		2,298,780
	4,900	Hackett Group, Inc. (The)		61,789
	10,900	MicroStrategy, Inc. – Class A *		1,574,396
	24,200	OneSpan, Inc. *		521,510
	98,400	Progress Software Corp.		3,728,376
	73,800	Sykes Enterprises, Inc. *		2,443,149
	36,400	Unisys Corp. *		424,424
	33,900	Xperi Holding Corp.		424,767
		Total Software & Services		12,791,703
		Technology Hardware & Equipment — 7.1%
	104,446	ADTRAN, Inc.		1,158,306
	176,400	Arlo Technologies, Inc. *		1,010,772
	23,600	Avnet, Inc.		649,236
	182,800	Benchmark Electronics, Inc.		3,584,708
	12,700	Calix, Inc. *		247,015
	121,500	Comtech Telecommunications Corp.		2,016,900
	43,300	CTS Corp.		904,970
	47,500	Digi International, Inc. *		646,950
	14,700	ePlus, Inc. *		1,127,784
	120,900	Insight Enterprises, Inc. *		7,230,424
	30,900	Kimball Electronics, Inc. *		416,687
	36,900	Methode Electronics, Inc.		1,044,639
	38,700	NETGEAR, Inc. *		1,290,645
	19,800	NetScout Systems, Inc. *		458,172
	25,000	PC Connection, Inc.		1,107,250

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	266,200	Sanmina Corp. *		7,533,460
	6,400	ScanSource, Inc. *		158,016
	4,526	Vishay Precision Group, Inc. *		112,743
	22,400	Xerox Holdings Corp. *		422,464
		Total Technology Hardware & Equipment		31,121,141
		Telecommunication Services — 1.8%
	3,000	ATN International, Inc.		174,000
	63,500	Consolidated Communications Holdings, Inc. *		494,030
	52,000	IDT Corp. – Class B *		339,040
	11,400	Ooma, Inc. *		155,496
	106,378	Spok Holdings, Inc.		1,153,138
	186,600	Telephone & Data Systems, Inc.		4,316,058
	33,600	United States Cellular Corp. *		1,222,368
		Total Telecommunication Services		7,854,130
		Transportation — 0.7%
	31,700	ArcBest Corp.		1,072,094
	17,800	Atlas Air Worldwide Holdings, Inc. *		1,003,742
	16,200	Hub Group, Inc. – Class A *		872,208
		Total Transportation		2,948,044
		Utilities — 0.1%
	62,100	Genie Energy Ltd. – Class B		548,964
		TOTAL COMMON STOCKS (COST $452,914,012)		430,977,272
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	150,813	GMO U.S. Treasury Fund		760,097
		TOTAL MUTUAL FUNDS (COST $760,097)		760,097
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR * (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	418,520	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		418,520
		TOTAL SHORT-TERM INVESTMENTS (COST $418,520)		418,520
		TOTAL INVESTMENTS — 98.9% (Cost $454,126,071)		432,192,239
		Other Assets and Liabilities (net) — 1.1%		4,933,498
		TOTAL NET ASSETS — 100.0%		$437,125,737

See accompanying notes to the financial statements. 49

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 5	E-mini Russell 2000 Index	September 2020	$	390,325	$	15,176

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 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 using significant unobservable input.

(b) The rate disclosed is the 7 day net yield as of August 31, 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 51.

50 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2020 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVR - Contingent Value Right

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 August 31, 2020, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

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. 51

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited)

	Climate Change Fund		Cyclical Focus Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,778,990	$	650,000	$	20,163,838	$	4,219,267
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		136,975,064		135,617,253		917,461,962		2,845,334,787
Foreign currency, at value (Note 2)(d)		48,451		46,141		162,355		61,774,140
Cash		—		3		—		281,203
Receivable for investments sold		—		—		16,542,491		52,485,198
Receivable for Fund shares sold		—		—		—		25,899
Dividends and interest receivable		112,935		344,467		631,374		2,480,235
Dividend withholding tax receivable		21,848		24,342		219,555		176,552
Foreign capital gains tax refund receivable (Note 2)		—		—		5,292,004		3,745,261
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		491,821		—
Due from broker (Note 2)		—		—		683,607		1,564,843
Receivable for variation margin on open futures contracts (Note 4)		—		—		1,879,122		752,050
Receivable for open OTC swap contracts (Note 4)		—		—		—		693,922
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		23,083		11,572		18,367		63,789
Total assets		142,960,371		136,693,778		963,546,496		2,973,597,146
Liabilities:
Payable for cash collateral from securities loaned (Note 2)		349,329		—		—		—
Payable for investments purchased		596		—		8,026,317		1,699,531
Payable for Fund shares repurchased		—		—		64,462		51,813,530
Payable to affiliate for (Note 5):
Management fee		70,406		37,481		594,309		1,651,104
Shareholder service fee		17,601		6,247		101,077		232,079
Payable to agents unaffiliated with GMO		31		33		259		867
Payable for variation margin on open futures contracts (Note 4)		—		—		677,040		4,070,920
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		1,021,220		—
Payable for open OTC swap contracts (Note 4)		—		—		558,213		—
Payable to Trustees and related expenses		488		119		3,873		11,400
Accrued expenses		78,110		113,005		333,426		1,076,550
Miscellaneous payable		—		—		—		892,572
Total liabilities		516,561		156,885		11,380,196		61,448,553
Net assets	$	142,443,810	$	136,536,893	$	952,166,300	$	2,912,148,593
(a)  Cost of investments – affiliated issuers:	$	5,778,990	$	650,000	$	20,163,838	$	16,682,016
(b)  Cost of investments – unaffiliated issuers:	$	123,747,049	$	118,908,551	$	771,429,214	$	2,853,793,174
(c)  Includes securities on loan at value (Note 2):	$	3,764,202	$	50,439	$	—	$	7,505,651
(d)  Cost of foreign currency:	$	47,927	$	45,533	$	160,329	$	60,978,436

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Climate Change Fund		Cyclical Focus Fund		Emerging Domestic Opportunities Fund			Emerging Markets Fund
Net assets consist of:
Paid-in capital	$	131,133,669	$	115,384,646	$	958,693,108		$	4,249,889,572
Distributable earnings (accumulated loss)		11,310,141		21,152,247		(6,526,808	)		(1,337,740,979	)
	$	142,443,810	$	136,536,893	$	952,166,300		$	2,912,148,593
Net assets attributable to:
Class II	$	—	$	—	$	305,449,926		$	337,017,717
Class III	$	131,189,420	$	—	$	11,724,999		$	430,445,006
Class V	$	—	$	—	$	634,991,375		$	135,890,469
Class VI	$	—	$	136,536,893	$	—		$	1,968,168,470
Class R6	$	7,775,728	$	—	$	—		$	23,275,735
Class I	$	3,478,662	$	—	$	—		$	17,351,196
Shares outstanding:
Class II		—		—		12,758,250			10,474,135
Class III		5,218,986		—		489,722			13,335,924
Class V		—		—		26,520,616			4,254,364
Class VI		—		5,737,820		—			61,618,683
Class R6		309,806		—		—			723,782
Class I		138,546		—		—			539,461
Net asset value per share:
Class II	$	—	$	—	$	23.94		$	32.18
Class III	$	25.14	$	—	$	23.94		$	32.28
Class V	$	—	$	—	$	23.94		$	31.94
Class VI	$	—	$	23.80	$	—		$	31.94
Class R6	$	25.10	$	—	$	—		$	32.16
Class I	$	25.11	$	—	$	—		$	32.16

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	International Equity Fund		Quality Fund		Resources Fund		Risk Premium Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	15,830,961	$	—	$	—
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		2,636,696,098		7,123,020,870		589,044,045		16,590,663
Foreign currency, at value (Note 2)(d)		507,441		16		832,204		—
Receivable for Fund shares sold		85,476		2,257,955		22,500		—
Dividends and interest receivable		9,813,056		8,608,351		1,452,914		16,611
Dividend withholding tax receivable		2,104,714		3,238,811		174,273		—
Due from broker (Note 2)		4,357		—		—		319,605
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		84,977		105,604		—		4,938
Total assets		2,649,296,119		7,153,062,568		591,525,936		16,931,817
Liabilities:
Payable for investments purchased		1,187		—		1,104		—
Payable for Fund shares repurchased		124,391		5,340,800		—		—
Accrued foreign capital gains tax payable (Note 2)		—		—		8,557		—
Payable to affiliate for (Note 5):
Management fee		1,133,322		1,950,216		247,999		3,579
Shareholder service fee		227,220		662,284		61,322		803
Payable to agents unaffiliated with GMO		848		1,850		130		8
Payable for variation margin on open futures contracts (Note 4)		188,760		—		—		—
Payable to Trustees and related expenses		11,356		20,282		1,911		37
Written options outstanding, at value (Note 4)(e)		—		—		—		139,160
Accrued expenses		570,850		558,352		149,796		58,294
Total liabilities		2,257,934		8,533,784		470,819		201,881
Net assets	$	2,647,038,185	$	7,144,528,784	$	591,055,117	$	16,729,936
(a)  Cost of investments – affiliated issuers:	$	—	$	15,705,282	$	—	$	—
(b)  Cost of investments – unaffiliated issuers:	$	2,602,482,199	$	4,490,364,104	$	563,771,914	$	16,564,440
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	16,820,856	$	—
(d)  Cost of foreign currency:	$	502,638	$	16	$	823,032	$	—
(e)  Premiums on written options:	$	—	$	—	$	—	$	309,517

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	International Equity Fund			Quality Fund		Resources Fund		Risk Premium Fund
Net assets consist of:
Paid-in capital	$	3,743,916,820		$	4,119,345,294	$	571,147,893	$	19,862,266
Distributable earnings (accumulated loss)		(1,096,878,635	)		3,025,183,490		19,907,224		(3,132,330	)
	$	2,647,038,185		$	7,144,528,784	$	591,055,117	$	16,729,936
Net assets attributable to:
Class II	$	4,874,946		$	—	$	—	$	—
Class III	$	446,392,802		$	3,562,791,963	$	279,414,120	$	201,314
Class IV	$	2,195,770,437		$	918,430,553	$	311,640,997	$	—
Class VI	$	—		$	2,411,937,602	$	—	$	16,528,622
Class R6	$	—		$	102,517,875	$	—	$	—
Class I	$	—		$	148,850,791	$	—	$	—
Shares outstanding:
Class II		236,206			—		—		—
Class III		21,375,186			138,549,813		14,130,135		7,823
Class IV		105,320,917			35,638,620		15,804,242		—
Class VI		—			93,773,676		—		647,539
Class R6		—			3,988,981		—		—
Class I		—			5,797,125		—		—
Net asset value per share:
Class II	$	20.64		$	—	$	—	$	—
Class III	$	20.88		$	25.71	$	19.77	$	25.73
Class IV	$	20.85		$	25.77	$	19.72	$	—
Class VI	$	—		$	25.72	$	—	$	25.53
Class R6	$	—		$	25.70	$	—	$	—
Class I	$	—		$	25.68	$	—	$	—

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	575,165	$	2,300,296	$	760,097
Investments in unaffiliated issuers, at value (Note 2)(b)		38,338,930		379,303,073		431,432,142
Foreign currency, at value (Note 2)(c)		39,427		—		—
Receivable for investments sold		—		—		6,741,551
Dividends and interest receivable		134,327		663,671		446,949
Dividend withholding tax receivable		26,670		—		—
Foreign capital gains tax refund receivable (Note 2)		2,071		—		—
Due from broker (Note 2)		11,130		72,966		31,997
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		21,305		13,973		255
Total assets		39,149,025		382,353,979		439,412,991
Liabilities:
Payable for investments purchased		40		—		1,945,865
Payable for Fund shares repurchased		9,691		—		110,165
Payable to affiliate for (Note 5):
Management fee		16,618		99,734		115,974
Shareholder service fee		4,985		25,109		20,576
Payable to agents unaffiliated with GMO		14		131		112
Payable for variation margin on open futures contracts (Note 4)		715		1,375		3,600
Payable to Trustees and related expenses		184		2,104		1,873
Accrued expenses		141,238		102,488		89,089
Total liabilities		173,485		230,941		2,287,254
Net assets	$	38,975,540	$	382,123,038	$	437,125,737
(a)  Cost of investments – affiliated issuers:	$	574,107	$	2,300,296	$	760,097
(b)  Cost of investments – unaffiliated issuers:	$	29,956,351	$	322,883,304	$	453,365,974
(c)  Cost of foreign currency:	$	39,188	$	—	$	—

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	35,944,817	$	327,502,853	$	478,336,368
Distributable earnings (accumulated loss)		3,030,723		54,620,185		(41,210,631	)
	$	38,975,540	$	382,123,038	$	437,125,737
Net assets attributable to:
Class III	$	38,975,540	$	93,389,693	$	—
Class VI	$	—	$	288,733,345	$	437,125,737
Shares outstanding:
Class III		2,765,606		7,377,166		—
Class VI		—		23,024,753		24,388,966
Net asset value per share:
Class III	$	14.09	$	12.66	$	—
Class VI	$	—	$	12.54	$	17.92

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)

	Climate Change Fund			Cyclical Focus Fund*			Emerging Domestic Opportunities Fund			Emerging Markets Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,482,212		$	1,071,626		$	9,043,390		$	78,419,574
Dividends from affiliated issuers (Note 10)		3,608			302			24,662			—
Interest		—			—			4,303			80,769
Securities lending income from affiliated issuers (net)		10,247			—			—			—
Securities lending income (net)		5,762			—			—			67,915
Total investment income		1,501,829			1,071,928			9,072,355			78,568,258
Expenses:
Management fee (Note 5)		343,653			125,595			3,230,661			10,354,906
Shareholder service fee – Class II (Note 5)		—			—			302,144			393,681
Shareholder service fee – Class III (Note 5)		82,203			—			23,254			267,419
Shareholder service fee – Class V (Note 5)		—			—			236,227			69,622
Shareholder service fee – Class VI (Note 5)		—			20,933			—			546,490
Shareholder service fee – Class R6 (Note 5)		2,490			—			—			19,141	**
Shareholder service fee – Class I (Note 5)		1,220			—			—			17,378
Organizational expenses		—			71,000			—			—
Audit and tax fees		43,297			26,038			55,642			133,095
Custodian, fund accounting agent and transfer agent fees		34,950			11,886			297,392			1,050,619
Legal fees		7,810			2,847			22,391			55,739
Registration fees		9,936			—			8,328			44,632
Trustees’ fees and related expenses (Note 5)		1,970			1,129			15,297			49,946
Miscellaneous		8,592			2,302			11,848			39,821
Total expenses		536,121			261,730			4,203,184			13,042,489
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(92,120	)		(112,434	)		(91,105	)		(1,563,708	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(2,182	)		—			(7,922	)		—
Net expenses		441,819			149,296			4,104,157			11,478,781
Net investment income (loss)		1,060,010			922,632			4,968,198			67,089,477
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		3,091,639			3,447,513			(54,872,140	)		(52,698,767	)
Investments in affiliated issuers		25,397			—			(4,286,202	)		(1,353,564	)
Futures contracts		—			—			(1,077,171	)		(2,927,234	)
Swap contracts		—			—			4,059,966			9,479,649
Forward currency contracts		—			—			(2,124	)		—
Foreign currency and foreign currency related transactions		(8,862	)		68,687			(885,977	)		(1,529,598	)
Net realized gain (loss)		3,108,174			3,516,200			(57,063,648	)		(49,029,514	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		12,539,232			16,708,702			143,218,919			94,150,992
Investments in affiliated issuers		(14,867	)		—			8,537,548			(38,840	)
Futures contracts		—			—			693,029			22,792,229
Swap contracts		—			—			(1,177,155	)		(132,196	)
Forward currency contracts		—			—			(123,484	)		—
Foreign currency and foreign currency related transactions		5,737			4,713			22,381			855,561
Net change in unrealized appreciation (depreciation)		12,530,102			16,713,415			151,171,238			117,627,746
Net realized and unrealized gain (loss)		15,638,276			20,229,615			94,107,590			68,598,232
Net increase (decrease) in net assets resulting from operations	$	16,698,286		$	21,152,247		$	99,075,788		$	135,687,709
(a)  Withholding tax:	$	103,090		$	64,103		$	1,427,700		$	9,931,485
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	37,452		$	234,598
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(446,384	)	$	—

*   Period from May 12, 2020 (commencement of operations) through August 31, 2020.

**   Period from March 31, 2020 (commencement of operations) through August 31, 2020.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)

	International Equity Fund			Quality Fund			Resources Fund			Risk Premium Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	57,103,663		$	67,493,079		$	8,938,614		$	1,443
Non-cash dividends from unaffiliated issuers		—			—			551,982			—
Dividends from affiliated issuers (Note 10)		—			24,505			—			—
Interest		148,998			313,577			25,554			40,753
Securities lending income (net)		—			—			100,364			—
Total investment income		57,252,661			67,831,161			9,616,514			42,196
Expenses:
Management fee (Note 5)		6,820,638			10,668,443			1,245,465			22,702
Shareholder service fee – Class II (Note 5)		7,060			—			—			—
Shareholder service fee – Class III (Note 5)		325,908			2,448,118			163,535			289
Shareholder service fee – Class IV (Note 5)		1,029,282			437,714			140,070			—
Shareholder service fee – Class VI (Note 5)		—			595,839			—			4,888
Shareholder service fee – Class R6 (Note 5)		—			61,247			—			—
Shareholder service fee – Class I (Note 5)		—			89,608			—			—
Audit and tax fees		99,688			39,127			45,269			22,308
Custodian, fund accounting agent and transfer agent fees		362,152			492,746			120,480			10,053
Legal fees		51,619			102,955			11,966			671
Registration fees		20,404			36,552			2,426			1,350
Trustees’ fees and related expenses (Note 5)		47,986			107,122			8,342			300
Miscellaneous		56,010			20,330			9,309			9,156	*
Total expenses		8,820,747			15,099,801			1,746,862			71,717
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(512,327	)		(586,978	)		—			(43,246	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(6,381	)		(89	)		—
Net expenses		8,308,420			14,506,442			1,746,773			28,471
Net investment income (loss)		48,944,241			53,324,719			7,869,741			13,725
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(126,491,269	)		348,956,209			11,703,107			(8,108,630	)
Investments in affiliated issuers		—			—			10,764			—
Futures contracts		(18,241,371	)		—			—			—
Written options		—			—			—			2,790,470
Foreign currency and foreign currency related transactions		(22,012	)		14,321			(277,791	)		1,232
Net realized gain (loss)		(144,754,652	)		348,970,530			11,436,080			(5,316,928	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		183,814,293			659,383,589			37,972,690			23,963
Investments in affiliated issuers		—			62,821			(7,302	)		—
Futures contracts		9,075,413			—			—			—
Written Options		—			—			—			2,147,602
Foreign currency and foreign currency related transactions		756,474			265,461			89,499			—
Net change in unrealized appreciation (depreciation)		193,646,180			659,711,871			38,054,887			2,171,565
Net realized and unrealized gain (loss)		48,891,528			1,008,682,401			49,490,967			(3,145,363	)
Net increase (decrease) in net assets resulting from operations	$	97,835,769		$	1,062,007,120		$	57,360,708		$	(3,131,638	)
(a)  Withholding tax:	$	5,298,886		$	2,669,089		$	708,102		$	—
(b)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	8,557		$	—
*   Includes $4,321 of printing related fees.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	973,753		$	3,829,425		$	4,312,085
Dividends from affiliated issuers (Note 10)		628			5,309			3,661
Interest		20			—			839
Total investment income		974,401			3,834,734			4,316,585
Expenses:
Management fee (Note 5)		102,978			607,188			626,235
Shareholder service fee – Class III (Note 5)		30,893			63,948			—
Shareholder service fee – Class VI (Note 5)		—			84,279			111,106
Audit and tax fees		62,964			30,652			31,542
Custodian, fund accounting agent and transfer agent fees		50,480			44,496			41,896
Legal fees		4,596			10,436			7,732
Registration fees		864			10,832			1,088
Trustees’ fees and related expenses (Note 5)		756			7,377			6,696
Miscellaneous		19,402	*		5,408			4,357
Total expenses		272,933			864,616			830,652
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(109,936	)		(96,023	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(180	)		(1,178	)		(771	)
Net expenses		162,817			767,415			829,881
Net investment income (loss)		811,584			3,067,319			3,486,704
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(264,445	)		(2,688,856	)		(16,813,604	)
Investments in affiliated issuers		1,310			13,242			28,629
Futures contracts		(7,786	)		(1,124,069	)		(3,274,890	)
Foreign currency and foreign currency related transactions		(11,408	)		—			—
Net realized gain (loss)		(282,329	)		(3,799,683	)		(20,059,865	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,885,773			48,663,398			24,108,418
Investments in affiliated issuers		159			(2,929	)		(15,999	)
Futures contracts		5,814			187,653			805,546
Foreign currency and foreign currency related transactions		19,853			—			—
Net change in unrealized appreciation (depreciation)		2,911,599			48,848,122			24,897,965
Net realized and unrealized gain (loss)		2,629,270			45,048,439			4,838,100
Net increase (decrease) in net assets resulting from operations	$	3,440,854		$	48,115,758		$	8,324,804
(a)  Withholding tax:	$	86,899		$	—		$	2,325
*   Includes $16,656 of pricing related fees.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund						Cyclical Focus Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Period from May 12, 2020 (commencement of operations) through August 31, 2020 (Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,060,010		$	2,172,426		$	922,632
Net realized gain (loss)		3,108,174			1,027,040			3,516,200
Change in net unrealized appreciation (depreciation)		12,530,102			2,837,109			16,713,415
Net increase (decrease) in net assets from operations		16,698,286			6,036,575			21,152,247
Distributions to shareholders:
Class III		(2,361,514	)		(4,994,590	)		—
Class R6		(143,006	)		—			—
Class I		(52,552	)		—			—
Total distributions		(2,557,072	)		(4,994,590	)		—
Net share transactions (Note 9):
Class III		(2,761,017	)		6,871,328			—
Class VI		—			—			115,384,646
Class R6		5,761,822			1,239,895	*		—
Class I		2,148,010			1,000,842	**		—
Increase (decrease) in net assets resulting from net share transactions		5,148,815			9,112,065			115,384,646
Total increase (decrease) in net assets		19,290,029			10,154,050			136,536,893
Net assets:
Beginning of period		123,153,781			112,999,731			—
End of period	$	142,443,810		$	123,153,781		$	136,536,893
*   Period from January 16, 2020 (commencement of operations) through February 29, 2020.
**  Period from February 25, 2020 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Domestic Opportunities Fund						Emerging Markets Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,968,198		$	23,082,264		$	67,089,477		$	122,975,774
Net realized gain (loss)		(57,063,648	)		67,107,061			(49,029,514	)		175,446,783
Change in net unrealized appreciation (depreciation)		151,171,238			(54,844,542	)		117,627,746			(297,047,770	)
Net increase (decrease) in net assets from operations		99,075,788			35,344,783			135,687,709			1,374,787
Distributions to shareholders:
Class II		—			(16,547,112	)		(1,878,435	)		(24,874,314	)
Class III		—			(7,732,788	)		(1,839,787	)		(12,473,933	)
Class V		—			(27,277,084	)		(721,479	)		—	***
Class VI		—			—			(11,255,301	)		(121,480,286	)
Class R6		—			—			(116,849	)**		—
Class I		—			—			(78,862	)		—
Total distributions		—			(51,556,984	)		(15,890,713	)		(158,828,533	)
Net share transactions (Note 9):
Class II		(20,468,147	)		(170,009,264	)		(74,800,266	)		(35,761,782	)
Class III		(82,870,223	)		(71,925,343	)		78,934,920			73,786,338
Class IV		—			(114,489,235	)*		—			—
Class V		(4,436,652	)		(179,544,003	)		(74,278,521	)		210,170,738	***
Class VI		—			—			(292,285,917	)		(390,152,634	)
Class R6		—			—			19,120,564	**		—
Class I		—			—			418,748			17,404,620	****
Increase (decrease) in net assets resulting from net share transactions		(107,775,022	)		(535,967,845	)		(342,890,472	)		(124,552,720	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			852,111			—			275,184
Class III		—			352,337			—			157,429
Class IV		—			9,845	*		—			—
Class V		—			1,096,979			—			—	***
Class VI		—			—			—			1,473,861
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			2,311,272			—			1,906,474
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(107,775,022	)		(533,656,573	)		(342,890,472	)		(122,646,246	)
Total increase (decrease) in net assets		(8,699,234	)		(549,868,774	)		(223,093,476	)		(280,099,992	)
Net assets:
Beginning of period		960,865,534			1,510,734,308			3,135,242,069			3,415,342,061
End of period	$	952,166,300		$	960,865,534		$	2,912,148,593		$	3,135,242,069
*   For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.
**  Period from March 31, 2020 (commencement of operations) through August 31, 2020.
***  Period from February 26, 2020 through February 29, 2020.
**** Period from January 14, 2020 (commencement of operations) through February 29, 2020.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Fund						Quality Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	48,944,241		$	122,498,085		$	53,324,719		$	98,660,852
Net realized gain (loss)		(144,754,652	)		30,579,072			348,970,530			659,320,060
Change in net unrealized appreciation (depreciation)		193,646,180			(53,383,001	)		659,711,871			(90,253,069	)
Net increase (decrease) in net assets from operations		97,835,769			99,694,156			1,062,007,120			667,727,843
Distributions to shareholders:
Class II		(5,737	)		(508,765	)		—			—
Class III		(1,108,376	)		(19,312,559	)		(119,707,232	)		(264,047,724	)
Class IV		(6,537,505	)		(102,795,751	)		(30,098,264	)		(78,540,885	)
Class VI		—			—			(80,183,867	)		(181,579,983	)
Class R6		—			—			(3,062,337	)		(5,847,564	)*
Class I		—			—			(5,208,436	)		(1,788,658	)**
Total distributions		(7,651,618	)		(122,617,075	)		(238,260,136	)		(531,804,814	)
Net share transactions (Note 9):
Class II		(5,422,127	)		(7,576,940	)		—			—
Class III		(26,838,224	)		(53,558,079	)		(43,206,933	)		66,851,883
Class IV		(458,499,688	)		(550,484,729	)		(35,401,736	)		(315,166,090	)
Class VI		—			—			51,625,027			(209,718,124	)
Class R6		—			—			14,596,052			85,664,922	*
Class I		—			—			50,300,702			87,540,552	**
Increase (decrease) in net assets resulting from net share transactions		(490,760,039	)		(611,619,748	)		37,913,112			(284,826,857	)
Total increase (decrease) in net assets		(400,575,888	)		(634,542,667	)		861,660,096			(148,903,828	)
Net assets:
Beginning of period		3,047,614,073			3,682,156,740			6,282,868,688			6,431,772,516
End of period	$	2,647,038,185		$	3,047,614,073		$	7,144,528,784		$	6,282,868,688
*   Period from November 12, 2019 (commencement of operations) through February 29, 2020.
**  Period from September 26, 2019 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resources Fund						Risk Premium Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,869,741		$	17,591,932		$	13,725		$	5,734,915
Net realized gain (loss)		11,436,080			20,005,066			(5,316,928	)		19,903,272
Change in net unrealized appreciation (depreciation)		38,054,887			(82,446,836	)		2,171,565			(3,410,104	)
Net increase (decrease) in net assets from operations		57,360,708			(44,849,838	)		(3,131,638	)		22,228,083
Distributions to shareholders:
Class III		(59,739	)		(6,468,905	)		(28,853	)		(50,962	)
Class IV		(92,036	)		(10,675,296	)		—			—
Class VI		—			—			(691,213	)		(16,150,902	)
Total distributions		(151,775	)		(17,144,201	)		(720,066	)		(16,201,864	)
Net share transactions (Note 9):
Class III		47,753,332			55,398,679			(1,924,663	)		(8,781,400	)
Class IV		(26,742,702	)		12,711,805			—			—
Class VI		—			—			(13,963,534	)		(421,310,127	)
Increase (decrease) in net assets resulting from net share transactions		21,010,630			68,110,484			(15,888,197	)		(430,091,527	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			90,346			—			—
Class IV		—			151,328			—			—
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			241,674			—			—
Total increase (decrease) in net assets		78,219,563			6,358,119			(19,739,901	)		(424,065,308	)
Net assets:
Beginning of period		512,835,554			506,477,435			36,469,837			460,535,145
End of period	$	591,055,117		$	512,835,554		$	16,729,936		$	36,469,837

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Tax-Managed International Equities Fund						U.S. Equity Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	811,584		$	1,439,752		$	3,067,319		$	11,845,955
Net realized gain (loss)		(282,329	)		2,870,514			(3,799,683	)		67,825,076
Change in net unrealized appreciation (depreciation)		2,911,599			(2,964,684	)		48,848,122			(43,567,966	)
Net increase (decrease) in net assets from operations		3,440,854			1,345,582			48,115,758			36,103,065
Distributions to shareholders:
Class III		(82,176	)		(1,766,064	)		(5,933,050	)		(12,516,573	)
Class VI		—			—			(19,173,129	)		(55,465,712	)
Total distributions		(82,176	)		(1,766,064	)		(25,106,179	)		(67,982,285	)
Net share transactions (Note 9):
Class III		(610,729	)		(12,091,123	)		3,359,683			(39,804,661	)
Class VI		—			—			(93,677,046	)		(368,797,179	)
Increase (decrease) in net assets resulting from net share transactions		(610,729	)		(12,091,123	)		(90,317,363	)		(408,601,840	)
Total increase (decrease) in net assets		2,747,949			(12,511,605	)		(67,307,784	)		(440,481,060	)
Net assets:
Beginning of period		36,227,591			48,739,196			449,430,822			889,911,882
End of period	$	38,975,540		$	36,227,591		$	382,123,038		$	449,430,822

See accompanying notes to the financial statements. 65

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Small Cap Value Fund
	Six Months Ended August 31, 2020 (Unaudited)			Period from July 2, 2019 (commencement of operations) through February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,486,704		$	4,523,917
Net realized gain (loss)		(20,059,865	)		(2,586,408	)
Change in net unrealized appreciation (depreciation)		24,897,965			(46,816,621	)
Net increase (decrease) in net assets from operations		8,324,804			(44,879,112	)
Distributions to shareholders:
Class VI		(871,428	)		(3,801,218	)
Total distributions		(871,428	)		(3,801,218	)
Net share transactions (Note 9):
Class VI		14,164,053			464,188,638
Increase (decrease) in net assets resulting from net share transactions		14,164,053			464,188,638
Total increase (decrease) in net assets		21,617,429			415,508,308
Net assets:
Beginning of period		415,508,308			—
End of period	$	437,125,737		$	415,508,308

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares																Class R6 Shares								Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,								Period from April 5, 2017 (commencement of operations) through February  28, 2018				Six Months Ended August 31, 2020 (Unaudited)				Period from January 16, 2020 (commencement of operations) through February 29, 2020				Six Months Ended August 31, 2020 (Unaudited)				Period from February 25, 2020 (commencement of operations) through February 29, 2020
					2020				2019
Net asset value, beginning of period		$	22.36			$	22.04			$	23.81			$	20.00			$	22.36			$	24.55			$	22.36			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.41				0.36				0.23				0.13				0.01				0.15				0.01
Net realized and unrealized gain (loss)			3.04				0.87				(1.61	)			4.41				3.08				(2.20	)			3.07				(1.02	)
Total from investment operations			3.24				1.28				(1.25	)			4.64				3.21				(2.19	)			3.22				(1.01	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.45	)			(0.26	)			(0.22	)			(0.04	)			—				(0.04	)			—
From net realized gains			(0.43	)			(0.51	)			(0.26	)			(0.61	)			(0.43	)			—				(0.43	)			—
Total distributions			(0.46	)			(0.96	)			(0.52	)			(0.83	)			(0.47	)			—				(0.47	)			—
Net asset value, end of period		$	25.14			$	22.36			$	22.04			$	23.81			$	25.10			$	22.36			$	25.11			$	22.36
Total Return(b)			14.81	%**			5.66	%			(5.22	)%			23.28	%**			14.69	%**			(8.92	)%**			14.72	%**			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	131,189			$	121,062			$	113,000			$	26,694			$	7,776			$	1,129			$	3,479			$	962
Net expenses to average daily net assets(c)			0.77	%*			0.77	%			0.75	%			0.78	%*			0.77	%*			0.77	%*			0.87	%*			0.87	%*
Net investment income (loss) to average daily net assets(a)			1.88	%*			1.84	%			1.61	%			1.09	%*			1.15	%*			0.40	%*			1.34	%*			1.93	%*
Portfolio turnover rate(d)			44	%**			62	%			29	%			44	%**			44	%**			62	%**			44	%**			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.16	%(e)*			0.16	%(e)			0.26	%			0.73	%*			0.17	%(e)*			0.23	%(e)*			0.17	%(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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 80%, 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.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CYCLICAL FOCUS FUND

	Class VI Shares
	Period from May 12, 2020 (commencement of operations) through August  31, 2020 (Unaudited)
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17
Net realized and unrealized gain (loss)			3.63
Total from investment operations			3.80
Net asset value, end of period		$	23.80
Total Return(b)			19.00	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	136,537
Net expenses to average daily net assets(c)			0.39	%*
Net investment income (loss) to average daily net assets(a)			2.42	%*
Portfolio turnover rate(d)			21	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.30	%*

^(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 Institutional Fund and underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, including transactions in USTF, was 21% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																		Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 28,29,															Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 28/29,
				2020			2019			2018			2017			2016						2020			2019			2018			2017			2016
Net asset value, beginning of period	$	21.14		$	21.61		$	28.86		$	22.64		$	19.36		$	23.99		$	21.13		$	21.60		$	28.86		$	22.64		$	19.35		$	23.98
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.11			0.40			0.24			0.25			0.25			0.34			0.03			0.43			0.26			0.27			0.27			0.36
Net realized and unrealized gain (loss)		2.69			0.18			(4.58	)		6.33			3.68			(4.60	)		2.78			0.17			(4.59	)		6.32			3.68			(4.60	)
Total from investment operations		2.80			0.58			(4.34	)		6.58			3.93			(4.26	)		2.81			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	$	23.94		$	21.14		$	21.61		$	28.86		$	22.64		$	19.36		$	23.94		$	21.13		$	21.60		$	28.86		$	22.64		$	19.35
Total Return(b)		13.25	%**		2.39	%		(15.48	)%		29.10	%		20.62	%		(17.91	)%		13.30	%**		2.49	%		(15.43	)%		29.17	%		20.73	%		(17.86	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	305,450		$	292,418		$	467,336		$	700,211		$	603,565		$	556,539		$	11,725		$	103,063		$	176,770		$	121,511		$	129,068		$	242,740
Net expenses to average daily net assets(c)		1.04	%*		1.03	%		1.04	%		1.06	%		1.06	%		1.07	%		0.97	%*		0.96	%		0.97	%		0.99	%		0.99	%		1.00	%
Net investment income (loss) to average daily net assets(a)		1.08	%*		1.81	%		1.00	%		0.96	%		1.12	%		1.51	%		0.30	%*		1.94	%		1.11	%		1.05	%		1.26	%		1.61	%
Portfolio turnover rate		113	%(d)**		186	%(d)		238	%(d)		201	%(d)		227	%(d)		250	%		113	%(d)**		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)*		0.02	%(e)		0.01	%		0.02	%		0.04	%		0.04	%		0.02	%(e)*		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

^(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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 125%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class V Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	21.12			$	21.60			$	28.85			$	22.62			$	19.35			$	23.98
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.13				0.43				0.28				0.29				0.23				0.37
Net realized and unrealized gain (loss)			2.69				0.17				(4.60	)			6.33				3.73				(4.59	)
Total from investment operations			2.82				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		$	23.94			$	21.12			$	21.60			$	28.85			$	22.62			$	19.35
Total Return(b)			13.35	%**			2.50	%			(15.37	)%			29.31	%			20.78	%			(17.79	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	634,991			$	565,384			$	755,613			$	1,280,851			$	948,052			$	322,379
Net expenses to average daily net assets(c)			0.91	%*			0.89	%			0.90	%			0.92	%			0.93	%			0.94	%
Net investment income (loss) to average daily net assets(a)			1.24	%*			1.94	%			1.19	%			1.09	%			1.04	%			1.65	%
Portfolio turnover rate			113	%(d)			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)			0.02	%(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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 125%, 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.

* Annualized.

** Not annualized.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	30.75			$	32.23			$	36.42			$	29.98			$	22.80			$	30.48			$	30.84			$	32.32			$	36.51			$	30.05			$	22.83			$	30.57
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.70				1.13				1.01				0.75				0.57				0.72				0.68				1.21				1.01				0.72				0.57				0.66
Net realized and unrealized gain (loss)			0.88				(1.02	)			(4.22	)			6.58				7.22				(7.59	)			0.92				(1.09	)			(4.21	)			6.64				7.27				(7.56	)
Total from investment operations			1.58				0.11				(3.21	)			7.33				7.79				(6.87	)			1.60				0.12				(3.20	)			7.36				7.84				(6.90	)
Less distributions to shareholders:
From net investment income			(0.15	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(0.16	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)
Total distributions			(0.15	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(0.81	)			(0.16	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)			(0.84	)
Net asset value, end of period		$	32.18			$	30.75			$	32.23			$	36.42			$	29.98			$	22.80			$	32.28			$	30.84			$	32.32			$	36.51			$	30.05			$	22.83
Total Return(c)			5.14	%**			(0.11	)%			(8.57	)%			24.66	%			34.47	%			(22.76	)%			5.19	%**			(0.08	)%			(8.51	)%			24.71	%			34.67	%			(22.80	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	337,018			$	397,798			$	451,720			$	479,640			$	498,564			$	532,366			$	430,445			$	333,779			$	277,824			$	390,827			$	301,786			$	189,907
Net expenses to average daily net assets(d)			0.93	% *			0.93	%			0.93	%			0.96	%			1.07	%			1.09	%			0.88	%*			0.88	%			0.88	%			0.91	%			1.01	%			1.04	%
Net investment income (loss) to average daily net assets(b)			4.68	% *			3.44	%			3.09	%			2.25	%			2.08	%			2.57	%			4.55	%*			3.68	%			3.08	%			2.14	%			2.07	%			2.45	%
Portfolio turnover rate			47	%(e)**			100	%(e)			98	%(e)			87	%(e)			62	%(e)			104	%			47	%(e)**			100	%(e)			98	%(e)			87	%(e)			62	%(e)			104	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%(f)*			0.13	%(f)			0.13	%			0.13	%			0.04	%			0.03	%			0.08	%(f)*			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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class V Shares
	Six Months Ended August 31, 2020 (Unaudited)				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,
													2018				2017(b)				2016(b)				2015(b)				2014(b)
Net asset value, beginning of period		$	30.52			$	31.35			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.60				0.00	(d)			1.40				0.77				0.61				0.72				0.87				0.78
Net realized and unrealized gain (loss)			0.99				(0.83	)			(4.14	)			6.53				7.15				(7.50	)			0.00	(d)			(4.50	)
Total from investment operations			1.59				(0.83	)			(2.74	)			7.30				7.76				(6.78	)			0.87				(3.72	)
Less distributions to shareholders:
From net investment income			(0.17	)			—				(0.99	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)
Total distributions			(0.17	)			—				(0.99	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)
Net asset value, end of period		$	31.94			$	30.52			$	32.34			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39
Total Return(e)			5.22	%**			(2.65	)%**			(7.31	)%**			24.83	%			34.67	%			(22.67	)%			2.93	%			(10.74	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	135,890			$	204,615			$	27,261			$	170,962			$	110,257			$	269,570			$	170,125			$	406,384
Net expenses to average daily net assets(f)			0.78	%*			0.74	%*			0.78	%*			0.81	%			0.91	%			0.94	%			0.92	%			0.91	%(g)
Net investment income (loss) to average daily net assets(c)			4.13	%*			0.00	%(h)*			4.27	%*			2.29	%			2.24	%			2.69	%			2.77	%			2.39	%
Portfolio turnover rate			47	%(i)**			100	%(i)**			98	%(i)**			87	%(i)			62	%(i)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%(j)*			0.15	%(j)*			0.14	%*			0.14	%			0.06	%			0.04	%			0.04	%			0.04	%
Redemption fees consisted of the following per share amounts:†			—				—			$	0.09			$	0.11			$	0.08	(b)		$	0.10	(b)		$	0.10	(b)		$	0.10	(b)

^(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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 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.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares																								Class R6 Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Period from March 31, 2020 (commencement of operations) through August 31, 2020 (Unaudited)
					2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	30.52			$	32.00			$	36.16			$	29.77			$	22.62			$	30.30			$	26.05
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.69				1.23				1.06				0.78				0.63				0.69				0.68
Net realized and unrealized gain (loss)			0.90				(1.07	)			(4.19	)			6.56				7.17				(7.50	)			5.60
Total from investment operations			1.59				0.16				(3.13	)			7.34				7.80				(6.81	)			6.28
Less distributions to shareholders:
From net investment income			(0.17	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)			(0.87	)			(0.17	)
Total distributions			(0.17	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)			(0.87	)			(0.17	)
Net asset value, end of period		$	31.94			$	30.52			$	32.00			$	36.16			$	29.77			$	22.62			$	32.16
Total Return(d)			5.23	%**			0.05	%			(8.39	)%			24.90	%			34.83	%			(22.71	)%			24.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,968,168			$	2,182,893			$	2,685,798			$	3,575,505			$	3,524,022			$	3,661,271			$	23,276
Net expenses to average daily net assets(e)			0.75	%*			0.75	%			0.75	%			0.78	%			0.89	%			0.91	%			0.93	%*
Net investment income (loss) to average daily net assets(b)			4.67	%*			3.76	%			3.25	%			2.36	%			2.32	%			2.61	%			5.41	%*
Portfolio turnover rate			47	%(f)**			100	%(f)			98	%(f)			87	%(f)			62	%(f)			104	%			47	%(f)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%(g)*			0.15	%(g)			0.14	%			0.14	%			0.06	%			0.04	%			0.09	%(g)*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			—			$	0.02			$	0.08			$	0.11			$	0.08	(a)		$	0.09	(a)			—

	Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Period from January 14, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	30.75			$	35.29
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.67				0.00	(c)
Net realized and unrealized gain (loss)			0.89				(4.54	)
Total from investment operations			1.56				(4.54	)
Less distributions to shareholders:
From net investment income			(0.15	)			—
Total distributions			(0.15	)			—
Net asset value, end of period		$	32.16			$	30.75
Total Return(d)			5.08	%**			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	17,351			$	16,158
Net expenses to average daily net assets(e)			0.98	%*			0.94	%*
Net investment income (loss) to average daily net assets(b)			4.47	%*			(0.05	)%*
Portfolio turnover rate(f)			47	%**			100	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets(g)			0.15	%*			0.19	%*

^(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)  Rounds to less than $0.01.

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 47%, 123%, 128%, 117% and 80%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 73

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016								2020				2019				2018				2017				2016
Net asset value, beginning of period		$	19.83			$	20.08			$	23.63			$	20.18			$	18.17			$	23.43			$	20.09			$	20.33			$	23.92			$	20.41			$	18.38			$	23.70
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.36				0.72				0.57				0.41				0.70				0.57				0.33				0.70				0.57				0.61				0.63				0.59
Net realized and unrealized gain (loss)			0.47				(0.22	)			(3.45	)			3.78				2.07				(5.19	)			0.51				(0.17	)			(3.47	)			3.64				2.19				(5.25	)
Total from investment operations			0.83				0.50				(2.88	)			4.19				2.77				(4.62	)			0.84				0.53				(2.90	)			4.25				2.82				(4.66	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(0.05	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)
Total distributions			(0.02	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(0.64	)			(0.05	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)			(0.66	)
Net asset value, end of period		$	20.64			$	19.83			$	20.08			$	23.63			$	20.18			$	18.17			$	20.88			$	20.09			$	20.33			$	23.92			$	20.41			$	18.38
Total Return(b)			4.21	%**			2.19	%			(12.07	)%			20.85	%			15.45	%			(19.99	)%			4.20	%**			2.29	%			(12.02	)%			20.96	%			15.53	%			(19.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,875			$	10,802			$	18,202			$	23,736			$	10,302			$	81,206			$	446,393			$	452,165			$	507,195			$	485,782			$	731,060			$	1,043,305
Net expenses to average daily net assets(c)			0.73	%*			0.73	%			0.73	%			0.72	%			0.72	%			0.72	%			0.66	% *			0.66	%			0.66	%			0.65	%			0.65	%			0.65	%
Net investment income (loss) to average daily net assets(a)			3.89	%*			3.52	%			2.64	%			1.77	%			3.62	%			2.65	%			3.52	% *			3.36	%			2.64	%			2.68	%			3.16	%			2.70	%
Portfolio turnover rate			20	%**			46	%(d)			41	%(d)			45	%(d)			27	%(d)			75	%			20	% **			46	%(d)			41	%(d)			45	%(d)			27	%(d)			75	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%(e)			0.02	%			0.04	%			0.04	%			0.04	%			0.04	%*			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.

* Annualized.

** Not annualized.

74 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	20.05			$	20.29			$	23.87			$	20.38			$	18.36			$	23.66
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.34				0.74				0.63				0.56				0.63				0.62
Net realized and unrealized gain (loss)			0.52				(0.20	)			(3.51	)			3.69				2.19				(5.25	)
Total from investment operations			0.86				0.54				(2.88	)			4.25				2.82				(4.63	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)
Total distributions			(0.06	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)			(0.67	)
Net asset value, end of period		$	20.85			$	20.05			$	20.29			$	23.87			$	20.38			$	18.36
Total Return(b)			4.29	%**			2.34	%			(11.95	)%			20.98	%			15.57	%			(19.85	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,195,770			$	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	%			0.60	%			0.59	%			0.59	%			0.59	%
Net investment income (loss) to average daily net assets(a)			3.60	%*			3.53	%			2.89	%			2.45	%			3.19	%			2.80	%
Portfolio turnover rate			20	%**			46	%(d)			41	%(d)			45	%(d)			27	%(d)			75	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 75

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016								2020				2019				2018				2017				2016
Net asset value, beginning of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.98			$	22.82			$	22.32			$	25.17			$	22.08			$	19.01			$	23.01
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19				0.35				0.35				0.36				0.35				0.38				0.20				0.37				0.36				0.37				0.36				0.39
Net realized and unrealized gain (loss)			3.62				2.15				1.21				4.70				3.44				(1.04	)			3.63				2.14				1.22				4.70				3.45				(1.05	)
Total from investment operations			3.81				2.50				1.56				5.06				3.79				(0.66	)			3.83				2.51				1.58				5.07				3.81				(0.66	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.36	)			(0.39	)			(0.41	)			(0.35	)			(0.42	)			(0.07	)			(0.36	)			(0.41	)			(0.41	)			(0.36	)			(0.43	)
From net realized gains			(0.81	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)			(0.81	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)
Total distributions			(0.87	)			(2.01	)			(4.41	)			(1.98	)			(0.73	)			(3.33	)			(0.88	)			(2.01	)			(4.43	)			(1.98	)			(0.74	)			(3.34	)
Net asset value, end of period		$	25.71			$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	25.77			$	22.82			$	22.32			$	25.17			$	22.08			$	19.01
Total Return(b)			17.11	%**			10.64	%			6.86	%			23.32	%			20.25	%			(2.89	)%			17.13	%**			10.70	%			6.91	%			23.37	%			20.33	%			(2.88	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,562,792			$	3,195,240			$	3,065,461			$	3,524,103			$	3,587,627			$	3,968,156			$	918,431			$	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	%			0.48	%			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.61	%*			1.44	%			1.42	%			1.48	%			1.72	%			1.79	%			1.67	%*			1.52	%			1.46	%			1.53	%			1.76	%			1.83	%
Portfolio turnover rate			20	%(d)**			17	%(d)			18	%(d)			10	%(d)			29	%(d)			37	%			20	%(d)**			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	%(e)			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%(e)*			0.02	%(e)			0.02	%			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 total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

76 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.37				0.38				0.38				0.36				0.40
Net realized and unrealized gain (loss)			3.63				2.15				1.21				4.70				3.46				(1.04	)
Total from investment operations			3.83				2.52				1.59				5.08				3.82				(0.64	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.38	)			(0.42	)			(0.43	)			(0.38	)			(0.45	)
From net realized gains			(0.81	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(2.91	)
Total distributions			(0.88	)			(2.03	)			(4.44	)			(2.00	)			(0.76	)			(3.36	)
Net asset value, end of period		$	25.72			$	22.77			$	22.28			$	25.13			$	22.05			$	18.99
Total Return(b)			17.20	%**			10.73	%			6.96	%			23.43	%			20.39	%			(2.83	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,411,938			$	2,077,277			$	2,227,287			$	3,561,976			$	3,359,025			$	1,732,420
Net expenses to average daily net assets(c)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(a)			1.71	%*			1.55	%			1.54	%			1.57	%			1.73	%			1.88	%
Portfolio turnover rate			20	%(d)**			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	%(e)			0.02	%			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 total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 17%, 20%, 23% and 48%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 77

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares								Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Period from November 12, 2019 (commencement of operations) through February 29, 2020				Six Months Ended August 31, 2020 (Unaudited)				Period from September 26, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	22.76			$	25.21			$	22.75			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19				0.10				0.17				0.12
Net realized and unrealized gain (loss)			3.63				(0.83	)			3.63				0.39
Total from investment operations			3.82				(0.73	)			3.80				0.51
Less distributions to shareholders:
From net investment income			(0.07	)			(0.32	)			(0.06	)			(0.31	)
From net realized gains			(0.81	)			(1.40	)			(0.81	)			(1.40	)
Total distributions			(0.88	)			(1.72	)			(0.87	)			(1.71	)
Net asset value, end of period		$	25.70			$	22.76			$	25.68			$	22.75
Total Return(b)			17.12	%**			(3.39	)%**			17.08	%**			1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	102,518			$	77,375			$	148,851			$	80,110
Net expenses to average daily net assets(c)			0.48	%*			0.49	%*			0.58	%*			0.57	%*
Net investment income (loss) to average daily net assets(a)			1.60	%*			1.31	%*			1.45	%*			1.13	%*
Portfolio turnover rate(d)			20	%**			17	%**			20	%**			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*			0.02	%(e)*			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 period ended August 31, 2020 and February 29, 2020, including transactions in USTF, was 20% and 17%, 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.

78 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016								2020				2019				2018				2017				2016
Net asset value, beginning of period		$	18.11			$	20.31			$	20.88			$	17.31			$	11.74			$	16.33			$	18.06			$	20.24			$	20.81			$	17.25			$	11.71			$	16.28
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.26				0.65				0.54				0.33				0.30				0.47				0.27				0.68				0.62				0.38				0.34				0.46
Net realized and unrealized gain (loss)			1.40				(2.22	)			(0.37	)			4.02				5.75				(4.67	)			1.40				(2.22	)			(0.46	)			3.97				5.68				(4.63	)
Total from investment operations			1.66				(1.57	)			0.17				4.35				6.05				(4.20	)			1.67				(1.54	)			0.16				4.35				6.02				(4.17	)
Less distributions to shareholders:
From net investment income			(0.00	)(b)			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(0.01	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)
Total distributions			(0.00	)			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.39	)			(0.01	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)			(0.40	)
Net asset value, end of period		$	19.77			$	18.11			$	20.31			$	20.88			$	17.31			$	11.74			$	19.72			$	18.06			$	20.24			$	20.81			$	17.25			$	11.71
Total Return(c)			9.19	%**			(8.14	)%			0.99	%			26.00	%			51.75	%			(25.76	)%			9.23	%**			(8.03	)%			0.98	%			26.12	%			51.72	%			(25.68	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	279,414			$	201,320			$	169,523			$	54,037			$	22,562			$	13,864			$	311,641			$	311,515			$	336,954			$	296,196			$	190,260			$	170,919
Net expenses to average daily net assets(d)			0.73	%*			0.73	%			0.74	%(e)			0.76	%(e)			0.77	%			0.77	%			0.68	%*			0.68	%			0.70	%(e)			0.71	%(e)			0.72	%			0.72	%
Net investment income (loss) to average daily net assets(a)			3.10	%*			3.24	%			2.68	%			1.77	%			1.99	%			3.36	%			3.21	%*			3.40	%			3.06	%			2.04	%			2.26	%			3.31	%
Portfolio turnover rate			49	%(f)**			37	%(f)			35	%(f)			48	%(f)			29	%(f)			130	%			49	%(f)**			37	%(f)			35	%(f)			48	%(f)			29	%(f)			130	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(a)			0.00	%(g)(h)*			0.00	%(g)(h)			—				0.06	%			0.10	%			0.10	%			0.00	%(g)(h)*			0.00	%(g)(h)			—				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)  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)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 52%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

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

^(h)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 79

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	25.89			$	26.79			$	26.74			$	29.93			$	26.91			$	29.73			$	25.67			$	26.94			$	26.88			$	30.07			$	27.00			$	29.82
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.03				0.55				0.46				0.10				(0.05	)			(0.12	)			0.02				0.55				0.49				0.14				(0.02	)			(0.12	)
Net realized and unrealized gain (loss)			0.35				(0.60	)			(0.05	)			1.78				5.22				(0.30	)			0.38				(0.54	)			(0.04	)			1.78				5.24				(0.30	)
Total from investment operations			0.38				(0.05	)			0.41				1.88				5.17				(0.42	)			0.40				0.01				0.45				1.92				5.22				(0.42	)
Less distributions to shareholders:
From net investment income			(0.08	)			(0.12	)			(0.36	)			(0.06	)			—				—				(0.08	)			(0.55	)			(0.39	)			(0.10	)			—				—
From net realized gains			(0.46	)			(0.73	)			—				(5.01	)			(2.15	)			(2.40	)			(0.46	)			(0.73	)			—				(5.01	)			(2.15	)			(2.40	)
Total distributions			(0.54	)			(0.85	)			(0.36	)			(5.07	)			(2.15	)			(2.40	)			(0.54	)			(1.28	)			(0.39	)			(5.11	)			(2.15	)			(2.40	)
Net asset value, end of period		$	25.73			$	25.89			$	26.79			$	26.74			$	29.93			$	26.91			$	25.53			$	25.67			$	26.94			$	26.88			$	30.07			$	27.00
Total Return(c)			2.03	%**			(0.37	)%			1.57	%			6.09	%			19.50	%			(1.66	)%			2.11	%**			(0.22	)%			1.69	%			6.17	%			19.62	%			(1.65	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	201			$	2,477			$	10,922			$	3,434			$	5,049			$	6,807			$	16,529			$	33,992			$	449,614			$	142,238			$	155,375			$	223,854
Net expenses to average daily net assets			0.40	%*			0.40	%			0.50	%			0.60	%			0.61	%			0.60	%			0.31	%*			0.31	%			0.40	%			0.51	%			0.51	%			0.51	%
Net investment income (loss) to average daily net assets(b)			0.25	%*			2.03	%			1.70	%			0.34	%			(0.16	)%			(0.45	)%			0.15	%*			2.00	%			1.80	%			0.47	%			(0.07	)%			(0.37	)%
Portfolio turnover rate			176	%**			42	%			16	%			0	%			0	%			0	%			176	%**			42	%			16	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.41	%*			0.04	%			0.04	%			0.08	%			0.06	%			0.05	%			0.48	%*			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.

* Annualized.

** Not annualized.

80 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	13.57			$	13.82			$	17.00			$	14.28			$	12.92			$	16.80
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.25				0.46				0.37				0.38				0.41				0.40
Net realized and unrealized gain (loss)			0.29				(0.10	)			(2.63	)			2.84				1.50				(3.82	)
Total from investment operations			0.54				0.36				(2.26	)			3.22				1.91				(3.42	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.61	)			(0.39	)			(0.50	)			(0.55	)			(0.46	)
From net realized gains			—				—				(0.53	)			—				—				—
Total distributions			(0.02	)			(0.61	)			(0.92	)			(0.50	)			(0.55	)			(0.46	)
Net asset value, end of period		$	14.09			$	13.57			$	13.82			$	17.00			$	14.28			$	12.92
Total Return(b)			4.02	%**			2.31	%			(13.50	)%			22.70	%			15.05	%			(20.63	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	38,976			$	36,228			$	48,739			$	68,782			$	115,733			$	215,977
Net expenses to average daily net assets(c)			0.79	%*			0.80	%			0.79	%			0.70	%			0.68	%			0.66	%
Net investment income (loss) to average daily net assets(a)			3.94	%*			3.28	%			2.47	%			2.35	%			2.95	%			2.59	%
Portfolio turnover rate			43	%(d)**			52	%(d)			63	%(d)			43	%(d)			47	%(d)			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.53	%(e)*			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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 43%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 81

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016								2020				2019				2018				2017				2016
Net asset value, beginning of period		$	11.89			$	13.07			$	15.41			$	15.14			$	13.79			$	16.61			$	11.78			$	12.97			$	15.31			$	15.06			$	13.73			$	16.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09				0.22				0.23				0.27				0.27				0.24				0.09				0.23				0.24				0.29				0.27				0.26
Net realized and unrealized gain (loss)			1.55				0.21				(0.04	)(b)			1.73				2.89				(1.20	)			1.54				0.20				(0.04	)(b)			1.71				2.89				(1.19	)
Total from investment operations			1.64				0.43				0.19				2.00				3.16				(0.96	)			1.63				0.43				0.20				2.00				3.16				(0.93	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.32	)			(0.26	)			(0.28	)			(0.34	)			(0.26	)			(0.06	)			(0.33	)			(0.27	)			(0.30	)			(0.36	)			(0.28	)
From net realized gains			(0.81	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)			(0.81	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)			(1.60	)
Total distributions			(0.87	)			(1.61	)			(2.53	)			(1.73	)			(1.81	)			(1.86	)			(0.87	)			(1.62	)			(2.54	)			(1.75	)			(1.83	)			(1.88	)
Net asset value, end of period		$	12.66			$	11.89			$	13.07			$	15.41			$	15.14			$	13.79			$	12.54			$	11.78			$	12.97			$	15.31			$	15.06			$	13.73
Total Return(c)			14.39	%**			2.51	%			1.94	%			13.76	%			23.59	%			(6.17	)%			14.47	%**			2.53	%			2.05	%			13.84	%			23.68	%			(6.02	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	93,390			$	83,738			$	131,198			$	77,297			$	109,726			$	194,615			$	288,733			$	365,693			$	758,714			$	1,200,008			$	1,469,935			$	3,838,628
Net expenses to average daily net assets(d)			0.47	%*			0.46	%			0.46	%			0.46	%			0.46	%			0.46	%			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.50	%*			1.64	%			1.62	%			1.78	%			1.80	%			1.57	%			1.59	%*			1.75	%			1.68	%			1.88	%			1.87	%			1.68	%
Portfolio turnover rate			31	%(e)**			72	%(e)			89	%(e)			79	%(e)			66	%(e)			89	%			31	%(e)**			72	%(e)			89	%(e)			79	%(e)			66	%(e)			89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(f)*			0.03	%(f)			0.03	%			0.02	%			0.02	%			0.02	%			0.05	%(f)*			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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 38%, 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.

* Annualized.

** Not annualized.

82 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Period from July 2, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	18.06			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14				0.23
Net realized and unrealized gain (loss)			(0.25	)			(1.99	)
Total from investment operations			(0.11	)			(1.76	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.18	)
Total distributions			(0.03	)			(0.18	)
Net asset value, end of period		$	17.92			$	18.06
Total Return(b)			(0.56	)%**			(8.95	)%**
Ratios/Supplemental Data:
$ Net assets, end of period (000’s)		$	437,126			$	415,508
Net expenses to average daily net assets(c)			0.41	%*			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.73	%*			1.69	%*
Portfolio turnover rate(d)			46	%**			56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(e)(f)*			0.00	%(e)(f)*

^(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 periods ended August 31, 2020 and February 29, 2020, including transactions in USTF, was 52% and 69%, respectively, 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.

See accompanying notes to the financial statements. 83

GMO Trust Funds

Notes to Financial Statements

August 31, 2020 (Unaudited)

1. Organization

Each of Climate Change Fund, Cyclical Focus Fund (commenced operations on May 12, 2020), 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 (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
Cyclical Focus Fund	Not Applicable	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	S&P SmallCap 600 Value Index	Total return in excess of its benchmark

Tax-Managed International Equities 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

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

84

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

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).

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.

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 period ended August 31, 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

85

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2020:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,318,712	$	—	$	—	$	1,318,712
Australia		—		1,758,645		—		1,758,645
Brazil		—		2,063,493		—		2,063,493
Canada		10,986,385		—		—		10,986,385
China		601,065		6,360,562		—		6,961,627
Denmark		—		1,760,594		—		1,760,594
Finland		—		2,151,461		—		2,151,461
France		—		12,834,711		—		12,834,711
Germany		—		3,894,102		—		3,894,102
India		—		742,451		—		742,451
Israel		—		1,199,188		—		1,199,188
Italy		—		6,382,214		—		6,382,214
Japan		—		12,735,623		—		12,735,623
Mexico		3,354,617		—		—		3,354,617
Netherlands		—		1,118,369		—		1,118,369
Norway		—		2,370,974		—		2,370,974
Pakistan		—		501,223		—		501,223
Portugal		—		2,354,338		—		2,354,338
Russia		—		6,570,179		—		6,570,179
Spain		—		3,818,968		—		3,818,968
Sweden		—		462,221		—		462,221
Switzerland		—		2,008,732		—		2,008,732
Taiwan		—		373,020		—		373,020
Thailand		—		301,954		—		301,954
Ukraine		—		1,025,949		—		1,025,949
United Kingdom		588,588		4,040,072		—		4,628,660
United States		38,323,201		—		—		38,323,201
TOTAL COMMON STOCKS		55,172,568		76,829,043		—		132,001,611
Preferred Stocks
Chile		4,302,592		—		—		4,302,592
TOTAL PREFERRED STOCKS		4,302,592		—		—		4,302,592
Mutual Funds
United States		5,778,990		—		—		5,778,990
TOTAL MUTUAL FUNDS		5,778,990		—		—		5,778,990
Short-Term Investments		670,861		—		—		670,861
Total Investments		65,925,011		76,829,043		—		142,754,054
Total	$	65,925,011	$	76,829,043	$	—	$	142,754,054

86

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Cyclical Focus Fund
Asset Valuation Inputs
Common Stocks
Canada	$	4,785,160	$	—	$	—	$	4,785,160
Finland		—		3,970,235		—		3,970,235
France		—		10,034,953		—		10,034,953
Germany		—		4,662,825		—		4,662,825
Ireland		—		2,868,746		—		2,868,746
Japan		—		3,245,500		—		3,245,500
Mexico		3,691,034		—		—		3,691,034
Russia		—		6,068,995		—		6,068,995
Spain		—		6,239,325		—		6,239,325
Switzerland		—		1,220,413		—		1,220,413
United Kingdom		—		16,100,721		—		16,100,721
United States		69,287,407		—		—		69,287,407
TOTAL COMMON STOCKS		77,763,601		54,411,713		—		132,175,314
Preferred Stocks
Brazil		—		3,328,257		—		3,328,257
TOTAL PREFERRED STOCKS		—		3,328,257		—		3,328,257
Mutual Funds
United States		650,000		—		—		650,000
TOTAL MUTUAL FUNDS		650,000		—		—		650,000
Short-Term Investments		113,682		—		—		113,682
Total Investments		78,527,283		57,739,970		—		136,267,253
Total	$	78,527,283	$	57,739,970	$	—	$	136,267,253
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	4,323,783	$	12,445,887	$	—	$	16,769,670
China		149,057,968		217,745,998		—		366,803,966
France		—		1,976,496		—		1,976,496
India		—		57,487,925		—		57,487,925
Indonesia		—		2,263,389		—		2,263,389
Japan		—		2,448,748		—		2,448,748
Mexico		4,796,327		—		—		4,796,327
Panama		1,996,875		—		—		1,996,875
Philippines		—		5,992,743		—		5,992,743
Russia		3,793,588		13,168,210		—		16,961,798
Singapore		1,635,067		—		—		1,635,067
South Korea		—		70,366,302		—		70,366,302
Switzerland		—		20,944,191		—		20,944,191
Taiwan		5,698,075		121,535,200		—		127,233,275
Thailand		—		10,821,721		—		10,821,721
United States		45,378,790		—		—		45,378,790
Vietnam		—		6,677,807		—		6,677,807
TOTAL COMMON STOCKS		216,680,473		543,874,617		—		760,555,090
Preferred Stocks
Brazil		—		7,299,613		—		7,299,613
TOTAL PREFERRED STOCKS		—		7,299,613		—		7,299,613

87

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
China	$	5,692,280	$	5,504,811		$	—	$	11,197,091
Russia		37,660,140		—			—		37,660,140
Thailand		—		20,710,593			—		20,710,593
United States		64,054,608		—			—		64,054,608
TOTAL INVESTMENT FUNDS		107,407,028		26,215,404			—		133,622,432
Mutual Funds
United States		20,163,838		—			—		20,163,838
TOTAL MUTUAL FUNDS		20,163,838		—			—		20,163,838
Short-Term Investments		15,984,827		—			—		15,984,827
Total Investments		360,236,166		577,389,634			—		937,625,800
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		491,821			—		491,821
Futures Contracts
Equity Risk		583,196		1,336,959			—		1,920,155
Total	$	360,819,362	$	579,218,414		$	—	$	940,037,776
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,021,220	)	$	—	$	(1,021,220	)
Swap Contracts
Equity Risk		—		(558,213	)		—		(558,213	)
Total	$	—	$	(1,579,433	)	$	—	$	(1,579,433	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,621,625	$	949,327		$	—	$	2,570,952
Brazil		—		1,008,490			—		1,008,490
Chile		—		1,066,821			—		1,066,821
China		233,009,278		883,091,569			687,590		1,116,788,437
Czech Republic		—		1,410,339			—		1,410,339
India		—		61,392,463			—		61,392,463
Indonesia		—		68,447,650			—		68,447,650
Kuwait		—		16,036,890			—		16,036,890
Malaysia		—		1,932,078			—		1,932,078
Mexico		69,033,985		—			—		69,033,985
Pakistan		—		10,965,226			—		10,965,226
Philippines		—		7,653,497			—		7,653,497
Poland		—		42,774,233			—		42,774,233
Qatar		—		14,663,287			—		14,663,287
Russia		9,167,612		411,199,371			—		420,366,983
Saudi Arabia		—		10,362			—		10,362
South Africa		5,752,745		109,849,395			—		115,602,140
South Korea		—		45,588,513			—		45,588,513
Sri Lanka		—		612,665			—		612,665
Taiwan		792		530,908,585			—		530,909,377
Thailand		—		11,109,681			—		11,109,681
Turkey		—		33,014,651			—		33,014,651

88

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Arab Emirates	$	—	$	2,710,600	$	—		$	2,710,600
United Kingdom		—		22,860,365		—			22,860,365
Vietnam		—		3,439,979		—			3,439,979
TOTAL COMMON STOCKS		318,586,037		2,282,696,037		687,590			2,601,969,664
Preferred Stocks
Brazil		—		2,029,536		—			2,029,536
Colombia		1,590,846		—		—			1,590,846
Russia		—		55,207,822		—			55,207,822
South Korea		—		64,419,730		—			64,419,730
Taiwan		—		1,348,795		—			1,348,795
TOTAL PREFERRED STOCKS		1,590,846		123,005,883		—			124,596,729
Investment Funds
Thailand		—		10,715,219		—			10,715,219
United States		51,017,854		—		—			51,017,854
TOTAL INVESTMENT FUNDS		51,017,854		10,715,219		—			61,733,073
Debt Obligations
United States		19,031,588		—		—			19,031,588
TOTAL DEBT OBLIGATIONS		19,031,588		—		—			19,031,588
Short-Term Investments		42,223,000		—		—			42,223,000
Total Investments		432,449,325		2,416,417,139		687,590			2,849,554,054
Derivatives^
Futures Contracts
Equity Risk		15,525,340		229,665		—			15,755,005
Swap Contracts
Equity Risk		—		693,922		—			693,922
Total	$	447,974,665	$	2,417,340,726	$	687,590		$	2,866,002,981
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	111,406,960	$	—		$	111,406,960
Belgium		—		30,925,151		—			30,925,151
Denmark		—		1,167,842		—			1,167,842
France		36,934,566		186,269,959		—			223,204,525
Germany		—		131,574,635		—			131,574,635
Hong Kong		—		57,166,793		—			57,166,793
Ireland		20,527,430		7,409,481		—			27,936,911
Italy		—		112,949,157		—			112,949,157
Japan		—		543,665,777		—			543,665,777
Malta		—		—		0	§		0	§
Netherlands		—		193,252,315		—			193,252,315
Norway		1,044,352		67,831,888		—			68,876,240
Portugal		—		85,392,748		—			85,392,748
Singapore		—		107,691,701		—			107,691,701
Spain		—		162,960,154		—			162,960,154
Sweden		—		101,235,160		—			101,235,160

89

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Switzerland	$	—	$	168,402,838	$	—		$	168,402,838
United Kingdom		26,252,533		429,067,723		—			455,320,256
TOTAL COMMON STOCKS		84,758,881		2,498,370,282		0	§		2,583,129,163
Preferred Stocks
Germany		—		9,394,025		—			9,394,025
TOTAL PREFERRED STOCKS		—		9,394,025		—			9,394,025
Short-Term Investments		44,172,910		—		—			44,172,910
Total Investments		128,931,791		2,507,764,307		0	§		2,636,696,098
Derivatives^
Futures Contracts
Equity Risk		424,735		—		—			424,735
Total	$	129,356,526	$	2,507,764,307	$	0	§	$	2,637,120,833
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	58,272,185	$	—		$	58,272,185
Germany		—		251,061,033		—			251,061,033
Netherlands		—		47,470,765		—			47,470,765
Switzerland		—		259,534,832		—			259,534,832
Taiwan		—		199,733,754		—			199,733,754
United Kingdom		—		290,405,705		—			290,405,705
United States		5,933,249,409		—		—			5,933,249,409
TOTAL COMMON STOCKS		5,933,249,409		1,106,478,274		—			7,039,727,683
Debt Obligations
United States		41,343,242		—		—			41,343,242
TOTAL DEBT OBLIGATIONS		41,343,242		—		—			41,343,242
Mutual Funds
United States		15,830,961		—		—			15,830,961
TOTAL MUTUAL FUNDS		15,830,961		—		—			15,830,961
Short-Term Investments		41,949,945		—		—			41,949,945
Total Investments		6,032,373,557		1,106,478,274		—			7,138,851,831
Total	$	6,032,373,557	$	1,106,478,274	$	—		$	7,138,851,831
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,051,527	$	—	$	—		$	6,051,527
Australia		—		28,688,643		—			28,688,643
Austria		—		5,982,583		—			5,982,583
Brazil		—		8,990,038		—			8,990,038
Canada		35,648,360		—		—			35,648,360
China		—		20,791,083		—			20,791,083
Colombia		5,286,355		—		—			5,286,355
Denmark		—		4,316,165		—			4,316,165
Finland		—		6,727,199		—			6,727,199
France		—		19,421,620		—			19,421,620

90

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hungary	$	—		$	4,993,646	$	—		$	4,993,646
India		—			16,196,621		—			16,196,621
Israel		—			11,660,437		—			11,660,437
Japan		—			19,816,234		—			19,816,234
Mexico		17,941,520			—		—			17,941,520
Norway		—			16,828,279		—			16,828,279
Pakistan		—			4,848,520		—			4,848,520
Poland		—			4,328,369		—			4,328,369
Russia		—			73,028,278		—			73,028,278
Singapore		—			—		0	§		0	§
South Africa		—			960,021		—			960,021
South Korea		—			957,841		—			957,841
Spain		—			6,460,452		—			6,460,452
Sweden		—			5,616,682		—			5,616,682
Switzerland		—			3,301,770		—			3,301,770
Thailand		—			9,747,947		—			9,747,947
Turkey		—			2,878,186		—			2,878,186
Ukraine		—			3,403,643		—			3,403,643
United Kingdom		—			78,845,162		—			78,845,162
United States		84,322,466			—		—			84,322,466
TOTAL COMMON STOCKS		149,250,228			358,789,419		0	§		508,039,647
Preferred Stocks
Brazil		—			28,601,896		—			28,601,896
Chile		17,919,480			—		—			17,919,480
Russia		—			12,195,685		—			12,195,685
TOTAL PREFERRED STOCKS		17,919,480			40,797,581		—			58,717,061
Debt Obligations
United States		20,345,312			—		—			20,345,312
TOTAL DEBT OBLIGATIONS		20,345,312			—		—			20,345,312
Rights/Warrants
Singapore		—			—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—		0	§		0	§
Short-Term Investments		1,942,025			—		—			1,942,025
Total Investments		189,457,045			399,587,000		—			589,044,045
Total	$	189,457,045		$	399,587,000$		0	§	$	589,044,045
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	8,499,379		$	—	$	—		$	8,499,379
TOTAL DEBT OBLIGATIONS		8,499,379			—		—			8,499,379
Short-Term Investments		8,091,284			—		—			8,091,284
Total Investments		16,590,663			—		—			16,590,663
Total	$	16,590,663		$	—	$	—		$	16,590,663
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(139,160	)	$	—	$	—		$	(139,160	)

91

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,470,474	$	—		$	1,470,474
Belgium		—		561,627		—			561,627
Brazil		—		297,921		—			297,921
China		—		788,124		—			788,124
Denmark		—		43,341		—			43,341
France		—		3,213,521		—			3,213,521
Germany		—		1,943,720		—			1,943,720
Hong Kong		—		502,222		—			502,222
Hungary		—		66,020		—			66,020
India		—		130,188		—			130,188
Ireland		198,856		527,787		—			726,643
Italy		—		1,525,151		—			1,525,151
Japan		—		8,244,686		—			8,244,686
Malaysia		—		14,235		—			14,235
Malta		—		—		0	§		0	§
Netherlands		—		2,943,311		—			2,943,311
Norway		—		260,062		—			260,062
Philippines		—		3,012		—			3,012
Poland		—		17,512		—			17,512
Portugal		—		1,295,876		—			1,295,876
Russia		—		459,624		—			459,624
Singapore		—		1,218,949		—			1,218,949
South Africa		—		24,711		—			24,711
South Korea		—		871,097		14,264			885,361
Spain		—		2,184,864		—			2,184,864
Sweden		—		809,064		—			809,064
Switzerland		—		2,440,656		—			2,440,656
Taiwan		—		262,407		—			262,407
Thailand		—		10,702		—			10,702
Turkey		—		597,547		—			597,547
United Kingdom		383,377		4,646,982		—			5,030,359
TOTAL COMMON STOCKS		582,233		37,375,393		14,264			37,971,890
Preferred Stocks
Brazil		—		22,554		—			22,554
Germany		—		281,089		—			281,089
Russia		—		21,604		—			21,604
TOTAL PREFERRED STOCKS		—		325,247		—			325,247
Mutual Funds
United States		575,165		—		—			575,165
TOTAL MUTUAL FUNDS		575,165		—		—			575,165
Short-Term Investments		41,793		—		—			41,793
Total Investments		1,199,191		37,700,640		14,264			38,914,095
Derivatives^
Futures Contracts
Equity Risk	$	7,654	$	—	$	—		$	7,654
Total	$	1,206,845	$	37,700,640	$	14,264		$	38,921,749

92

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August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	376,408,183	$	—	$	—	$	376,408,183
Mutual Funds		2,300,296		—		—		2,300,296
Short-Term Investments		2,894,890		—		—		2,894,890
Total Investments		381,603,369		—		—		381,603,369
Derivatives^
Futures Contracts
Equity Risk		116,237		—		—		116,237
Total	$	381,719,606	$	—	$	—	$	381,719,606
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	430,977,272	$	—	$	—	$	430,977,272
Mutual Funds		760,097		—		—		760,097
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		418,520		—		—		418,520
Total Investments		432,155,889		—		36,350		432,192,239
Derivatives^
Futures Contracts
Equity Risk		15,176		—		—		15,176
Total	$	432,171,065	$	—	$	36,350	$	432,207,415

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

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

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2020.

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

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

93

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August 31, 2020 (Unaudited)

Foreign currency translation

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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash 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 August 31, 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		3,764,202		349,329		3,663,624		4,012,953
Cyclical Focus Fund		50,439		—		53,550		53,550
Emerging Markets Fund		7,505,651		—		7,955,200		7,955,200
Resources Fund		16,820,856		—		17,765,402		17,765,402

* 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.

94

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August 31, 2020 (Unaudited)

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 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.

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, certain Funds elected to defer to March 1, 2020, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Loss Deferral ($)
Climate Change Fund		—		—
Cyclical Focus Fund		N/A		N/A
Emerging Domestic Opportunities Fund		(4,232,323)		—
Emerging Markets Fund		—		—
International Equity Fund		—		—
Quality Fund		—		—
Resources Fund		(587,787)		(3,496)
Risk Premium Fund		—		—
Tax-Managed International Equities Fund		(109,804)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

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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 ($)		Long-Term ($)
Climate Change Fund		(1,674,056)		(1,980,298)
Cyclical Focus Fund		N/A		N/A
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 August 31, 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		134,559,698		16,316,246		(8,121,890)		8,194,356		—
Cyclical Focus Fund		119,558,551		18,594,477		(1,885,775)		16,708,702		—
Emerging Domestic Opportunities Fund		805,717,009		149,699,005		(17,790,214)		131,908,791		832,543
Emerging Markets Fund		2,897,914,133		319,243,358		(367,603,437)		(48,360,079)		16,448,927
International Equity Fund		2,608,351,499		299,071,746		(270,727,147)		28,344,599		424,735
Quality Fund		4,509,231,193		2,886,294,464		(256,673,826)		2,629,620,638		—
Resources Fund		578,511,802		68,254,033		(57,721,790)		10,532,243		—
Risk Premium Fund		16,564,440		26,844		(621)		26,223		170,357
Tax-Managed International Equities Fund		30,807,311		8,682,928		(576,144)		8,106,784		7,654
U.S. Equity Fund		327,851,311		64,690,662		(10,938,604)		53,752,058		116,237
U.S. Small Cap Value Fund		455,202,365		42,375,934		(65,386,060)		(23,010,126)		15,176

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,

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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. 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 (e.g., 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. For example, GMO 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), and

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GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of August 31, 2020, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Emerging Domestic Opportunities Fund	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.
Emerging Markets Fund	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.
Resources Fund	Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.
Risk Premium Fund	Prior to May 18, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.12% of the Fund’s total net assets as of August 31, 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 March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU 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	Cyclical Focus 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	X
Credit Risk			X					X
Currency Risk	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk			X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X		X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Equities	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income			X					X
Merger Arbitrage Risk	X						X
Non-Diversified Funds	X	X	X	X		X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X	X	X

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

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and 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 special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to

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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.

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

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grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and 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 investment 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.

Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.

• 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, forward contracts, 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., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront

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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 the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.

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.

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 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, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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

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the Funds and clearing members 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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. 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 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 these 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 different kinds of costs and risks.

The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.

Options. Some 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). If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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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 do 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 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. A Fund that invests in Underlying Funds (including underlying GMO Funds) is exposed to the risk that the Underlying Funds will not perform as expected. A Fund also is 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), 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.

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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.

The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.

• 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 Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is 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 under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of 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.

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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 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.

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For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include 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, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics 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, as well as in early 2020) 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.

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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 have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in 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 subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.

Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and 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, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, 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

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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 be attributable to 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. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by, among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 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, for example, 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 investments, 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 principal 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

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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 fee.

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. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a material adverse effect on 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 imposition of currency controls) also could have a material adverse effect on the Funds.

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

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

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

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.

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

• Climate Change Fund

• Cyclical Focus 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 GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.

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

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

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

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

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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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.

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

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

4. Derivative financial instruments

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

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

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

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

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

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

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

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

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

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

For Funds that held derivatives during the period ended August 31, 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 period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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

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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

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when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020 and the Statements of Operations for the period ended August 31, 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 Forward Currency Contracts	$	—	$	—		$	491,821		$	—	$	—	$	491,821
Unrealized Appreciation on Futures Contracts¤		—		1,920,155			—			—		—		1,920,155
Total	$	—	$	1,920,155		$	491,821		$	—	$	—	$	2,411,976
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(1,021,220	)	$	—	$	—	$	(1,021,220	)
Swap Contracts, at value¤		—		(558,213	)		—			—		—		(558,213	)
Total	$	—	$	(558,213	)	$	(1,021,220	)	$	—	$	—	$	(1,579,433	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	(2,124	)	$	—	$	—	$	(2,124	)
Futures Contracts		—		(1,077,171	)		—			—		—		(1,077,171	)
Swap Contracts		—		4,059,966			—			—		—		4,059,966
Total	$	—	$	2,982,795		$	(2,124	)	$	—	$	—	$	2,980,671
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	(123,484	)	$	—	$	—	$	(123,484	)
Futures Contracts		—		693,029			—			—		—		693,029
Swap Contracts		—		(1,177,155	)		—			—		—		(1,177,155	)
Total	$	—	$	(484,126	)	$	(123,484	)	$	—	$	—	$	(607,610	)

117

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Markets Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	15,755,005		$	—	$	—	$	—	$	15,755,005
Swap Contracts, at value¤		—		693,922			—		—		—		693,922
Total	$	—	$	16,448,927		$	—	$	—	$	—	$	16,448,927
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(2,927,234	)	$	—	$	—	$	—	$	(2,927,234	)
Swap Contracts		—		9,479,649			—		—		—		9,479,649
Total	$	—	$	6,552,415		$	—	$	—	$	—	$	6,552,415
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	22,792,229		$	—	$	—	$	—	$	22,792,229
Swap Contracts		—		(132,196	)		—		—		—		(132,196	)
Total	$	—	$	22,660,033		$	—	$	—	$	—	$	22,660,033
International Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	424,735		$	—	$	—	$	—	$	424,735
Total	$	—	$	424,735		$	—	$	—	$	—	$	424,735
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(18,241,371	)	$	—	$	—	$	—	$	(18,241,371	)
Total	$	—	$	(18,241,371	)	$	—	$	—	$	—	$	(18,241,371	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	9,075,413		$	—	$	—	$	—	$	9,075,413
Total	$	—	$	9,075,413		$	—	$	—	$	—	$	9,075,413
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(139,160	)	$	—	$	—	$	—	$	(139,160	)
Total	$	—	$	(139,160	)	$	—	$	—	$	—	$	(139,160	)
Net Realized Gain (Loss) on
Written Options	$	—	$	2,790,470		$	—	$	—	$	—	$	2,790,470
Total	$	—	$	2,790,470		$	—	$	—	$	—	$	2,790,470
Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	2,147,602		$	—	$	—	$	—	$	2,147,602
Total	$	—	$	2,147,602		$	—	$	—	$	—	$	2,147,602
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	7,654		$	—	$	—	$	—	$	7,654
Total	$	—	$	7,654		$	—	$	—	$	—	$	7,654
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(7,786	)	$	—	$	—	$	—	$	(7,786	)
Total	$	—	$	(7,786	)	$	—	$	—	$	—	$	(7,786	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	5,814		$	—	$	—	$	—	$	5,814
Total	$	—	$	5,814		$	—	$	—	$	—	$	5,814

118

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	116,237		$	—	$	—	$	—	$	116,237
Total	$	—	$	116,237		$	—	$	—	$	—	$	116,237
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(1,124,069	)	$	—	$	—	$	—	$	(1,124,069	)
Total	$	—	$	(1,124,069	)	$	—	$	—	$	—	$	(1,124,069	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	187,653		$	—	$	—	$	—	$	187,653
Total	$	—	$	187,653		$	—	$	—	$	—	$	187,653
U.S. Small Cap Value Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	15,176		$	—	$	—	$	—	$	15,176
Total	$	—	$	15,176		$	—	$	—	$	—	$	15,176
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	(3,274,890	)	$	—	$	—	$	—	$	(3,274,890	)
Total	$	—	$	(3,274,890	)	$	—	$	—	$	—	$	(3,274,890	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	805,546		$	—	$	—	$	—	$	805,546
Total	$	—	$	805,546		$	—	$	—	$	—	$	805,546

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

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

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

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 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 August 31, 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
Morgan Stanley & Co. International PLC	$	491,821	$	—		$	491,821		$	—
Total	$	491,821	$	—		$	491,821		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	245,338	$	—		$	—		$	245,338
Goldman Sachs International		558,213		(301,868	)		—			256,345
Morgan Stanley & Co. International PLC		775,882		(159,930	)		(491,821	)		124,131
Total	$	1,579,433	$	(461,798	)	$	(491,821	)	$	625,814
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	$	693,922	$	(693,922	)	$	—		$	—	*
Total	$	693,922	$	(693,922	)	$	—		$	—
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	$	139,160	$	(139,160	)	$	—		$	—	*
Total	$	139,160	$	(139,160	)	$	—		$	—

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

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Contracts)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		82,622,129		39,924,826		—		7,608,156
Emerging Markets Fund		—		158,551,945		—		33,483,645
International Equity Fund		—		27,634,794		—		—
Risk Premium Fund		—		—		107		—
Tax-Managed International Equities Fund		—		195,563		—		—
U.S. Equity Fund		—		1,781,601		—		—
U.S. Small Cap Value Fund		—		3,859,656		—		—

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

Cyclical Focus 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)

0.33%

0.75%

0.65%(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)  Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%.

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

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%

Cyclical Focus 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 August 31, 2020.

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries 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), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

For the period ended August 31, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.

As of August 31, 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.

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

These contractual waivers and reimbursements will continue through at least June 30, 2021 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 provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. Effective January 27 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 for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders 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. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. 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 I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		1,970		184
Cyclical Focus Fund		1,129		118
Emerging Domestic Opportunities Fund		15,297		1,608
Emerging Markets Fund		49,946		5,149
International Equity Fund		47,986		4,995
Quality Fund		107,122		10,906
Resources Fund		8,342		861
Risk Premium Fund		300		19
Tax-Managed International Equities Fund		756		34
U.S. Equity Fund		7,377		752
U.S. Small Cap Value Fund		6,696		709

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2020, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 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 period ended August 31, 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		—		94,485,043		—		98,069,187
Cyclical Focus Fund		—		142,308,900		—		26,311,543
Emerging Domestic Opportunities Fund		—		1,048,062,281		10,000,166		1,140,342,217
Emerging Markets Fund		—		1,328,876,989		6,004,651		1,647,996,615
International Equity Fund		—		528,132,547		—		903,366,058
Quality Fund		20,392,560		1,229,696,472		62,350,281		1,352,030,532
Resources Fund		25,473,140		261,216,770		5,085,195		248,748,407
Risk Premium Fund		26,604,063		—		32,025,448		—
Tax-Managed International Equities Fund		—		18,046,653		—		17,668,912
U.S. Equity Fund		—		150,483,665		—		262,502,251
U.S. Small Cap Value Fund		—		231,442,751		—		212,078,475

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the period ended August 31, 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		27,544,982		—		—

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.

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

8. Principal shareholders and related parties as of August 31, 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		2	†		25.10%		9.59%		10.20%
Cyclical Focus Fund		2	#		91.90%		0.95%		99.05%
Emerging Domestic Opportunities Fund*		1			53.01%		1.21%		1.23%
Emerging Markets Fund*		2	#		23.71%		0.41%		68.24%
International Equity Fund		4	§		61.94%		0.01%		88.60%
Quality Fund		—			—		0.29%		9.11%
Resources Fund		2	†		86.01%		1.78%		39.40%
Risk Premium Fund		1	‡		89.11%		0.03%		97.18%
Tax-Managed International Equities Fund		1			77.14%		0.20%		—
U.S. Equity Fund		3	#		65.65%		—		93.01%
U.S. Small Cap Value Fund		4	§		81.45%		—		100.00%

* The Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2020.

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

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

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

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

9. Share transactions

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

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		227,746		$	4,584,458			1,335,895		$	29,627,307
Shares issued to shareholders in reinvestment of distributions		107,172			2,347,071			208,829			4,878,287
Shares repurchased		(529,437	)		(9,692,546	)		(1,258,218	)		(27,634,266	)
Net increase (decrease)		(194,519	)	$	(2,761,017	)		286,506		$	6,871,328
Class R6:*
Shares sold		309,450		$	6,701,827			50,513		$	1,239,895
Shares issued to shareholders in reinvestment of distributions		6,539			143,006			—			—
Shares repurchased		(56,696	)		(1,083,011	)		—			—
Net increase (decrease)		259,293		$	5,761,822			50,513		$	1,239,895

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Climate Change Fund (continued)
Class I:**
Shares sold		94,512		$	2,126,071			43,031		$	1,000,842
Shares issued to shareholders in reinvestment of distributions		2,402			52,552			—			—
Shares repurchased		(1,399	)		(30,613	)		—			—
Net increase (decrease)		95,515		$	2,148,010			43,031		$	1,000,842
Cyclical Focus Fund
Class VI:***
Shares sold		5,737,820		$	115,384,646
Net increase (decrease)		5,737,820		$	115,384,646
Emerging Domestic Opportunities Fund
Class II:
Shares sold		987,861		$	21,031,000			289,248		$	6,614,135
Shares issued to shareholders in reinvestment of distributions		—			—			664,068			15,015,951
Shares repurchased		(2,063,704	)		(41,499,147	)		(8,745,485	)		(191,639,350	)
Purchase premiums		—			—			—			4,323
Redemption fees		—			—			—			847,788
Net increase (decrease)		(1,075,843	)	$	(20,468,147	)		(7,792,169	)	$	(169,157,153	)
Class III:
Shares sold		262,561		$	5,182,564			77,711		$	1,718,594
Shares issued to shareholders in reinvestment of distributions		—			—			227,211			5,137,598
Shares repurchased		(4,650,635	)		(88,052,787	)		(3,609,060	)		(78,781,535	)
Purchase premiums		—			—			—			1,876
Redemption fees		—			—			—			350,461
Net increase (decrease)		(4,388,074	)	$	(82,870,223	)		(3,304,138	)	$	(71,573,006	)
Class IV:‡
Shares issued to shareholders in reinvestment of distributions								—		$	—
Shares repurchased								(5,133,511	)		(114,489,235	)
Purchase premiums								—			189
Redemption fees								—			9,656
Net increase (decrease)								(5,133,511	)	$	(114,479,390	)
Class V:
Shares sold		138,376		$	3,000,000			4,069,005		$	94,765,020
Shares issued to shareholders in reinvestment of distributions		—			—			1,207,239			27,262,953
Shares repurchased		(382,280	)		(7,436,652	)		(13,489,760	)		(301,571,976	)
Purchase premiums		—			—			—			6,412
Redemption fees		—			—			—			1,090,567
Net increase (decrease)		(243,904	)	$	(4,436,652	)		(8,213,516	)	$	(178,447,024	)

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Emerging Markets Fund
Class II:
Shares sold		867,699		$	26,029,770			2,591,221		$	84,009,094
Shares issued to shareholders in reinvestment of distributions		48,708			1,551,843			645,799			21,903,810
Shares repurchased		(3,380,195	)		(102,381,879	)		(4,313,640	)		(141,674,686	)
Purchase premiums		—			—			—			51,363
Redemption fees		—			—			—			223,821
Net increase (decrease)		(2,463,788	)	$	(74,800,266	)		(1,076,620	)	$	(35,486,598	)
Class III:
Shares sold		2,886,137		$	90,418,477			3,289,119		$	107,742,551
Shares issued to shareholders in reinvestment of distributions		30,895			987,393			138,763			4,718,700
Shares repurchased		(402,581	)		(12,470,950	)		(1,201,886	)		(38,674,913	)
Purchase premiums		—			—			—			29,976
Redemption fees		—			—			—			127,453
Net increase (decrease)		2,514,451		$	78,934,920			2,225,996		$	73,943,767
Class V:‡‡
Shares sold		—		$	—			6,704,011		$	210,170,738
Shares issued to shareholders in reinvestment of distributions		22,817			721,479			—			—
Shares repurchased		(2,472,464	)		(75,000,000	)		—			—
Purchase premiums		—			—			—			—
Redemption fees		—			—			—			—
Net increase (decrease)		(2,449,647	)	$	(74,278,521	)		6,704,011		$	210,170,738
Class VI:
Shares sold		6,929,742		$	198,143,407			7,402,013		$	246,827,168
Shares issued to shareholders in reinvestment of distributions		348,501			11,019,598			3,573,268			120,190,006
Shares repurchased		(17,177,480	)		(501,448,922	)		(23,395,592	)		(757,169,808	)
Purchase premiums		—			—			—			277,115
Redemption fees		—			—			—			1,196,746
Net increase (decrease)		(9,899,237	)	$	(292,285,917	)		(12,420,311	)	$	(388,678,773	)
Class R6:****
Shares sold		748,513		$	19,846,104
Shares issued to shareholders in reinvestment of distributions		3,669			116,849
Shares repurchased		(28,400	)		(842,389	)
Net increase (decrease)		723,782		$	19,120,564
Class I:*****
Shares sold		86,653		$	2,538,651			525,691		$	17,411,530
Shares issued to shareholders in reinvestment of distributions		2,432			77,455			—			—
Shares repurchased		(75,104	)		(2,197,358	)		(211	)		(6,910	)
Net increase (decrease)		13,981		$	418,748			525,480		$	17,404,620

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares issued to shareholders in reinvestment of distributions		124		$	2,441			13,808		$	300,245
Shares repurchased		(308,564	)		(5,424,568	)		(375,731	)		(7,877,185	)
Net increase (decrease)		(308,440	)	$	(5,422,127	)		(361,923	)	$	(7,576,940	)
Class III:
Shares sold		3,126,365		$	53,502,545			2,042,255		$	42,764,756
Shares issued to shareholders in reinvestment of distributions		55,809			1,108,376			876,701			19,307,608
Shares repurchased		(4,316,100	)		(81,449,145	)		(5,358,133	)		(115,630,443	)
Net increase (decrease)		(1,133,926	)	$	(26,838,224	)		(2,439,177	)	$	(53,558,079	)
Class IV:
Shares sold		9,272,950		$	156,823,684			11,741,908		$	249,651,330
Shares issued to shareholders in reinvestment of distributions		327,623			6,496,771			4,679,297			102,794,963
Shares repurchased		(33,168,770	)		(621,820,143	)		(43,099,517	)		(902,931,022	)
Net increase (decrease)		(23,568,197	)	$	(458,499,688	)		(26,678,312	)	$	(550,484,729	)
Quality Fund
Class III:
Shares sold		13,918,432	(a)	$	315,016,010	(a)		24,208,061	(b)	$	587,758,048	(b)
Shares issued to shareholders in reinvestment of distributions		4,528,212			106,277,147			9,288,097			227,503,802
Shares repurchased		(20,219,158	)		(464,500,090	)		(30,748,307	)		(748,409,967	)
Net increase (decrease)		(1,772,514	)	$	(43,206,933	)		2,747,851		$	66,851,883
Class IV:
Shares sold		—		$	—			5,393,298		$	137,744,836
Shares issued to shareholders in reinvestment of distributions		1,279,688			30,098,264			3,200,998			78,540,885
Shares repurchased		(3,020,215	)		(65,500,000	)		(22,245,865	)(c)		(531,451,811	)(c)
Net increase (decrease)		(1,740,527	)	$	(35,401,736	)		(13,651,569	)	$	(315,166,090	)
Class VI:
Shares sold		7,495,610		$	161,464,685			5,679,207		$	137,503,394
Shares issued to shareholders in reinvestment of distributions		3,406,691			79,955,027			7,389,652			180,990,035
Shares repurchased		(8,340,402	)		(189,794,685	)		(21,809,752	)		(528,211,553	)
Net increase (decrease)		2,561,899		$	51,625,027			(8,740,893	)	$	(209,718,124	)
Class R6:******
Shares sold		589,764		$	14,611,245			3,486,855		$	87,903,607
Shares issued to shareholders in reinvestment of distributions		1,558			36,554			—			—
Shares repurchased		(2,087	)		(51,747	)		(87,109	)		(2,238,685	)
Net increase (decrease)		589,235		$	14,596,052			3,399,746		$	85,664,922
Class I:*******
Shares sold		2,874,979		$	64,800,948			3,566,561		$	88,681,940
Shares issued to shareholders in reinvestment of distributions		214,780			5,034,448			71,643			1,757,400
Shares repurchased		(814,028	)		(19,534,694	)		(116,810	)		(2,898,788	)
Net increase (decrease)		2,275,731		$	50,300,702			3,521,394		$	87,540,552

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Resources Fund
Class III:
Shares sold		3,263,751		$	52,444,564			2,761,934		$	55,016,482
Shares issued to shareholders in reinvestment of distributions		3,386			59,620			306,986			6,449,418
Shares repurchased		(252,060	)		(4,750,852	)		(302,137	)		(6,067,221	)
Purchase premiums		—			—			—			87,946
Redemption fees		—			—			—			2,400
Net increase (decrease)		3,015,077		$	47,753,332			2,766,783		$	55,489,025
Class IV:
Shares sold		413,836		$	5,556,803			382,045		$	7,856,670
Shares issued to shareholders in reinvestment of distributions		5,013			88,029			509,639			10,674,039
Shares repurchased		(1,864,964	)		(32,387,534	)		(285,769	)		(5,818,904	)
Purchase premiums		—			—			—			147,126
Redemption fees		—			—			—			4,202
Net increase (decrease)		(1,446,115	)	$	(26,742,702	)		605,915		$	12,863,133
Risk Premium Fund
Class III:
Shares sold		—		$	—			91,671		$	2,377,913
Shares issued to shareholders in reinvestment of distributions		1,419			28,853			1,831			50,962
Shares repurchased		(89,281	)		(1,953,516	)		(405,479	)		(11,210,275	)
Net increase (decrease)		(87,862	)	$	(1,924,663	)		(311,977	)	$	(8,781,400	)
Class VI:
Shares sold		—		$	—			608,265		$	15,636,365
Shares issued to shareholders in reinvestment of distributions		32,501			655,254			590,599			16,150,902
Shares repurchased		(709,203	)		(14,618,788	)		(16,562,272	)		(453,097,394	)
Net increase (decrease)		(676,702	)	$	(13,963,534	)		(15,363,408	)	$	(421,310,127	)
Tax-Managed International Equities Fund
Class III:
Shares sold		1,805,117		$	20,617,209			722		$	10,001
Shares issued to shareholders in reinvestment of distributions		1,073			14,532			61,454			905,073
Shares repurchased		(1,710,044	)		(21,242,470	)		(918,834	)		(13,006,197	)
Net increase (decrease)		96,146		$	(610,729	)		(856,658	)	$	(12,091,123	)
U.S. Equity Fund
Class III:
Shares sold		247,486		$	2,597,333			280,647		$	3,693,248
Shares issued to shareholders in reinvestment of distributions		509,740			5,928,276			959,250			12,501,419
Shares repurchased		(424,718	)		(5,165,926	)		(4,232,533	)		(55,999,328	)
Net increase (decrease)		332,508		$	3,359,683			(2,992,636	)	$	(39,804,661	)

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
U.S. Equity Fund (continued)
Class VI:
Shares sold		1,442,942		$	15,932,280			765,484		$	9,757,003
Shares issued to shareholders in reinvestment of distributions		1,657,599			19,095,545			4,277,949			55,400,367
Shares repurchased		(11,115,612	)		(128,704,871	)		(32,517,831	)		(433,954,549	)
Net increase (decrease)		(8,015,071	)	$	(93,677,046	)		(27,474,398	)	$	(368,797,179	)
U.S. Small Cap Value Fund
Class VI:********
Shares sold		4,655,166		$	65,707,944			26,882,418	(d)	$	541,929,344	(d)
Shares issued to shareholders in reinvestment of distributions		54,672			864,907			177,333			3,801,218
Shares repurchased		(3,326,921	)		(52,408,798	)		(4,053,702	)		(81,541,924	)
Net increase (decrease)		1,382,917		$	14,164,053			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 “Six Months Ended August 31, 2020 (Unaudited)” represents the period from May 12, 2020 (commencement of operations) through August 31, 2020.

**** The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from March 31, 2020 (commencement of operations) through August 31, 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 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.

^(a)  1,161,256 shares and $27,544,982 were purchased in-kind.

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

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

^(d)  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.

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 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	$	8,545,006	$	45,059,148	$	47,835,694	$	3,608	**	$	25,397		$	(14,867	)	$	5,778,990
Cyclical Focus Fund
GMO U.S. Treasury Fund	$	—	$	1,300,000	$	650,000	$	302		$	—		$	—		$	650,000
Emerging Domestic Opportunities Fund
CMI Ltd	$	325,809	$	—	$	326,513	$	—		$	(3,310,713	)	$	3,311,417		$	—	#
Gayatri Projects Ltd		3,380,455		—		931,996		—			(1,060,816	)		(86,206	)		—	#
GMO U.S. Treasury Fund		18,615,329		118,530,271		117,050,000		24,662			85,327			(17,089	)		20,163,838
Totals	$	22,321,593	$	118,530,271	$	118,308,509	$	24,662		$	(4,286,202	)	$	3,208,122		$	20,163,838
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	485,306	$	—	$	—	$	—		$	—		$	127,359		$	612,665
Gayatri Highways Ltd		49,629		—		53,333		—			(1,353,564	)		1,357,268			—	#
Gayatri Projects Ltd		5,130,069		—		—		—			—			(1,523,467	)		3,606,602
Totals	$	5,665,004	$	—	$	53,333	$	—		$	(1,353,564	)	$	(38,840	)	$	4,219,267
Quality Fund
GMO U.S. Treasury Fund	$	15,768,140	$	—	$	—	$	24,505		$	—		$	62,821		$	15,830,961
Resources Fund
GMO U.S. Treasury Fund	$	1,832,863	$	12,190,500	$	14,026,825	$	—		$	10,764		$	(7,302	)	$	—
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	368,696	$	625,000	$	420,000	$	628		$	1,310		$	159		$	575,165
U.S. Equity Fund
GMO U.S. Treasury Fund	$	1,469,983	$	30,000,000	$	29,180,000	$	5,309		$	13,242		$	(2,929	)	$	2,300,296
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	6,280,467	$	22,500,000	$	28,033,000	$	3,661		$	28,629		$	(15,999	)	$	760,097

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

** 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 $10,247 in Climate Change Fund during the period.

# Security is no longer an affiliate at period end.

131

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

11. Subsequent events

On September 14, 2020, Form N-14 filed with the SEC by Climate Change Series Fund, Emerging Domestic Opportunities Series Fund, Emerging Markets Series Fund, Quality Series Fund and Resources Series Fund became effective. The combined proxy statement/prospectus outlines the proposal for a reorganization of the series of GMO Series Trust listed above to be reorganized with and into the corresponding series of GMO Trust.

In October 2020, GMO received notification from a shareholder of their intent to redeem their investment at the end of October 2020. This redemption would impact GMO Risk Premium Fund by approximately 25%.

132

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Board Review of Investment Management Agreement

August 31, 2020 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its

133

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Cyclical Focus Fund

Approval of initial management agreement for GMO Cyclical Focus Fund (the “Fund”). At a meeting on April 14, 2020, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on April 14, 2020, the Trustees discussed materials provided by GMO for purposes of considering GMO’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and GMO. During this meeting, the Trustees met with a member of the investment division of GMO that was expected to be primarily responsible for the investment management of the Fund.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees therefore considered the performance of the other GMO funds advised by the investment division that would advise the Fund.

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

The Trustees also considered the fees to be paid to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information provided by GMO comparing the management fee to be paid by the Fund to the management fee of a GMO fund pursuing similar investment strategies that is advised by the investment division that would advise the Fund, and funds managed by other managers determined by GMO to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by GMO to different share classes of the Fund in light of the services to be provided to each class by GMO.

The Trustees also considered that the non-investment management services to be provided by GMO to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services, were the same as the services provided by GMO under its current management agreements with other GMO funds. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

Since the Fund had not yet commenced operations, no information regarding GMO’s profitability with respect to the Fund was available to the Trustees. The Trustees did, however, consider information provided to them by GMO regarding its profits from managing the Trust overall. The Trustees also considered how the proposed fees compared to fees paid by other GMO funds and took note of “fallout benefits” realized by Manager that would result from its management of the Fund and the other GMO funds. The Trustees also considered possible alternative fee arrangements. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to GMO associated with managing the Fund.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel, and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO would employ in managing the Fund, GMO’s organization,

134

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

its reputation, its risk management policies, and other matters relating to GMO and the nature and quality of its services to be provided to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management agreement, that the nature, extent and quality of services to be provided supported their approval of the Fund’s management agreement and that the fee to be charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund.

135

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

GMO Emerging Markets Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”) , and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund

136

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. In considering the Fund’s management fees, the Trustees took into account GMO’s contractual agreement to reduce its management fee from 0.75% to 0.65% of the Fund’s average daily net asset value. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

137

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.    

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

138

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.    

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

139

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.    

140

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Risk Premium Fund

Approval of renewal of management agreement for GMO Risk Premium Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

141

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.    

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s management fees, the Trustees took into account GMO’s contractual agreement to reduce its management fee from 0.45% to 0.25% of the Fund’s average daily net asset value. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

142

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

143

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Small Cap Value Fund

Approval of renewal of management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.    

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

144

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

145

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2020 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.

146

GMO Trust Funds

Fund Expenses

August 31, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 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, March 1, 2020 through August 31, 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 March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$1,148.10		$4.17		$1,000.00		$1,021.32		$3.92		0.77%
Class R6		$1,000.00		$1,146.90		$4.17		$1,000.00		$1,021.30		$3.92		0.77%
Class I		$1,000.00		$1,147.20		$4.71		$1,000.00		$1,020.80		$4.43		0.87%
Cyclical Focus Fund(a)
Class VI		$1,000.00		$1,190.00		$1.30		$1,000.00		$1,023.24		$1.99		0.39%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,132.50		$5.59		$1,000.00		$1,019.96		$5.30		1.04%
Class III		$1,000.00		$1,133.00		$5.22		$1,000.00		$1,020.32		$4.94		0.97%
Class V		$1,000.00		$1,133.50		$4.89		$1,000.00		$1,020.62		$4.63		0.91%
Emerging Markets Fund
Class II		$1,000.00		$1,051.40		$4.81		$1,000.00		$1,020.52		$4.74		0.93%
Class III		$1,000.00		$1,051.90		$4.55		$1,000.00		$1,020.77		$4.48		0.88%
Class V		$1,000.00		$1,052.20		$4.03		$1,000.00		$1,021.27		$3.97		0.78%
Class VI		$1,000.00		$1,052.30		$3.88		$1,000.00		$1,021.43		$3.82		0.75%
Class R6(b)		$1,000.00		$1,241.00		$4.37		$1,000.00		$1,020.50		$4.74		0.93%
Class I		$1,000.00		$1,050.80		$5.06		$1,000.00		$1,020.30		$4.99		0.98%
International Equity Fund
Class II		$1,000.00		$1,042.10		$3.76		$1,000.00		$1,021.53		$3.72		0.73%
Class III		$1,000.00		$1,042.00		$3.40		$1,000.00		$1,021.88		$3.36		0.66%
Class IV		$1,000.00		$1,042.90		$3.09		$1,000.00		$1,022.18		$3.06		0.60%

147

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2020 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020		Expenses Paid During the Period*		Annualized Expense Ratio
Quality Fund
Class III		$1,000.00		$1,171.10		$2.63		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,171.30		$2.41		$1,000.00		$1,022.99		$2.24		0.44%
Class VI		$1,000.00		$1,172.00		$2.14		$1,000.00		$1,023.24		$1.99		0.39%
Class R6		$1,000.00		$1,171.20		$2.63		$1,000.00		$1,022.79		$2.45		0.48%
Class I		$1,000.00		$1,170.80		$3.17		$1,000.00		$1,022.28		$2.96		0.58%
Resources Fund
Class III		$1,000.00		$1,091.90		$3.85		$1,000.00		$1,021.53		$3.72		0.73%
Class IV		$1,000.00		$1,092.30		$3.59		$1,000.00		$1,021.78		$3.47		0.68%
Risk Premium Fund
Class III		$1,000.00		$1,020.30		$2.04		$1,000.00		$1,023.19		$2.04		0.40%
Class VI		$1,000.00		$1,021.10		$1.58		$1,000.00		$1,023.64		$1.58		0.31%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,040.20		$4.06		$1,000.00		$1,021.22		$4.02		0.79%
U.S. Equity Fund
Class III		$1,000.00		$1,143.90		$2.54		$1,000.00		$1,022.84		$2.40		0.47%
Class VI		$1,000.00		$1,144.70		$2.00		$1,000.00		$1,023.34		$1.89		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$994.40		$2.06		$1,000.00		$1,023.14		$2.09		0.41%

^(a)  For the period May 12, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 111 days in the period, divided by 365 days in the year.

^(b)  For the period March 31, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 153 days in the period, divided by 365 days in the year.

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

148

GMO Trust

Semiannual Report

August 31, 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 below 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

Alternative Allocation Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	9
Schedule of Investments	10
Benchmark-Free Fund
Investment Concentration Summary	11
Schedule of Investments	12
Global Asset Allocation Fund
Investment Concentration Summary	36
Schedule of Investments	37
Global Developed Equity Allocation Fund
Investment Concentration Summary	38
Schedule of Investments	39
Global Equity Allocation Fund
Investment Concentration Summary	40
Schedule of Investments	41
Implementation Fund
Investment Concentration Summary	42
Schedule of Investments	43
International Developed Equity Allocation Fund
Investment Concentration Summary	73
Schedule of Investments	74
International Equity Allocation Fund
Investment Concentration Summary	75
Schedule of Investments	76
SGM Major Markets Fund
Investment Concentration Summary	77
Schedule of Investments	78
Special Opportunities Fund
Investment Concentration Summary	80
Schedule of Investments	81
Strategic Opportunities Allocation Fund
Investment Concentration Summary	82
Schedule of Investments	83
Portfolio, Counterparty and Currency Abbreviations	95
Fund Financial Statements:
Statements of Assets and Liabilities	96
Statements of Operations	102
Statements of Changes in Net Assets	105
Statement of Cash Flows	111
Financial Highlights	112
Notes to Financial Statements	125
Board Review of Investment Management Agreements	191
Liquidity Risk Management Program	206
Fund Expenses	207

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		45.3	%
Common Stocks		39.8
Short-Term Investments		30.2
Investment Funds		2.7
Swap Contracts		0.7
Preferred Stocks		0.6
Forward Currency Contracts		0.1
Rights/Warrants		0.1
Written Options		(0.1	)
Futures Contracts		(0.9	)
Securities Sold Short		(21.8	)
Other		3.3
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Canada		23.7	%
Other Developed		(0.5	)‡
United States		(6.1	)
Euro Region		(39.2	)#
		(22.1	)%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		9.0	%
Other Developed		3.2	‡
China		2.3
Other Emerging		2.0	†
Russia		1.4
United Kingdom		1.1
Taiwan		1.1
Italy		1.1
		21.2	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

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

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

are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

# “Euro Region” is comprised of derivative financial instruments attribute the Eurozone and not a particular country.

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

1

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 27.8%
		France — 2.0%
	12,009	Faurecia SE *		525,802
	38,754	Ingenico Group SA * (a)		6,617,004
		Total France		7,142,806
		Italy — 0.9%
	297,400	Fiat Chrysler Automobiles NV *		3,296,206
		United Kingdom — 2.7%
	354,000	Royal Dutch Shell Plc – Class B Sponsored ADR		9,947,400
		United States — 22.2%
	60,000	Acacia Communications, Inc. * (a)		4,048,800
	78,452	Advanced Disposal Services, Inc. *		2,363,759
	39,000	Bristol-Myers Squibb Co.		2,425,800
	384,681	Discovery, Inc. – Class C * (a) (b)		7,682,079
	702	First Horizon National Corp.		6,704
	62,136	FirstEnergy Corp. (c)		1,776,468
	76,600	GCI Liberty, Inc. – Class A * (a) (b)		6,187,748
	886,099	Genworth Financial, Inc. – Class A * (b)		2,676,019
	21,600	Grubhub, Inc. *		1,562,760
	12,152	HEICO Corp. – Class A		1,086,146
	59,400	Liberty Broadband Corp. – Class C * (a)		8,321,346
	11,776	Liberty Global Plc – Class A * (a)		275,205
	221,400	Liberty Media Corp.-Liberty SiriusXM – Class C * (a)		7,969,293
	18,100	Livongo Health, Inc. * (a)		2,485,130
	70,100	Maxim Integrated Products, Inc. (a)		4,797,644
	48,800	Taubman Centers, Inc. (REIT) (b)		1,869,040
	120,800	TD Ameritrade Holding Corp. (a) (b)		4,636,304
	12,200	Tiffany & Co. (a)		1,494,500
	23,579	Varian Medical Systems, Inc. *		4,094,965
	57,800	Willis Towers Watson Plc (a)		11,879,634
	98,500	Wright Medical Group NV * (b)		2,977,655
		Total United States		80,616,999
		TOTAL COMMON STOCKS (COST $96,538,988)		101,003,411
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	100,200	Bristol-Myers Squibb Co. *		268,536
		TOTAL RIGHTS/WARRANTS (COST $244,730)		268,536

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 45.2%
		United States — 45.2%
		U.S. Government — 45.2%
	2,200,000	U.S. Treasury Note, 1.75%, due 10/31/20		2,205,843
	11,500,000	U.S. Treasury Note, 1.38%, due 01/31/21 (a)		11,557,051
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.14%, 0.24%, due 04/30/21 (a)		30,022,108
	58,000,000	U.S. Treasury Note, 1.75%, due 11/30/21		59,160,000
	60,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		61,139,063
		TOTAL DEBT OBLIGATIONS (COST $163,936,534)		164,084,065
		MUTUAL FUNDS — 14.0%
		United States — 14.0%
		Affiliated Issuers — 14.0%
	669,099	GMO Emerging Markets Fund, Class VI		21,371,028
	686,727	GMO International Equity Fund, Class IV		14,318,244
	621,846	GMO Resources Fund, Class IV		12,262,808
	595,238	GMO U.S. Treasury Fund		3,000,000
		TOTAL MUTUAL FUNDS (COST $48,891,548)		50,952,080
		INVESTMENT FUNDS — 2.5%
		United States — 2.5%
	415,059	Altaba, Inc. (d)		9,255,816
		TOTAL INVESTMENT FUNDS (COST $8,474,387)		9,255,816
		SHORT-TERM INVESTMENTS — 29.2%
		Foreign Government Obligations — 28.7%
CAD	23,000,000	Canadian Treasury Bill, Zero Coupon, due 09/17/20		17,632,069
CAD	25,000,000	Canadian Treasury Bill, Zero Coupon, due 10/01/20		19,164,335
CAD	40,000,000	Canadian Treasury Bill, Zero Coupon, due 10/29/20 (a)		30,659,562
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/28/20 (a)		17,940,042
JPY	1,250,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/05/20 (a)		11,802,856
JPY	770,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/26/20 (a)		7,271,063
		Total Foreign Government Obligations		104,469,927
		Money Market Funds — 0.5%
	1,591,834	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (e)		1,591,834

2 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)

August 31, 2020 (Unaudited)

Shares			Description	Value ($)
			Money Market Funds — continued
	150,856		State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% (f)		150,856
			Total Money Market Funds		1,742,690
			TOTAL SHORT-TERM INVESTMENTS (COST $103,897,981)		106,212,617
			TOTAL INVESTMENTS — 118.8% (Cost $421,984,168)		431,776,525
			SECURITIES SOLD SHORT — (21.8)%
			Common Stocks — (21.8)%
			France — (2.4)%
	(170,708	)	Peugeot SA *		(2,943,108	)
	(60,912	)	Worldline SA *		(5,606,595	)
			Total France		(8,549,703	)
			Netherlands — (0.4)%
	(14,494	)	Just Eat Takeaway.com NV *		(1,612,861	)
			United Kingdom — (2.8)%
	(340,784	)	Royal Dutch Shell Plc Sponsored ADR – Class A		(10,114,469	)

Shares			Description	Value ($)
			United States — (16.2)%
	(44,165	)	Analog Devices, Inc.		(5,162,005	)
	(62,554	)	Aon Plc – Class A		(12,510,174	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,425,862	)
	(130,911	)	Charles Schwab Corp. (The)		(4,651,268	)
	(14,638	)	Charter Communications, Inc. – Class A *		(9,011,299	)
	(349,112	)	Discovery, Inc. – Class A *		(7,703,156	)
	(1	)	Fidelity National Financial, Inc.		(33	)
	(9,756	)	HEICO Corp.		(1,072,380	)
	(44,404	)	Liberty Broadband Corp. – Class C *		(6,220,556	)
	(12,062	)	Liberty Global Plc – Class C *		(277,547	)
	(1,287,182	)	Sirius XM Holdings, Inc.		(7,555,759	)
	(10,783	)	Teladoc Health, Inc. *		(2,325,786	)
			Total United States		(58,915,825	)
			TOTAL COMMON STOCKS (PROCEEDS $73,938,480)		(79,192,858	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $73,938,480)		(79,192,858	)
			Other Assets and Liabilities (net) — 3.0%		10,844,644
			TOTAL NET ASSETS — 100.0%		$363,428,311

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
09/14/2020	BCLY	AUD	942,672		USD	678,468		(16,831	)
09/14/2020	GS	AUD	2,145,607		USD	1,528,204		(54,359	)
09/14/2020	JPM	AUD	9,404,565		USD	6,537,833		(398,816	)
10/06/2020	CITI	AUD	1,100,000		USD	789,328		(22,072	)
10/06/2020	JPM	AUD	17,170,000		USD	12,409,365		(255,855	)
10/06/2020	MSCI	AUD	25,179,000		USD	17,936,059		(636,893	)
09/03/2020	JPM	CAD	3,493,835		USD	2,580,000		(98,620	)
09/03/2020	MSCI	CAD	6,325,235		USD	4,650,000		(199,371	)
09/17/2020	BOA	CAD	23,000,000		USD	16,939,491		(694,695	)
10/01/2020	DB	CAD	25,000,000		USD	18,647,935		(520,463	)
10/29/2020	DB	CAD	40,000,000		USD	29,964,814		(706,269	)
09/14/2020	GS	CHF	1,104,923		USD	1,183,711		(39,049	)
10/14/2020	MSCI	CHF	27,431,444		USD	30,076,029		(308,008	)
09/01/2020	DB	CLP	160,914,600		USD	206,322		(645	)
09/01/2020	JPM	CLP	4,356,761,400		USD	5,429,466		(174,157	)
09/01/2020	MSCI	CLP	2,404,872,000		USD	3,042,313		(50,810	)
11/02/2020	JPM	CLP	393,115,400		USD	502,320		(3,464	)
11/03/2020	JPM	COP	15,226,446,400		USD	4,050,781		(3,119	)
09/03/2020	MSCI	EUR	3,140,000		USD	3,555,554		(191,642	)
09/16/2020	MSCI	EUR	1,841,959		USD	2,126,833		(71,941	)
09/16/2020	UBS	EUR	2,027,587		USD	2,333,394		(86,966	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/19/2020	BCLY	EUR	792,853		USD	941,124		(6,004	)
10/19/2020	JPM	EUR	595,036		USD	706,304		(4,516	)
10/19/2020	MSCI	EUR	1,107,519		USD	1,269,736		(53,286	)
10/19/2020	SSB	EUR	40,157		USD	46,808		(1,163	)
09/15/2020	MSCI	GBP	1,296,140		USD	1,642,567		(90,198	)
10/14/2020	JPM	GBP	8,889,000		USD	11,642,212		(243,377	)
10/19/2020	SSB	GBP	21,235		USD	27,164		(1,230	)
10/14/2020	BOA	HUF	219,427,390		USD	740,000		3,707
10/14/2020	MSCI	HUF	930,486,032		USD	2,968,247		(154,020	)
10/26/2020	BCLY	INR	110,539,800		USD	1,466,862		(32,404	)
09/09/2020	JPM	JPY	547,656,653		USD	5,120,000		(51,075	)
09/09/2020	MSCI	JPY	363,593,232		USD	3,450,000		16,886
09/10/2020	BCLY	JPY	73,133,553		USD	681,989		(8,562	)
09/10/2020	SSB	JPY	55,154,452		USD	519,684		(1,102	)
09/28/2020	MSCI	JPY	1,900,000,000		USD	17,702,806		(242,467	)
10/05/2020	DB	JPY	1,250,000,000		USD	11,710,118		(97,101	)
10/19/2020	DB	JPY	424,804,820		USD	3,976,747		(36,511	)
10/26/2020	DB	JPY	770,000,000		USD	7,255,663		(19,343	)
09/29/2020	BCLY	KRW	2,092,514,800		USD	1,750,000		(11,950	)
09/29/2020	CITI	KRW	778,017,500		USD	650,000		(5,110	)
09/29/2020	JPM	KRW	1,002,187,200		USD	840,000		(3,866	)

See accompanying notes to the financial statements. 3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
09/29/2020	MSCI	KRW	2,582,233,510		USD	2,170,000		(4,305	)
09/04/2020	JPM	NOK	69,578,532		USD	7,728,140		(236,853	)
10/20/2020	JPM	NOK	24,578,589		USD	2,790,000		(24,392	)
09/14/2020	BCLY	NZD	4,896,558		USD	3,211,431		(86,820	)
10/05/2020	JPM	NZD	6,710,000		USD	4,430,911		(88,722	)
11/03/2020	MSCI	PEN	3,413,895		USD	971,540		8,369
09/01/2020	BCLY	PHP	23,012,420		USD	460,000		(14,630	)
09/01/2020	CITI	PHP	14,099,400		USD	280,000		(10,799	)
09/01/2020	JPM	PHP	25,429,500		USD	500,000		(24,482	)
09/01/2020	MSCI	PHP	62,541,320		USD	1,289,591		(319	)
10/01/2020	MSCI	PHP	42,972,725		USD	883,249		(2,056	)
09/15/2020	JPM	PLN	13,226,048		USD	3,362,369		(229,113	)
10/15/2020	BCLY	RUB	300,861,160		USD	4,161,237		127,868
10/05/2020	BCLY	SEK	8,281,467		USD	950,000		(7,790	)
10/19/2020	BCLY	SGD	859,369		USD	630,000		(1,653	)
10/19/2020	MSCI	SGD	875,302		USD	640,000		(3,364	)
10/15/2020	BCLY	THB	82,833,235		USD	2,620,000		(41,103	)
10/15/2020	BOA	THB	18,284,442		USD	580,000		(7,407	)
09/17/2020	JPM	TRY	9,518,403		USD	1,270,815		(20,084	)
10/06/2020	BCLY	TWD	34,979,100		USD	1,200,000		6,756
10/06/2020	JPM	TWD	19,554,620		USD	670,000		2,932
09/14/2020	MSCI	USD	760,750		AUD	1,063,865		23,939
09/14/2020	SSB	USD	1,095,088		AUD	1,526,823		31,071
09/14/2020	UBS	USD	1,641,345		AUD	2,352,517		93,832
11/04/2020	MSCI	USD	2,711,832		BRL	13,936,377		(172,845	)
09/03/2020	BCLY	USD	700,000		CAD	937,343		18,633
09/03/2020	GS	USD	2,070,000		CAD	2,766,262		50,811
09/03/2020	JPM	USD	24,490,000		CAD	32,735,011		606,966
09/03/2020	MSCI	USD	9,920,598		CAD	13,548,957		466,986
10/05/2020	GS	USD	532,918		CAD	710,107		11,551
10/05/2020	SSB	USD	4,541,591		CAD	6,080,348		120,466
09/14/2020	MSCI	USD	2,787,994		CHF	2,620,890		112,405
10/14/2020	JPM	USD	2,090,000		CHF	1,896,039		10,120
09/01/2020	DB	USD	210,000		CLP	160,914,600		(3,033	)
09/01/2020	JPM	USD	5,568,877		CLP	4,356,761,400		34,747
09/01/2020	MSCI	USD	350,000		CLP	282,695,000		13,600
09/01/2020	MSCI	USD	2,751,172		CLP	2,122,177,000		(21,650	)
10/19/2020	BOA	USD	1,190,000		CZK	26,218,261		1,419
09/03/2020	DB	USD	3,524,710		EUR	3,140,000		222,486
09/16/2020	BCLY	USD	971,042		EUR	856,362		51,210
09/16/2020	GS	USD	1,467,325		EUR	1,250,592		25,526
09/16/2020	JPM	USD	1,328,685		EUR	1,178,406		77,996
09/16/2020	SSB	USD	2,156,013		EUR	1,813,026		8,223
09/16/2020	UBS	USD	31,746,136		EUR	28,155,217		1,863,166
10/19/2020	BOA	USD	213,245		EUR	183,000		5,364
10/19/2020	DB	USD	699,134		EUR	609,853		29,385
10/19/2020	MSCI	USD	46,039		EUR	40,157		1,932
10/19/2020	SSB	USD	257,968		EUR	218,890		3,515
10/27/2020	BOA	USD	1,881,487		EUR	1,610,000		42,110
10/27/2020	JPM	USD	11,143,799		EUR	9,450,000		146,882
10/27/2020	MSCI	USD	4,574,359		EUR	3,830,000		1,653
09/15/2020	GS	USD	1,036,790		GBP	795,045		26,078
09/15/2020	SSB	USD	4,898,102		GBP	3,882,514		292,296
10/14/2020	JPM	USD	6,792,914		GBP	5,150,000		93,212
10/19/2020	BCLY	USD	26,832		GBP	21,235		1,562
10/14/2020	BCLY	USD	360,000		HUF	104,832,360		(8,233	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/14/2020	CITI	USD	1,060,000		HUF	310,954,802		(16,584	)
10/14/2020	MSCI	USD	370,000		HUF	108,117,552		(7,209	)
09/21/2020	JPM	USD	1,612,878		IDR	23,898,007,000		23,785
09/21/2020	MSCI	USD	630,000		IDR	9,325,386,000		8,652
10/30/2020	JPM	USD	2,824,037		ILS	9,514,039		14,526
10/26/2020	BCLY	USD	790,000		INR	59,511,490		17,163
10/26/2020	JPM	USD	1,030,000		INR	77,391,110		19,666
09/09/2020	CITI	USD	4,770,000		JPY	515,722,609		99,548
09/09/2020	GS	USD	2,700,000		JPY	286,663,320		6,728
09/09/2020	JPM	USD	21,999,485		JPY	2,409,066,779		747,367
09/10/2020	GS	USD	958,788		JPY	102,350,993		7,643
09/10/2020	MSCI	USD	226,132		JPY	23,858,523		(852	)
09/10/2020	SSB	USD	11,288,689		JPY	1,212,734,237		162,343
10/19/2020	DB	USD	1,280,382		JPY	135,200,000		(3,107	)
10/19/2020	SSB	USD	2,742,517		JPY	289,604,820		(6,534	)
09/29/2020	MSCI	USD	1,869,552		KRW	2,246,790,000		22,301
10/21/2020	JPM	USD	690,022		MXN	15,353,620		7,462
09/04/2020	DB	USD	230,000		NOK	2,085,332		8,718
09/04/2020	JPM	USD	7,086,030		NOK	67,493,200		640,244
10/05/2020	BCLY	USD	386,461		NZD	580,000		4,208
10/05/2020	JPM	USD	10,387,944		NZD	15,800,000		254,413
09/01/2020	BCLY	USD	474,512		PHP	23,012,420		117
09/01/2020	CITI	USD	290,727		PHP	14,099,400		72
09/01/2020	JPM	USD	524,352		PHP	25,429,500		130
09/01/2020	MSCI	USD	383,435		PHP	19,568,595		20,166
09/01/2020	MSCI	USD	884,704		PHP	42,972,725		1,606
09/15/2020	BOA	USD	1,870,000		PLN	6,981,628		25,834
09/15/2020	CITI	USD	3,407,633		PLN	13,003,880		123,521
09/15/2020	DB	USD	2,340,000		PLN	8,706,644		24,256
09/15/2020	JPM	USD	52,367		PLN	199,625		1,840
09/30/2020	BCLY	USD	510,000		RON	2,092,724		5,275
09/30/2020	BOA	USD	284,943		RON	1,236,838		19,594
09/30/2020	CITI	USD	340,000		RON	1,391,924		2,723
10/15/2020	BCLY	USD	1,550,000		RUB	115,499,564		(1,604	)
10/15/2020	CITI	USD	540,000		RUB	39,646,206		(8,500	)
10/05/2020	JPM	USD	26,897,914		SEK	234,065,648		172,872
10/15/2020	BCLY	USD	700,000		THB	21,810,180		675
10/15/2020	JPM	USD	383,881		THB	12,045,033		3,078
10/06/2020	JPM	USD	890,000		TWD	26,038,620		(1,743	)
10/06/2020	MSCI	USD	2,659,663		TWD	77,303,110		(22,618	)
10/30/2020	JPM	USD	3,858,162		ZAR	64,292,798		(88,640	)
10/30/2020	MSCI	USD	340,000		ZAR	5,947,297		8,694
							$	346,506

4 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
73	FTSE 100	September 2020	$	5,785,744	$	(168,854	)
38	Hang Seng Index	September 2020		6,133,528		(84,997	)
361	Mini MSCI Emerging Markets	September 2020		19,862,220		1,150,051
25	MSCI Taiwan Index	September 2020		1,228,780		(21,649	)
36	S&P/TSX 60	September 2020		5,459,271		269,244
6	U.S. Treasury Note 10 Yr. (CBT)	December 2020		835,500		(101	)
			$	39,305,043	$	1,143,694

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
10	Australian Government Bond 10 Yr.	September 2020	$	1,087,654	$	8,738
31	CAC40 10 Euro	September 2020		1,829,878		(6,116	)
38	Canadian Government Bond 10 Yr.	December 2020		4,397,378		12,843
5	DAX Index	September 2020		1,933,224		(63,808	)
89	FTSE/JSE TOP 40	September 2020		2,682,798		(64,875	)
13	Gilt Long Bond	December 2020		2,346,170		17,193
2	Japanese Government Bond 10 Yr. (OSE)	September 2020		2,862,484		8,111
208	S&P 500 E-Mini	September 2020		36,388,560		(4,259,789	)
23	SPI 200	September 2020		2,546,700		20,013
86	TOPIX Index	September 2020		13,100,529		(303,968	)
			$	69,175,375	$	(4,631,658	)

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

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
FirstEnergy Corp. (c)	32.00		01/15/21		(954	)		USD	(2,727,486	)		(133,560	)
Equity Options – Puts
FirstEnergy Corp. (c)	27.00		01/15/21		(954	)		USD	(2,767,486	)		(228,960	)
S&P 500 Index	3,370.00		09/04/20		(18	)		USD	(6,300,558	)		(6,894	)
S&P 500 Index	3,395.00		09/11/20		(18	)		USD	(6,300,558	)		(28,980	)
S&P 500 Index	3,510.00		09/18/20		(17	)		USD	(5,950,527	)		(108,970	)
			Total Equity Options – Puts									(373,804	)
			TOTAL WRITTEN OPTIONS (Premiums $785,158)								$	(507,364	)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	0.19%	AUD	37,230,000		09/16/2022	Quarterly		4,688		17,417			12,729
6 Month CHF LIBOR	(0.65)%	CHF	5,160,000		09/16/2022	Semi-Annually		—		(1,054	)		(1,054	)

See accompanying notes to the financial statements. 5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.68)%	6 Month CHF LIBOR	CHF	47,790,000		09/16/2022	Semi-Annually		—			39,168			39,168
6 Month CHF LIBOR	(0.63)%	CHF	7,960,000		09/16/2022	Semi-Annually		569			1,492			923
3 Month NZD Bank Bill Rate	0.09%	NZD	13,800,000		09/16/2022	Quarterly		—			3,989			3,989
0.21%	3 Month NZD Bank Bill Rate	NZD	43,830,000		09/16/2022	Quarterly		—			(84,982	)		(84,982	)
0.19%	3 Month NZD Bank Bill Rate	NZD	24,710,000		09/16/2022	Quarterly		—			(38,758	)		(38,758	)
(0.04)%	3 Month SEK STIBOR	SEK	393,840,000		09/16/2022	Quarterly		—			13,415			13,415
(0.03)%	3 Month SEK STIBOR	SEK	396,000,000		09/16/2022	Quarterly		—			5,237			5,237
(0.03)%	3 Month SEK STIBOR	SEK	800,460,000		09/16/2022	Quarterly		6,838			9,659			2,821
3 Month SEK STIBOR	0.02%	SEK	150,800,000		09/16/2022	Quarterly		—			12,320			12,320
(0.02)%	3 Month SEK STIBOR	SEK	162,670,000		09/16/2022	Quarterly		—			(1,992	)		(1,992	)
0.56%	3 Month CAD LIBOR	CAD	88,160,000		09/19/2022	Semi-Annually		9,525			(16,140	)		(25,665	)
6 Month EURIBOR	(0.44)%	EUR	6,500,000		09/21/2022	Semi-Annually		(836	)		(1,238	)		(402	)
6 Month GBP LIBOR	0.10%	GBP	65,690,000		09/21/2022	Semi-Annually		(7,463	)		(12,473	)		(5,010	)
6 Month GBP LIBOR	0.10%	GBP	79,590,000		09/21/2022	Semi-Annually		8,623			(23,683	)		(32,306	)
0.12%	6 Month GBP LIBOR	GBP	15,530,000		09/21/2022	Semi-Annually		(688	)		(3,740	)		(3,052	)
3 Month USD LIBOR	0.21%	USD	119,860,000		09/21/2022	Quarterly		10,385			(8,071	)		(18,456	)
0.84%	6 Month AUD BBSW	AUD	16,700,000		09/16/2030	Semi-Annually		(35,135	)		77,572			112,707
0.82%	6 Month AUD BBSW	AUD	7,700,000		09/16/2030	Semi-Annually		(12,913	)		44,342			57,255
6 Month AUD BBSW	0.90%	AUD	6,610,000		09/16/2030	Semi-Annually		—			1,592			1,592
6 Month AUD BBSW	0.83%	AUD	23,320,000		09/16/2030	Semi-Annually		(8,363	)		(116,699	)		(108,336	)
6 Month AUD BBSW	0.83%	AUD	14,930,000		09/16/2030	Semi-Annually		4,198			(76,859	)		(81,057	)
6 Month AUD BBSW	0.81%	AUD	10,980,000		09/16/2030	Semi-Annually		—			(74,275	)		(74,275	)
3 Month CAD LIBOR	1.07%	CAD	15,310,000		09/16/2030	Semi-Annually		(6,441	)		(47,551	)		(41,110	)
3 Month CAD LIBOR	1.06%	CAD	7,130,000		09/16/2030	Semi-Annually		—			(29,555	)		(29,555	)
3 Month CAD LIBOR	0.98%	CAD	14,860,000		09/16/2030	Semi-Annually		(11,490	)		(155,366	)		(143,876	)
3 Month CAD LIBOR	1.00%	CAD	44,370,000		09/16/2030	Semi-Annually		130,646			(381,555	)		(512,201	)
3 Month CAD LIBOR	1.08%	CAD	3,490,000		09/16/2030	Semi-Annually		—			(9,026	)		(9,026	)
3 Month CAD LIBOR	1.14%	CAD	51,160,000		09/16/2030	Semi-Annually		5,452			91,767			86,315
0.93%	3 Month CAD LIBOR	CAD	9,660,000		09/16/2030	Semi-Annually		—			136,137			136,137
6 Month CHF LIBOR	(0.33)%	CHF	9,450,000		09/16/2030	Semi-Annually		—			(108,107	)		(108,107	)
6 Month CHF LIBOR	(0.19)%	CHF	16,940,000		09/16/2030	Semi-Annually		—			58,051			58,051
6 Month CHF LIBOR	(0.21)%	CHF	43,960,000		09/16/2030	Semi-Annually		36,413			65,834			29,421
(0.32)%	6 Month CHF LIBOR	CHF	1,020,000		09/16/2030	Semi-Annually		—			11,379			11,379
(0.25)%	6 Month CHF LIBOR	CHF	1,580,000		09/16/2030	Semi-Annually		325			3,730			3,405
3 Month NZD Bank Bill Rate	0.74%	NZD	8,400,000		09/16/2030	Quarterly		78,521			69,706			(8,815	)
0.64%	3 Month NZD Bank Bill Rate	NZD	7,450,000		09/16/2030	Quarterly		—			(12,259	)		(12,259	)
3 Month NZD Bank Bill Rate	0.71%	NZD	9,000,000		09/16/2030	Quarterly		—			54,627			54,627
3 Month NZD Bank Bill Rate	0.64%	NZD	5,080,000		09/16/2030	Quarterly		—			8,359			8,359
0.52%	3 Month NZD Bank Bill Rate	NZD	24,010,000		09/16/2030	Quarterly		52,971			156,967			103,996
0.61%	3 Month NZD Bank Bill Rate	NZD	2,820,000		09/16/2030	Quarterly		—			1,739			1,739
0.59%	3 Month NZD Bank Bill Rate	NZD	10,880,000		09/16/2030	Quarterly		(2,192	)		21,908			24,100
3 Month SEK STIBOR	0.37%	SEK	33,000,000		09/16/2030	Quarterly		—			(16,128	)		(16,128	)
3 Month SEK STIBOR	0.37%	SEK	31,000,000		09/16/2030	Quarterly		—			(14,262	)		(14,262	)
3 Month SEK STIBOR	0.32%	SEK	39,140,000		09/16/2030	Quarterly		764			(39,314	)		(40,078	)
3 Month SEK STIBOR	0.28%	SEK	79,560,000		09/16/2030	Quarterly		—			(120,034	)		(120,034	)
3 Month SEK STIBOR	0.28%	SEK	79,830,000		09/16/2030	Quarterly		—			(115,409	)		(115,409	)
3 Month SEK STIBOR	0.29%	SEK	161,910,000		09/16/2030	Quarterly		—			(223,865	)		(223,865	)
3 Month SEK STIBOR	0.49%	SEK	214,050,000		09/16/2030	Quarterly		—			204,487			204,487
3 Month SEK STIBOR	0.51%	SEK	171,070,000		09/16/2030	Quarterly		(14,832	)		200,678			215,510
0.34%	3 Month SEK STIBOR	SEK	46,400,000		09/16/2030	Quarterly		(3,075	)		37,035			40,110
0.32%	3 Month SEK STIBOR	SEK	30,400,000		09/16/2030	Quarterly		—			30,535			30,535
0.36%	3 Month SEK STIBOR	SEK	41,000,000		09/16/2030	Quarterly		4,619			22,387			17,768
6 Month EURIBOR	(0.25)%	EUR	2,470,000		09/18/2030	Semi-Annually		—			(33,959	)		(33,959	)
(0.19)%	6 Month EURIBOR	EUR	53,900,000		09/18/2030	Semi-Annually		30,570			338,191			307,621
(0.20)%	6 Month EURIBOR	EUR	54,250,000		09/18/2030	Semi-Annually		32,119			426,800			394,681

6 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.20)%	6 Month EURIBOR	EUR	1,300,000		09/18/2030	Semi-Annually		(359	)		9,431			9,790
6 Month GBP LIBOR	0.31%	GBP	3,070,000		09/18/2030	Semi-Annually		—			(63,774	)		(63,774	)
6 Month GBP LIBOR	0.28%	GBP	2,070,000		09/18/2030	Semi-Annually		—			(51,813	)		(51,813	)
6 Month GBP LIBOR	0.30%	GBP	3,710,000		09/18/2030	Semi-Annually		—			(78,796	)		(78,796	)
6 Month GBP LIBOR	0.41%	GBP	4,850,000		09/18/2030	Semi-Annually		(12,759	)		(37,840	)		(25,081	)
6 Month GBP LIBOR	0.45%	GBP	3,160,000		09/18/2030	Semi-Annually		1,353			(5,947	)		(7,300	)
0.30%	6 Month GBP LIBOR	GBP	22,360,000		09/18/2030	Semi-Annually		49,374			488,288			438,914
0.32%	6 Month GBP LIBOR	GBP	22,330,000		09/18/2030	Semi-Annually		24,425			419,306			394,881
0.32%	6 Month GBP LIBOR	GBP	7,110,000		09/18/2030	Semi-Annually		—			135,874			135,874
3 Month USD LIBOR	0.53%	USD	2,610,000		09/18/2030	Quarterly		—			(46,114	)		(46,114	)
3 Month USD LIBOR	0.63%	USD	5,690,000		09/18/2030	Quarterly		—			(44,719	)		(44,719	)
3 Month USD LIBOR	0.68%	USD	2,890,000		09/18/2030	Quarterly		78			(6,616	)		(6,694	)
0.60%	3 Month USD LIBOR	USD	21,770,000		09/18/2030	Quarterly		(35,207	)		231,186			266,393
0.61%	3 Month USD LIBOR	USD	49,250,000		09/18/2030	Quarterly		(140,153	)		474,456			614,609
0.70%	3 Month USD LIBOR	USD	2,800,000		09/18/2030	Quarterly		(86	)		2,131			2,217
							$	200,464		$	1,825,219		$	1,624,755

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^:
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	9,600,000		1.00%		0.55%		N/A		12/20/2024		Quarterly		572,808		542,873		(29,935	)
Sell Protection^:
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	20,000,000		1.00%		0.55%		20,000,000 EUR		12/20/2024		Quarterly		116,938		139,499		22,561
														$	689,746	$	682,372	$	(7,374	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 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. 7

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on MSCI ACWI Commodity Producers Index	3 Month USD LIBOR plus a spread of (0.35)%	MSCI	USD	6,289,371		02/25/2021	Quarterly		—		(7,006	)		(7,006	)
Total Return on MSCI ACWI Commodity Producers Index	3 Month USD LIBOR plus a spread of (0.35)%	MSCI	USD	5,791,203		02/25/2021	Quarterly		—		(6,451	)		(6,451	)
1 Month FED Funds Rate plus 0.15% (f)	Total Return on Bloomberg Commodity Index	MSCI	USD	1,371,434		08/20/2021	Monthly		—		35,594			35,594
								$	—	$	22,137		$	22,137

As of August 31, 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 has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

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

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

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

(e) The rate disclosed is the 7 day net yield as of August 31, 2020.

(f) 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.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 95.

8 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		66.3	%
Debt Obligations		27.1
Short-Term Investments		4.3
Preferred Stocks		1.5
Investment Funds		1.3
Mutual Funds		0.5
Swap Contracts		0.2
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.3	)
Futures Contracts		(2.0	)
Securities Sold Short		(4.2	)
Other		5.3
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		3.5	%†
Canada		3.4
United States		2.3
Other Developed		(0.8	)‡
Euro Region		(4.7	)#
		3.7	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		11.9	%
United States		11.5
Japan		5.7
Other Developed		5.5	‡
Taiwan		4.7
Other Emerging		4.4	†
United Kingdom		4.0
Russia		3.8
South Korea		3.1
France		1.7
South Africa		1.3
Netherlands		1.3
India		1.3
Spain		1.3
Germany		1.2
Italy		1.1
Canada		1.0
		64.8	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration 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%.

9

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,304,297	GMO Emerging Country Debt Fund, Class IV		249,727,323
	3,803,989	GMO High Yield Fund, Class VI		76,269,977
	498,307,422	GMO Implementation Fund		6,009,587,515
	14,127,234	GMO Opportunistic Income Fund, Class VI		365,754,076
	6,067,217	GMO SGM Major Markets Fund, Class VI		201,431,592
	6,276,246	GMO Special Opportunities Fund, Class VI		206,237,434
		TOTAL MUTUAL FUNDS (COST $7,557,410,712)		7,109,007,917
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,347,848	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		4,347,848
		TOTAL SHORT-TERM INVESTMENTS (COST $4,347,848)		4,347,848
		TOTAL INVESTMENTS — 100.1% (Cost $7,561,758,560)		7,113,355,765
		Other Assets and Liabilities (net) — (0.1%)		(4,129,800	)
		TOTAL NET ASSETS — 100.0%	$	7,109,225,965

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 95.

10 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		75.7	%
Debt Obligations		23.0
Short-Term Investments		2.1
Preferred Stocks		1.9
Investment Funds		0.4
Mutual Funds		0.3
Swap Contracts		0.2
Loan Participations		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.6	)
Securities Sold Short		(1.4	)
Futures Contracts		(2.3	)
Other		0.7
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		4.0	†%
United States		1.2
Other Developed		0.0	‡^
Euro Region		(2.1	)#
		3.1	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		14.7	%
United States		10.7
Japan		7.3
Other Developed		5.8	‡
Taiwan		5.4
United Kingdom		5.2
Russia		4.6
South Korea		3.8
Other Emerging		3.2	†
France		2.1
Netherlands		1.6
Spain		1.6
Germany		1.6
South Africa		1.6
India		1.5
Canada		1.3
Singapore		1.2
Brazil		1.2
Italy		1.2
Mexico		1.1
		76.7	%

& 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 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%.

11

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 66.0%
		Argentina — 0.0%
	11,300	Banco BBVA Argentina SA ADR *		38,081
		Australia — 1.0%
	184,434	Accent Group Ltd		215,004
	38,235	Adairs Ltd		98,020
	62,588	Ampol Ltd		1,198,700
	41,997	Ansell Ltd		1,190,405
	45,216	Appen Ltd		1,153,218
	100,903	Asaleo Care Ltd		81,524
	81,318	Austal Ltd		211,479
	275,419	Australian Pharmaceutical Industries Ltd		219,832
	50,822	Aventus Group (REIT)		89,058
	25,247	Brickworks Ltd		333,920
	40,010	Codan Ltd		316,845
	780,246	Fortescue Metals Group Ltd		9,972,619
	79,760	GDI Property Group (REIT)		63,321
	171,774	Genworth Mortgage Insurance Australia Ltd		190,581
	65,593	JB Hi-Fi Ltd		2,416,967
	146,532	Mount Gibson Iron Ltd		84,640
	13,063	Regis Resources Ltd		50,854
	26,944	Rio Tinto Ltd		1,938,898
	246,643	Sandfire Resources NL		845,678
	79,024	Sigma Healthcare Ltd		39,513
	13,140	Virtus Health Ltd		33,900
		Total Australia		20,744,976
		Austria — 0.0%
	3,073	Vienna Insurance Group AG Wiener Versicherung Gruppe *		75,070
		Belgium — 0.4%
	78,192	AGFA-Gevaert NV *		330,363
	7,231	Barco NV		152,970
	4,966	bpost SA		49,444
	4,639	Colruyt SA		292,401
	66,428	UCB SA		7,884,142
		Total Belgium		8,709,320
		Brazil — 0.9%
	140,800	Banco do Brasil SA		839,120
	271,900	Camil Alimentos SA		633,284
	327,000	Cia de Saneamento Basico do Estado de Sao Paulo		2,850,096
	47,100	Cia de Saneamento do Parana		229,976
	53,800	Cia Paranaense de Energia		596,774
	35,100	Grendene SA		48,948
	9,300	Instituto Hermes Pardini SA		43,797
	974,400	JBS SA		3,991,154

Shares		Description	Value ($)
		Brazil — continued
	73,800	Mahle-Metal Leve SA		228,600
	1,932,640	Petrobras Distribuidora SA		7,528,071
	113,300	Qualicorp Consultoria e Corretora de Seguros SA		646,070
	560,000	TIM Participacoes SA		1,463,758
	169,900	Tupy SA *		524,105
	4,200	WEG SA		49,540
		Total Brazil		19,673,293
		Canada — 1.3%
	1,700	Absolute Software Corp		20,853
	41,300	AGF Management Ltd – Class B		158,316
	14,600	Bank of Nova Scotia (The)		630,967
	20,500	Bausch Health Cos Inc *		340,265
	50,367	Brookfield Asset Management Inc – Class A (a)		1,699,383
	9,100	Brookfield Asset Management Inc – Class A (a) (b)		307,112
	20,737	BRP Inc Sub Voting		1,126,238
	28,400	Canaccord Genuity Group Inc (b)		168,525
	12,300	Canfor Pulp Products Inc		46,301
	29,400	Cascades Inc		312,629
	58,700	Celestica Inc *		467,584
	45,800	CI Financial Corp		650,298
	400	Cogeco Communications Inc		29,986
	5,200	Cogeco Inc		312,674
	4,100	DREAM Unlimited Corp – Class A		60,226
	3,900	Enghouse Systems Ltd		217,612
	20,500	Fortuna Silver Mines Inc *		149,308
	43,759	iA Financial Corp Inc (b)		1,575,103
	15,300	IGM Financial Inc (b)		373,365
	13,800	Magna International Inc		672,041
	42,600	Martinrea International Inc		327,579
	4,500	Morguard North American Residential Real Estate Investment Trust		52,095
	17,600	National Bank of Canada		967,470
	48,600	Nutrien Ltd		1,791,882
	19,100	Real Matters Inc *		387,462
	10,300	Rogers Sugar Inc		37,667
	101,500	Royal Bank of Canada		7,729,517
	4,200	Stantec Inc (b)		136,367
	61,500	Sun Life Financial Inc (a) (b)		2,566,842
	55,900	Sun Life Financial Inc (a) (b) (c)		2,334,943
	18,000	Teekay Tankers Ltd – Class A *		225,720
	14,800	Teranga Gold Corp * (b)		172,242
	5,300	TFI International Inc		234,291
	27,300	Toronto-Dominion Bank (The) (b)		1,361,913
	40,100	Transcontinental Inc – Class A		471,602
	11,200	Wajax Corp		103,727
	13,200	Westshore Terminals Investment Corp (b)		167,385
		Total Canada		28,387,490

12 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Chile — 0.1%
	404,202	Banco de Chile		33,787
	1,038,770	Enel Americas SA		149,464
	241,800	Enel Americas SA ADR		1,719,198
	5,354	Inversiones La Construccion SA		34,776
		Total Chile		1,937,225
		China — 11.9%
	262,000	7Road Holdings Ltd *		90,583
	21,000	A-Living Services Co Ltd – Class H		108,212
	3,523,668	Agile Group Holdings Ltd		4,857,804
	2,756,800	Agricultural Bank of China Ltd – Class A		1,290,697
	20,262,000	Agricultural Bank of China Ltd – Class H		6,767,014
	21,400	Alibaba Group Holding Ltd *		770,290
	42,500	Alibaba Group Holding Ltd Sponsored ADR *		12,198,775
	362,784	Anhui Conch Cement Co Ltd – Class A		3,219,644
	1,511,000	Anhui Conch Cement Co Ltd – Class H		10,938,793
	180,500	Anhui Expressway Co Ltd – Class A		141,855
	23,000	ANTA Sports Products Ltd		226,721
	46,000	Asia Cement China Holdings Corp		46,580
	6,210,000	BAIC Motor Corp Ltd – Class H		2,976,584
	33,836,000	Bank of China Ltd – Class H		11,003,113
	18,557,000	Bank of Communications Co Ltd – Class H		9,690,586
	60,000	Beijing Capital International Airport Co Ltd – Class H		42,411
	399,300	Beijing North Star Co Ltd – Class A		162,986
	8,970,000	China Cinda Asset Management Co Ltd – Class H		1,711,286
	2,350,000	China CITIC Bank Corp Ltd – Class H		981,670
	2,159,357	China Communications Services Corp Ltd – Class H		1,414,526
	1,971,400	China Construction Bank Corp – Class A		1,782,630
	10,912,000	China Construction Bank Corp – Class H		7,689,834
	213,000	China Dongxiang Group Co Ltd		27,754
	4,444,000	China Everbright Bank Co Ltd – Class H		1,592,204
	377,000	China Feihe Ltd		762,455
	1,058,000	China Greenfresh Group Co Ltd *		11,050
	946,000	China Jinmao Holdings Group Ltd		590,709
	26,000	China Kepei Education Group Ltd		22,962
	3,475,000	China Lesso Group Holdings Ltd		6,470,828
	538,000	China Lilang Ltd		310,103
	2,101,000	China Machinery Engineering Corp – Class H		492,678
	4,094,645	China Medical System Holdings Ltd		4,611,624
	18,839	China Merchants Bank Co Ltd – Class A		103,574
	58,000	China Minsheng Banking Corp Ltd – Class H		35,306
	1,248,000	China Mobile Ltd		8,733,397
	400	China Mobile Ltd Sponsored ADR		14,012
	7,400,000	China National Building Material Co Ltd – Class H		10,386,512
	730,000	China Oriental Group Co Ltd		204,986
	256,000	China Overseas Grand Oceans Group Ltd		166,509

Shares		Description	Value ($)
		China — continued
	744,000	China Overseas Land & Investment Ltd		2,152,013
	150,000	China Overseas Property Holdings Ltd		135,094
	21,200	China Pacific Insurance Group Co Ltd – Class H		58,810
	14,834,000	China Petroleum & Chemical Corp – Class H		6,810,910
	162,000	China Pioneer Pharma Holdings Ltd		25,044
	7,331,500	China Railway Construction Corp Ltd – Class H		5,627,392
	11,228,042	China Railway Group Ltd – Class H		5,758,752
	287,000	China Reinsurance Group Corp – Class H		30,688
	934,000	China Resources Cement Holdings Ltd		1,360,186
	90,000	China Resources Gas Group Ltd		422,162
	548,000	China Resources Land Ltd		2,531,546
	5,690,500	China Resources Pharmaceutical Group Ltd		3,221,601
	199,000	China SCE Group Holdings Ltd		103,574
	700,779	China Shenhua Energy Co Ltd – Class A		1,650,813
	1,172,500	China Shenhua Energy Co Ltd – Class H		1,947,053
	807,000	China Shineway Pharmaceutical Group Ltd		564,516
	11,880,000	China Telecom Corp Ltd – Class H		3,875,470
	58,000	China Traditional Chinese Medicine Holdings Co Ltd		24,728
	635,225	China Vanke Co Ltd – Class A		2,525,729
	89,100	China Vanke Co Ltd – Class H		276,579
	18,700	China Yuchai International Ltd		303,688
	308,000	CNOOC Ltd		349,027
	1,700,604	Country Garden Holdings Co Ltd		2,105,622
	21,000	Country Garden Services Holdings Co Ltd		146,310
	43,500	Dali Foods Group Co Ltd		26,623
	70,400	Dongfang Electric Corp Ltd – Class A		102,732
	2,083,000	Dongyue Group Ltd		892,393
	138,000	Edvantage Group Holdings Ltd		108,414
	8,100	ENN Energy Holdings Ltd		89,748
	1,075,500	Fantasia Holdings Group Co Ltd *		218,946
	70,000	Fu Shou Yuan International Group Ltd		72,410
	1,087,000	Geely Automobile Holdings Ltd		2,313,440
	1,030,500	Great Wall Motor Co Ltd – Class H		1,121,742
	157,000	Greenland Hong Kong Holdings Ltd		52,163
	962,000	Guangdong Investment Ltd		1,500,069
	588,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,535,373
	340,000	Haier Electronics Group Co Ltd		1,163,282
	43,000	Haitian International Holdings Ltd		104,029
	4,400	Hangzhou Tigermed Consulting Co Ltd – Class H *		72,045
	14,000	Hansoh Pharmaceutical Group Co Ltd *		66,182
	61,500	Hebei Construction Group Corp Ltd – Class H		135,770
	8,500	Hengan International Group Co Ltd		66,929
	255,489	Hisense Home Appliances Group Co Ltd – Class A		522,120
	459,000	Hisense Home Appliances Group Co Ltd – Class H		615,174

See accompanying notes to the financial statements. 13

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	18,500	Hollysys Automation Technologies Ltd		200,355
	64,000	Hopson Development Holdings Ltd		128,091
	1,783,000	Huabao International Holdings Ltd		1,591,426
	125,098	Huaxin Cement Co Ltd – Class A		509,327
	2,454,000	IGG Inc		2,830,809
	2,082,370	Industrial & Commercial Bank of China Ltd – Class A		1,506,501
	7,236,000	Industrial & Commercial Bank of China Ltd – Class H		4,033,051
	113,000	Kingboard Laminates Holdings Ltd		142,312
	267,500	KWG Property Holding Ltd		507,655
	13,689	Lao Feng Xiang Co Ltd – Class A		107,356
	44,400	Livzon Pharmaceutical Group Inc – Class A		346,094
	462,984	Livzon Pharmaceutical Group Inc – Class H		2,211,989
	258,000	Logan Group Co Ltd		479,879
	229,500	Longfor Group Holdings Ltd		1,214,173
	2,995,000	Lonking Holdings Ltd		857,161
	1,805,000	Metallurgical Corp of China Ltd – Class H		309,353
	48,000	NetEase Inc		963,691
	16,600	NetEase Inc ADR (b) (c)		8,087,686
	741,000	Nexteer Automotive Group Ltd		482,460
	2,247,000	Nine Dragons Paper Holdings Ltd		2,489,259
	5,200	Nongfu Spring Co Ltd – Class H		14,571
	114,000	PAX Global Technology Ltd		65,534
	6,744,000	PICC Property & Casualty Co Ltd – Class H		5,200,659
	388,000	Poly Property Group Co Ltd		122,004
	3,200	Poly Property Services Co Ltd		27,981
	8,878,000	Postal Savings Bank of China Co Ltd – Class H		4,202,868
	1,070,000	Powerlong Real Estate Holdings Ltd		773,359
	144,000	Qingling Motors Co Ltd – Class H		25,622
	282,000	Road King Infrastructure Ltd		374,390
	316,000	Shanghai Jin Jiang Capital Co Ltd – Class H		54,179
	2,876,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		5,118,319
	420,858	Shenzhen Investment Ltd		142,643
	38,800	Shenzhou International Group Holdings Ltd		624,705
	2,861,000	Shimao Group Holdings Ltd		12,857,990
	451,000	Sino Biopharmaceutical Ltd		519,002
	205,500	Sinopec Engineering Group Co Ltd – Class H		91,039
	4,564,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		941,095
	1,053,600	Sinopharm Group Co Ltd – Class H		2,587,048
	844,000	Sinotruk Hong Kong Ltd		2,190,470
	676,000	TCL Electronics Holdings Ltd		461,592
	30,500	Tencent Holdings Ltd		2,083,710
	245,000	Texhong Textile Group Ltd		190,801
	646,000	Tianjin Port Development Holdings Ltd		47,502
	2,430,000	Tianneng Power International Ltd		5,227,453
	49,000	Times China Holdings Ltd		75,232
	128,800	Vipshop Holdings Ltd ADR *		2,126,488
	376,000	Want Want China Holdings Ltd		257,717

Shares		Description	Value ($)
		China — continued
	942,000	Weichai Power Co Ltd – Class H		1,890,878
	803,788	Weifu High-Technology Group Co Ltd – Class A		2,919,903
	4,018,000	West China Cement Ltd		703,988
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		342,849
	194,500	Xtep International Holdings Ltd		64,646
	10,000	Yum China Holdings Inc		577,100
	434,911	Yuzhou Group Holdings Co Ltd		202,849
	21,300	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		26,602
	729,500	Zhongsheng Group Holdings Ltd		4,549,514
		Total China		252,117,078
		Czech Republic — 0.0%
	28,574	Moneta Money Bank AS		71,876
		Denmark — 0.0%
	10,818	Matas A/S *		120,156
	20,276	Scandinavian Tobacco Group A/S		323,078
		Total Denmark		443,234
		Finland — 0.2%
	3,573	Aktia Bank Oyj *		40,323
	54,300	Neste Oyj		2,906,970
	9,960	Tokmanni Group Corp		181,424
		Total Finland		3,128,717
		France — 2.1%
	3,147	AKWEL		52,297
	6,525	Alten SA *		565,531
	28,662	APERAM SA		846,322
	14,887	Arkema SA		1,648,155
	902	Assystem SA		25,631
	839	Axway Software SA *		19,385
	89,264	BNP Paribas SA *		3,889,073
	721	Boiron SA		29,765
	1,005	Bonduelle SCA		24,308
	1,107	Capgemini SE		153,561
	2,171	Christian Dior SE		929,746
	6,161	Coface SA *		48,134
	808	Dassault Systemes SE		152,467
	45,243	Derichebourg SA		130,289
	4,188	Eiffage SA *		385,145
	2,386	Fnac Darty SA *		103,872
	12,474	Gaztransport Et Technigaz SA		1,177,162
	1,371	GL Events *		16,863
	337	Groupe Crit *		19,298
	389	HEXAOM *		14,209
	1,775	Interparfums SA *		88,709

14 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		France — continued
	29,773	IPSOS		786,162
	6,687	Kaufman & Broad SA		265,556
	3,474	Kering SA		2,131,520
	25,854	L’Oreal SA (c)		8,579,640
	4,869	LVMH Moet Hennessy Louis Vuitton SE		2,286,593
	36,610	Metropole Television SA *		457,128
	3,907	Nexans SA *		219,170
	162,109	Peugeot SA *		2,794,856
	26,361	Quadient SA		367,380
	3,391	Rothschild & Co *		91,644
	25,368	Safran SA *		2,929,608
	88,547	Sanofi		8,968,814
	2,200	Sanofi ADR (c)		111,276
	2,898	Schneider Electric SE		358,400
	107,397	STMicroelectronics NV – NY Shares		3,248,759
	695	Synergie SA *		17,037
	4,054	Vicat SA		140,094
	675	Vilmorin & Cie SA		38,154
		Total France		44,111,713
		Germany — 1.6%
	7,948	Allianz SE (Registered)		1,724,619
	1,083	Amadeus Fire AG *		136,796
	4,370	Aurubis AG		314,116
	23,671	Bayer AG (Registered)		1,574,406
	2,738	Bechtle AG		553,371
	327	bet-at-home.com AG		13,935
	20,831	Borussia Dortmund GmbH & Co KGaA		139,505
	10,890	Carl Zeiss Meditec AG		1,229,173
	201,810	CECONOMY AG *		929,402
	2,611	Cewe Stiftung & Co KGaA *		309,890
	17,584	CropEnergies AG		256,512
	249,401	Deutsche Pfandbriefbank AG *		1,816,660
	5,801	Deutsche Post AG (Registered)		264,434
	54,376	Deutz AG *		292,513
	110,993	Dialog Semiconductor Plc *		4,821,870
	1,823	Draegerwerk AG & Co KGaA *		134,754
	5,900	DWS Group GmbH & Co KGaA *		232,574
	7,307	Eckert & Ziegler Strahlen- und Medizintechnik AG		368,847
	3,451	Elmos Semiconductor SE		89,687
	3,908	Gerresheimer AG		461,551
	9,544	Hamburger Hafen und Logistik AG		176,619
	2,227	Hannover Rueck SE		379,767
	32,122	HeidelbergCement AG		2,037,882
	10,134	Henkel AG & Co KGaA		911,804
	2,266	Hornbach Baumarkt AG		102,138
	4,006	Hornbach Holding AG & Co KGaA		436,207
	122,781	Infineon Technologies AG		3,414,096
	1,882	KWS Saat SE & Co KGaA		162,379

Shares		Description	Value ($)
		Germany — continued
	10,952	Merck KGaA		1,488,538
	58,809	Siemens Healthineers AG		2,679,268
	41,315	Software AG (c)		2,060,006
	24,580	Takkt AG *		324,089
	7,003	Talanx AG *		260,382
	19,411	VERBIO Vereinigte BioEnergie AG		333,936
	18,036	Volkswagen AG *		3,249,750
	654	Washtec AG *		29,314
		Total Germany		33,710,790
		Greece — 0.0%
	12,055	FF Group * (d)		—
		Hong Kong — 0.7%
	27,000	ASM Pacific Technology Ltd		290,445
	166,000	BOC Hong Kong Holdings Ltd		470,879
	28,700	Budweiser Brewing Co APAC Ltd		96,692
	341,400	Champion (REIT)		180,444
	142,000	Chow Sang Sang Holdings International Ltd		159,854
	1,108,000	CITIC Telecom International Holdings Ltd		384,319
	34,500	CK Asset Holdings Ltd		187,255
	550,000	CSI Properties Ltd		17,094
	110,100	Dah Sing Banking Group Ltd		104,592
	140,800	Dah Sing Financial Holdings Ltd		400,256
	730,000	Giordano International Ltd		122,324
	852,000	HKT Trust & HKT Ltd – Class SS		1,217,446
	437,000	Johnson Electric Holdings Ltd		862,109
	54,800	Luk Fook Holdings International Ltd		122,583
	14,000	Minth Group Ltd		47,198
	179,000	Pacific Textiles Holdings Ltd		79,141
	85,000	Prosperity REIT		25,989
	848,000	Shun Tak Holdings Ltd		293,906
	129,000	SJM Holdings Ltd		176,948
	130,000	Sun Hung Kai & Co Ltd		53,481
	180,000	Texwinca Holdings Ltd		26,210
	132,000	VSTECS Holdings Ltd		74,228
	261,800	VTech Holdings Ltd		1,526,762
	6,398,000	WH Group Ltd		5,514,470
	162,000	Xinyi Glass Holdings Ltd		279,756
	567,500	Yue Yuen Industrial Holdings Ltd		981,943
		Total Hong Kong		13,696,324
		Hungary — 0.1%
	271,917	Magyar Telekom Telecommunications Plc		333,937
	33,243	Richter Gedeon Nyrt		809,616
		Total Hungary		1,143,553
		India — 1.4%
	1,399	Alkem Laboratories Ltd		51,793
	20,481	Asian Paints Ltd		527,339

See accompanying notes to the financial statements. 15

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		India — continued
	52,780	Aurobindo Pharma Ltd		573,304
	82,510	Bajaj Auto Ltd		3,312,850
	139,045	Balrampur Chini Mills Ltd		277,602
	89,944	Cadila Healthcare Ltd		453,801
	66,169	Coal India Ltd		120,632
	21,629	Dr Reddy’s Laboratories Ltd		1,242,581
	58,600	Dr Reddy’s Laboratories Ltd ADR		3,408,762
	46,499	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		128,271
	967,525	HCL Technologies Ltd		9,054,548
	17,815	HDFC Bank Ltd *		269,309
	2,605	Hero MotoCorp Ltd		106,532
	21,163	Hindustan Unilever Ltd		606,648
	20,265	Housing Development Finance Corp Ltd		503,394
	107,289	ICICI Bank Ltd *		567,822
	855,205	Indian Oil Corp Ltd		994,109
	30,989	Kotak Mahindra Bank Ltd *		589,562
	17,458	Muthoot Finance Ltd		272,957
	1,827,383	Power Finance Corp Ltd		2,344,982
	532,044	PTC India Ltd		427,625
	22,641	Rajesh Exports Ltd		137,536
	2,107,803	REC Ltd		3,050,316
	39,108	Sonata Software Ltd		163,169
	3,586	Sun TV Network Ltd		21,805
	25,137	Titan Co Ltd		374,759
	9,182	Wipro Ltd		33,573
		Total India		29,615,581
		Indonesia — 0.3%
	653,400	Astra International Tbk PT		229,271
	62,700	Bank BTPN Syariah Tbk PT		16,787
	904,500	Bank Central Asia Tbk PT		1,948,264
	1,492,100	Bank Mandiri Persero Tbk PT		610,125
	1,384,700	Bank Negara Indonesia Persero Tbk PT		484,836
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		105,833
	8,029,500	Bank Rakyat Indonesia Persero Tbk PT		1,934,403
	1,977,600	Bank Tabungan Negara Persero Tbk PT		213,770
	2,090,300	Bukit Asam Tbk PT		292,230
	260,200	Indo Tambangraya Megah Tbk PT		147,613
	595,800	Matahari Department Store Tbk PT *		51,678
	1,593,100	Pakuwon Jati Tbk PT *		44,623
	1,417,500	Panin Financial Tbk PT *		20,035
	3,454,100	Ramayana Lestari Sentosa Tbk PT		155,185
	834,600	Telekomunikasi Indonesia Persero Tbk PT		164,223
	31,000	United Tractors Tbk PT		48,952
		Total Indonesia		6,467,828

Shares		Description	Value ($)
		Ireland — 0.4%
	119,693	AIB Group Plc *		147,235
	179,315	Bank of Ireland Group Plc *		401,735
	18,438	CRH Plc		687,658
	66,800	CRH Plc Sponsored ADR		2,478,280
	9,518	Glanbia Plc		109,417
	307,199	Hibernia REIT Plc		436,651
	155,047	Irish Residential Properties REIT Plc		260,644
	54,941	Origin Enterprises Plc		225,467
	32,738	Permanent TSB Group Holdings Plc *		19,935
	147,629	Ryanair Holdings Plc *		2,098,892
	41,960	Smurfit Kappa Group Plc		1,485,855
	28,153	Total Produce Plc		38,145
		Total Ireland		8,389,914
		Israel — 0.0%
	8,692	Discount Investment Corp Ltd (Registered) *		12,777
	2,045	Fox Wizel Ltd		101,223
	1,340	Israel Corp Ltd (The) *		159,266
	706,169	Oil Refineries Ltd		143,693
		Total Israel		416,959
		Italy — 1.2%
	25,224	ACEA SPA		518,657
	212,906	Anima Holding SPA		935,260
	2,409	Biesse SPA *		40,402
	94,457	Buzzi Unicem SPA (c)		2,308,982
	5,071	Buzzi Unicem SpA – RSP		70,676
	15,485	Cementir Holding NV		108,147
	93,324	Cofide SPA *		44,668
	22,116	Credito Emiliano SPA *		112,102
	4,091	El.En. SPA *		108,336
	121,344	Enav SPA		510,542
	1,091,025	Enel SPA (c)		9,879,441
	141,125	EXOR NV		8,323,324
	481,392	Hera SPA		1,838,081
	39,992	Iren SPA		104,724
	13,610	La Doria SPA		179,013
	1,301	Leonardo SPA		8,802
	2,843	MARR SPA *		43,671
	32,602	Piaggio & C SPA		92,483
	73,562	Saras SPA *		51,020
	1,481	Sesa SPA		132,982
	94,108	Telecom Italia SPA		44,823
	3,642	Unieuro SPA *		38,942
		Total Italy		25,495,078
		Japan — 7.6%
	5,700	77 Bank Ltd (The)		83,678
	12,400	ADEKA Corp		180,964
	102,500	Aeon Mall Co Ltd (b)		1,354,457

16 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	6,100	Aichi Corp		47,243
	14,800	Aida Engineering Ltd		96,019
	6,000	Altech Corp		103,312
	227,900	Amada Co Ltd		2,025,342
	10,200	Amano Corp		212,644
	16,000	AOKI Holdings Inc		86,190
	4,600	Arata Corp (b)		219,847
	10,900	Arcland Sakamoto Co Ltd		216,723
	35,200	Arcs Co Ltd		869,944
	350,700	Asahi Kasei Corp (c)		2,937,896
	126,800	Asics Corp		1,748,101
	531,100	Astellas Pharma Inc (c)		8,331,977
	900	Bandai Namco Holdings Inc		55,875
	3,600	Bando Chemical Industries Ltd		19,724
	4,400	BeNEXT Group Inc		46,621
	172,700	Brother Industries Ltd		2,857,130
	10,800	Bunka Shutter Co Ltd		76,722
	6,000	Cawachi Ltd		170,728
	5,500	Central Glass Co Ltd		109,471
	1,600	Chiyoda Integre Co Ltd		24,172
	13,700	Chugai Pharmaceutical Co Ltd		610,431
	65,300	Chugoku Marine Paints Ltd		607,132
	2,900	Cleanup Corp		13,976
	4,300	CONEXIO Corp		52,707
	5,400	Dai Nippon Toryo Co Ltd		45,082
	1,500	Dai-Dan Co Ltd		38,020
	25,000	Daihen Corp		984,010
	1,900	Daiichi Jitsugyo Co Ltd		64,798
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		38,624
	5,200	Daiwa Industries Ltd		45,056
	26,200	Daiwabo Holdings Co Ltd		1,577,677
	62,200	Denka Co Ltd		1,750,328
	34,400	Doshisha Co Ltd		659,410
	25,400	DTS Corp		532,554
	7,100	Ehime Bank Ltd (The)		77,349
	15,300	Elecom Co Ltd		692,474
	8,500	FAN Communications Inc		36,455
	13,500	FANUC Corp		2,368,338
	37,900	Fuji Electric Co Ltd		1,182,391
	1,800	Fujicco Co Ltd		35,273
	3,900	Fujimi Inc		130,392
	9,500	Fujitec Co Ltd		189,408
	14,800	Fujitsu General Ltd		387,254
	47,400	Fujitsu Ltd		6,187,599
	8,700	Furuno Electric Co Ltd		77,286
	4,400	G-7 Holdings Inc		132,415
	17,200	Geo Holdings Corp (b)		278,773
	5,100	Glory Ltd		106,489
	8,500	GungHo Online Entertainment Inc		175,519

Shares		Description	Value ($)
		Japan — continued
	11,600	Gunma Bank Ltd (The)		38,139
	18,100	Gunze Ltd		651,537
	6,400	Hachijuni Bank Ltd (The)		24,732
	14,000	Hakuhodo DY Holdings Inc		173,829
	3,600	Hakuto Co Ltd		37,552
	204,400	Haseko Corp (b)		2,789,314
	107,900	Hazama Ando Corp		732,931
	2,600	Heiwado Co Ltd		53,622
	18,700	Hiroshima Bank Ltd (The)		94,637
	14,700	Hisamitsu Pharmaceutical Co Inc (b)		679,051
	104,700	Hitachi Ltd		3,483,211
	30,700	Hogy Medical Co Ltd		974,776
	36,000	Honda Motor Co Ltd		916,515
	30,400	Horiba Ltd		1,664,356
	500	Hosokawa Micron Corp		26,669
	7,900	Inaba Denki Sangyo Co Ltd		195,606
	49,800	Inabata & Co Ltd		614,128
	5,400	Infocom Corp (b)		179,474
	93,900	ITOCHU Corp (b)		2,409,688
	18,100	Itochu Enex Co Ltd		160,290
	54,800	Itochu Techno-Solutions Corp		1,983,596
	600	Itochu-Shokuhin Co Ltd		31,715
	11,600	Itoki Corp		39,860
	27,500	Jafco Co Ltd		1,106,654
	7,900	Jeol Ltd		231,582
	159,300	JVCKenwood Corp		235,575
	204,900	K’s Holdings Corp		2,903,321
	79,400	Kadokawa Corp		2,031,021
	9,700	Kaken Pharmaceutical Co Ltd		449,378
	3,500	Kamei Corp		32,633
	26,400	Kanamoto Co Ltd		573,034
	105,700	Kanematsu Corp		1,334,504
	3,200	Kanematsu Electronics Ltd		122,142
	2,600	Kato Sangyo Co Ltd		89,628
	343,100	KDDI Corp		9,973,176
	9,900	Keihin Corp		240,385
	6,200	Keiyo Bank Ltd (The)		28,927
	162,300	Kenedix Inc		788,326
	70,400	Kinden Corp		1,161,304
	4,500	Kissei Pharmaceutical Co Ltd		98,144
	4,600	Kiyo Bank Ltd (The)		67,928
	1,500	Kohnan Shoji Co Ltd		54,163
	6,100	Komeri Co Ltd		189,023
	198,774	Konica Minolta Inc		641,206
	21,000	Konoike Transport Co Ltd		223,430
	3,700	Kureha Corp		158,250
	65,700	Kyowa Exeo Corp		1,652,856
	3,400	Lion Corp		72,120
	6,500	Makino Milling Machine Co Ltd		224,468
	29,700	Mandom Corp		472,104

See accompanying notes to the financial statements. 17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	31,900	Maruichi Steel Tube Ltd		855,242
	2,100	Maruzen Showa Unyu Co Ltd		67,905
	15,700	Marvelous Inc		117,417
	2,000	Matsuda Sangyo Co Ltd		29,380
	58,200	Maxell Holdings Ltd		558,022
	48,200	MCJ Co Ltd		428,854
	74,800	Mebuki Financial Group Inc		181,337
	21,200	Meidensha Corp		326,336
	300	MEIJI Holdings Co Ltd		24,257
	4,500	METAWATER Co Ltd		189,048
	111,800	Mitsubishi Chemical Holdings Corp		652,875
	65,000	Mitsubishi Gas Chemical Co Inc		1,160,702
	2,000	Mitsubishi Research Institute Inc		73,967
	804,800	Mitsubishi UFJ Financial Group Inc		3,357,925
	4,400	Mitsuboshi Belting Ltd		68,042
	10,900	Mitsui Sugar Co Ltd		198,808
	1,800	Mixi Inc		39,862
	6,100	Mizuno Corp		109,232
	4,100	Mochida Pharmaceutical Co Ltd		151,585
	65,300	MS&AD Insurance Group Holdings Inc		1,811,324
	5,100	MTI Ltd		35,174
	26,300	NEC Corp		1,388,670
	15,400	NEC Networks & System Integration Corp		286,317
	47,700	NH Foods Ltd		2,160,822
	14,000	Nichias Corp		331,441
	9,400	Nichiha Corp		221,940
	23,600	Nikkon Holdings Co Ltd		520,705
	25,400	Nippo Corp		657,780
	4,500	Nippon Flour Mills Co Ltd (b)		71,564
	29,600	Nippon Kayaku Co Ltd		290,786
	243,900	Nippon Light Metal Holdings Co Ltd		427,310
	9,400	Nippon Soda Co Ltd		266,889
	379,900	Nippon Telegraph & Telephone Corp		8,644,852
	2,600	Nishimatsu Construction Co Ltd		49,477
	5,600	Nisshin Oillio Group Ltd (The)		166,087
	1,500	Nissin Corp		22,779
	25,300	Nissin Electric Co Ltd		268,506
	9,000	Nojima Corp		266,355
	56,600	Nomura Real Estate Holdings Inc (b)		1,079,790
	1,800	Nomura Research Institute Ltd		47,860
	11,700	NS Solutions Corp		340,962
	79,300	NTT DOCOMO Inc		2,211,279
	1,100	Obara Group Inc		37,432
	413,900	Obayashi Corp		4,045,637
	11,900	Okamura Corp		83,561
	600	Okinawa Cellular Telephone Co		23,631
	5,800	Organo Corp (b)		307,312
	153,700	ORIX Corp		1,910,663
	4,200	Osaka Soda Co Ltd		100,035
	7,300	Osaki Electric Co Ltd		37,288

Shares		Description	Value ($)
		Japan — continued
	7,900	Otsuka Corp		387,701
	41,700	Pacific Industrial Co Ltd		389,418
	4,300	Paramount Bed Holdings Co Ltd		171,138
	71,200	Penta-Ocean Construction Co Ltd		456,626
	6,300	Prima Meat Packers Ltd (b)		184,426
	5,700	Proto Corp		65,497
	25,500	Raiznext Corp		319,590
	2,300	Rinnai Corp		212,760
	1,900	Rion Co Ltd		40,249
	6,600	Roland DG Corp		78,363
	1,900	Ryobi Ltd		21,211
	14,100	San-A Co Ltd		572,964
	9,200	San-Ai Oil Co Ltd		81,017
	11,200	San-In Godo Bank Ltd (The)		55,940
	15,300	Sanki Engineering Co Ltd		164,029
	3,800	Sanyo Chemical Industries Ltd		176,544
	19,500	Secom Co Ltd		1,845,430
	22,400	Seiko Holdings Corp (b)		315,675
	62,000	Sekisui Chemical Co Ltd (c)		991,898
	4,300	Sekisui Jushi Corp		90,161
	22,400	SG Holdings Co Ltd		1,030,808
	326,200	Shimizu Corp		2,505,663
	6,600	Shizuoka Gas Co Ltd		54,411
	54,600	Showa Corp		1,170,982
	800	Sinanen Holdings Co Ltd		22,355
	9,100	Sinko Industries Ltd		116,979
	7,400	Sintokogio Ltd		49,372
	135,900	SKY Perfect JSAT Holdings Inc		518,598
	271,000	Sojitz Corp		619,824
	940,300	Sumitomo Chemical Co Ltd		3,049,767
	51,700	Sumitomo Dainippon Pharma Co Ltd (b)		653,588
	85,000	Sumitomo Forestry Co Ltd		1,357,100
	2,300	Sumitomo Seika Chemicals Co Ltd (b)		74,816
	1,700	Suzuken Co Ltd		63,151
	36,700	T Hasegawa Co Ltd		732,655
	22,200	T-Gaia Corp		437,147
	5,500	Taisei Corp		189,837
	49,700	Takara Leben Co Ltd		161,868
	16,500	Takasago Thermal Engineering Co Ltd		225,997
	2,100	Takeuchi Manufacturing Co Ltd		44,023
	60,400	Takuma Co Ltd		966,892
	9,000	Tamron Co Ltd		145,221
	5,100	Tanseisha Co Ltd		34,231
	40,800	Teijin Ltd		639,729
	2,600	TKC Corp		145,804
	31,700	Toho Holdings Co Ltd		612,778
	6,300	Tokyo Electron Ltd (b)		1,616,001
	59,500	Tokyu Construction Co Ltd		272,806
	9,100	TOMONY Holdings Inc		29,075
	19,100	Toppan Forms Co Ltd		172,889

18 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	193,000	Toppan Printing Co Ltd		2,995,312
	4,400	Torii Pharmaceutical Co Ltd		114,536
	77,600	Tosei Corp (b)		679,465
	144,800	Tosoh Corp		2,142,168
	3,300	Towa Pharmaceutical Co Ltd		65,535
	40,300	Toyo Construction Co Ltd		153,656
	29,900	Toyo Suisan Kaisha Ltd		1,700,030
	35,700	Toyota Industries Corp		2,073,734
	6,400	TPR Co Ltd		85,114
	6,200	Trend Micro Inc		383,688
	34,400	TS Tech Co Ltd (c)		1,006,267
	7,500	UKC Holdings Corp		137,835
	56,800	Ushio Inc		702,388
	1,600	Valqua Ltd		26,685
	7,900	Wacoal Holdings Corp (b)		140,347
	1,800	Welcia Holdings Co Ltd		77,111
	18,400	YAMABIKO Corp		187,356
	5,900	Yamaguchi Financial Group Inc		39,067
	6,400	Yamaha Motor Co Ltd		100,488
	4,800	Yamazen Corp		45,195
	14,000	Yellow Hat Ltd		230,651
	116,700	Yokogawa Electric Corp		1,906,363
	9,700	Yuasa Trading Co Ltd		281,879
	43,900	Zenkoku Hosho Co Ltd		1,553,370
		Total Japan		161,930,778
		Kuwait — 0.0%
	2,254	Humansoft Holding Co KSC *		18,656
	5,905	Kuwait Finance House KSCP		12,100
		Total Kuwait		30,756
		Malaysia — 0.6%
	1,358,300	DRB-Hicom Berhad		665,007
	52,000	Kossan Rubber Industries		200,058
	314,600	Magnum Berhad		168,318
	170,200	MISC Berhad		310,423
	1,796,509	Supermax Corp Berhad *		9,570,145
	92,500	Syarikat Takaful Malaysia Keluarga Berhad		111,994
	121,900	Telekom Malaysia Berhad		121,247
	173,800	Top Glove Corp Berhad		1,097,729
	104,600	Westports Holdings Berhad		91,296
		Total Malaysia		12,336,217
		Mexico — 0.9%
	3,200	Grupo Aeroportuario del Sureste SAB de CV ADR *		363,072
	210,800	Nemak SAB de CV		60,884
	3,820	Promotora y Operadora de Infraestructura SAB de CV *		28,284
	39,400	Qualitas Controladora SAB de CV		155,209

Shares		Description	Value ($)
		Mexico — continued
	57,800	Banco del Bajio SA *		46,225
	23,600	Regional SAB de CV *		58,995
	21,500	America Movil SAB de CV – Class L Sponsored ADR		261,655
	1,500	Coca-Cola Femsa SAB de CV Sponsored ADR		62,685
	34,500	Kimberly-Clark de Mexico SAB de CV – Class A		55,040
	1,672,800	America Movil SAB de CV – Series L		1,016,737
	122,700	Credito Real SAB de CV SOFOM ER *		68,970
	184,200	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		117,429
	2,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		91,150
	10,400	Grupo Aeroportuario del Pacifico SAB de CV – Class B		80,883
	115,100	Grupo Aeroportuario del Centro Norte SAB de CV *		527,108
	3,695,038	Wal-Mart de Mexico SAB de CV		8,848,368
	5,305	Grupo Aeroportuario del Sureste SAB de CV – Class B *		60,248
	42,800	Arca Continental SAB de CV		194,558
	127,942	Grupo Herdez SAB de CV		220,370
	5,300	Fomento Economico Mexicano SAB de CV		30,823
	31,600	El Puerto de Liverpool SAB de CV – Class C1		83,239
	607,800	Grupo Financiero Banorte SAB de CV – Class O *		2,088,774
	1,192,300	Grupo Mexico SAB de CV Series B		3,182,082
	80,800	Grupo Financiero Inbursa SAB de CV – Class O *		59,081
	600	Fomento Economico Mexicano SAB de CV Sponsored ADR (b)		34,998
	3,800	Grupo Aeroportuario del Pacifico SAB de CV ADR		294,424
	27,500	Corp Inmobiliaria Vesta SAB de CV		40,844
	24,649	Unifin Financiera SAB de CV SOFOM ENR *		20,704
	799,600	Fibra Uno Administracion SA de CV (REIT)		625,590
	478,600	Gentera SAB de CV *		156,821
		Total Mexico		18,935,250
		Netherlands — 1.7%
	21,585	ABN AMRO Bank NV CVA *		205,008
	1,003	Adyen NV *		1,690,709
	1,081	Alfen Beheer BV *		78,288
	1,427	ASM International NV		214,247
	107,316	ASR Nederland NV		3,710,215
	11,846	ForFarmers NV		76,454
	33,402	Heineken Holding NV		2,733,026
	282	Hunter Douglas NV *		15,169
	98,999	Koninklijke Ahold Delhaize NV		2,978,463
	44,346	Koninklijke Vopak NV		2,434,866
	94,679	Randstad NV		4,927,418
	221,115	Signify NV * (c)		7,375,847

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	106,124	Wolters Kluwer NV		8,705,682
		Total Netherlands		35,145,392
		New Zealand — 0.0%
	129,141	Air New Zealand Ltd		121,371
	12,344	Fisher & Paykel Healthcare Corp Ltd – Class C		305,722
	16,081	Synlait Milk Ltd *		67,165
		Total New Zealand		494,258
		Norway — 0.8%
	81,833	Austevoll Seafood ASA		754,709
	15,020	Avance Gas Holding Ltd (b)		36,177
	17,334	Borregaard ASA		252,851
	249,149	BW LPG Ltd		1,162,369
	299,905	DNB ASA *		4,804,220
	288,612	Elkem ASA		595,272
	72,310	Europris ASA		363,973
	60,900	Frontline Ltd (b)		484,764
	47,078	Gjensidige Forsikring ASA *		1,002,195
	2,522	Kongsberg Gruppen ASA		37,469
	50,979	Kvaerner ASA *		47,368
	78,267	Norwegian Finans Holding ASA *		593,068
	353,214	Orkla ASA		3,592,724
	4,168	Salmar ASA *		225,497
	19,122	Sbanken ASA *		147,247
	24,511	Selvaag Bolig ASA		149,171
	38,753	SpareBank 1 Nord Norge		298,400
	19,287	SpareBank 1 SMN		191,639
	104,265	SpareBank 1 SR-Bank ASA *		936,496
	841	Veidekke ASA *		11,306
	30,464	Yara International ASA		1,276,330
		Total Norway		16,963,245
		Pakistan — 0.0%
	34,810	Engro Corp Ltd		62,652
	305,352	Engro Fertilizers Ltd		116,662
	293,480	Oil & Gas Development Co Ltd		203,358
	35,284	Pakistan Oilfields Ltd		91,656
	161,315	Pakistan Petroleum Ltd		99,298
	23,700	Pakistan State Oil Co Ltd		27,497
	40,800	Searle Co Ltd (The)		64,026
	52,553	United Bank Ltd		39,632
		Total Pakistan		704,781
		Philippines — 0.1%
	29,900	Ayala Land Inc		17,729
	15,780	Globe Telecom Inc		678,939
	14,660	Manila Electric Co		81,303
	2,369,000	Megaworld Corp *		142,054

Shares		Description	Value ($)
		Philippines — continued
	2,145,000	Metro Pacific Investments Corp		148,644
	15,810	Security Bank Corp		31,689
	135,050	Semirara Mining & Power Corp		26,223
		Total Philippines		1,126,581
		Poland — 0.4%
	34,384	Asseco Poland SA		662,917
	28,413	Bank Polska Kasa Opieki SA *		402,783
	3,461	Budimex SA		220,096
	107,982	Cyfrowy Polsat SA *		842,941
	96,936	Energa SA *		213,161
	174,633	PLAY Communications SA		1,447,276
	126,584	Polski Koncern Naftowy ORLEN SA		1,741,196
	180,176	Polskie Gornictwo Naftowe i Gazownictwo SA		250,514
	9,917	Powszechna Kasa Oszczednosci Bank Polski SA *		57,945
	352,427	Powszechny Zaklad Ubezpieczen SA *		2,598,546
	2,674	Santander Bank Polska SA *		109,838
		Total Poland		8,547,213
		Portugal — 0.8%
	186,637	Altri SGPS SA		936,196
	6,473,179	Banco Comercial Portugues SA – Class R * (b)		766,096
	113,256	CTT-Correios de Portugal SA * (b)		353,154
	26,770	EDP Renovaveis SA		457,927
	842,591	EDP – Energias de Portugal SA		4,283,369
	484,750	Galp Energia SGPS SA		5,205,318
	163,290	Jeronimo Martins SGPS SA		2,687,271
	118,662	Mota-Engil SGPS SA *		223,753
	172,750	Navigator Co SA (The) *		456,744
	236,536	NOS SGPS SA		958,014
	171,918	REN – Redes Energeticas Nacionais SGPS SA		500,512
	12,232	Semapa-Sociedade de Investimento e Gestao		111,786
	1,185,197	Sonae SGPS SA		845,981
		Total Portugal		17,786,121
		Qatar — 0.0%
	114,022	Doha Bank QPSC *		74,591
	16,615	Masraf Al Rayan QSC		19,025
	8,101	Qatar Electricity & Water Co QSC		38,255
	31,879	Qatar Insurance Co SAQ		18,623
	104,096	Qatar National Bank QPSC		514,360
	45,376	Qatar National Cement Co QSC		49,683
		Total Qatar		714,537
		Russia — 3.1%
	2,026,180	Alrosa PJSC		1,801,088
	931,600	Credit Bank of Moscow PJSC *		77,176
	60,030	Detsky Mir PJSC		94,397

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	55,500,000	Federal Grid Co Unified Energy System PJSC		146,413
	32,730	Gazprom Neft PJSC		140,678
	2,752	Gazprom Neft PJSC Sponsored ADR		58,200
	737,280	Gazprom PJSC		1,800,856
	25,637	Globaltrans Investment Plc Sponsored GDR (Registered)		158,624
	102,187,001	Inter RAO UES PJSC		7,198,250
	2,687	LSR Group PJSC		28,502
	66,217	LSR Group PJSC GDR (Registered)		139,077
	122,899	LUKOIL PJSC		8,254,396
	193,167	LUKOIL PJSC Sponsored ADR		13,216,890
	30,340	M.Video PJSC		230,915
	813,100	Magnitogorsk Iron & Steel Works PJSC		412,910
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		231,105
	272,449	MMC Norilsk Nickel PJSC ADR		7,150,313
	78,700	Mobile TeleSystems PJSC Sponsored ADR		733,484
	697,660	Moscow Exchange MICEX-RTS PJSC		1,290,096
	21,262	Novatek PJSC Sponsered GDR (Registered)		3,174,056
	89,090	Novolipetsk Steel PJSC		185,839
	168,015	Novolipetsk Steel PJSC GDR		3,501,359
	15,668	PhosAgro PJSC GDR (Registered)		185,415
	38,817	Polymetal International Plc (a)		1,053,411
	11,158	Polymetal International Plc (a)		298,340
	4,434	Polyus PJSC GDR (Registered)		542,611
	15,500	QIWI Plc Sponsored ADR		278,535
	81,350	Raspadskaya OJSC		125,947
	72,534,000	ROSSETI PJSC		1,426,720
	12,920	Rostelecom PJSC		16,906
	5,348	Rostelecom PJSC Sponsored ADR		42,133
	13,580	Safmar Financial Investment *		96,767
	235,117	Sberbank of Russia PJSC Sponsored ADR *		2,825,089
	62,995	Severstal PJSC GDR (Registered)		795,842
	4,693,000	Surgutneftegas PJSC		2,321,074
	269,801	Surgutneftegas PJSC Sponsored ADR		1,348,665
	52,266	Tatneft PJSC		384,823
	77,312	Tatneft PJSC Sponsored ADR		3,468,898
	19,808	TCS Group Holding Plc GDR (Registered)		487,820
	5,545,000	Unipro PJSC		201,896
	366,106	VTB Bank PJSC GDR (Registered) *		331,590
		Total Russia		66,257,106
		Singapore — 1.1%
	201,300	Accordia Golf Trust		107,154
	157,300	AEM Holdings Ltd		464,991
	166,700	Ascendas Real Estate Investment Trust		406,146
	243,500	Asian Pay Television Trust		23,262
	171,400	CapitaLand Commercial Trust (REIT)		211,330
	41,500	CapitaLand Ltd		84,379
	79,200	City Developments Ltd		466,698

Shares		Description	Value ($)
		Singapore — continued
	558,600	ComfortDelGro Corp Ltd		606,304
	522,800	DBS Group Holdings Ltd		8,011,892
	187,200	First Real Estate Investment Trust		68,016
	88,400	Frasers Logistics & Industrial Trust (REIT)		86,900
	443,140	Japfa Ltd		203,299
	25,600	Jardine Cycle & Carriage Ltd		356,253
	25,000	Keppel DC (REIT)		53,421
	115,300	Lendlease Global Commercial (REIT)		55,869
	577,900	Mapletree Industrial Trust (REIT)		1,293,389
	166,600	Mapletree Logistics Trust (REIT)		253,134
	717,500	Mapletree North Asia Commercial Trust (REIT)		494,907
	29,000	Parkway Life Real Estate Investment Trust (REIT)		80,108
	331,400	Sasseur Real Estate Investment Trust		188,593
	349,500	Silverlake Axis Ltd		82,096
	261,800	Singapore Exchange Ltd		1,655,504
	32,900	SPH (REIT)		21,017
	242,400	StarHub Ltd		217,200
	36,700	United Overseas Bank Ltd		526,234
	202,600	Venture Corp Ltd		2,952,743
	14,300	Wilmar International Ltd		45,751
	7,123,999	Yangzijiang Shipbuilding Holdings Ltd		4,785,874
	509,300	Yanlord Land Group Ltd		452,393
		Total Singapore		24,254,857
		South Africa — 1.3%
	915,873	Absa Group Ltd		4,148,343
	10,819	Anglo American Platinum Ltd		805,831
	43,453	Aspen Pharmacare Holdings Ltd *		347,012
	63,714	Astral Foods Ltd		500,018
	10,217	AVI Ltd		41,515
	195,921	Barloworld Ltd		687,216
	6,286	Bid Corp Ltd		103,480
	551,129	Blue Label Telecoms Ltd *		103,699
	3,120	Capitec Bank Holdings Ltd		153,143
	26,393	Clicks Group Ltd		357,208
	7,814	Coronation Fund Managers Ltd		19,669
	40,599	Discovery Ltd		288,937
	70,429	Emira Property Fund Ltd (REIT)		22,552
	421,537	FirstRand Ltd		937,927
	67,673	Foschini Group Ltd (The)		304,604
	6,148	Gold Fields Ltd		80,459
	36,200	Gold Fields Ltd Sponsored ADR		471,686
	517,293	Growthpoint Properties Ltd (REIT)		372,609
	14,493	Hyprop Investments Ltd (REIT)		15,963
	117,595	Imperial Logistics Ltd		239,408
	74,376	Investec Ltd		137,863
	158,979	Kumba Iron Ore Ltd		4,982,019
	57,204	Lewis Group Ltd		59,618

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	89,660	Liberty Holdings Ltd		320,016
	33,464	Metair Investments Ltd *		36,130
	353,262	Motus Holdings Ltd *		572,408
	98,382	Mr Price Group Ltd		670,448
	5,746	MultiChoice Group Ltd *		32,689
	46,124	Murray & Roberts Holdings Ltd		14,963
	15,322	Naspers Ltd – N Shares		2,793,733
	46,462	Nedbank Group Ltd		262,054
	233,838	Netcare Ltd		172,906
	2,657,474	Old Mutual Ltd		1,749,918
	37,053	Rand Merchant Investment Holdings Ltd		65,495
	32,783	Raubex Group Ltd		47,056
	29,157	Remgro Ltd		150,246
	226,815	Reunert Ltd		410,681
	1,640,950	RMB Holdings Ltd		118,567
	599,249	Sanlam Ltd		1,931,262
	1,864	Santam Ltd		26,866
	125,075	Sappi Ltd *		164,315
	17,751	Shoprite Holdings Ltd		115,795
	21,665	Standard Bank Group Ltd		134,532
	979,797	Telkom SA SOC Ltd		1,311,485
	6,843	Tiger Brands Ltd		69,443
	245,509	Truworths International Ltd		439,677
	90,743	Tsogo Sun Gaming Ltd		19,476
	49,940	Vodacom Group Ltd		375,910
	38,007	Wilson Bayly Holmes-Ovcon Ltd		248,434
		Total South Africa		27,435,284
		South Korea — 2.9%
	27,827	Aekyung Petrochemical Co Ltd		158,900
	9,968	Aju Capital Co Ltd		98,869
	6,842	BNK Financial Group Inc		29,203
	818	Bukwang Pharmaceutical Co Ltd		26,028
	3,981	Daou Data Corp		45,301
	37,680	DB HiTek Co Ltd		1,127,286
	8,952	DB Insurance Co Ltd		328,540
	34,093	Dongwon Development Co Ltd		109,989
	6,265	GS Home Shopping Inc		616,115
	444,888	Hana Financial Group Inc		10,529,255
	17,834	Hankook Tire & Technology Co Ltd		441,848
	6,813	Hansae Yes24 Holdings Co Ltd		28,129
	6,715	HDC Hyundai Development Co-Engineering & Construction		129,902
	5,621	Huons Co Ltd		342,599
	2,997	Hy-Lok Corp		29,606
	10,930	Hyundai Home Shopping Network Corp		600,387
	5,502	Hyundai Mobis Co Ltd		1,029,671
	148,192	Industrial Bank of Korea		1,006,759
	7,828	JB Financial Group Co Ltd		28,234
	68,996	KB Financial Group Inc		2,140,642
	6,200	KB Financial Group Inc ADR		191,890

Shares		Description	Value ($)
		South Korea — continued
	8,292	KEPCO Plant Service & Engineering Co Ltd		193,846
	368,433	Kia Motors Corp		13,103,800
	17,594	Korea Asset In Trust Co Ltd		52,801
	18,413	Korea Autoglass Corp		222,428
	27,226	Korean Reinsurance Co		168,041
	8,421	KT Corp		168,911
	5,621	KT Skylife Co Ltd		40,254
	57,336	KT&G Corp		4,009,041
	42,665	LF Corp		459,043
	23,691	LG Electronics Inc		1,675,837
	741	LOTTE Fine Chemical Co Ltd		27,835
	22,873	Mirae Asset Life Insurance Co Ltd		72,112
	106	NCSoft Corp		73,540
	17,401	S&T Motiv Co Ltd		803,384
	28,634	Samjin Pharmaceutical Co Ltd		701,806
	96,196	Samsung Electronics Co Ltd		4,367,889
	6,418	Sebang Global Battery Co Ltd		147,350
	529	Seegene Inc		117,556
	1,033	SFA Engineering Corp		28,773
	249,811	Shinhan Financial Group Co Ltd		6,217,534
	44,743	SK Hynix Inc		2,827,577
	13,962	SK Telecom Co Ltd		2,911,100
	157,400	SK Telecom Co Ltd Sponsored ADR		3,615,478
	6,469	SL Corp		65,307
	132,375	Woori Financial Group Inc		940,613
	7,882	Yuhan Corp		444,106
		Total South Korea		62,495,115
		Spain — 1.7%
	21,776	Acerinox SA *		176,822
	35,277	ACS Actividades de Construccion y Servicios SA		863,230
	46,609	Aena SME SA * (c)		6,958,538
	69,856	Almirall SA *		768,477
	39,529	Amadeus IT Group SA		2,220,629
	78,597	Banco Bilbao Vizcaya Argentaria SA		230,172
	443,373	Banco Santander SA		987,138
	63,349	Cia de Distribucion Integral Logista Holdings SA		1,123,278
	2,620	Ebro Foods SA		64,319
	10,080	eDreams ODIGEO SA * (b)		27,266
	32,736	Enagas SA		801,630
	303,924	Endesa SA		8,436,846
	59,968	Faes Farma SA		237,459
	328,721	Iberdrola SA		4,147,431
	126,913	Industria de Diseno Textil SA		3,568,441
	186,960	Mediaset Espana Comunicacion SA *		621,224
	131,016	Red Electrica Corp SA		2,507,403
	594,033	Unicaja Banco SA *		427,219
	21,375	Viscofan SA		1,581,435
		Total Spain		35,748,957

22 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.7%
	98,470	Betsson AB *		824,368
	29,711	Bilia AB – A Shares *		352,862
	10,808	Bufab AB *		146,230
	7,410	Humana AB *		52,056
	5,973	Instalco Intressenter AB		117,717
	43,703	Inwido AB *		435,213
	55,198	Klovern AB – B Shares		85,057
	4,274	KNOW IT AB *		109,910
	24,928	Nobia AB *		161,028
	16,624	Nobina AB *		100,583
	117,469	Skanska AB – B Shares *		2,389,061
	3,995	SKF AB – B Shares		79,906
	3,392	SkiStar AB		40,790
	34,810	Swedish Match AB		2,643,818
	17,842	Volvo AB – A Shares *		346,137
	339,234	Volvo AB – B Shares *		6,497,835
		Total Sweden		14,382,571
		Switzerland — 0.9%
	5,000	ABB Ltd (Registered)		127,496
	2,340	ALSO Holding AG (Registered)		634,030
	1,050	Banque Cantonale Vaudoise (Registered)		112,135
	92	Bell Food Group AG (Registered)		23,658
	2,855	BKW AG		279,794
	2,042	Bobst Group SA (Registered)		132,214
	467	Coltene Holding AG (Registered)		40,595
	7,336	Galenica AG		526,755
	30	Gurit Holding AG		56,764
	1,735	Huber + Suhner AG (Registered)		134,696
	1,423	Kardex Holding AG (Registered)		295,704
	596	Liechtensteinische Landesbank AG		39,194
	4,218	Mobilezone Holding AG (Registered)		45,666
	29,718	Novartis AG (Registered)		2,561,305
	1,771	Orior AG		153,241
	891	Partners Group Holding AG		907,669
	10,998	Roche Holding AG		3,858,113
	24,344	Roche Holding AG – Genusschein		8,515,989
	2,100	Vetropack Holding AG (Registered) *		131,806
	4,078	Wizz Air Holdings Plc *		211,536
		Total Switzerland		18,788,360
		Taiwan — 4.0%
	161,246	TOPBI International Holdings Ltd		192,627
	38,950	OptoTech Corp		28,310
	1,612,791	Mitac Holdings Corp		1,589,340
	76,000	Sampo Corp		60,345
	79,000	Taiwan Sakura Corp		127,740
	19,000	Fusheng Precision Co Ltd		112,059
	1,187,000	Qisda Corp		752,321

Shares		Description	Value ($)
		Taiwan — continued
	147,000	Merry Electronics Co Ltd		770,291
	25,000	Getac Technology Corp		41,515
	32,000	Kindom Construction Corp		43,013
	42,000	Nichidenbo Corp		64,767
	17,000	Supreme Electronics Co Ltd		17,237
	1,774	Shin Zu Shing Co Ltd		9,124
	19,000	Elite Advanced Laser Corp		41,268
	57,000	Amazing Microelectronic Corp		158,394
	32,721	Innodisk Corp		176,990
	665,000	Catcher Technology Co Ltd		4,539,817
	625,399	Cathay Financial Holding Co Ltd		849,437
	2,359,000	CTBC Financial Holding Co Ltd		1,524,922
	28,185	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		2,233,661
	410,035	Asustek Computer Inc		3,395,812
	8,400	Aurora Corp		24,170
	883,000	Sunplus Technology Co Ltd *		372,697
	64,624	United Integrated Services Co Ltd		453,215
	481,000	Chicony Electronics Co Ltd		1,451,027
	286,000	Quanta Computer Inc		749,595
	842,000	Coretronic Corp		1,002,893
	97,000	Farglory Land Development Co Ltd		158,600
	23,000	Elan Microelectronics Corp		111,449
	78,000	Huaku Development Co Ltd		238,341
	216,000	Lite-On Semiconductor Corp *		287,706
	32,462	Feng TAY Enterprise Co Ltd		188,961
	23,000	Test Research Inc		46,003
	20,000	Soft-World International Corp		62,703
	62,820	IEI Integration Corp		97,886
	43,000	Formosa Plastics Corp		114,855
	1,601,000	Grand Pacific Petrochemical *		1,047,710
	379,303	Great Wall Enterprise Co Ltd		584,791
	118,800	Simplo Technology Co Ltd		1,354,510
	29,000	Chong Hong Construction Co Ltd		82,830
	1,493,000	Radiant Opto-Electronics Corp		5,482,477
	82,000	Holtek Semiconductor Inc		178,254
	33,300	Makalot Industrial Co Ltd		223,874
	4,968,000	Pou Chen Corp		4,693,828
	36,000	Sitronix Technology Corp		176,864
	20,000	Phison Electronics Corp		188,393
	70,000	Teco Electric and Machinery Co Ltd		69,815
	34,000	Zeng Hsing Industrial Co Ltd		159,228
	495,000	Taiwan PCB Techvest Co Ltd		715,259
	8,000	Lotes Co Ltd		116,521
	156,430	Chailease Holding Co Ltd		690,932
	17,000	Nien Made Enterprise Co Ltd		196,291
	7,000	Thinking Electronic Industrial Co Ltd		26,008
	13,000	Wiwynn Corp		346,775
	7,000	Accton Technology Corp		55,823
	3,000	Pixart Imaging Inc		17,629

See accompanying notes to the financial statements. 23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	24,000	Alchip Technologies Ltd		431,649
	3,000	Acter Group Corp Ltd		20,919
	10,000	Topkey Corp		62,245
	58,000	Transcend Information Inc		130,202
	1,099,000	Fubon Financial Holding Co Ltd		1,604,711
	6,965,000	Hon Hai Precision Industry Co Ltd		18,267,022
	251,000	Foxconn Technology Co Ltd		446,438
	783,000	Taiwan Semiconductor Manufacturing Co Ltd		11,412,283
	1,080,000	Pegatron Corp		2,297,238
	1,200	Silicon Motion Technology Corp ADR		45,492
	29,000	Wah Lee Industrial Corp		55,911
	70,000	Holiday Entertainment Co Ltd		151,061
	129,000	Quanta Storage Inc		192,897
	145,439	IBF Financial Holdings Co Ltd		57,321
	13,000	International Games System Co Ltd		389,491
	361,000	Gigabyte Technology Co Ltd		1,042,940
	162,000	Micro-Star International Co Ltd		747,902
	112,000	China Motor Corp		162,558
	90,000	Shinkong Insurance Co Ltd		108,239
	66,419	Topco Scientific Co Ltd		271,376
	111,000	Tripod Technology Corp		438,292
	145,000	Elite Material Co Ltd		839,816
	414,000	Novatek Microelectronics Corp		3,387,190
	294,000	Lite-On Technology Corp		465,583
	145,500	Syncmold Enterprise Corp		410,331
	31,050	Sinmag Equipment Corp		81,756
	263,000	Formosa Taffeta Co Ltd		283,532
	55,000	MediaTek Inc		1,040,042
	927,000	China Development Financial Holding Corp		270,352
	48,000	Nantex Industry Co Ltd		76,885
	417,000	FLEXium Interconnect Inc		1,788,813
	19,000	Aten International Co Ltd		54,678
	5,000	Globalwafers Co Ltd		67,270
	6,000	Yulon Nissan Motor Co Ltd		50,305
		Total Taiwan		85,649,643
		Thailand — 0.1%
	1,049,000	AP Thailand Pcl NVDR		213,015
	110,800	Bangkok Bank Pcl NVDR		380,051
	4,198,300	Beauty Community Pcl NVDR		185,964
	47,200	Hana Microelectronics Pcl NVDR		60,267
	84,600	Kasikornbank Pcl NVDR		230,005
	49,600	Kiatnakin Phatra Bank Pcl NVDR		63,519
	148,900	Krung Thai Bank Pcl NVDR		45,881
	188,500	Land & Houses Pcl NVDR		44,831
	193,900	Origin Property Pcl NVDR *		46,127
	167,600	Pruksa Holding Pcl NVDR		62,538
	909,500	Quality Houses Pcl NVDR		64,936
	102,600	Siam Commercial Bank Pcl NVDR (The)		239,969
	149,700	Somboon Advance Technology Pcl NVDR		57,637

Shares		Description	Value ($)
		Thailand — continued
	60,200	SPCG Pcl NVDR		34,624
	74,250	Supalai Pcl (Foreign Registered)		40,169
	344,875	Supalai Pcl NVDR		186,575
	1,894,100	Thai Beverage Pcl		854,839
	52,000	Thai Vegetable Oil Pcl NVDR		45,134
	31,200	Tisco Financial Group Pcl NVDR		67,663
	106,000	TTW Pcl NVDR		45,593
	204,300	Univentures Pcl NVDR		18,901
		Total Thailand		2,988,238
		Turkey — 0.7%
	115,351	Aksa Akrilik Kimya Sanayii AS		105,288
	495,283	Aselsan Elektronik Sanayi Ve Ticaret AS		1,098,096
	3,037	BIM Birlesik Magazalar AS		28,077
	836,818	Dogan Sirketler Grubu Holding AS		239,514
	48,092	Dogus Otomotiv Servis ve Ticaret AS *		96,355
	3,783,516	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		908,047
	743,596	Enerjisa Enerji AS		826,507
	1,272,704	Eregli Demir ve Celik Fabrikalari TAS		1,512,071
	113,763	Goodyear Lastikleri TAS *		73,497
	1,237,066	KOC Holding AS		2,508,686
	40,607	Koza Altin Isletmeleri AS *		430,813
	70,727	Koza Anadolu Metal Madencilik Isletmeleri AS *		123,940
	152,498	Ozak Gayrimenkul Yatirim Ortakligi (REIT) *		77,909
	305,378	Selcuk Ecza Deposu Ticaret ve Sanayi AS		332,619
	249,535	Soda Sanayii AS		232,275
	10,924	Tofas Turk Otomobil Fabrikasi AS		33,552
	397,470	Trakya Cam Sanayii AS		212,710
	1,080	Turkcell Iletisim Hizmetleri AS		2,100
	2,752,822	Turkiye Garanti Bankasi AS *		2,534,609
	3,774,115	Turkiye Is Bankasi AS – Class C *		2,528,457
	738,772	Turkiye Vakiflar Bankasi TAO – Class D *		409,947
		Total Turkey		14,315,069
		United Arab Emirates — 0.1%
	26,248	Abu Dhabi Commercial Bank PJSC		39,524
	31,478	Abu Dhabi Islamic Bank PJSC		34,231
	126,023	Dubai Islamic Bank PJSC		140,299
	75,698	Emaar Malls PJSC *		28,577
	3,009,468	Emaar Properties PJSC *		2,353,032
	13,770	Emirates NBD Bank PJSC		40,398
		Total United Arab Emirates		2,636,061
		United Kingdom — 5.1%
	708,709	3i Group Plc		8,708,974
	88,449	888 Holdings Plc		233,753
	22,447	Aggreko Plc		141,385
	52,401	Alliance Pharma Plc		51,476

24 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	105,686	Anglo American Plc		2,597,201
	15,188	Ashtead Group Plc		526,607
	4,577	Avast Plc		32,729
	51,950	AVEVA Group Plc		3,509,458
	14,675	Bank of Georgia Group Plc *		182,049
	943,508	Barratt Developments Plc		6,588,610
	77,071	Bellway Plc		2,448,370
	107,177	Berkeley Group Holdings Plc (The)		6,477,075
	27,304	Biffa Plc		74,112
	156,967	British American Tobacco Plc		5,290,576
	129,100	British American Tobacco Plc Sponsored ADR		4,359,707
	637,317	Centamin Plc		1,790,333
	13,066	Central Asia Metals Plc		30,576
	51,430	CMC Markets Plc		220,472
	39,574	Coca-Cola HBC AG *		1,051,216
	189,608	Compass Group Plc		3,068,228
	50,261	Computacenter Plc		1,366,437
	5,844	Cranswick Plc		289,683
	9,283	Daily Mail & General Trust Plc – Class A		80,487
	9,342	Dart Group Plc		88,220
	119,260	Dixons Carphone Plc		147,537
	68,238	Dunelm Group Plc		1,298,143
	132,231	Electrocomponents Plc		1,196,254
	17,884	EMIS Group Plc		244,714
	24,807	Ferguson Plc		2,432,708
	671,411	Ferrexpo Plc		1,649,890
	125,130	Frasers Group Plc *		582,327
	17,315	Galliford Try Holdings Plc		19,567
	5,444	Games Workshop Group Plc		668,930
	25,817	Go-Ahead Group Plc (The)		225,848
	20,058	Greggs Plc		378,934
	40,507	Halfords Group Plc		89,277
	24,505	Howden Joinery Group Plc		183,056
	222,800	HSBC Holdings Plc		965,895
	219,632	IG Group Holdings Plc		2,287,170
	18,917	IMI Plc		263,216
	107,342	Inchcape Plc *		723,105
	127,082	Indivior Plc *		201,666
	17,699	Intermediate Capital Group Plc		320,398
	383,014	International Consolidated Airlines Group SA (b)		1,026,343
	32,655	International Personal Finance Plc		29,858
	327,662	J Sainsbury Plc		805,099
	240,712	JD Sports Fashion Plc		2,316,486
	80,203	John Laing Group Plc		309,019
	2,265	Johnson Matthey Plc		71,436
	58,538	Jupiter Fund Management Plc		163,462
	267,028	Kingfisher Plc		971,067
	763,997	Legal & General Group Plc		2,196,057
	51,972	Lookers Plc (e)		14,589

Shares		Description	Value ($)
		United Kingdom — continued
	41,995	Meggitt Plc		161,726
	28,172	Micro Focus International Plc		111,766
	84,611	Mitchells & Butlers Plc *		194,508
	1,093	Mondi Plc		21,506
	103,153	Morgan Advanced Materials Plc		319,696
	19,072	Morgan Sindall Group Plc		320,988
	186,890	National Express Group Plc		316,709
	11,992	Next Plc		960,882
	31,496	Numis Corp Plc		122,551
	32,433	OneSavings Bank Plc		132,004
	79,944	Paragon Banking Group Plc		379,646
	55,233	Pennon Group Plc		737,968
	398,164	Persimmon Plc		13,835,497
	295,806	Pets at Home Group Plc		1,153,548
	156,330	Plus500 Ltd		3,042,335
	190,397	Premier Foods Plc *		213,873
	588,778	QinetiQ Group Plc		2,278,487
	54,135	Redde Northgate Plc		136,026
	15,424	Redrow Plc		93,352
	120,448	Royal Dutch Shell Plc – A Shares (b)		1,789,996
	63,990	Royal Dutch Shell Plc – B Shares		900,257
	8,100	Royal Dutch Shell Plc – Class B Sponsored ADR		227,610
	12,791	RPS Group Plc		7,222
	89,136	Sirius Real Estate Ltd		89,154
	13,500	Smith & Nephew Plc Sponsored ADR		548,775
	42,338	Smiths Group Plc		785,818
	54,585	Softcat Plc		1,010,908
	308,036	Spirent Communications Plc		1,210,202
	68,769	Stock Spirits Group Plc		199,067
	529,467	Tate & Lyle Plc		4,800,622
	66,136	TI Fluid Systems Plc *		139,922
	7,035	Ultra Electronics Holdings Plc		216,777
	11,456	United Utilities Group Plc		125,875
	32,718	Vesuvius Plc		175,994
	41,635	Vistry Group Plc		354,634
	44,911	WM Morrison Supermarkets Plc (b)		114,925
		Total United Kingdom		108,220,611
		United States — 7.8%
	3,300	1st Source Corp.		113,685
	116,003	ACCO Brands Corp.		751,699
	47,100	Acushnet Holdings Corp. (b) (c)		1,662,159
	13,600	Adtalem Global Education, Inc. * (b)		451,520
	31,000	ADTRAN, Inc.		343,790
	3,300	Allied Motion Technologies, Inc.		140,547
	41,600	Allscripts Healthcare Solutions, Inc. *		371,488
	18,200	Alpha & Omega Semiconductor Ltd. *		246,610
	6,400	Amalgamated Bank – Class A		75,328
	8,100	American Equity Investment Life Holding Co.		193,671

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	30,456	American Express Co. (b)		3,094,025
	5,200	American Public Education, Inc. *		163,488
	5,900	American Vanguard Corp.		83,485
	19,900	Amneal Pharmaceuticals, Inc. * (b)		81,789
	18,300	AngioDynamics, Inc. *		171,379
	12,863	Applied Materials, Inc. (c)		792,361
	10,000	ArcBest Corp. (b)		338,200
	7,100	Arcosa, Inc.		328,659
	4,700	Arcus Biosciences, Inc. *		111,860
	8,400	Ares Commercial Real Estate Corp. (REIT)		83,664
	55,900	Arlo Technologies, Inc. *		320,307
	1,000	Arrow Financial Corp.		28,650
	11,100	Associated Banc-Corp.		149,184
	1,900	Atlas Air Worldwide Holdings, Inc. *		107,141
	16,800	AutoNation, Inc. *		955,248
	30,600	Avient Corp.		780,912
	300	Axcelis Technologies, Inc. *		7,089
	10,500	AZZ, Inc.		364,665
	1,500	Bancorp, Inc. (The) *		14,250
	6,000	BankFinancial Corp.		43,560
	1,300	Bar Harbor Bankshares		26,338
	47,600	Benchmark Electronics, Inc.		933,436
	44,500	Big Lots, Inc.		2,098,175
	14,300	Bloomin’ Brands, Inc. (b)		205,062
	1,300	Booking Holdings, Inc. * (b)		2,483,585
	76,200	BorgWarner, Inc. (c)		3,092,958
	21,100	Boston Private Financial Holdings, Inc.		125,334
	41,800	Brady Corp. – Class A (c)		1,960,002
	2,800	Bridge Bancorp, Inc.		56,028
	33,800	Brightsphere Investment Group, Inc.		468,468
	38,000	Brinker International, Inc.		1,711,520
	5,500	Brookline Bancorp, Inc.		52,800
	48,600	Builders FirstSource, Inc. * (c)		1,488,132
	1,700	Calix, Inc. *		33,065
	3,100	Camden National Corp.		101,231
	3,100	Carriage Services, Inc.		68,634
	39,500	Cars.com, Inc. * (b)		342,860
	1,500	Cathay General Bancorp		37,035
	4,600	Cato Corp. (The) – Class A		36,800
	13,900	CBIZ, Inc. *		338,048
	3,700	Central Garden & Pet Co. *		150,553
	13,000	Central Garden & Pet Co. – Class A *		483,080
	2,100	Century Bancorp, Inc. – Class A		147,945
	700	Cerence, Inc. *		37,240
	57,429	Charles Schwab Corp. (The)		2,040,452
	79,047	Cheesecake Factory, Inc. (The) (b)		2,334,258
	25,200	Chevron Corp.		2,115,036
	2,700	Civista Bancshares, Inc.		36,045
	9,240	Clarus Corp.		116,332
	2,000	CNB Financial Corp.		31,900

Shares		Description	Value ($)
		United States — continued
	1,900	Community Trust Bancorp, Inc.		61,313
	14,900	Computer Programs & Systems, Inc.		407,664
	39,400	Comtech Telecommunications Corp.		654,040
	23,200	Consolidated Communications Holdings, Inc. *		180,496
	5,400	Cooper Tire & Rubber Co.		186,678
	21,200	Core-Mark Holding Co., Inc.		708,504
	146,100	CoreCivic, Inc. (REIT) (c)		1,360,191
	68,600	CorePoint Lodging, Inc. (REIT)		389,648
	68,500	Corteva, Inc.		1,955,675
	7,015	CRA International, Inc.		298,208
	12,400	CSG Systems International, Inc.		527,868
	4,700	CTS Corp.		98,230
	4,500	Curo Group Holdings Corp.		34,650
	20,400	CytomX Therapeutics, Inc. *		148,920
	13,400	Deluxe Corp.		380,560
	44,400	Designer Brands, Inc. – Class A (b)		313,020
	29,400	DHI Group, Inc. *		71,442
	400	Diamond Hill Investment Group, Inc.		49,564
	18,600	Dick’s Sporting Goods, Inc. (b)		1,006,632
	17,100	Digi International, Inc. * (b)		232,902
	14,440	Dime Community Bancshares, Inc.		186,276
	43,700	Donnelley Financial Solutions, Inc. *		476,330
	13,200	DSP Group, Inc. *		189,288
	6,900	Ducommun, Inc. *		257,853
	15,400	Ellington Financial, Inc. (REIT)		191,884
	3,800	Employers Holdings, Inc.		123,804
	3,300	Enanta Pharmaceuticals, Inc. * (b)		172,227
	12,900	Encore Capital Group, Inc. * (b)		592,626
	2,600	Encore Wire Corp.		134,186
	154,300	Endo International Plc *		464,443
	9,200	Ennis, Inc.		168,636
	60,834	Enova International, Inc. *		1,039,045
	1,900	EnPro Industries, Inc.		111,188
	57,057	EOG Resources, Inc.		2,586,964
	2,400	ePlus, Inc. *		184,128
	1,800	Escalade, Inc.		32,634
	1,900	ESSA Bancorp, Inc. (b)		24,320
	4,300	Essent Group Ltd. (c)		153,510
	45,500	Ethan Allen Interiors, Inc.		647,920
	12,700	Evolution Petroleum Corp.		34,671
	42,200	Federal Signal Corp. (c)		1,355,464
	32,200	Federated Hermes, Inc.		769,902
	5,550	FedNat Holding Co.		47,120
	2,200	Ferro Corp. *		27,434
	4,400	Financial Institutions, Inc.		75,812
	2,600	First Community Bankshares, Inc.		50,024
	3,535	First Financial Corp.		121,569
	1,800	First Financial Northwest, Inc.		17,244
	53,600	Flagstar Bancorp, Inc. (c)		1,684,112
	4,700	Flushing Financial Corp.		57,011

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,600	FONAR Corp. *		65,962
	8,400	FutureFuel Corp.		101,640
	24,700	Garrett Motion, Inc. *		67,925
	15,200	Genesco, Inc. *		296,400
	19,900	Genie Energy Ltd. – Class B (b)		175,916
	112,400	GEO Group, Inc. (REIT)		1,254,384
	1,600	Gibraltar Industries, Inc. * (b)		99,912
	9,300	Gorman-Rupp Co. (The)		297,135
	200	Graham Holdings Co. – Class B		85,590
	685	Great Southern Bancorp, Inc.		26,400
	26,600	Greif, Inc. – Class A		980,210
	34,400	Griffon Corp. (b)		747,512
	28,200	Group 1 Automotive, Inc. (b) (c)		2,437,608
	12,000	H&R Block, Inc. (b)		174,000
	24,600	Hasbro, Inc. (b)		1,941,924
	27,600	Haverty Furniture Cos, Inc.		582,912
	300	Hawkins, Inc.		15,066
	7,400	HealthStream, Inc. *		153,291
	900	Heartland Financial USA, Inc.		30,987
	7,000	Heidrick & Struggles International, Inc.		151,410
	2,100	Heritage Financial Corp.		41,874
	54,530	Herman Miller, Inc. (c)		1,299,450
	6,300	Hibbett Sports, Inc. *		210,231
	24,300	Hilltop Holdings, Inc.		500,580
	23,028	Hilton Worldwide Holdings, Inc.		2,080,810
	13,400	HNI Corp.		426,790
	11,961	Honeywell International, Inc.		1,980,144
	1,600	Hurco Cos, Inc.		45,248
	10,500	Hyster-Yale Materials Handling, Inc. (b)		423,570
	12,500	IDT Corp. – Class B *		81,500
	12,600	Illinois Tool Works, Inc. (b)		2,489,130
	5,646	Independent Bank Corp.		84,182
	12,200	Information Services Group, Inc. *		25,071
	5,700	Ingles Markets, Inc. – Class A		230,280
	20,005	Innospec, Inc.		1,494,173
	600	Inogen, Inc. *		18,138
	33,600	Insight Enterprises, Inc. * (b) (c)		2,009,448
	3,200	Insteel Industries, Inc.		59,008
	10,300	Integer Holdings Corp. *		713,378
	6,200	Inter Parfums, Inc.		276,954
	8,200	Interface, Inc.		61,992
	23,900	International Bancshares Corp. (c)		754,762
	156,600	Investors Bancorp, Inc.		1,213,650
	6,300	Johnson Outdoors, Inc. – Class A		539,973
	12,700	Kelly Services, Inc. – Class A		241,173
	400	Kforce, Inc.		13,736
	10,100	Kimball Electronics, Inc. *		136,198
	32,900	Kimball International, Inc. – Class B		368,809
	14,800	Knoll, Inc.		190,476
	6,700	Koppers Holdings, Inc. *		161,202

Shares		Description	Value ($)
		United States — continued
	5,600	Kronos Worldwide, Inc.		69,944
	27,300	La-Z-Boy, Inc.		887,250
	2,300	Lakeland Financial Corp.		105,087
	10,900	Lantheus Holdings, Inc. *		146,278
	10,255	Laredo Petroleum, Inc. * (b)		167,669
	40,684	Las Vegas Sands Corp.		2,063,086
	3,000	LCNB Corp.		43,980
	89,300	Liberty TripAdvisor Holdings, Inc. – Class A *		250,040
	30,800	Luminex Corp.		822,052
	73,400	Lyft, Inc. – Class A * (b)		2,177,778
	4,800	Macatawa Bank Corp.		35,136
	15,400	Marchex, Inc. – Class B *		27,566
	2,022	Markel Corp. * (b)		2,197,570
	15,700	Materion Corp. (c)		857,063
	18,877	Matrix Service Co. *		174,423
	19,700	MDC Holdings, Inc.		854,586
	46,800	MDC Partners Inc – Class A *		102,492
	1,600	Mercantile Bank Corp.		34,944
	25,100	Meridian Bioscience, Inc. *		354,914
	50,400	Meritor, Inc. * (c)		1,147,104
	5,300	Methode Electronics, Inc.		150,043
	39,770	Micron Technology, Inc. *		1,809,933
	3,200	MicroStrategy, Inc. – Class A *		462,208
	2,100	Miller Industries, Inc.		65,877
	1,200	Minerals Technologies, Inc.		60,900
	30,800	Modine Manufacturing Co. *		208,516
	24,900	Moog, Inc. – Class A		1,501,221
	25,000	Movado Group, Inc.		272,750
	11,800	Mueller Industries, Inc.		350,460
	2,200	National Presto Industries, Inc. (b)		197,846
	5,500	Natus Medical, Inc. *		99,880
	27,200	Nautilus, Inc. *		322,320
	7,700	Neenah, Inc.		340,956
	12,700	NETGEAR, Inc. *		423,545
	179,700	Newmark Group, Inc. – Class A		796,071
	6,900	NextGen Healthcare, Inc. *		91,494
	942	Northrim BanCorp, Inc.		25,349
	3,700	Northwest Bancshares, Inc. (b)		37,407
	300	Nu Skin Enterprises, Inc. – Class A		14,181
	10,500	nVent Electric Plc		200,760
	15,190	ODP Corp. (The) (b)		355,142
	37,900	OFG Bancorp		486,636
	1,300	Old National Bancorp		18,174
	7,200	Olympic Steel, Inc. (b)		79,200
	8,900	OneSpan, Inc. *		191,795
	7,906	Oppenheimer Holdings, Inc. – Class A		193,144
	5,800	OraSure Technologies, Inc. * (b)		67,976
	35,800	Owens & Minor, Inc.		593,564
	2,000	Park National Corp.		179,820
	4,600	Park-Ohio Holdings Corp. (b)		72,772

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	49,900	Patterson Cos., Inc.		1,447,599
	11,100	PC Connection, Inc. (b)		491,619
	61,200	PDL BioPharma, Inc. *		205,020
	27,300	Penn Virginia Corp. * (b)		311,766
	600	Penns Woods Bancorp, Inc.		12,450
	43,500	PennyMac Financial Services, Inc. (b)		2,293,320
	84,600	PennyMac Mortgage Investment Trust (REIT)		1,450,044
	38,900	Perdoceo Education Corp. *		558,993
	3,400	Phibro Animal Health Corp. – Class A		72,964
	14,500	Photronics, Inc. *		145,435
	400	Preformed Line Products Co.		21,764
	2,900	Premier Financial Bancorp, Inc.		37,178
	20,200	Premier Financial Corp.		369,155
	42,900	Prestige Consumer Healthcare, Inc. *		1,562,847
	17,100	Progress Software Corp.		647,919
	3,600	Protective Insurance Corp. – Class B		51,696
	1,200	Providence Service Corp. (The) *		111,108
	5,200	Quanex Building Products Corp.		87,412
	26,200	Radian Group, Inc. (c)		404,528
	42,465	Raytheon Technologies Corp.		2,590,365
	27,800	Realogy Holdings Corp.		308,024
	3,600	Reliance Steel & Aluminum Co.		377,532
	8,400	Renewable Energy Group, Inc. *		280,812
	1,800	Republic Bancorp, Inc. – Class A		55,368
	61,700	Resideo Technologies, Inc. *		824,312
	26,200	Resources Connection, Inc.		321,998
	4,300	Retail Properties of America, Inc. – Class A (REIT)		27,133
	3,665	Riverview Bancorp, Inc.		15,136
	6,600	Rocky Brands, Inc.		158,928
	9,900	Sally Beauty Holdings, Inc. *		110,484
	79,700	Sanmina Corp. * (c)		2,255,510
	12,700	Scholastic Corp.		285,750
	37,700	Schweitzer-Mauduit International, Inc. (b)		1,143,441
	20,500	Sciplay Corp. – Class A *		270,292
	17,700	Select Medical Holdings Corp. *		355,239
	3,700	Seneca Foods Corp. – Class A *		175,232
	72,260	Sensata Technologies Holding Plc *		3,008,906
	17,000	Shoe Carnival, Inc.		558,960
	7,100	Sierra Bancorp		126,877
	700	Silgan Holdings, Inc.		26,642
	38,000	Sonic Automotive, Inc. – Class A (b) (c)		1,605,880
	142,700	Southwestern Energy Co. * (b)		396,706
	22,600	SpartanNash Co.		451,548
	33,100	Spok Holdings, Inc.		358,804
	4,500	Standard Motor Products, Inc.		204,480
	60,400	Steelcase, Inc. – Class A		631,180
	5,000	Stepan Co.		576,450
	26,100	Stoneridge, Inc. *		527,220
	12,900	StoneX Group, Inc. *		731,430

Shares		Description	Value ($)
		United States — continued
	105,000	Summit Hotel Properties, Inc. (REIT) (b)		618,450
	42,300	Sunstone Hotel Investors, Inc. (REIT) (c)		352,359
	21,000	Surgalign Holdings, Inc. * (b)		46,620
	3,000	Surmodics, Inc. *		135,750
	30,200	Sykes Enterprises, Inc. * (b)		999,771
	10,500	Systemax, Inc.		232,995
	154,336	TEGNA, Inc. (c)		1,932,287
	57,400	Telephone & Data Systems, Inc. (c)		1,327,662
	1,900	Tennant Co.		126,293
	22,200	Terex Corp.		434,454
	3,800	Territorial Bancorp, Inc.		80,408
	700	Timberland Bancorp, Inc.		12,243
	3,900	Towne Bank/Portsmouth VA		69,147
	20,900	Tredegar Corp.		353,837
	15,400	TRI Pointe Group, Inc. *		259,952
	24,700	Tribune Publishing Co.		280,345
	6,500	TriCo Bancshares		179,985
	7,900	TrustCo Bank Corp.		47,084
	31,800	UFP Industries, Inc.		1,887,330
	10,900	United States Cellular Corp. *		396,542
	1,200	United Therapeutics Corp. *		128,352
	18,200	Uniti Group, Inc. (REIT)		178,724
	33,700	Universal Corp. (c)		1,462,917
	1,500	Universal Electronics, Inc. *		61,620
	2,600	Universal Insurance Holdings, Inc.		48,230
	86,009	US Bancorp (c)		3,130,728
	3,000	USANA Health Sciences, Inc. *		235,230
	37,300	Valvoline, Inc.		760,920
	4,200	Vanda Pharmaceuticals, Inc. *		43,218
	20,000	Vectrus, Inc. *		868,200
	45,800	Vera Bradley, Inc. *		241,366
	11,000	Veritiv Corp. *		191,180
	43,881	Verso Corp. – Class A		575,280
	38,249	VF Corp.		2,514,872
	3,200	Village Super Market, Inc. – Class A		81,408
	17,200	Vista Outdoor, Inc. *		333,852
	64,800	Waddell & Reed Financial, Inc. – Class A (b)		1,020,600
	26,800	Walker & Dunlop, Inc. (c)		1,468,104
	16,200	Waterstone Financial, Inc.		250,938
	4,900	Weis Markets, Inc.		241,227
	75,556	Wells Fargo & Co.		1,824,677
	2,300	Westwood Holdings Group, Inc.		26,174
	79,900	World Fuel Services Corp. (c)		2,109,360
	13,700	Worthington Industries, Inc.		568,961
	120,004	Xenia Hotels & Resorts, Inc. (REIT)		1,077,636
	23,700	Xperi Holding Corp.		296,961
	20,400	Zumiez, Inc. *		523,872
		Total United States		165,695,188

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Vietnam — 0.0%
	71,230	Kinh Bac City Development Share Holding Corp		42,055
	13,660	PetroVietnam Gas JSC		43,541
	142,000	PetroVietnam Technical Services Corp		77,025
	20,810	Vinh Hoan Corp *		34,132
		Total Vietnam		196,753
		TOTAL COMMON STOCKS (COST $1,391,242,925)		1,402,153,042
		PREFERRED STOCKS (f) — 1.6%
		Brazil — 0.4%
	34,800	Banco do Estado do Rio Grande do Sul SA – Class B		83,340
	303,421	Bradespar SA		2,436,340
	96,700	Cia de Saneamento do Parana		93,373
	248,000	Cia Paranaense de Energia – Class B		2,796,649
	17,100	Lojas Americanas SA		100,724
	410,100	Telefonica Brasil SA		3,581,123
		Total Brazil		9,091,549
		Colombia — 0.0%
	2,263	Banco Davivienda SA		17,530
	392,888	Grupo Aval Acciones y Valores SA		98,196
		Total Colombia		115,726
		Germany — 0.2%
	8,524	Draegerwerk AG & Co KGaA *		722,797
	25,278	Henkel AG & Co KGaA		2,584,388
	27,707	Schaeffler AG		185,783
	2,328	Sixt SE		131,056
	1,897	Villeroy & Boch AG		25,959
		Total Germany		3,649,983
		Russia — 0.4%
	45,281	Bashneft PJSC		820,075
	56,000	Nizhnekamskneftekhim PJSC		60,499
	13,266,500	Surgutneftegas PJSC		6,649,870
	34	Transneft PJSC		63,242
		Total Russia		7,593,686
		South Korea — 0.6%
	22,409	LG Electronics Inc		609,899
	279,444	Samsung Electronics Co Ltd		11,162,811
	1,245	Samsung Electronics Co Ltd GDR (Registered)		1,280,971
		Total South Korea		13,053,681

Shares / Par Value†		Description	Value ($)
		Taiwan — 0.0%
	20,463	CTBC Financial Holding Co Ltd		45,589
		TOTAL PREFERRED STOCKS (COST $32,639,315)		33,550,214
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	4,109	Ascopiave SPA, Expires 09/30/20 *		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—
		INVESTMENT FUNDS — 0.2%
		United States — 0.2%
	91,106	iShares Core MSCI Emerging Markets ETF		4,855,950
		TOTAL INVESTMENT FUNDS (COST $4,820,646)		4,855,950
		DEBT OBLIGATIONS — 11.5%
		United States — 11.5%
		Asset-Backed Securities — 0.2%
	47,203	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.21%, due 07/24/29		47,220
	138,247	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.99%, due 07/26/31		138,237
	127,847	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.34%, due 04/25/26		127,753
	57,430	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 07/20/25		57,416
	43,400	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 04/15/30		43,400
	347,341	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 10/25/37		345,875
	109,416	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.03%, due 04/25/36		109,390
	186,930	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.98%, due 07/15/31		186,930
	41,306	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.86%, due 04/22/30		41,304
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	23,858	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 01/16/26		23,841
	356,667	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 10/25/31		354,217
	157,216	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 05/16/31		156,414
	404,297	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.55%, due 07/25/29		398,581
	170,373	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/20/31		169,677
	88,047	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.22%, due 07/20/30		87,896
	585,204	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 06/25/37		573,185
	299,460	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/19/30		298,357
	123,918	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.92%, due 01/16/31		123,533
	134,698	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.45%, due 05/15/26		134,322
	347,200	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 04/17/28		347,149
	286,423	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 01/17/30		284,524
	124,661	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 05/25/47		124,007
	72,219	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		72,032
		Total Asset-Backed Securities		4,245,263
		U.S. Government — 11.3%
	49,000,000	U.S. Treasury Note, 1.50%, due 10/31/21 (c)		49,767,539
	35,000,000	U.S. Treasury Note, 1.63%, due 12/31/21 (c)		35,684,961
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.26%, due 01/31/22 (c)		25,041,563
	23,000,000	U.S. Treasury Note, 1.38%, due 01/31/22 (c)		23,397,109
	46,000,000	U.S. Treasury Note, 0.38%, due 03/31/22		46,165,312
	7,000,000	U.S. Treasury Note, 1.88%, due 04/30/22		7,200,977

Par Value† / Shares			Description	Value ($)
			U.S. Government — continued
	50,000,000		U.S. Treasury Note, 1.88%, due 05/31/22		51,511,719
			Total U.S. Government		238,769,180
			Total United States		243,014,443
			TOTAL DEBT OBLIGATIONS (COST $244,255,289)		243,014,443
			MUTUAL FUNDS — 24.6%
			United States — 24.6%
			Affiliated Issuers — 24.6%
	3,230,994		GMO Emerging Country Debt Fund, Class IV		86,719,873
	4,932,332		GMO Emerging Markets Fund, Class VI		157,538,690
	5,213,891		GMO Opportunistic Income Fund, Class VI		134,987,648
	1,626,141		GMO SGM Major Markets Fund, Class VI		53,987,889
	2,549,292		GMO Special Opportunities Fund, Class VI		83,769,728
	1,073,280		GMO U.S. Treasury Fund (g)		5,409,331
			TOTAL MUTUAL FUNDS (COST $479,120,269)		522,413,159
			SHORT-TERM INVESTMENTS — 0.4%
			Money Market Funds — 0.4%
	8,990,300		State Street Institutional Treasury Money Market Fund-Premier Class, 0.03% (h)		8,990,300
			TOTAL SHORT-TERM INVESTMENTS (COST $8,990,300)		8,990,300
			TOTAL INVESTMENTS — 104.3% (Cost $2,161,068,744)		2,214,977,108
			SECURITIES SOLD SHORT — (1.4)%
			Common Stocks — (1.4)%
			Austria — (0.1)%
	(10,387	)	IMMOFINANZ AG *		(171,757	)
	(5,987	)	OMV AG *		(193,802	)
	(1,601	)	Schoeller-Bleckmann Oilfield Equipment AG		(47,771	)
	(58,852	)	voestalpine AG		(1,462,421	)
			Total Austria		(1,875,751	)
			Brazil — (0.2)%
	(77,700	)	Pagseguro Digital Ltd – Class A *		(3,274,278	)
	(3,600	)	StoneCo Ltd – Class A *		(183,600	)
			Total Brazil		(3,457,878	)
			Canada — (0.0)%
	(70,400	)	AltaGas Ltd		(910,529	)

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares			Description	Value ($)
			Denmark — (0.2)%
	(258	)	AP Moller – Maersk A/S – Class A		(366,457	)
	(948	)	AP Moller – Maersk A/S – Class B		(1,452,583	)
	(12,698	)	Chr Hansen Holding A/S		(1,457,445	)
	(8,999	)	Jyske Bank A/S (Registered) *		(268,115	)
	(3,978	)	Tryg A/S		(122,072	)
			Total Denmark		(3,666,672	)
			Finland — (0.0)%
	(18,121	)	Nokian Renkaat Oyj		(505,329	)
			France — (0.0)%
	(13,273	)	ArcelorMittal SA *		(167,196	)
	(18,103	)	Electricite de France SA		(190,428	)
			Total France		(357,624	)
			Germany — (0.2)%
	(320,640	)	Deutsche Bank AG (Registered) *		(3,074,456	)
	(58,681	)	thyssenkrupp AG *		(422,662	)
			Total Germany		(3,497,118	)
			Israel — (0.1)%
	(6,600	)	Wix.com Ltd *		(1,944,558	)
			Japan — (0.4)%
	(13,100	)	Coca-Cola Bottlers Japan Holdings Inc		(218,055	)
	(118	)	Daiwa House REIT Investment Corp		(308,302	)
	(2,000	)	Hitachi Metals Ltd		(29,947	)
	(8,500	)	IHI Corp		(125,793	)
	(24,400	)	Japan Lifeline Co Ltd		(324,767	)
	(10	)	Japan Prime Realty Investment Corp (REIT)		(30,196	)
	(54	)	Japan Real Estate Investment Corp		(302,394	)
	(96	)	Japan Retail Fund Investment Corp (REIT)		(144,481	)
	(101,400	)	JGC Holding Corp		(1,117,262	)
	(1,800	)	JINS Holdings Inc		(124,197	)
	(12,800	)	Kansai Paint Co Ltd		(304,501	)
	(10,900	)	Keikyu Corp		(162,684	)
	(11,100	)	Kobe Steel Ltd *		(42,538	)
	(46,400	)	Kyushu Electric Power Co Inc		(411,460	)
	(2,900	)	Maruichi Steel Tube Ltd		(77,750	)
	(9,600	)	Mitsubishi Materials Corp		(201,382	)
	(70,600	)	Mitsui OSK Lines Ltd		(1,304,442	)
	(36	)	Nippon Building Fund Inc (REIT)		(216,778	)
	(87,600	)	Nippon Yusen KK		(1,368,141	)
	(124	)	Nomura Real Estate Master Fund Inc (REIT)		(158,938	)
	(205,600	)	Orient Corp		(226,931	)
	(64	)	Orix JREIT Inc (REIT)		(95,081	)
	(3,300	)	PeptiDream Inc *		(133,981	)
	(1,000	)	Sumitomo Metal Mining Co Ltd		(30,505	)
	(34	)	United Urban Investment Corp (REIT)		(37,789	)

Shares			Description	Value ($)
			Japan — continued
	(7,000	)	Yamato Holdings Co Ltd		(183,091	)
	(4,400	)	Yaskawa Electric Corp		(158,005	)
			Total Japan		(7,839,391	)
			Netherlands — (0.0)%
	(948	)	Just Eat Takeaway *		(105,871	)
			Norway — (0.0)%
	(2,622	)	Aker BP ASA		(52,157	)
			Singapore — (0.0)%
	(134,600	)	Singapore Post Ltd		(69,156	)
			Spain — (0.1)%
	(18,775	)	Cellnex Telecom SA		(1,206,183	)
			Sweden — (0.1)%
	(44,762	)	Lundin Energy AB		(1,095,578	)
	(6,233	)	Tele2 AB – B Shares		(88,472	)
			Total Sweden		(1,184,050	)
			Switzerland — (0.0)%
	(1,548	)	Dufry AG (Registered) *		(46,875	)
			United Kingdom — (0.1)%
	(304,469	)	G4S Plc		(586,896	)
	(4,748	)	GVC Holdings Plc *		(50,200	)
	(314,738	)	Melrose Industries Plc		(419,945	)
	(33,899	)	Rolls-Royce Holdings Plc		(107,042	)
	(23,497	)	Weir Group Plc (The)		(400,937	)
			Total United Kingdom		(1,565,020	)
			United States — (0.1)%
	(10,388	)	Digital Realty Trust, Inc. (REIT)		(1,616,892	)
			TOTAL COMMON STOCKS (PROCEEDS $27,065,974)		(29,901,054	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $27,065,974)		(29,901,054	)
			Other Assets and Liabilities (net) — (2.9%)		(61,155,433	)
			TOTAL NET ASSETS — 100.0%	$	2,123,920,621

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/21/2020	CITI	AUD	33,756,200		USD	23,574,993		(1,323,630	)
10/06/2020	JPM	AUD	7,030,000		USD	5,079,657		(105,929	)
10/06/2020	MSCI	AUD	11,600,000		USD	8,263,167		(293,417	)
10/19/2020	MSCI	AUD	33,756,200		USD	24,160,413		(740,104	)
09/03/2020	JPM	CAD	1,597,956		USD	1,180,000		(45,105	)
09/03/2020	MSCI	CAD	2,910,968		USD	2,140,000		(91,753	)
10/14/2020	MSCI	CHF	12,124,537		USD	13,293,428		(136,138	)
09/01/2020	DB	CLP	76,626,000		USD	98,249		(307	)
09/01/2020	JPM	CLP	2,197,473,000		USD	2,732,884		(93,485	)
09/01/2020	MSCI	CLP	926,661,000		USD	1,181,209		(10,654	)
11/02/2020	JPM	CLP	168,163,000		USD	214,877		(1,482	)
11/03/2020	JPM	COP	6,740,805,000		USD	1,793,793		(884	)
09/03/2020	MSCI	EUR	1,580,000		USD	1,789,101		(96,431	)
09/21/2020	CITI	EUR	43,517,733		USD	49,685,723		(2,268,097	)
09/21/2020	DB	EUR	87,035,467		USD	99,458,040		(4,449,601	)
10/19/2020	DB	EUR	40,234,766		USD	47,627,985		(435,755	)
10/19/2020	SSB	EUR	80,469,534		USD	95,243,491		(883,991	)
09/21/2020	CITI	GBP	17,768,050		USD	22,320,720		(1,433,928	)
09/21/2020	DB	GBP	17,768,050		USD	22,337,282		(1,417,366	)
10/14/2020	JPM	GBP	3,870,000		USD	5,068,388		(106,235	)
10/19/2020	BCLY	GBP	16,857,750		USD	22,130,738		(410,397	)
10/19/2020	MSCI	GBP	16,857,750		USD	22,129,548		(411,587	)
09/21/2020	CITI	HKD	142,439,600		USD	18,367,631		(8,355	)
10/19/2020	CITI	HKD	142,439,600		USD	18,376,242		3,861
10/14/2020	BOA	HUF	94,887,520		USD	320,000		1,603
10/14/2020	MSCI	HUF	425,637,358		USD	1,357,782		(70,454	)
10/26/2020	BCLY	INR	50,672,910		USD	672,429		(14,855	)
09/09/2020	JPM	JPY	262,062,266		USD	2,450,000		(24,440	)
09/09/2020	MSCI	JPY	189,700,817		USD	1,800,000		8,810
09/23/2020	DB	JPY	2,956,124,300		USD	27,935,893		17,752
09/23/2020	MSCI	JPY	8,120,895,100		USD	75,854,876		(840,244	)
10/19/2020	BOA	JPY	1,206,413,800		USD	11,360,681		(36,669	)
10/19/2020	DB	JPY	1,568,745,500		USD	14,796,897		(23,509	)
10/19/2020	MSCI	JPY	6,527,499,600		USD	61,263,091		(404,143	)
09/29/2020	BCLY	KRW	944,752,500		USD	790,000		(5,505	)
09/29/2020	CITI	KRW	359,085,000		USD	300,000		(2,358	)
09/29/2020	JPM	KRW	429,508,800		USD	360,000		(1,657	)
09/29/2020	MSCI	KRW	1,286,451,400		USD	1,080,000		(3,224	)
09/04/2020	JPM	NOK	30,102,941		USD	3,344,407		(101,623	)
10/20/2020	JPM	NOK	10,571,436		USD	1,200,000		(10,491	)
10/05/2020	JPM	NZD	1,860,000		USD	1,224,007		(28,827	)
11/03/2020	MSCI	PEN	1,548,470		USD	440,670		3,796
09/01/2020	BCLY	PHP	10,505,670		USD	210,000		(6,679	)
09/01/2020	CITI	PHP	6,042,600		USD	120,000		(4,628	)
09/01/2020	JPM	PHP	13,731,930		USD	270,000		(13,220	)
09/01/2020	MSCI	PHP	30,280,200		USD	624,373		(155	)
10/01/2020	MSCI	PHP	19,520,850		USD	401,226		(934	)
09/15/2020	JPM	PLN	7,188,388		USD	1,827,456		(124,524	)
10/15/2020	BCLY	RUB	131,949,000		USD	1,839,018		70,100
10/05/2020	BCLY	SEK	7,758,427		USD	890,000		(7,298	)
10/19/2020	BCLY	SGD	368,301		USD	270,000		(708	)
10/19/2020	MSCI	SGD	369,268		USD	270,000		(1,419	)
10/15/2020	BCLY	THB	36,373,933		USD	1,150,000		(18,550	)
10/15/2020	BOA	THB	8,511,723		USD	270,000		(3,448	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/17/2020	JPM	TRY	4,179,301		USD	557,984		(8,819	)
10/06/2020	BCLY	TWD	16,323,580		USD	560,000		3,153
10/06/2020	JPM	TWD	9,047,660		USD	310,000		1,357
09/21/2020	BNYM	USD	6,426,413		AUD	8,969,700		189,650
10/19/2020	BOA	USD	2,719,325		AUD	3,691,700		3,886
11/04/2020	MSCI	USD	1,244,066		BRL	6,393,377		(79,294	)
09/03/2020	GS	USD	950,000		CAD	1,269,540		23,319
09/03/2020	JPM	USD	10,540,000		CAD	14,098,239		268,703
09/03/2020	MSCI	USD	4,666,147		CAD	6,368,476		216,375
10/14/2020	JPM	USD	1,300,000		CHF	1,179,354		6,295
09/01/2020	DB	USD	100,000		CLP	76,626,000		(1,444	)
09/01/2020	JPM	USD	2,809,808		CLP	2,197,473,000		16,560
09/01/2020	MSCI	USD	1,196,939		CLP	926,661,000		(5,076	)
10/19/2020	BOA	USD	510,000		CZK	11,236,398		608
09/03/2020	DB	USD	1,773,580		EUR	1,580,000		111,952
09/21/2020	BNYM	USD	19,084,721		EUR	16,082,300		115,198
09/21/2020	DB	USD	3,851,052		EUR	3,220,000		(6,842	)
10/19/2020	BNYM	USD	10,122,589		EUR	8,566,400		110,681
10/27/2020	BOA	USD	840,448		EUR	720,000		19,795
10/27/2020	JPM	USD	4,882,125		EUR	4,140,000		64,269
10/27/2020	MSCI	USD	1,827,355		EUR	1,530,000		660
09/21/2020	SSB	USD	3,490,647		GBP	2,645,600		46,336
10/14/2020	JPM	USD	2,994,158		GBP	2,270,000		41,086
10/19/2020	SSB	USD	4,187,502		GBP	3,202,900		95,216
09/21/2020	BNYM	USD	7,982,137		HKD	61,863,200		(1,230	)
10/19/2020	JPM	USD	1,927,875		HKD	14,945,800		(111	)
10/14/2020	BCLY	USD	200,000		HUF	58,240,200		(4,574	)
10/14/2020	CITI	USD	500,000		HUF	146,641,570		(7,941	)
10/14/2020	MSCI	USD	160,000		HUF	46,753,536		(3,117	)
09/21/2020	JPM	USD	712,570		IDR	10,558,151,000		10,508
09/21/2020	MSCI	USD	250,000		IDR	3,700,550,000		3,433
10/30/2020	JPM	USD	1,216,370		ILS	4,097,889		6,257
10/26/2020	BCLY	USD	340,000		INR	25,612,540		7,386
10/26/2020	JPM	USD	480,000		INR	36,065,760		9,165
09/09/2020	GS	USD	1,170,000		JPY	124,220,772		2,915
09/09/2020	JPM	USD	11,995,526		JPY	1,313,577,221		407,512
09/23/2020	BOA	USD	3,948,455		JPY	418,298,900		2,031
09/23/2020	DB	USD	8,105,120		JPY	858,502,100		2,721
10/19/2020	DB	USD	4,612,177		JPY	488,461,400		2,463
09/29/2020	MSCI	USD	1,016,954		KRW	1,222,155,000		12,131
10/21/2020	JPM	USD	295,288		MXN	6,570,420		3,193
09/04/2020	JPM	USD	3,311,422		NOK	30,102,941		134,608
10/05/2020	BCLY	USD	79,958		NZD	120,000		871
10/05/2020	JPM	USD	3,871,468		NZD	5,880,000		89,107
09/01/2020	BCLY	USD	216,625		PHP	10,505,670		54
09/01/2020	CITI	USD	124,597		PHP	6,042,600		31
09/01/2020	JPM	USD	283,150		PHP	13,731,930		70
09/01/2020	MSCI	USD	612,710		PHP	30,280,200		11,817
09/15/2020	BOA	USD	810,000		PLN	3,025,246		11,494
09/15/2020	CITI	USD	1,836,321		PLN	7,038,941		75,076
09/15/2020	DB	USD	1,010,000		PLN	3,758,926		10,721
09/15/2020	JPM	USD	23,679		PLN	90,265		832
09/30/2020	BCLY	USD	360,000		RON	1,477,217		3,724
09/30/2020	CITI	USD	150,000		RON	614,084		1,201

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/15/2020	BCLY	USD	710,000		RUB	52,887,516		(986	)
10/15/2020	CITI	USD	230,000		RUB	16,886,347		(3,620	)
10/05/2020	JPM	USD	12,302,009		SEK	107,052,084		79,065
10/15/2020	BCLY	USD	330,000		THB	10,281,942		318
10/15/2020	JPM	USD	177,176		THB	5,559,246		1,421
10/06/2020	JPM	USD	360,000		TWD	10,532,160		(716	)
10/06/2020	MSCI	USD	1,230,020		TWD	35,750,530		(10,460	)
10/30/2020	JPM	USD	1,766,656		ZAR	29,439,735		(40,588	)
							$	(14,357,865	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
66	Mini MSCI Emerging Markets	September 2020		3,631,320		432,102
Sales
1,490	E-mini Russell 2000 Index	September 2020		116,316,850		(12,597,775	)
6,748	Euro STOXX 50	September 2020		263,297,146		(5,046,658	)
1,055	FTSE 100 Index	September 2020		83,615,882		3,525,775
164	Hang Seng Index	September 2020		26,471,017		371,253
1,776	S&P 500 E-Mini	September 2020		310,702,320		(36,850,581	)
76	SGX Nifty 50	September 2020		1,727,236		15,097
363	SPI 200	September 2020		40,193,562		(1,353,186	)
1,141	TOPIX Index	September 2020		173,810,503		913,553
			$	1,016,134,516	$	(51,022,522	)

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

Reverse Repurchase Agreements

Average balance outstanding	$	(20,500,000	)
Average interest rate (net)		(0.65	)%
Maximum balance outstanding	$	(20,500,000	)

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

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month AUD BBSW	0.19%	AUD	16,456,000		09/16/2022	Quarterly		1,969		7,699			5,730
(0.68)%	6 Month CHF LIBOR	CHF	21,771,000		09/16/2022	Semiannually		—		17,843			17,843
6 Month CHF LIBOR	(0.63)%	CHF	3,960,000		09/16/2022	Semiannually		283		742			459
6 Month CHF LIBOR	(0.65)%	CHF	2,940,000		09/16/2022	Semiannually		—		(600	)		(600	)
3 Month NZD Bank Bill Rate	0.09%	NZD	6,820,000		09/16/2022	Quarterly		—		1,972			1,972
0.21%	3 Month NZD Bank Bill Rate	NZD	19,967,000		09/16/2022	Quarterly		—		(38,714	)		(38,714	)
0.19%	3 Month NZD Bank Bill Rate	NZD	10,310,000		09/16/2022	Quarterly		—		(16,172	)		(16,172	)
(0.04)%	3 Month SEK STIBOR	SEK	179,420,000		09/16/2022	Quarterly		—		6,111			6,111
(0.03)%	3 Month SEK STIBOR	SEK	180,400,000		09/16/2022	Quarterly		—		2,386			2,386
(0.03)%	3 Month SEK STIBOR	SEK	364,650,000		09/16/2022	Quarterly		3,115		4,400			1,285

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month SEK STIBOR	0.02%	SEK	88,700,000		09/16/2022	Quarterly		—			7,247			7,247
(0.02)%	3 Month SEK STIBOR	SEK	52,200,000		09/16/2022	Quarterly		—			(639	)		(639	)
0.56%	3 Month CAD LIBOR	CAD	37,811,000		09/19/2022	Semiannually		3,717			(6,922	)		(10,639	)
6 Month EURIBOR	(0.44)%	EUR	2,800,000		09/21/2022	Semiannually		(360	)		(533	)		(173	)
6 Month GBP LIBOR	0.10%	GBP	27,690,000		09/21/2022	Semiannually		(3,651	)		(5,258	)		(1,607	)
6 Month GBP LIBOR	0.10%	GBP	34,633,000		09/21/2022	Semiannually		3,928			(10,305	)		(14,233	)
0.12%	6 Month GBP LIBOR	GBP	6,680,000		09/21/2022	Semiannually		(296	)		(1,609	)		(1,313	)
3 Month USD LIBOR	0.21%	USD	51,335,000		09/21/2022	Quarterly		4,792			(3,457	)		(8,249	)
0.84%	6 Month AUD BBSW	AUD	7,370,000		09/16/2030	Semiannually		(14,898	)		34,234			49,132
0.82%	6 Month AUD BBSW	AUD	3,403,000		09/16/2030	Semiannually		(5,421	)		19,597			25,018
6 Month AUD BBSW	0.90%	AUD	2,830,000		09/16/2030	Semiannually		—			682			682
6 Month AUD BBSW	0.83%	AUD	10,140,000		09/16/2030	Semiannually		(3,563	)		(50,743	)		(47,180	)
6 Month AUD BBSW	0.83%	AUD	6,470,000		09/16/2030	Semiannually		1,799			(33,307	)		(35,106	)
6 Month AUD BBSW	0.81%	AUD	4,710,000		09/16/2030	Semiannually		—			(31,861	)		(31,861	)
3 Month CAD LIBOR	1.14%	CAD	23,250,000		09/16/2030	Semiannually		2,660			41,704			39,044
0.93%	3 Month CAD LIBOR	CAD	4,190,000		09/16/2030	Semiannually		—			59,049			59,049
3 Month CAD LIBOR	1.07%	CAD	5,510,000		09/16/2030	Semiannually		(1,915	)		(17,113	)		(15,198	)
3 Month CAD LIBOR	1.06%	CAD	3,260,000		09/16/2030	Semiannually		—			(13,513	)		(13,513	)
3 Month CAD LIBOR	0.98%	CAD	6,582,000		09/16/2030	Semiannually		(3,085	)		(68,817	)		(65,732	)
3 Month CAD LIBOR	1.00%	CAD	18,140,000		09/16/2030	Semiannually		51,399			(155,993	)		(207,392	)
3 Month CAD LIBOR	1.08%	CAD	1,290,000		09/16/2030	Semiannually		—			(3,336	)		(3,336	)
6 Month CHF LIBOR	(0.19)%	CHF	8,770,000		09/16/2030	Semiannually		—			30,054			30,054
6 Month CHF LIBOR	(0.21)%	CHF	19,080,000		09/16/2030	Semiannually		(4,665	)		28,574			33,239
(0.32)%	6 Month CHF LIBOR	CHF	580,000		09/16/2030	Semiannually		—			6,471			6,471
(0.25)%	6 Month CHF LIBOR	CHF	790,000		09/16/2030	Semiannually		163			1,865			1,702
(0.19)%	6 Month CHF LIBOR	CHF	1,750,000		09/16/2030	Semiannually		—			(7,784	)		(7,784	)
6 Month CHF LIBOR	(0.33)%	CHF	4,305,000		09/16/2030	Semiannually		—			(49,249	)		(49,249	)
3 Month NZD Bank Bill Rate	0.71%	NZD	4,100,000		09/16/2030	Quarterly		—			24,885			24,885
3 Month NZD Bank Bill Rate	0.64%	NZD	2,120,000		09/16/2030	Quarterly		—			3,488			3,488
0.52%	3 Month NZD Bank Bill Rate	NZD	10,280,000		09/16/2030	Quarterly		22,678			67,206			44,528
0.61%	3 Month NZD Bank Bill Rate	NZD	1,390,000		09/16/2030	Quarterly		—			857			857
0.59%	3 Month NZD Bank Bill Rate	NZD	4,670,000		09/16/2030	Quarterly		(943	)		9,404			10,347
3 Month NZD Bank Bill Rate	0.74%	NZD	3,590,000		09/16/2030	Quarterly		32,499			29,791			(2,708	)
0.64%	3 Month NZD Bank Bill Rate	NZD	3,190,000		09/16/2030	Quarterly		—			(5,249	)		(5,249	)
3 Month SEK STIBOR	0.49%	SEK	93,360,000		09/16/2030	Quarterly		—			89,189			89,189
3 Month SEK STIBOR	0.51%	SEK	92,870,000		09/16/2030	Quarterly		(8,078	)		108,943			117,021
0.34%	3 Month SEK STIBOR	SEK	21,000,000		09/16/2030	Quarterly		(1,375	)		16,761			18,136
0.32%	3 Month SEK STIBOR	SEK	18,000,000		09/16/2030	Quarterly		—			18,080			18,080
0.36%	3 Month SEK STIBOR	SEK	17,600,000		09/16/2030	Quarterly		1,997			9,610			7,613
3 Month SEK STIBOR	0.32%	SEK	10,000,000		09/16/2030	Quarterly		—			(10,045	)		(10,045	)
3 Month SEK STIBOR	0.28%	SEK	36,240,000		09/16/2030	Quarterly		—			(54,676	)		(54,676	)
3 Month SEK STIBOR	0.28%	SEK	36,370,000		09/16/2030	Quarterly		—			(52,580	)		(52,580	)
3 Month SEK STIBOR	0.29%	SEK	73,760,000		09/16/2030	Quarterly		—			(101,984	)		(101,984	)
3 Month SEK STIBOR	0.37%	SEK	10,600,000		09/16/2030	Quarterly		—			(5,180	)		(5,180	)
(0.19)%	6 Month EURIBOR	EUR	10,370,000		09/18/2030	Semiannually		6,050			65,065			59,015
(0.20)%	6 Month EURIBOR	EUR	35,860,000		09/18/2030	Semiannually		31,524			282,120			250,596
(0.20)%	6 Month EURIBOR	EUR	560,000		09/18/2030	Semiannually		(155	)		4,063			4,218
6 Month EURIBOR	(0.25)%	EUR	920,000		09/18/2030	Semiannually		—			(12,649	)		(12,649	)
0.32%	6 Month GBP LIBOR	GBP	9,390,000		09/18/2030	Semiannually		7,568			176,323			168,755
0.32%	6 Month GBP LIBOR	GBP	3,240,000		09/18/2030	Semiannually		—			61,917			61,917
0.30%	6 Month GBP LIBOR	GBP	9,910,000		09/18/2030	Semiannually		22,386			216,410			194,024
6 Month GBP LIBOR	0.31%	GBP	1,420,000		09/18/2030	Semiannually		—			(29,498	)		(29,498	)

34 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month GBP LIBOR	0.28%	GBP	890,000		09/18/2030	Semiannually		—			(22,277	)		(22,277	)
6 Month GBP LIBOR	0.30%	GBP	1,640,000		09/18/2030	Semiannually		—			(34,832	)		(34,832	)
6 Month GBP LIBOR	0.41%	GBP	2,250,000		09/18/2030	Semiannually		(5,889	)		(17,555	)		(11,666	)
6 Month GBP LIBOR	0.45%	GBP	1,360,000		09/18/2030	Semiannually		582			(2,560	)		(3,142	)
0.60%	3 Month USD LIBOR	USD	9,340,000		09/18/2030	Quarterly		(14,856	)		99,186			114,042
0.61%	3 Month USD LIBOR	USD	21,660,000		09/18/2030	Quarterly		(58,779	)		208,665			267,444
0.70%	3 Month USD LIBOR	USD	1,190,000		09/18/2030	Quarterly		(37	)		905			942
3 Month USD LIBOR	0.53%	USD	1,060,000		09/18/2030	Quarterly		—			(18,728	)		(18,728	)
3 Month USD LIBOR	0.63%	USD	3,040,000		09/18/2030	Quarterly		—			(23,892	)		(23,892	)
3 Month USD LIBOR	0.68%	USD	1,240,000		09/18/2030	Quarterly		35			(2,839	)		(2,874	)
							$	71,178		$	853,029		$	781,851

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 9.25%)	Appreciation on Total Return on CSI 500 Index	GS	USD	2,224,840		12/07/2020	Monthly		—		39,629			39,629
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	3,823,828		06/18/2022	Monthly		—		146,710			146,710
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	922,198		06/18/2022	Monthly		—		32,228			32,228
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	3,952,372		06/18/2022	Monthly		—		473,610			473,610
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	3,829,515		06/18/2022	Monthly		—		(117,027	)		(117,027	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,294,720		06/18/2022	Monthly		—		334			334
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	241,337		06/18/2022	Monthly		—		(8,892	)		(8,892	)
								$	—	$	566,592		$	566,592

As of August 31, 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) Securities are traded on separate exchanges for the same entity.

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

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

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

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

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

(h) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 35

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		62.2	%
Debt Obligations		25.4
Short-Term Investments		10.3
Investment Funds		3.2
Preferred Stocks		1.1
Swap Contracts		0.2
Loan Participations		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Written/Credit Linked Options		(0.0	)^
Futures Contracts		(0.0	)^
Securities Sold Short		(0.4	)
Other		(2.2	)
		0.2
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.2	%
Other Emerging		4.3	†
Canada		4.1
Other Developed		(0.1	)‡
Euro Region		(6.9	)#
		14.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.5	%
China		7.6
Japan		4.7
United Kingdom		4.6
Other Developed		4.5	‡
Other Emerging		4.4	†
Taiwan		3.8
Russia		3.5
France		2.1
Netherlands		1.6
Spain		1.5
Switzerland		1.5
Germany		1.4
Singapore		1.1
Italy		1.1
		61.9	%

& 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%.

36

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.0%
		Affiliated Issuers — 99.0%
	6,811,523	GMO Alternative Allocation Fund, Class VI		132,075,424
	3,608,719	GMO Asset Allocation Bond Fund, Class VI		87,367,080
	1,943,000	GMO Cyclical Focus Fund, Class IV		46,243,400
	1,889,356	GMO Emerging Country Debt Fund, Class IV		50,710,320
	8,209,716	GMO Emerging Markets Fund, Class VI		262,218,315
	13,974,183	GMO International Equity Fund, Class IV		291,361,710
	8,348,284	GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		185,582,357
	1,033,309	GMO Opportunistic Income Fund, Class VI		26,752,377
	1,052,044	GMO Quality Fund, Class VI		27,058,563
	583,999	GMO Risk Premium Fund, Class VI		14,909,489
	8,552,430	GMO U.S. Equity Fund, Class VI		107,247,474
	4,419,060	GMO U.S. Small Cap Value Fund, Class VI		79,189,550
	953,705	GMO U.S. Treasury Fund		4,806,673
		TOTAL MUTUAL FUNDS (COST $1,338,720,305)		1,315,522,732
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	22,036	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.46%, due 02/25/36		7,032

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	11,754	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.68%, due 10/25/34		10,994
	12,123	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.42%, due 02/26/34		10,330
		TOTAL DEBT OBLIGATIONS (COST $30,943)		28,356
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	3,380,783	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		3,380,783
		TOTAL SHORT-TERM INVESTMENTS (COST $3,380,783)		3,380,783
		TOTAL INVESTMENTS — 99.3% (Cost $1,342,132,031)		1,318,931,871
		Other Assets and Liabilities (net) — 0.7%		9,263,280
		TOTAL NET ASSETS — 100.0%		$1,328,195,151

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
922	MSCI EAFE	September 2020	$	87,594,610	$	(5,672,502	)

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

As of August 31, 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) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 37

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Short-Term Investments		1.4
Preferred Stocks		0.7
Investment Funds		0.2
Debt Obligations		0.1
Futures Contracts		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
United States		38.7	%
Japan		10.0
United Kingdom		9.5
France		4.5
China		4.0
Netherlands		3.6
Switzerland		3.6
Germany		3.2
Spain		3.2
Other Emerging		2.6	†
Taiwan		2.2
Australia		2.0
Italy		2.0
Singapore		2.0
Sweden		1.8
Russia		1.8
Portugal		1.5
Other Developed		1.5	‡
Norway		1.2
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%.

38

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	155,500	GMO Cyclical Focus Fund, Class IV		3,700,900
	223,745	GMO Emerging Markets Fund, Class VI		7,146,414
	1,660,918	GMO International Equity Fund, Class IV		34,630,140
	354,053	GMO Quality Fund, Class VI		9,106,250
	874,622	GMO U.S. Equity Fund, Class VI		10,967,757
	442,064	GMO U.S. Small Cap Value Fund, Class VI		7,921,790
		TOTAL MUTUAL FUNDS (COST $69,181,971)		73,473,251
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	53,605	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		53,605
		TOTAL SHORT-TERM INVESTMENTS (COST $53,605)		53,605
		TOTAL INVESTMENTS — 100.0% (Cost $69,235,576)		73,526,856
		Other Assets and Liabilities (net) — (0.0%)		(33,198	)
		TOTAL NET ASSETS — 100.0%		$73,493,658

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 39

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.7	%
Preferred Stocks		1.4
Short-Term Investments		1.3
Investment Funds		0.5
Debt Obligations		0.2
Futures Contracts		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.8
		100.0	%
Country/Region Summary¤	% of Investments
United States		30.4	%
China		10.5
Japan		8.2
United Kingdom		8.2
Taiwan		5.4
Other Emerging		5.1	†
Russia		4.4
France		3.8
Switzerland		3.1
Netherlands		2.9
Germany		2.8
Spain		2.6
Singapore		1.8
Australia		1.7
Italy		1.7
Sweden		1.5
Portugal		1.3
Other Developed		1.3	‡
Korea		1.2
South Africa		1.1
Norway		1.0
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^ Rounds to 0.0%.

40

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,330,000	GMO Cyclical Focus Fund, Class IV		79,254,000
	12,427,987	GMO Emerging Markets Fund, Class VI		396,949,903
	28,686,647	GMO International Equity Fund, Class IV		598,116,580
	8,370,721	GMO Quality Fund, Class VI		215,294,948
	7,665,748	GMO U.S. Equity Fund, Class VI		96,128,483
	9,069,132	GMO U.S. Small Cap Value Fund, Class VI		162,518,849
		TOTAL MUTUAL FUNDS (COST $1,570,338,024)		1,548,262,763
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	581,026	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		581,026
		TOTAL SHORT-TERM INVESTMENTS (COST $581,026)		581,026
		TOTAL INVESTMENTS — 100.0% (Cost $1,570,919,050)		1,548,843,789
		Other Assets and Liabilities (net) — (0.0%)		(78,873	)
		TOTAL NET ASSETS — 100.0%		$1,548,764,916

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 41

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		75.8	%
Debt Obligations		19.5
Short-Term Investments		3.3
Preferred Stocks		1.8
Investment Funds		1.0
Mutual Funds		0.5
Swap Contracts		0.1
Rights/Warrants		0.0	^
Written Options		0.0	^
Forward Currency Contracts		(0.5	)
Futures Contracts		(2.4	)
Securities Sold Short		(5.0	)
Other		5.9
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		1.9	%
Other Emerging		0.2	†
Other Developed		(0.0	)^‡
		2.1	%
Country/Region Summary ¤	Equity Investments % of Total Net Assets
China		14.1	%
United States		11.3
Japan		6.8
Taiwan		5.6
United Kingdom		4.6
Russia		4.5
Other Developed		4.0	‡
South Korea		3.7
Other Emerging		3.0	†
France		2.0
South Africa		1.6
Netherlands		1.5
India		1.5
Spain		1.5
Germany		1.4
Italy		1.3
Canada		1.2
Brazil		1.2
Singapore		1.2
Australia		1.0
Mexico		1.0
		74.0	%

Industry Group Summary	% of Equity Investments#
Banks		11.0	%
Materials		8.6
Capital Goods		7.5
Technology Hardware & Equipment		7.3
Energy		6.5
Retailing		5.5
Consumer Durables & Apparel		4.4
Pharmaceuticals, Biotechnology & Life Sciences		4.4
Real Estate		4.3
Diversified Financials		4.0
Semiconductors & Semiconductor Equipment		3.8
Automobiles & Components		3.8
Utilities		3.5
Telecommunication Services		3.5
Media & Entertainment		3.5
Insurance		3.4
Food, Beverage & Tobacco		3.2
Health Care Equipment & Services		2.7
Software & Services		2.6
Commercial & Professional Services		1.9
Transportation		1.4
Food & Staples Retailing		1.3
Household & Personal Products		1.0
Consumer Services		0.9
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

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

† “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.

¤ 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%.

# 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 Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.8%
		Argentina — 0.0%
	50,800	Banco BBVA Argentina SA ADR *		171,196
		Australia — 1.0%
	478,463	Accent Group Ltd		557,768
	198,666	Adairs Ltd		509,304
	219,712	Ampol Ltd		4,207,975
	111,093	Ansell Ltd		3,148,931
	134,035	Appen Ltd (a)		3,418,515
	258,547	Asaleo Care Ltd		208,891
	809,870	Australian Pharmaceutical Industries Ltd		646,416
	74,668	Aventus Group (REIT)		130,844
	295,247	Beach Energy Ltd (a)		330,188
	74,536	Brickworks Ltd		985,822
	111,956	Codan Ltd (a)		886,596
	2,632,176	Fortescue Metals Group Ltd		33,642,836
	333,516	GDI Property Group (REIT)		264,775
	552,876	Genworth Mortgage Insurance Australia Ltd		613,411
	173,338	JB Hi-Fi Ltd		6,387,148
	423,874	Mount Gibson Iron Ltd		244,839
	60,560	Rio Tinto Ltd (a)		4,357,915
	424,441	Sandfire Resources NL		1,455,303
	197,800	Sigma Healthcare Ltd		98,903
	124,925	Tassal Group Ltd		335,652
	38,022	Virtus Health Ltd		98,094
		Total Australia		62,530,126
		Austria — 0.0%
	20,243	FACC AG * (a)		138,562
	7,001	POLYTEC Holding AG *		43,393
	2,999	Vienna Insurance Group AG Wiener Versicherung Gruppe *		73,263
		Total Austria		255,218
		Belgium — 0.4%
	368,415	AGFA-Gevaert NV *		1,556,563
	20,973	Barco NV		443,679
	15,990	Colruyt SA		1,007,865
	153,156	UCB SA		18,177,631
		Total Belgium		21,185,738
		Brazil — 0.9%
	34,400	Ambev SA		77,296
	2,800	B2W Cia Digital *		57,288
	423,800	Banco do Brasil SA		2,525,704
	690,000	Camil Alimentos SA		1,607,082
	897,720	Cia de Saneamento Basico do Estado de Sao Paulo		7,824,428

Shares		Description	Value ($)
		Brazil — continued
	104,600	Cia de Saneamento do Parana		510,733
	130,900	Cia Paranaense de Energia		1,452,002
	70,100	Instituto Hermes Pardini SA		330,123
	3,524,400	JBS SA		14,435,984
	136,600	Mahle-Metal Leve SA		423,127
	5,123,500	Petrobras Distribuidora SA		19,957,194
	486,300	Qualicorp Consultoria e Corretora de Seguros SA		2,773,024
	700,700	TIM Participacoes SA		1,831,528
	456,100	Tupy SA *		1,406,971
	53,100	WEG SA		626,325
		Total Brazil		55,838,809
		Canada — 1.3%
	192,000	AGF Management Ltd – Class B		735,999
	23,000	Bank of Nova Scotia (The)		993,989
	48,500	Bausch Health Cos Inc *		805,018
	29,600	Bird Construction Inc (a)		154,995
	122,019	Brookfield Asset Management Inc –Class A		4,116,921
	54,548	BRP Inc		2,962,533
	69,200	Canaccord Genuity Group Inc (a)		410,632
	2,800	Canadian National Railway Co		294,222
	39,100	Canfor Pulp Products Inc		147,185
	73,700	Cascades Inc		783,700
	157,900	Celestica Inc *		1,257,777
	130,300	CI Financial Corp		1,850,083
	4,000	Cogeco Communications Inc		299,858
	15,900	Cogeco Inc		956,060
	6,550	DREAM Unlimited Corp – Class A		96,215
	52,300	Fortuna Silver Mines Inc *		380,918
	108,600	iA Financial Corp Inc		3,909,050
	62,000	IGM Financial Inc (a)		1,512,983
	20,600	Magna International Inc		1,003,191
	83,100	Martinrea International Inc		639,010
	9,300	Morguard North American Residential Real Estate Investment Trust		107,663
	27,300	National Bank of Canada		1,500,679
	117,643	Nutrien Ltd		4,337,497
	38,400	Real Matters Inc *		778,981
	296,500	Rogers Sugar Inc (a)		1,084,299
	309,800	Royal Bank of Canada		23,592,160
	1,900	Stantec Inc (a)		61,690
	132,000	Sun Life Financial Inc (a) (b)		5,513,640
	90,200	Sun Life Financial Inc (b)		3,764,701
	47,000	Teekay Tankers Ltd – Class A * (a)		589,380
	34,900	Teranga Gold Corp * (a)		406,166
	8,100	TFI International Inc		358,068
	216,900	Toronto-Dominion Bank (The) (a)		10,820,472
	79,200	Transat AT Inc * (a)		317,565

See accompanying notes to the financial statements. 43

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	76,720	Transcontinental Inc – Class A		902,277
	20,400	Wajax Corp		188,931
		Total Canada		77,634,508
		Chile — 0.1%
	342,297	Banco de Chile		28,612
	2,025,366	Enel Americas SA		291,422
	832,700	Enel Americas SA ADR		5,920,497
	14,339	Inversiones La Construccion SA		93,136
		Total Chile		6,333,667
		China — 14.1%
	5,276,000	361 Degrees International Ltd		700,333
	994,000	7Road Holdings Ltd *		343,662
	126,250	A-Living Services Co Ltd – Class H		650,561
	9,941,000	Agile Group Holdings Ltd		13,704,876
	11,756,300	Agricultural Bank of China Ltd – Class A		5,504,141
	64,941,000	Agricultural Bank of China Ltd – Class H		21,688,712
	72,700	Alibaba Group Holding Ltd *		2,616,825
	212,400	Alibaba Group Holding Ltd Sponsored ADR *		60,965,172
	1,657,432	Anhui Conch Cement Co Ltd – Class A		14,709,417
	3,840,000	Anhui Conch Cement Co Ltd – Class H		27,799,446
	517,072	Anhui Expressway Co Ltd – Class A		406,366
	35,000	ANTA Sports Products Ltd		345,010
	174,000	Asia Cement China Holdings Corp		176,193
	16,398,500	BAIC Motor Corp Ltd – Class H		7,860,146
	1,300	Baidu Inc Sponsored ADR *		161,941
	102,527,000	Bank of China Ltd – Class H		33,340,708
	46,770,000	Bank of Communications Co Ltd –Class H		24,423,599
	78,000	Beijing Capital International Airport Co Ltd – Class H		55,134
	1,303,675	Beijing North Star Co Ltd – Class A		532,133
	12,658,000	China Cinda Asset Management Co Ltd –Class H		2,414,878
	18,233,000	China CITIC Bank Corp Ltd – Class H		7,616,504
	5,776,485	China Communications Services Corp Ltd – Class H		3,783,990
	19,105,703	China Construction Bank Corp – Class A		17,276,254
	35,131,000	China Construction Bank Corp – Class H		24,757,292
	572,000	China Dongxiang Group Co Ltd		74,533
	8,901,000	China Everbright Bank Co Ltd – Class H		3,189,066
	1,432,000	China Feihe Ltd		2,896,114
	3,659,000	China Greenfresh Group Co Ltd *		38,216
	3,958,000	China Huarong Asset Management Co Ltd – Class H		453,932
	5,562,000	China Jinmao Holdings Group Ltd		3,473,068
	40,000	China Kepei Education Group Ltd		35,326
	9,306,000	China Lesso Group Holdings Ltd		17,328,785
	1,627,000	China Lilang Ltd		937,801

Shares		Description	Value ($)
		China — continued
	8,169,000	China Machinery Engineering Corp –Class H		1,915,606
	9,260,925	China Medical System Holdings Ltd		10,430,185
	3,132,500	China Mobile Ltd		21,920,965
	20,944,000	China National Building Material Co Ltd – Class H		29,396,637
	3,174,000	China Oriental Group Co Ltd		891,267
	279,000	China Overseas Grand Oceans Group Ltd		181,469
	3,685,000	China Overseas Land & Investment Ltd		10,658,828
	51,552,000	China Petroleum & Chemical Corp –Class H		23,669,680
	19,796,200	China Railway Construction Corp Ltd –Class H		15,194,841
	20,268,000	China Railway Group Ltd – Class H		10,395,257
	4,794,000	China Resources Cement Holdings Ltd		6,981,512
	396,000	China Resources Gas Group Ltd		1,857,514
	2,896,000	China Resources Land Ltd		13,378,387
	15,062,500	China Resources Pharmaceutical Group Ltd		8,527,435
	821,000	China SCE Group Holdings Ltd		427,307
	2,090,963	China Shenhua Energy Co Ltd – Class A		4,925,645
	5,918,000	China Shenhua Energy Co Ltd – Class H		9,827,430
	2,245,000	China Shineway Pharmaceutical Group Ltd		1,570,432
	29,752,000	China Telecom Corp Ltd – Class H		9,705,639
	1,000,000	China Traditional Chinese Medicine Holdings Co Ltd		426,345
	1,264,593	China Vanke Co Ltd – Class A		5,028,171
	1,039,000	China Vanke Co Ltd – Class H		3,225,208
	36,200	China Yuchai International Ltd		587,888
	7,391,506	Country Garden Holdings Co Ltd		9,151,877
	94,000	Country Garden Services Holdings Co Ltd		654,910
	60,500	Dali Foods Group Co Ltd		37,028
	135,900	Dongfang Electric Corp Ltd – Class A		198,313
	4,000	Dongfeng Motor Group Co Ltd – Class H		2,780
	4,953,000	Dongyue Group Ltd		2,121,950
	17,600	ENN Energy Holdings Ltd		195,007
	2,878,500	Fantasia Holdings Group Co Ltd *		585,993
	63,000	Fu Shou Yuan International Group Ltd		65,169
	4,574,000	Geely Automobile Holdings Ltd		9,734,752
	1,935,000	Great Wall Motor Co Ltd – Class H		2,106,328
	822,000	Greenland Hong Kong Holdings Ltd		273,108
	8,386,000	Guangdong Investment Ltd		13,076,486
	1,638,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		4,277,109
	3,004,400	Guangzhou R&F Properties Co Ltd –Class H		3,814,182
	674,000	Haier Electronics Group Co Ltd		2,306,036
	20,900	Hangzhou Tigermed Consulting Co Ltd –Class H *		342,212
	74,000	Hansoh Pharmaceutical Group Co Ltd *		349,819

44 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		China — continued
	610,500	Hebei Construction Group Corp Ltd –Class H		1,347,770
	19,500	Hengan International Group Co Ltd		153,542
	2,958,690	Hisense Home Appliances Group Co Ltd – Class A		6,046,412
	1,429,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,915,216
	73,500	Hollysys Automation Technologies Ltd		796,005
	184,000	Hopson Development Holdings Ltd		368,261
	5,277,000	Huabao International Holdings Ltd		4,710,015
	419,617	Huaxin Cement Co Ltd – Class A		1,708,439
	6,653,000	IGG Inc		7,674,561
	12,714,946	Industrial & Commercial Bank of China Ltd – Class A		9,198,694
	30,596,000	Industrial & Commercial Bank of China Ltd – Class H		17,052,961
	172,000	Jingrui Holdings Ltd		45,495
	36,000	JNBY Design Ltd		37,588
	860,500	Kingboard Laminates Holdings Ltd		1,083,709
	12,000	Kingdee International Software Group Co Ltd *		30,543
	1,095,500	KWG Property Holding Ltd		2,079,014
	31,816	Lao Feng Xiang Co Ltd – Class A		249,516
	244,000	Livzon Pharmaceutical Group Inc –Class A		1,901,960
	1,295,300	Livzon Pharmaceutical Group Inc –Class H		6,188,527
	1,184,000	Logan Group Co Ltd		2,202,235
	1,046,000	Longfor Group Holdings Ltd		5,533,878
	9,766,000	Lonking Holdings Ltd		2,795,002
	2,785,000	Metallurgical Corp of China Ltd – Class H		477,312
	10,900	NetEase Inc		218,838
	66,100	NetEase Inc ADR (c)		32,204,581
	1,351,000	Nexteer Automotive Group Ltd		879,627
	5,036,000	Nine Dragons Paper Holdings Ltd		5,578,954
	24,400	Nongfu Spring Co Ltd – Class H		68,371
	600,000	PAX Global Technology Ltd		344,915
	793,000	People’s Insurance Co Group of China Ltd (The) – Class H		258,410
	23,131,000	PICC Property & Casualty Co Ltd –Class H		17,837,552
	597,000	Poly Property Group Co Ltd		187,722
	18,400	Poly Property Services Co Ltd		160,892
	25,000	Postal Savings Bank of China Co Ltd –Class A		16,846
	27,963,000	Postal Savings Bank of China Co Ltd –Class H		13,237,758
	1,630,000	Powerlong Real Estate Holdings Ltd		1,178,107
	363,000	Road King Infrastructure Ltd		481,928
	14,000	Seazen Group Ltd *		12,699
	1,108,000	Shanghai Jin Jiang Capital Co Ltd –Class H		189,971

Shares		Description	Value ($)
		China — continued
	7,900,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		14,059,984
	631,228	Shenzhen Investment Ltd		213,945
	66,600	Shenzhou International Group Holdings Ltd		1,072,303
	9,009,076	Shimao Group Holdings Ltd		40,488,855
	1,475,500	Sino Biopharmaceutical Ltd		1,697,975
	892,500	Sinopec Engineering Group Co Ltd –Class H		395,387
	12,160,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		2,507,388
	2,243,600	Sinopharm Group Co Ltd – Class H		5,509,017
	1,023,000	Sinotruk Hong Kong Ltd		2,655,037
	1,329,000	TCL Electronics Holdings Ltd		907,480
	227,800	Tencent Holdings Ltd		15,562,921
	1,115,000	Texhong Textile Group Ltd		868,341
	588,000	Tianjin Development Holdings Ltd		125,045
	914,000	Tianjin Port Development Holdings Ltd		67,208
	7,006,000	Tianneng Power International Ltd		15,071,414
	84,000	Times China Holdings Ltd		128,968
	585,500	Vipshop Holdings Ltd ADR *		9,666,605
	2,021,000	Want Want China Holdings Ltd		1,385,227
	7,680,000	Weichai Power Co Ltd – Class H		15,416,075
	3,836,176	Weifu High-Technology Group Co Ltd –Class A		13,935,594
	8,742,000	West China Cement Ltd		1,531,673
	229,555	Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd –Class A		1,524,059
	531,000	XTEP International Holdings Ltd		176,489
	1,042,000	Yadea Group Holdings Ltd *		1,049,029
	77,400	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		109,874
	5,800	Yum China Holdings Inc		334,718
	2,852,283	Yuzhou Group Holdings Co Ltd		1,330,346
	50,288	Zhejiang Weixing New Building Materials Co Ltd – Class A		104,786
	1,623,000	Zhongsheng Group Holdings Ltd		10,121,810
		Total China		845,148,220
		Czech Republic — 0.0%
	189,474	Moneta Money Bank AS		476,610
		Denmark — 0.0%
	44,629	Matas A/S *		495,694
	1,375	Pandora A/S		100,370
	59,514	Scandinavian Tobacco Group A/S		948,298
		Total Denmark		1,544,362
		Finland — 0.1%
	131,478	Neste Oyj		7,038,721

See accompanying notes to the financial statements. 45

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Finland — continued
	8,911	Sanoma Oyj		115,471
	40,752	Tokmanni Group Corp		742,308
		Total Finland		7,896,500
		France — 2.4%
	31,602	ALD SA		323,577
	16,313	Alten SA *		1,413,871
	95,325	APERAM SA		2,814,724
	20,306	Arkema SA		2,248,098
	2,609	Assystem SA		74,138
	2,426	Axway Software SA *		56,052
	1,045	BioMerieux		158,028
	118,371	BNP Paribas SA *		5,157,214
	2,088	Boiron SA		86,200
	24,172	Bollore SA		90,867
	1,034	Caisse Regionale de Credit Agricole Mutuel Nord de France *		24,107
	2,964	Capgemini SE		411,161
	7,352	Christian Dior SE		3,148,545
	7,929	Coface SA *		61,947
	20,016	Dassault Systemes SE (c)		3,776,958
	107,744	Derichebourg SA		310,276
	9,672	Eiffage SA *		889,476
	35,945	Faurecia SE *		1,573,815
	28,647	Fnac Darty SA *		1,247,115
	35,208	Gaztransport Et Technigaz SA		3,322,553
	975	Groupe Crit *		55,832
	1,125	HEXAOM *		41,093
	113,741	Ingenico Group SA * (a)		19,420,569
	4,287	Interparfums SA *		214,251
	70,398	IPSOS		1,858,872
	21,309	Kaufman & Broad SA		846,229
	8,412	Kering SA		5,161,298
	82,205	L’Oreal SA		27,279,699
	11,788	LVMH Moet Hennessy Louis Vuitton SE		5,535,912
	2,885	Mersen SA *		87,876
	107,781	Metropole Television SA *		1,345,798
	8,077	Nexans SA *		453,093
	522,422	Peugeot SA * (a)		9,006,867
	77,087	Quadient SA		1,074,321
	3,353	Rothschild & Co *		90,617
	61,423	Safran SA *		7,093,399
	249,113	Sanofi		25,232,343
	17,097	Schneider Electric SE		2,114,410
	225,400	STMicroelectronics NV – NY Shares		6,818,350
	2,012	Synergie SA *		49,322
	65,208	TOTAL SE		2,586,936
	5,129	Unibail-Rodamco-Westfield (REIT) (a)		238,675
	3,484	Vilmorin & Cie SA		196,930
		Total France		143,991,414

Shares		Description	Value ($)
		Germany — 1.4%
	19,022	Allianz SE (Registered)		4,127,541
	3,612	Amadeus Fire AG *		456,240
	3,803	Aurubis AG		273,360
	3,675	Bauer AG *		40,186
	96,514	Bayer AG (Registered)		6,419,343
	5,699	Bechtle AG		1,151,812
	46,962	Borussia Dortmund GmbH & Co KGaA		314,505
	18,414	Carl Zeiss Meditec AG		2,078,419
	524,874	CECONOMY AG *		2,417,218
	1,429	Cewe Stiftung & Co KGaA *		169,603
	17,684	Covestro AG		843,067
	46,474	CropEnergies AG		677,953
	574,483	Deutsche Pfandbriefbank AG *		4,184,589
	17,231	Deutsche Post AG (Registered)		785,461
	137,462	Deutz AG *		739,470
	292,957	Dialog Semiconductor Plc *		12,726,933
	5,236	Draegerwerk AG & Co KGaA *		387,038
	20,493	DWS Group GmbH & Co KGaA *		807,821
	17,030	Eckert & Ziegler Strahlen-und Medizintechnik AG		859,651
	3,871	Elmos Semiconductor SE		100,603
	6,711	Gerresheimer AG		792,597
	2,718	Gesco AG		43,245
	1,207	Grammer AG *		22,528
	27,682	Hamburger Hafen und Logistik AG		512,276
	4,806	Hannover Rueck SE		819,559
	85,697	HeidelbergCement AG		5,436,785
	19,461	Henkel AG & Co KGaA		1,750,998
	2,640	Hornbach Baumarkt AG		118,996
	10,589	Hornbach Holding AG & Co KGaA		1,153,019
	297,292	Infineon Technologies AG		8,266,616
	3,156	KWS Saat SE & Co KGaA		272,299
	32,316	Merck KGaA		4,392,221
	2,835	OHB SE *		131,179
	130,117	Siemens Healthineers AG		5,927,975
	96,174	Software AG		4,795,328
	49,739	Takkt AG *		655,813
	29,938	Talanx AG *		1,113,140
	51,302	VERBIO Vereinigte BioEnergie AG		882,571
	51,892	Volkswagen AG *		9,349,969
	16,666	Wuestenrot & Wuerttembergische AG		289,913
		Total Germany		86,287,840
		Hong Kong — 0.6%
	60,000	ASM Pacific Technology Ltd		645,432
	519,500	BOC Hong Kong Holdings Ltd		1,473,625
	279,800	Budweiser Brewing Co APAC Ltd		942,663
	555,000	Chow Sang Sang Holdings International Ltd		624,782

46 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	3,206,000	CITIC Telecom International Holdings Ltd		1,112,028
	85,500	CK Asset Holdings Ltd		464,068
	1,590,000	CSI Properties Ltd		49,416
	721,200	Dah Sing Banking Group Ltd		685,119
	582,000	Dah Sing Financial Holdings Ltd		1,654,468
	1,832,000	Giordano International Ltd		306,983
	2,175,000	HKT Trust & HKT Ltd – Class SS		3,107,916
	1,600,213	I-CABLE Communications Ltd *		13,631
	1,429,500	Johnson Electric Holdings Ltd		2,820,104
	396,400	Man Wah Holdings Ltd		553,497
	36,000	Minth Group Ltd		121,365
	1,430,000	Pacific Textiles Holdings Ltd		632,245
	245,000	Prosperity REIT		74,908
	229,000	Regal Real Estate Investment Trust		36,618
	2,016,000	Shun Tak Holdings Ltd		698,721
	536,000	Singamas Container Holdings Ltd		23,161
	594,000	Sun Hung Kai & Co Ltd		244,368
	46,000	TAI Cheung Holdings Ltd		29,178
	698,000	VSTECS Holdings Ltd		392,508
	633,900	VTech Holdings Ltd		3,696,770
	12,632,000	WH Group Ltd		10,887,587
	27,000	Wharf Holdings Ltd (The)		52,606
	17,000	Wharf Real Estate Investment Co Ltd		70,656
	424,000	Xinyi Glass Holdings Ltd		732,202
	1,248,000	Yue Yuen Industrial Holdings Ltd		2,159,409
		Total Hong Kong		34,306,034
		Hungary — 0.1%
	811,956	Magyar Telekom Telecommunications Plc		997,152
	121,875	Richter Gedeon Nyrt		2,968,200
		Total Hungary		3,965,352
		India — 1.5%
	19,778	Alembic Pharmaceuticals Ltd		251,808
	30,354	Alkem Laboratories Ltd		1,123,754
	104,228	Asian Paints Ltd		2,683,633
	165,086	Bajaj Auto Ltd		6,628,349
	472,972	Balrampur Chini Mills Ltd		944,284
	99,441	Cadila Healthcare Ltd		501,717
	104,604	Coal India Ltd		190,703
	59,456	Dr Reddy’s Laboratories Ltd		3,415,733
	153,600	Dr Reddy’s Laboratories Ltd ADR		8,934,912
	762,659	Firstsource Solutions Ltd		640,529
	74,026	Granules India Ltd		314,654
	119,411	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		329,404
	2,804,370	HCL Technologies Ltd		26,244,596
	91,213	HDFC Bank Ltd *		1,378,865

Shares		Description	Value ($)
		India — continued
	7,128	Hero MotoCorp Ltd		291,500
	108,665	Hindustan Unilever Ltd		3,114,937
	102,379	Housing Development Finance Corp Ltd		2,543,151
	542,577	ICICI Bank Ltd *		2,871,565
	1,658,799	Indian Oil Corp Ltd		1,928,225
	26,031	Infosys Ltd		324,775
	155,879	Kotak Mahindra Bank Ltd *		2,965,579
	111,183	Mphasis Ltd		1,662,741
	75,190	Muthoot Finance Ltd		1,175,600
	56,133	Narayana Hrudayalaya Ltd		244,584
	5,104,941	Power Finance Corp Ltd		6,550,895
	809,264	PTC India Ltd		650,439
	55,410	Rajesh Exports Ltd		336,595
	5,622,103	REC Ltd		8,136,050
	177,382	Sonata Software Ltd		740,083
	19,446	Sun TV Network Ltd		118,244
	126,805	Titan Co Ltd		1,890,491
	11,177	Wipro Ltd		40,867
		Total India		89,169,262
		Indonesia — 0.4%
	2,128,600	Astra International Tbk PT		746,904
	817,400	Bank BTPN Syariah Tbk PT		218,846
	3,219,500	Bank Central Asia Tbk PT		6,934,699
	6,265,400	Bank Mandiri Persero Tbk PT		2,561,942
	6,393,400	Bank Negara Indonesia Persero Tbk PT		2,238,569
	656,500	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		47,556
	5,443,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		222,567
	31,402,300	Bank Rakyat Indonesia Persero Tbk PT		7,565,189
	6,481,600	Bank Tabungan Negara Persero Tbk PT		700,633
	5,379,900	Bukit Asam Tbk PT		752,126
	2,540,600	Gajah Tunggal Tbk PT *		94,242
	2,330,400	Indo Tambangraya Megah Tbk PT		1,322,053
	2,014,100	Matahari Department Store Tbk PT *		174,698
	6,026,000	Pakuwon Jati Tbk PT *		168,790
	56,399,000	Panin Financial Tbk PT *		797,123
	15,331,900	Ramayana Lestari Sentosa Tbk PT		688,829
	2,119,600	Telekomunikasi Indonesia Persero Tbk PT		417,070
	111,300	United Tractors Tbk PT		175,755
		Total Indonesia		25,827,591
		Ireland — 0.4%
	126,760	AIB Group Plc *		155,928
	502,659	Bank of Ireland Group Plc *		1,126,151
	36,102	CRH Plc		1,346,449
	195,900	CRH Plc Sponsored ADR		7,267,890
	45,691	Glanbia Plc		525,253

See accompanying notes to the financial statements. 47

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Ireland — continued
	725,684	Hibernia REIT Plc		1,031,484
	430,788	Irish Residential Properties REIT Plc		724,183
	149,222	Origin Enterprises Plc		612,378
	94,732	Permanent TSB Group Holdings Plc *		57,685
	357,474	Ryanair Holdings Plc *		5,082,329
	121,418	Smurfit Kappa Group Plc		4,299,561
	81,464	Total Produce Plc (a)		110,376
		Total Ireland		22,339,667
		Israel — 0.0%
	1,280,299	Oil Refineries Ltd		260,517
		Italy — 1.3%
	25,923	ACEA SPA		533,030
	487,031	Anima Holding SPA		2,139,446
	164,614	Arnoldo Mondadori Editore SPA *		207,404
	14,403	Ascopiave SPA		56,347
	6,307	Biesse SPA *		105,776
	255,224	Buzzi Unicem SPA		6,238,897
	44,808	Cementir Holding NV		312,938
	68,712	Credito Emiliano SPA *		348,290
	270,228	Enav SPA		1,136,955
	3,056,807	Enel SPA		27,679,976
	367,153	EXOR NV		21,654,089
	47,756	Falck Renewables SPA		320,222
	889,900	Fiat Chrysler Automobiles NV *		9,863,125
	1,172,415	Hera SPA		4,476,589
	154,487	IMMSI SPA *		71,367
	277,318	Iren SPA		726,190
	41,691	La Doria SPA		548,363
	208,174	Piaggio & C SPA		590,531
	13,622	Prima Industrie SPA * (a)		208,867
	2,174	Reply SPA		241,694
	2,844	Sabaf SPA *		40,723
	691,534	Saras SPA * (a)		479,626
	4,286	Sesa SPA		384,850
	120,364	Societa Cattolica di Assicurazioni SC *		716,050
	397,396	Telecom Italia SPA		189,278
	228,591	Telecom Italia SPA-RSP		108,088
		Total Italy		79,378,711
		Japan — 7.1%
	39,300	ADEKA Corp		573,540
	260,200	Aeon Mall Co Ltd (a)		3,438,339
	17,600	Aichi Corp		136,308
	12,500	Aida Engineering Ltd		81,097
	10,200	Altech Corp		175,630
	502,800	Amada Co Ltd		4,468,373
	25,700	Amano Corp		535,780
	65,200	AOKI Holdings Inc		351,225

Shares		Description	Value ($)
		Japan — continued
	12,100	Arata Corp (a)		578,293
	26,900	Arcland Sakamoto Co Ltd		534,848
	89,600	Arcs Co Ltd		2,214,402
	804,000	Asahi Kasei Corp (c)		6,735,297
	322,100	Asics Corp		4,440,563
	1,431,000	Astellas Pharma Inc		22,449,743
	2,700	Bandai Namco Holdings Inc		167,624
	10,400	Bando Chemical Industries Ltd		56,979
	11,400	BeNEXT Group Inc		120,790
	494,700	Brother Industries Ltd		8,184,264
	26,500	Bunka Shutter Co Ltd		188,253
	7,300	Central Glass Co Ltd		145,298
	35,100	Chiba Bank Ltd (The)		181,803
	4,600	Chiyoda Integre Co Ltd		69,494
	39,300	Chugai Pharmaceutical Co Ltd		1,751,091
	166,000	Chugoku Marine Paints Ltd		1,543,398
	8,300	Cleanup Corp		39,999
	10,900	CONEXIO Corp		133,607
	30,700	Dai Nippon Printing Co Ltd (a)		651,352
	15,600	Dai Nippon Toryo Co Ltd		130,236
	4,500	Dai-Dan Co Ltd		114,059
	63,400	Daihen Corp		2,495,449
	5,500	Daiichi Jitsugyo Co Ltd		187,572
	5,400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		109,774
	4,300	Daito Pharmaceutical Co Ltd		139,939
	15,100	Daiwa Industries Ltd		130,835
	65,300	Daiwabo Holdings Co Ltd		3,932,149
	1,100	DCM Holdings Co Ltd (a)		13,457
	158,100	Denka Co Ltd		4,448,985
	80,200	Doshisha Co Ltd		1,537,346
	27,900	DTS Corp		584,970
	32,700	FANUC Corp		5,736,640
	30,300	FJ Next Co Ltd (a)		231,734
	10,200	Fuji Corp (a)		183,138
	111,800	Fuji Electric Co Ltd		3,487,897
	6,600	Fuji Pharma Co Ltd		68,099
	9,700	Fujimi Inc		324,308
	5,300	Fujimori Kogyo Co Ltd		197,429
	21,400	Fujitec Co Ltd		426,666
	33,100	Fujitsu General Ltd		866,088
	177,300	Fujitsu Ltd		23,144,752
	22,400	Furuno Electric Co Ltd		198,988
	12,000	Furyu Corp		117,833
	11,400	G-7 Holdings Inc		343,076
	39,400	Geo Holdings Corp (a)		638,584
	36,600	Glory Ltd		764,218
	18,700	GungHo Online Entertainment Inc		386,143
	46,000	Gunze Ltd		1,655,841
	43,900	Gurunavi Inc		267,631

48 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	26,300	Hachijuni Bank Ltd (The)		101,633
	24,500	Hakuhodo DY Holdings Inc		304,201
	10,300	Hakuto Co Ltd		107,439
	522,600	Haseko Corp		7,131,583
	274,400	Hazama Ando Corp		1,863,914
	12,900	Heiwado Co Ltd		266,048
	37,600	Hiroshima Bank Ltd (The)		190,287
	39,000	Hisamitsu Pharmaceutical Co Inc (a)		1,801,564
	348,900	Hitachi Ltd		11,607,375
	4,500	Hochiki Corp		50,269
	78,000	Hogy Medical Co Ltd		2,476,629
	143,600	Honda Motor Co Ltd		3,655,878
	77,200	Horiba Ltd		4,226,589
	4,200	Hosokawa Micron Corp		224,017
	22,200	Inaba Denki Sangyo Co Ltd		549,678
	126,700	Inabata & Co Ltd		1,562,451
	17,200	Infocom Corp (a)		571,658
	10,200	Information Services International-Dentsu Ltd		543,618
	295,300	ITOCHU Corp (a)		7,578,071
	36,700	Itochu Enex Co Ltd		325,009
	123,500	Itochu Techno-Solutions Corp		4,470,330
	1,800	Itochu-Shokuhin Co Ltd		95,146
	33,500	Itoki Corp		115,112
	69,500	Jafco Co Ltd		2,796,816
	30,900	Jeol Ltd		905,809
	586,000	JVCKenwood Corp		866,585
	552,100	K’s Holdings Corp		7,822,955
	201,900	Kadokawa Corp		5,164,524
	26,800	Kaken Pharmaceutical Co Ltd		1,241,581
	17,700	Kamei Corp		165,028
	67,000	Kanamoto Co Ltd		1,454,292
	245,000	Kanematsu Corp		3,093,221
	7,200	Kanematsu Electronics Ltd		274,819
	22,900	Kasai Kogyo Co Ltd		82,566
	5,000	Kato Sangyo Co Ltd		172,361
	895,200	KDDI Corp (c)		26,021,530
	15,600	Keiyo Bank Ltd (The)		72,784
	412,300	Kenedix Inc		2,002,631
	177,200	Kinden Corp		2,923,056
	12,900	Kissei Pharmaceutical Co Ltd		281,345
	57,800	Kitz Corp		337,682
	11,500	Kiyo Bank Ltd (The)		169,819
	2,800	Kohnan Shoji Co Ltd		101,103
	12,700	Komeri Co Ltd		393,540
	636,231	Konica Minolta Holdings Inc		2,052,356
	53,300	Konoike Transport Co Ltd		567,087
	2,600	Krosaki Harima Corp		75,344
	5,500	Kumagai Gumi Co Ltd		141,033
	10,200	Kureha Corp		436,258

Shares		Description	Value ($)
		Japan — continued
	20,800	Kyosan Electric Manufacturing Co Ltd		98,683
	167,000	Kyowa Exeo Corp		4,201,323
	16,500	Lion Corp		349,994
	28,200	Makino Milling Machine Co Ltd		973,844
	75,400	Mandom Corp		1,198,541
	81,100	Maruichi Steel Tube Ltd		2,174,299
	6,100	Maruzen Showa Unyu Co Ltd		197,249
	41,500	Marvelous Inc		310,370
	5,700	Matsuda Sangyo Co Ltd		83,732
	147,700	Maxell Holdings Ltd		1,416,148
	74,700	MCJ Co Ltd		664,634
	160,300	Mebuki Financial Group Inc		388,615
	51,600	Meidensha Corp		794,289
	11,800	METAWATER Co Ltd		495,726
	496,600	Mitsubishi Chemical Holdings Corp		2,899,982
	105,500	Mitsubishi Gas Chemical Co Inc		1,883,909
	5,800	Mitsubishi Research Institute Inc		214,504
	2,343,000	Mitsubishi UFJ Financial Group Inc		9,775,868
	12,600	Mitsuboshi Belting Ltd		194,849
	14,300	Mitsui Sugar Co Ltd		260,821
	6,200	Mizuno Corp		111,022
	11,000	Mochida Pharmaceutical Co Ltd		406,692
	35,300	Modec Inc		590,465
	166,000	MS&AD Insurance Group Holdings Inc		4,604,592
	36,000	MTI Ltd		248,286
	71,000	NEC Corp (c)		3,748,880
	37,800	NEC Networks & System Integration Corp		702,777
	121,100	NH Foods Ltd		5,485,859
	3,400	Nichi-iko Pharmaceutical Co Ltd		38,193
	36,100	Nichias Corp		854,645
	19,600	Nichiha Corp		462,767
	60,000	Nikkon Holdings Co Ltd		1,323,827
	79,300	Nippo Corp		2,053,619
	13,000	Nippon Flour Mills Co Ltd (a)		206,741
	71,000	Nippon Kayaku Co Ltd		697,494
	660,800	Nippon Light Metal Holdings Co Ltd		1,157,713
	19,100	Nippon Soda Co Ltd		542,296
	1,018,800	Nippon Telegraph & Telephone Corp		23,183,404
	6,600	Nishimatsu Construction Co Ltd		125,595
	34,200	Nisshin Oillio Group Ltd (The)		1,014,315
	4,300	Nissin Corp		65,299
	86,000	Nissin Electric Co Ltd		912,707
	23,500	Nojima Corp		695,483
	149,600	Nomura Real Estate Holdings Inc		2,854,003
	31,000	NS Solutions Corp		903,404
	124,600	NTT DOCOMO Inc		3,474,468
	3,400	Obara Group Inc		115,698
	873,500	Obayashi Corp		8,537,966
	17,200	Okamura Corp		120,778

See accompanying notes to the financial statements. 49

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,700	Okinawa Cellular Telephone Co		66,954
	17,800	Organo Corp		943,131
	390,400	ORIX Corp		4,853,109
	11,200	Osaka Soda Co Ltd		266,761
	11,800	Osaki Electric Co Ltd		60,274
	7,600	Otsuka Corp		372,978
	105,800	Pacific Industrial Co Ltd		988,020
	8,400	Paramount Bed Holdings Co Ltd (a)		334,317
	180,800	Penta-Ocean Construction Co Ltd		1,159,521
	23,500	Prima Meat Packers Ltd (a)		687,937
	9,100	Proto Corp		104,565
	64,800	Raiznext Corp		812,135
	3,100	Rinnai Corp		286,764
	8,700	Ryoden Corp		118,093
	35,800	San-A Co Ltd		1,454,760
	26,600	San-Ai Oil Co Ltd		234,243
	26,200	San-In Godo Bank Ltd (The)		130,860
	40,300	Sanki Engineering Co Ltd		432,050
	11,000	Sanyo Chemical Industries Ltd		511,050
	49,700	Secom Co Ltd		4,703,482
	19,600	Seikitokyu Kogyo Co Ltd		159,405
	39,700	Seiko Holdings Corp (a)		559,478
	182,600	Sekisui Chemical Co Ltd		2,921,301
	8,500	Sekisui Jushi Corp		178,225
	53,800	SG Holdings Co Ltd		2,475,780
	719,600	Shimizu Corp		5,527,514
	10,500	Shin-Etsu Polymer Co Ltd		86,546
	10,800	Shinnihon Corp		85,324
	19,200	Shizuoka Gas Co Ltd (a)		158,287
	175,700	Showa Corp		3,768,160
	2,300	Sinanen Holdings Co Ltd		64,271
	18,300	Sinko Industries Ltd		235,244
	21,500	Sintokogio Ltd		143,447
	344,900	SKY Perfect JSAT Holdings Inc		1,316,148
	876,800	Sojitz Corp		2,005,394
	2,373,200	Sumitomo Chemical Co Ltd		7,697,231
	139,500	Sumitomo Dainippon Pharma Co Ltd		1,763,551
	216,300	Sumitomo Forestry Co Ltd		3,453,421
	3,900	Sumitomo Seika Chemicals Co Ltd (a)		126,861
	2,300	Suzuken Co Ltd		85,439
	93,200	T Hasegawa Co Ltd		1,860,585
	37,400	T-Gaia Corp (c)		736,456
	27,800	Taisei Corp		959,541
	86,200	Takara Leben Co Ltd		280,744
	43,600	Takasago Thermal Engineering Co Ltd		597,180
	10,400	Takeuchi Manufacturing Co Ltd		218,019
	153,400	Takuma Co Ltd		2,455,649
	23,700	Tamron Co Ltd		382,416
	12,400	Tanseisha Co Ltd		83,227
	14,800	Tatsuta Electric Wire and Cable Co Ltd		86,693

Shares		Description	Value ($)
		Japan — continued
	138,000	Teijin Ltd		2,163,790
	80,300	Toho Holdings Co Ltd		1,552,243
	7,600	Token Corp		494,420
	14,000	Tokyo Electron Ltd		3,591,113
	13,900	Tokyo Seimitsu Co Ltd		425,351
	128,100	Tokyu Construction Co Ltd		587,336
	11,100	Toli Corp		25,942
	50,600	Toppan Forms Co Ltd		458,021
	475,700	Toppan Printing Co Ltd		7,382,746
	11,600	Torii Pharmaceutical Co Ltd		301,959
	199,700	Tosei Corp		1,748,571
	5,100	Toshiba TEC Corp (a)		213,318
	363,300	Tosoh Corp		5,374,653
	8,100	Towa Pharmaceutical Co Ltd		160,857
	106,500	Toyo Construction Co Ltd		406,064
	3,800	Toyo Ink SC Holdings Co Ltd		66,470
	71,300	Toyo Suisan Kaisha Ltd		4,053,917
	90,800	Toyota Industries Corp		5,274,372
	11,500	Trend Micro Inc		711,679
	94,600	TS Tech Co Ltd		2,767,234
	7,100	Tsumura & Co		201,618
	16,200	Unipres Corp		140,271
	145,100	Ushio Inc		1,794,303
	13,600	Vital KSK Holdings Inc		137,609
	13,700	Wacoal Holdings Corp (a)		243,386
	23,000	Warabeya Nichiyo Holdings Co Ltd (a)		324,674
	5,800	Welcia Holdings Co Ltd		248,469
	39,200	YAMABIKO Corp		399,150
	19,900	Yamaguchi Financial Group Inc		131,768
	26,500	Yamazen Corp		249,515
	46,200	Yellow Hat Ltd		761,149
	296,300	Yokogawa Electric Corp		4,840,235
	6,300	Yondoshi Holdings Inc (a)		102,677
	8,200	Yuasa Trading Co Ltd		238,289
	111,500	Zenkoku Hosho Co Ltd		3,945,348
		Total Japan		426,573,276
		Kuwait — 0.0%
	7,478	Humansoft Holding Co KSC *		61,895
	42,490	Kuwait Finance House KSCP		87,063
	92,114	Kuwait Projects Co Holding KSCP		44,915
		Total Kuwait		193,873
		Malaysia — 0.5%
	3,625,900	DRB-Hicom Berhad		1,775,195
	76,000	Kossan Rubber Industries		292,393
	4,700,290	Supermax Corp Berhad *		25,038,815
	335,500	Ta Ann Holdings Berhad		229,293
	713,800	Top Glove Corp Berhad		4,508,393
	258,300	Westports Holdings Berhad		225,448
		Total Malaysia		32,069,537

50 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.0%
	59,600	America Movil SAB de CV – Class L Sponsored ADR (a)		725,332
	5,856,700	America Movil SAB de CV – Series L		3,559,735
	7,800	Arca Continental SAB de CV		35,457
	189,100	Banco del Bajio SA *		151,232
	1,048,900	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		668,685
	1,800	Coca-Cola Femsa SAB de CV Sponsored ADR		75,222
	80,400	Concentradora Fibra Danhos SA de CV (REIT)		76,057
	25,500	Corp Inmobiliaria Vesta SAB de CV		37,874
	777,700	Credito Real SAB de CV SOFOM ER *		437,150
	125,100	El Puerto de Liverpool SAB de CV –Class C1		329,529
	4,795,400	Fibra Uno Administracion SA de CV (REIT)		3,751,816
	671,700	Gentera SAB de CV *		220,094
	386,900	Grupo Aeroportuario del Centro Norte SAB de CV *		1,771,833
	7,900	Grupo Aeroportuario del Centro Norte SAB de CV ADR *		288,034
	11,500	Grupo Aeroportuario del Pacifico SAB de CV ADR		891,020
	33,500	Grupo Aeroportuario del Pacifico SAB de CV – Class B		260,535
	9,200	Grupo Aeroportuario del Sureste SAB de CV ADR *		1,043,832
	22,465	Grupo Aeroportuario del Sureste SAB de CV – Class B *		255,131
	2,726,900	Grupo Financiero Banorte SAB de CV –Class O *		9,371,304
	294,600	Grupo Financiero Inbursa SAB de CV –Class O *		215,410
	247,513	Grupo Herdez SAB de CV		426,321
	3,107,300	Grupo Mexico SAB de CV Series B		8,292,949
	47,300	Kimberly-Clark de Mexico SAB de CV –Class A		75,461
	133,600	Qualitas Controladora SAB de CV		526,292
	131,700	Regional SAB de CV *		329,220
	310,869	Unifin Financiera SAB de CV SOFOM ENR *		261,117
	11,028,500	Wal-Mart de Mexico SAB de CV		26,409,533
		Total Mexico		60,486,175
		Netherlands — 1.6%
	120,390	ABN AMRO Bank NV CVA *		1,143,430
	1,647	Adyen NV *		2,776,269
	3,264	Alfen Beheer BV *		236,384
	354,492	ASR Nederland NV (c)		12,255,783
	63,652	ForFarmers NV		410,809

Shares		Description	Value ($)
		Netherlands — continued
	84,004	Heineken Holding NV		6,873,395
	816	Hunter Douglas NV *		43,893
	239,087	Koninklijke Ahold Delhaize NV		7,193,121
	82,586	Koninklijke Vopak NV		4,534,476
	245,264	Randstad NV		12,764,374
	630,285	Signify NV *		21,024,740
	312,527	Wolters Kluwer NV		25,637,563
		Total Netherlands		94,894,237
		New Zealand — 0.0%
	395,415	Air New Zealand Ltd (a)		371,624
	30,070	Fisher & Paykel Healthcare Corp Ltd –Class C		744,737
		Total New Zealand		1,116,361
		Norway — 0.7%
	225,925	Austevoll Seafood ASA		2,083,604
	41,334	Avance Gas Holding Ltd (a)		99,556
	9,122	Borregaard ASA		133,063
	589,844	BW LPG Ltd		2,751,832
	522,138	DNB ASA *		8,364,201
	892,022	Elkem ASA		1,839,827
	191,115	Europris ASA		961,978
	131,700	Frontline Ltd (a)		1,048,332
	149,824	Gjensidige Forsikring ASA *		3,189,448
	6,954	Kongsberg Gruppen ASA		103,315
	189,432	Norwegian Finans Holding ASA *		1,435,421
	864,917	Orkla ASA		8,797,521
	11,585	Salmar ASA *		626,771
	41,509	Sbanken ASA *		319,637
	61,466	Selvaag Bolig ASA		374,075
	102,213	SpareBank 1 Nord Norge		787,045
	55,483	SpareBank 1 SMN		551,288
	290,121	SpareBank 1 SR-Bank ASA *		2,605,834
	11,033	Veidekke ASA *		148,329
	71,200	Yara International ASA		2,983,019
		Total Norway		39,204,096
		Pakistan — 0.1%
	174,523	Engro Corp Ltd		314,110
	1,647,468	Engro Fertilizers Ltd		629,427
	337,049	Fauji Fertilizer Co Ltd		219,564
	125,900	Nishat Mills Ltd		82,468
	1,586,152	Oil & Gas Development Co Ltd		1,099,074
	212,509	Pakistan Oilfields Ltd		552,026
	772,422	Pakistan Petroleum Ltd		475,468
	127,351	Pakistan State Oil Co Ltd		147,753
	259,900	Searle Co Ltd (The)		407,852
	83,000	SUI Northern Gas Pipeline		31,764
	319,598	United Bank Ltd		241,021
		Total Pakistan		4,200,527

See accompanying notes to the financial statements. 51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.1%
	27,020	Globe Telecom Inc		1,162,543
	227,640	Manila Electric Co		1,262,467
	19,338,600	Megaworld Corp *		1,159,613
	9,225,000	Metro Pacific Investments Corp		639,272
	40,400	Metropolitan Bank & Trust Co		27,904
	82,010	Security Bank Corp		164,381
	1,367,225	Semirara Mining & Power Corp		265,476
		Total Philippines		4,681,656
		Poland — 0.6%
	91,440	Alior Bank SA *		340,577
	98,634	Asseco Poland SA		1,901,645
	256,954	Bank Polska Kasa Opieki SA *		3,642,583
	33,987	Budimex SA		2,161,339
	252,249	Cyfrowy Polsat SA *		1,969,133
	528,434	Energa SA *		1,162,021
	28,081	Lubelski Wegiel Bogdanka SA *		145,170
	189,111	Orange Polska SA *		370,343
	374,074	PLAY Communications SA		3,100,149
	218,314	Polski Koncern Naftowy ORLEN SA		3,002,966
	133,474	Powszechna Kasa Oszczednosci Bank Polski SA *		779,886
	2,203,474	Powszechny Zaklad Ubezpieczen SA *		16,246,849
	9,257	Santander Bank Polska SA *		380,245
		Total Poland		35,202,906
		Portugal — 0.8%
	471,674	Altri SGPS SA		2,365,980
	14,626,243	Banco Comercial Portugues SA – Class R * (a)		1,731,006
	299,333	CTT-Correios de Portugal SA * (a)		933,378
	45,154	EDP Renovaveis SA		772,403
	2,393,765	EDP – Energias de Portugal SA (a)		12,168,867
	1,298,781	Galp Energia SGPS SA		13,946,505
	405,394	Jeronimo Martins SGPS SA		6,671,587
	315,464	Mota-Engil SGPS SA * (a)		594,849
	456,574	Navigator Co SA (The) *		1,207,164
	577,598	NOS SGPS SA		2,339,377
	439,312	REN – Redes Energeticas Nacionais SGPS SA		1,278,988
	32,033	Semapa-Sociedade de Investimento e Gestao		292,742
	2,840,157	Sonae SGPS SA		2,027,274
		Total Portugal		46,330,120
		Qatar — 0.1%
	614,884	Doha Bank QPSC *		402,243
	96,259	Qatar Electricity & Water Co QSC		454,567
	233,224	Qatar Insurance Co SAQ		136,242
	1,154,582	Qatar National Bank QPSC		5,705,027

Shares		Description	Value ($)
		Qatar — continued
	456,982	Qatar National Cement Co QSC		500,360
		Total Qatar		7,198,439
		Russia — 4.1%
	11,470,560	Alrosa PJSC		10,196,277
	1,093,600	Credit Bank of Moscow PJSC *		90,597
	332,670	Detsky Mir PJSC		523,125
	32,132	Etalon Group Plc GDR (Registered)		51,177
	274,020,000	Federal Grid Co Unified Energy System PJSC		722,886
	98,260	Gazprom Neft PJSC		422,336
	1,841,420	Gazprom PJSC		4,497,793
	289,198	Globaltrans Investment Plc Sponsored GDR (Registered)		1,789,360
	276,114,000	Inter RAO UES PJSC		19,450,004
	40,121	LSR Group PJSC		425,578
	219,378	LSR Group PJSC GDR (Registered)		460,763
	286,278	LUKOIL PJSC		19,227,592
	674,441	LUKOIL PJSC Sponsored ADR		46,146,665
	193,870	M.Video PJSC		1,475,524
	3,072,300	Magnitogorsk Iron & Steel Works PJSC		1,560,183
	158,695	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,073,002
	1,101,087	MMC Norilsk Nickel PJSC ADR		28,897,580
	238,535	Mobile TeleSystems PJSC Sponsored ADR		2,223,146
	4,279,560	Moscow Exchange MICEX-RTS PJSC		7,913,657
	69,302	Novatek PJSC Sponsered GDR (Registered)		10,345,612
	136,890	Novolipetsk Steel PJSC		285,548
	714,258	Novolipetsk Steel PJSC GDR		14,884,825
	88,819	PhosAgro PJSC GDR (Registered)		1,051,083
	47,764	Polymetal International Plc (b)		1,277,103
	137,513	Polymetal International Plc (b)		3,731,809
	14,449	Polyus PJSC GDR (Registered)		1,768,196
	71,492	QIWI Plc Sponsored ADR		1,284,711
	329,330	Raspadskaya OJSC		509,870
	169,895,000	ROSSETI PJSC		3,341,779
	30,090	Safmar Financial Investment *		214,411
	1,128,600	Sberbank of Russia PJSC Sponsored ADR *		13,560,891
	333,627	Severstal PJSC GDR (Registered)		4,214,848
	12,247,000	Surgutneftegas PJSC		6,057,148
	2,664,102	Surgutneftegas PJSC Sponsored ADR		13,317,156
	17,478	Tatneft PJSC		128,687
	482,178	Tatneft PJSC Sponsored ADR		21,634,756
	93,992	TCS Group Holding Plc GDR (Registered)		2,314,779
	29,094,000	Unipro PJSC		1,059,327
	376,156	VTB Bank PJSC GDR (Registered) *		340,692
		Total Russia		248,470,476

52 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Saudi Arabia — 0.0%
	1,827	Al Rajhi Bank		31,597
	1,659	Samba Financial Group		12,180
		Total Saudi Arabia		43,777
		Singapore — 1.2%
	310,300	Accordia Golf Trust		165,176
	381,300	AEM Holdings Ltd		1,127,153
	717,200	Ascendas Real Estate Investment Trust		1,747,377
	737,900	Asian Pay Television Trust		70,491
	859,000	CapitaLand Commercial Trust (REIT)		1,059,117
	380,900	CapitaLand Ltd		774,455
	220,700	City Developments Ltd		1,300,507
	1,325,900	ComfortDelGro Corp Ltd		1,439,132
	1,403,400	DBS Group Holdings Ltd		21,507,057
	583,100	First Real Estate Investment Trust		211,858
	1,160,899	Japfa Ltd		532,586
	46,300	Jardine Cycle & Carriage Ltd		644,317
	253,900	Keppel DC (REIT)		542,547
	1,338,600	Mapletree Industrial Trust (REIT)		2,995,899
	376,200	Mapletree Logistics Trust (REIT)		571,603
	2,002,000	Mapletree North Asia Commercial Trust (REIT)		1,380,910
	865,500	Sasseur Real Estate Investment Trust		492,540
	522,200	Silverlake Axis Ltd		122,662
	591,000	Singapore Exchange Ltd		3,737,215
	184,000	Sino Grandness Food Industry Group Ltd *		2,971
	142,300	SPH (REIT)		90,902
	545,400	StarHub Ltd		488,701
	135,300	United Overseas Bank Ltd		1,940,040
	412,000	Venture Corp Ltd		6,004,592
	228,500	Wilmar International Ltd		731,052
	28,840,451	Yangzijiang Shipbuilding Holdings Ltd		19,374,899
	1,521,100	Yanlord Land Group Ltd		1,351,140
		Total Singapore		70,406,899
		South Africa — 1.6%
	2,897,168	Absa Group Ltd		13,122,396
	39,768	AECI Ltd		196,880
	35,115	Anglo American Platinum Ltd		2,615,467
	179,067	Aspen Pharmacare Holdings Ltd *		1,430,014
	231,791	Astral Foods Ltd		1,819,061
	25,692	AVI Ltd		104,394
	546,959	Barloworld Ltd		1,918,522
	9,920	BID Corp Ltd		163,303
	1,638,767	Blue Label Telecoms Ltd *		308,345
	8,807	Capitec Bank Holdings Ltd		432,284
	100,566	Clicks Group Ltd		1,361,081
	117,947	Discovery Ltd		839,412
	896,766	Emira Property Fund Ltd (REIT)		287,154

Shares		Description	Value ($)
		South Africa — continued
	677,085	FirstRand Ltd		1,506,525
	266,728	Foschini Group Ltd (The)		1,200,576
	17,882	Gold Fields Ltd		234,022
	185,900	Gold Fields Ltd Sponsored ADR		2,422,277
	2,933,214	Growthpoint Properties Ltd (REIT)		2,112,809
	315,643	Imperial Logistics Ltd		642,608
	349,687	Investec Ltd		648,178
	433,335	Kumba Iron Ore Ltd		13,579,675
	350,319	Lewis Group Ltd		365,104
	437,912	Liberty Holdings Ltd		1,563,006
	828,587	Motus Holdings Ltd *		1,342,601
	613,426	Mr Price Group Ltd		4,180,338
	70,066	Murray & Roberts Holdings Ltd		22,731
	63,139	Naspers Ltd – N Shares		11,512,432
	174,178	Nedbank Group Ltd		982,395
	1,347,624	Netcare Ltd		996,468
	8,911,491	Old Mutual Ltd		5,868,121
	180,695	Rand Merchant Investment Holdings Ltd		319,398
	67,887	Remgro Ltd		349,821
	531,813	Reunert Ltd		962,923
	3,656,657	RMB Holdings Ltd		264,213
	2,373,710	Sanlam Ltd		7,650,001
	38,934	Santam Ltd		561,154
	88,670	Sappi Ltd *		116,488
	42,412	Shoprite Holdings Ltd		276,666
	57,029	Standard Bank Group Ltd		354,130
	2,805,157	Telkom SA SOC Ltd		3,754,780
	25,373	Tiger Brands Ltd		257,488
	1,190,440	Truworths International Ltd		2,131,935
	267,529	Tsogo Sun Gaming Ltd		57,419
	202,195	Vodacom Group Ltd		1,521,968
	254,805	Wilson Bayly Holmes-Ovcon Ltd		1,665,544
		Total South Africa		94,022,107
		South Korea — 2.9%
	80,823	Aekyung Petrochemical Co Ltd		461,523
	29,624	Aju Capital Co Ltd		293,828
	272	Alteogen Inc *		47,700
	10,075	BNK Financial Group Inc		43,002
	2,924	Bukwang Pharmaceutical Co Ltd		93,041
	418	Celltrion Pharm Inc *		38,960
	5,986	Daou Data Corp		68,117
	120,362	DB HiTek Co Ltd		3,600,914
	53,499	DB Insurance Co Ltd		1,963,425
	2,789	DongKook Pharmaceutical Co Ltd (d)		382,537
	1,700	Dongwha Pharm Co Ltd		33,491
	508,750	Dongwon Development Co Ltd		1,641,302
	5,018	Doosan Fuel Cell Co Ltd *		175,196
	3,730	Eone Diagnomics Genome Center Co Ltd *		48,822

See accompanying notes to the financial statements. 53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	819	Genexine Co Ltd *		123,595
	17,167	GS Home Shopping Inc		1,688,245
	1,213,290	Hana Financial Group Inc		28,715,182
	66,170	Hankook Tire & Technology Co Ltd		1,639,402
	41,996	Huons Co Ltd		2,559,647
	12,869	Hy-Lok Corp		127,126
	32,350	Hyundai Home Shopping Network Corp		1,776,991
	19,036	Hyundai Mobis Co Ltd		3,562,491
	20,533	Hyundai Motor Co		3,024,008
	35,847	Il Dong Pharmaceutical Co Ltd *		555,670
	611,185	Industrial Bank of Korea		4,152,153
	145,130	JB Financial Group Co Ltd		523,452
	168,733	KB Financial Group Inc		5,235,042
	24,424	KEPCO Plant Service & Engineering Co Ltd		570,972
	1,043,094	Kia Motors Corp		37,098,997
	96,499	Korea Asset In Trust Co Ltd		289,602
	45,196	Korea Autoglass Corp		545,965
	77,408	Korean Reinsurance Co		477,767
	54,900	KT Corp Sponsored ADR		540,216
	3,095	KT Skylife Co Ltd		22,165
	171,063	KT&G Corp		11,961,046
	121,754	LF Corp		1,309,979
	12,064	LG Electronics Inc		853,375
	11,731	LOTTE Himart Co Ltd		296,109
	370	MedPacto Inc *		32,872
	28,523	Mirae Asset Life Insurance Co Ltd		89,925
	680	NCSoft Corp		471,764
	3,965	NHN KCP Corp		239,421
	3,358	Pharmicell Co Ltd *		63,164
	39,687	S&T Motiv Co Ltd		1,832,303
	72,595	Samjin Pharmaceutical Co Ltd		1,779,270
	98,066	Samsung Electronics Co Ltd		4,452,799
	6,055	Sangsangin Co Ltd		30,514
	8,508	Sebang Global Battery Co Ltd		195,333
	1,891	Seegene Inc		420,223
	668,285	Shinhan Financial Group Co Ltd		16,632,913
	136,710	SK Hynix Inc		8,639,520
	20,948	SK Telecom Co Ltd		4,367,692
	545,241	SK Telecom Co Ltd Sponsored ADR		12,524,186
	33,965	SL Corp		342,892
	180	Taekwang Industrial Co Ltd		99,939
	234,972	Woori Financial Group Inc		1,669,634
	22,427	Yuhan Corp		1,263,634
		Total South Korea		171,689,053
		Spain — 1.5%
	35,547	Acerinox SA *		288,643
	102,059	ACS Actividades de Construccion y Servicios SA		2,497,390

Shares		Description	Value ($)
		Spain — continued
	148,984	Aena SME SA *		22,242,718
	168,483	Almirall SA *		1,853,459
	95,717	Amadeus IT Group SA		5,377,115
	424,260	Banco Bilbao Vizcaya Argentaria SA		1,242,446
	1,197,665	Banco Santander SA		2,666,516
	169,561	Cia de Distribucion Integral Logista Holdings SA		3,006,586
	18,599	Ebro Foods SA		456,592
	30,792	eDreams ODIGEO SA * (a)		83,289
	47,092	Enagas SA		1,153,175
	784,912	Endesa SA		21,788,940
	159,818	Faes Farma SA		632,840
	469,488	Iberdrola SA		5,923,471
	241,643	Industria de Diseno Textil SA		6,794,330
	584,439	Mediaset Espana Comunicacion SA * (a)		1,941,953
	345,125	Red Electrica Corp SA		6,605,051
	481	Repsol SA		3,800
	1,488,985	Unicaja Banco SA *		1,070,855
	55,333	Viscofan SA		4,093,827
		Total Spain		89,722,996
		Sweden — 0.6%
	222,646	Betsson AB *		1,863,940
	86,514	Bilia AB – A Shares *		1,027,481
	10,344	Bufab AB *		139,953
	21,441	Humana AB *		150,626
	115,492	Inwido AB *		1,150,118
	25,747	Lindab International AB		414,985
	19,900	New Wave Group AB – B Shares *		107,867
	94,061	Nobia AB *		607,608
	288,746	Skanska AB – B Shares *		5,872,458
	21,996	SKF AB – B Shares		439,952
	97,827	Swedish Match AB		7,429,956
	51,593	Volvo AB – A Shares *		1,000,911
	984,113	Volvo AB – B Shares *		18,850,126
		Total Sweden		39,055,981
		Switzerland — 0.8%
	7,385	ALSO Holding AG (Registered) *		2,000,989
	3,046	Banque Cantonale Vaudoise (Registered)		325,297
	10,637	BKW AG		1,042,440
	6,040	Bobst Group SA (Registered)		391,074
	15,349	Galenica AG		1,102,121
	119	Gurit Holding AG		225,164
	3,931	Huber + Suhner AG (Registered)		305,182
	2,987	Kardex Holding AG (Registered)		620,708
	7,711	Mobilezone Holding AG (Registered)		83,484
	3,278	Nestle SA (Registered)		394,826
	68,076	Novartis AG (Registered)		5,867,266
	5,689	Orior AG		492,259

54 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	2,155	Partners Group Holding AG		2,195,317
	31,309	Roche Holding AG		10,983,238
	63,838	Roche Holding AG – Genusschein		22,331,732
	5,700	Vetropack Holding AG (Registered) *		357,759
	4,039	Wizz Air Holdings Plc *		209,513
	6,347	Zehnder Group AG – Class RG		328,517
		Total Switzerland		49,256,886
		Taiwan — 5.5%
	302,000	Ability Enterprise Co Ltd		130,726
	33,000	Accton Technology Corp		263,166
	8,000	Acter Group Corp Ltd		55,783
	151,000	Alchip Technologies Ltd		2,715,794
	50,000	Amazing Microelectronic Corp		138,942
	2,000	ASPEED Technology Inc		81,690
	1,651,672	Asustek Computer Inc		13,678,752
	65,000	Aten International Co Ltd		187,057
	3,226,000	Catcher Technology Co Ltd		22,023,231
	1,210,000	Cathay Financial Holding Co Ltd		1,643,460
	1,126,525	Chailease Holding Co Ltd		4,975,721
	1,738,660	Chicony Electronics Co Ltd		5,244,995
	120,000	Chicony Power Technology Co Ltd		302,466
	4,634,000	China Development Financial Holding Corp		1,351,468
	226,400	China Motor Corp		328,600
	390,000	Chong Hong Construction Co Ltd		1,113,915
	3,083,000	Coretronic Corp		3,672,114
	14,796,000	CTBC Financial Holding Co Ltd		9,564,539
	61,000	Depo Auto Parts Ind Co Ltd		103,040
	78,000	Elan Microelectronics Corp		377,958
	608,000	Elite Material Co Ltd		3,521,433
	593,000	Elitegroup Computer Systems Co Ltd *		282,596
	496,000	Farglory Land Development Co Ltd		810,988
	465,720	Feng TAY Enterprise Co Ltd		2,710,947
	2,093,000	FLEXium Interconnect Inc		8,978,384
	244,000	Formosa Advanced Technologies Co Ltd		290,971
	247,000	Formosa Plastics Corp		659,747
	1,122,000	Formosa Taffeta Co Ltd		1,209,591
	1,162,000	Foxconn Technology Co Ltd		2,066,777
	3,885,000	Fubon Financial Holding Co Ltd		5,672,703
	1,875,000	Gigabyte Technology Co Ltd		5,416,932
	5,516,000	Grand Pacific Petrochemical *		3,609,724
	1,518,580	Great Wall Enterprise Co Ltd		2,341,272
	121,000	Holiday Entertainment Co Ltd		261,119
	648,000	Holtek Semiconductor Inc		1,408,644
	21,534,600	Hon Hai Precision Industry Co Ltd		56,478,536
	455,000	Huaku Development Co Ltd		1,390,325
	96,142	IBF Financial Holdings Co Ltd		37,892
	389,980	IEI Integration Corp		607,666
	33,660	Innodisk Corp		182,070

Shares		Description	Value ($)
		Taiwan — continued
	78,000	International Games System Co Ltd		2,336,949
	159,000	Kung Long Batteries Industrial Co Ltd		752,441
	518,000	Lite-On Semiconductor Corp *		689,962
	1,401,000	Lite-On Technology Corp		2,218,645
	26,000	Lotes Co Ltd		378,694
	160,000	MediaTek Inc		3,025,577
	3,800	Mercuries & Associates Holding Ltd		3,214
	2,002,088	Mercuries Life Insurance Co Ltd *		642,575
	600,000	Merry Electronics Co Ltd		3,144,044
	760,000	Micro-Star International Co Ltd		3,508,676
	2,316,368	Mitac Holdings Corp		2,282,686
	400,000	Nantex Industry Co Ltd		640,708
	21,000	Nichidenbo Corp		32,383
	2,195,000	Novatek Microelectronics Corp		17,958,653
	1,603,000	Pegatron Corp		3,409,697
	323,000	Phison Electronics Corp		3,042,545
	12,739,566	Pou Chen Corp		12,036,501
	2,672,000	Qisda Corp		1,693,514
	1,275,000	Quanta Computer Inc		3,341,728
	637,000	Quanta Storage Inc		952,523
	7,790,020	Radiant Opto-Electronics Corp		28,605,900
	29,000	Sheng Yu Steel Co Ltd		17,810
	3,424	Shin Zu Shing Co Ltd		17,610
	200,000	Shinkong Insurance Co Ltd		240,530
	3,000	Silergy Corp.		190,302
	707,400	Simplo Technology Co Ltd		8,065,492
	99,000	Sitronix Technology Corp		486,377
	136,000	Soft-World International Corp		426,379
	141,000	Standard Chemical & Pharmaceutical Co Ltd		189,947
	2,043,000	Sunplus Technology Co Ltd *		862,310
	610,000	Syncmold Enterprise Corp		1,720,290
	1,123,000	Taiwan PCB Techvest Co Ltd		1,622,699
	1,562,000	Taiwan Semiconductor Manufacturing Co Ltd		22,766,266
	311,750	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		24,706,187
	28,000	Thinking Electronic Industrial Co Ltd		104,030
	516,264	TOPBI International Holdings Ltd		616,738
	432,064	Topco Scientific Co Ltd		1,765,332
	133,000	Topkey Corp		827,864
	659,000	Transcend Information Inc		1,479,366
	541,000	Tripod Technology Corp		2,136,179
	301,681	United Integrated Services Co Ltd		2,115,719
	176,000	Wah Lee Industrial Corp		339,321
	68,000	Wiwynn Corp		1,813,901
	493,000	Youngtek Electronics Corp		971,021
	4,986,800	Yuanta Financial Holding Co Ltd		3,126,259
	19,000	Yulon Nissan Motor Co Ltd		159,298
		Total Taiwan		333,356,576

See accompanying notes to the financial statements. 55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.1%
	412,800	Bangkok Bank Pcl NVDR		1,415,931
	16,976,500	Beauty Community Pcl NVDR		751,974
	176,000	Hana Microelectronics Pcl NVDR		224,723
	38,000	Kasikornbank Pcl NVDR		103,312
	58,900	Kiatnakin Phatra Bank Pcl NVDR		75,429
	453,000	Krung Thai Bank Pcl NVDR		139,584
	417,600	Origin Property Pcl NVDR *		99,344
	363,200	Pruksa Holding Pcl (Foreign Registered)		135,524
	1,515,300	Pruksa Holding Pcl NVDR		565,415
	849,700	SC Asset Corp Pcl (Foreign Registered)		62,201
	187,100	Siam Commercial Bank Pcl NVDR (The)		437,604
	207,800	Somboon Advance Technology Pcl NVDR		80,007
	222,500	SPCG Pcl NVDR		127,971
	1,073,525	Supalai Pcl (Foreign Registered)		580,771
	642,100	Supalai Pcl NVDR		347,372
	1,320,900	Thai Beverage Pcl		596,144
	237,500	Thai Vegetable Oil Pcl NVDR		206,140
	125,000	Thanachart Capital Pcl NVDR		129,438
	21,000	Tisco Financial Group Pcl NVDR		45,542
	499,600	TTW Pcl NVDR		214,888
	985,600	Univentures Pcl NVDR		91,183
		Total Thailand		6,430,497
		Turkey — 0.7%
	296,229	Aksa Akrilik Kimya Sanayii AS		270,386
	2,364,047	Aselsan Elektronik Sanayi Ve Ticaret AS		5,241,348
	30,088	BIM Birlesik Magazalar AS		278,166
	1,963,347	Dogan Sirketler Grubu Holding AS		561,948
	88,885	Dogus Otomotiv Servis ve Ticaret AS *		178,086
	16,639,372	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		3,993,463
	1,801,090	Enerjisa Enerji AS		2,001,913
	4,496,462	Eregli Demir ve Celik Fabrikalari TAS		5,342,144
	389,210	Goodyear Lastikleri TAS *		251,452
	4,424,175	KOC Holding AS		8,971,927
	160,207	Koza Altin Isletmeleri AS *		1,699,687
	331,740	Koza Anadolu Metal Madencilik Isletmeleri AS *		581,333
	338,429	Ozak Gayrimenkul Yatirim Ortakligi (REIT) *		172,899
	691,034	Selcuk Ecza Deposu Ticaret ve Sanayi AS		752,678
	513,553	Soda Sanayii AS		478,032
	44,633	Tofas Turk Otomobil Fabrikasi AS		137,085
	47,429	Turkcell Iletisim Hizmetleri AS		92,204
	2,559,623	Turkiye Garanti Bankasi AS *		2,356,724
	11,011,220	Turkiye Is Bankasi – Class C *		7,376,934
	2,381,691	Turkiye Vakiflar Bankasi TAO –Class D *		1,321,609
		Total Turkey		42,060,018

Shares		Description	Value ($)
		United Arab Emirates — 0.1%
	165,029	Abu Dhabi Islamic Bank PJSC		179,463
	555,151	Dubai Islamic Bank PJSC		618,037
	264,256	Emaar Malls PJSC *		99,759
	7,247,023	Emaar Properties PJSC *		5,666,278
	72,193	Emirates NBD Bank PJSC		211,796
		Total United Arab Emirates		6,775,333
		United Kingdom — 5.2%
	1,907,813	3i Group Plc		23,444,170
	119,958	888 Holdings Plc		317,025
	149,420	Aggreko Plc		941,139
	173,442	Alliance Pharma Plc		170,379
	255,901	Anglo American Plc		6,288,689
	24,458	Ashtead Group Plc		848,022
	138,411	AVEVA Group Plc		9,350,290
	36,801	Bank of Georgia Group Plc *		456,531
	2,777,344	Barratt Developments Plc		19,394,469
	194,361	Bellway Plc		6,174,405
	235,005	Berkeley Group Holdings Plc (The)		14,202,162
	46,102	Biffa Plc		125,135
	305,413	British American Tobacco Plc		10,293,951
	431,400	British American Tobacco Plc Sponsored ADR		14,568,378
	1,725,006	Centamin Plc		4,845,839
	67,876	CMC Markets Plc		290,973
	160,465	Coca-Cola HBC AG *		4,262,478
	459,102	Compass Group Plc		7,429,166
	125,251	Computacenter Plc		3,405,178
	11,288	Cranswick Plc		559,538
	39,919	Daily Mail & General Trust Plc – Class A		346,112
	10,462	Dart Group Plc		98,797
	7,138	Diploma Plc		184,205
	159,894	Dixons Carphone Plc		197,805
	183,792	Dunelm Group Plc		3,496,415
	216,356	Electrocomponents Plc		1,957,307
	32,661	EMIS Group Plc		446,914
	50,876	Ferguson Plc		4,989,174
	1,685,313	Ferrexpo Plc		4,141,400
	330,675	Frasers Group Plc *		1,538,886
	12,942	Games Workshop Group Plc		1,590,246
	72,433	Go-Ahead Group Plc (The)		633,647
	23,959	Greggs Plc		452,631
	44,279	Halfords Group Plc		97,591
	566,400	HSBC Holdings Plc		2,455,488
	439,925	IG Group Holdings Plc		4,581,224
	48,552	IMI Plc		675,566
	354,821	Inchcape Plc *		2,390,237
	367,728	Indivior Plc *		583,547
	47,755	Intermediate Capital Group Plc		864,489

56 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	1,203,651	International Consolidated Airlines Group SA (a)		3,225,363
	94,492	International Personal Finance Plc		86,399
	860,553	J Sainsbury Plc		2,114,467
	735,282	JD Sports Fashion Plc		7,075,969
	210,935	John Laing Group Plc		812,724
	638,946	Kingfisher Plc		2,323,573
	3,222,696	Legal & General Group Plc		9,263,418
	42,060	McBride Plc		33,918
	60,526	Meggitt Plc		233,091
	29,588	Micro Focus International Plc		117,384
	224,536	Mitchells & Butlers Plc *		516,175
	40,505	Mondi Plc		796,988
	114,125	Morgan Advanced Materials Plc		353,700
	89,199	Morgan Sindall Group Plc		1,501,250
	438,158	National Express Group Plc		742,515
	60,616	Next Plc		4,856,973
	43,985	Numis Corp Plc		171,146
	107,454	OneSavings Bank Plc		437,342
	183,486	Paragon Banking Group Plc		871,357
	198,993	Pennon Group Plc		2,658,744
	1,036,955	Persimmon Plc		36,032,358
	663,950	Pets at Home Group Plc		2,589,191
	388,590	Plus500 Ltd		7,562,341
	453,211	Premier Foods Plc *		509,093
	1,673,140	QinetiQ Group Plc		6,474,812
	119,023	Redde Northgate Plc		299,071
	292,776	Royal Dutch Shell Plc – A Shares (a)		4,350,989
	110,094	Royal Dutch Shell Plc – B Shares		1,548,880
	1,059,100	Royal Dutch Shell Plc – Class B Sponsored ADR		29,760,710
	293,385	Sirius Real Estate Ltd		293,444
	44,800	Smith & Nephew Plc Sponsored ADR		1,821,120
	88,205	Smiths Group Plc		1,637,137
	143,981	Softcat Plc		2,666,511
	821,665	Spirent Communications Plc		3,228,132
	194,687	Stock Spirits Group Plc		563,563
	1,373,441	Tate & Lyle Plc		12,452,847
	166,849	TI Fluid Systems Plc *		352,998
	6,484	Ultra Electronics Holdings Plc		199,798
	268,909	Vesuvius Plc		1,446,491
	214,687	WM Morrison Supermarkets Plc		549,373
		Total United Kingdom		311,620,953
		United States — 12.9%
	11,100	1st Source Corp.		382,395
	160,400	Acacia Communications, Inc. *		10,823,792
	417,600	ACCO Brands Corp.		2,706,048
	172,700	Acushnet Holdings Corp. (a) (c)		6,094,583
	35,600	Adtalem Global Education, Inc. * (a)		1,181,920

Shares		Description	Value ($)
		United States — continued
	93,700	ADTRAN, Inc.		1,039,133
	219,396	Advanced Disposal Services, Inc. * (c)		6,610,401
	6,400	AGCO Corp.		455,040
	46,900	AgroFresh Solutions, Inc. *		116,312
	84,300	Allscripts Healthcare Solutions, Inc. *		752,799
	61,800	Alpha & Omega Semiconductor Ltd. *		837,390
	19,400	Amalgamated Bank – Class A		228,338
	6,400	American Equity Investment Life Holding Co.		153,024
	73,794	American Express Co. (a)		7,496,732
	14,700	American Public Education, Inc. *		462,168
	7,300	American Vanguard Corp.		103,295
	31,500	Amkor Technology, Inc. * (a)		384,143
	54,200	Amneal Pharmaceuticals, Inc. * (a)		222,762
	49,700	AngioDynamics, Inc.*		465,440
	2,200	Applied Industrial Technologies, Inc.		132,462
	31,244	Applied Materials, Inc.		1,924,630
	28,400	ArcBest Corp.		960,488
	31,600	Arcosa, Inc.		1,462,764
	30,900	Arcus Biosciences, Inc. * (a)		735,420
	152,100	Arlo Technologies, Inc. *		871,533
	2,900	Arrow Financial Corp.		83,085
	30,400	Associated Banc-Corp.		408,576
	18,900	Atlas Air Worldwide Holdings, Inc. *		1,065,771
	1,700	ATN International, Inc.		98,600
	82,500	AutoNation, Inc. *		4,690,950
	44,600	Avaya Holdings Corp. *		692,192
	108,100	Avient Corp.		2,758,712
	14,100	Avnet, Inc.		387,891
	4,700	Axcelis Technologies, Inc. *		111,061
	29,900	AZZ, Inc.		1,038,427
	12,900	BankFinancial Corp.		93,654
	4,100	Bar Harbor Bankshares		83,066
	11,700	Bassett Furniture Industries, Inc.		147,420
	9,830	Bel Fuse, Inc. – Class B		118,157
	173,800	Benchmark Electronics, Inc.		3,408,218
	11,700	BI-LO Pty Ltd. (e)		719,550
	119,200	Big Lots, Inc.		5,620,280
	135,000	Bloomin’ Brands, Inc. (a)		1,935,900
	3,200	Booking Holdings, Inc. * (a)		6,113,440
	184,500	BorgWarner, Inc.		7,488,855
	22,000	Boston Private Financial Holdings, Inc.		130,680
	138,300	Brady Corp. – Class A		6,484,887
	8,000	Bridge Bancorp, Inc.		160,080
	48,100	Brightsphere Investment Group, Inc.		666,666
	137,000	Brinker International, Inc.		6,170,480
	78	Bristol-Myers Squibb Co.		4,852
	15,300	Brookline Bancorp, Inc.		146,880
	168,100	Builders FirstSource, Inc. * (c)		5,147,222
	5,100	Cabot Corp.		188,751

See accompanying notes to the financial statements. 57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	21,400	Calix, Inc. *		416,230
	13,300	Camden National Corp.		434,312
	13,300	Carriage Services, Inc.		294,462
	41,500	Cars.com, Inc. *		360,220
	6,800	Cathay General Bancorp		167,892
	49,400	CBIZ, Inc. *		1,201,408
	46,400	Cedar Realty Trust, Inc. (REIT)		38,985
	12,600	Central Garden & Pet Co. *		512,694
	37,600	Central Garden & Pet Co. – Class A *		1,397,216
	7,010	Century Bancorp, Inc. – Class A		493,854
	6,700	Cerence, Inc. *		356,440
	4,500	CEVA, Inc. *		190,125
	138,984	Charles Schwab Corp. (The) (a)		4,938,102
	191,324	Cheesecake Factory, Inc. (The) (a)		5,649,798
	61,000	Chevron Corp. (a) (c)		5,119,730
	11,860	Civista Bancshares, Inc.		158,331
	38,771	Clarus Corp.		488,127
	8,600	CNB Financial Corp.		137,170
	5,100	Commercial Metals Co.		106,437
	8,500	Community Trust Bancorp, Inc.		274,295
	49,200	Computer Programs & Systems, Inc.		1,346,112
	125,600	Comtech Telecommunications Corp.		2,084,960
	79,800	Consolidated Communications Holdings, Inc. *		620,844
	25,600	Cooper Tire & Rubber Co.		884,992
	47,100	Core-Mark Holding Co., Inc.		1,574,082
	445,500	CoreCivic, Inc. (REIT)		4,147,605
	236,600	CorePoint Lodging, Inc. (REIT)		1,343,888
	165,881	Corteva, Inc.		4,735,903
	33,100	Covetrus, Inc. * (a)		758,321
	19,500	CRA International, Inc.		828,945
	42,000	CSG Systems International, Inc.		1,787,940
	22,600	CTS Corp.		472,340
	31,600	Curo Group Holdings Corp.		243,320
	38,700	CytomX Therapeutics, Inc. *		282,510
	32,700	Deluxe Corp.		928,680
	191,200	Designer Brands, Inc. – Class A (a)		1,347,960
	94,300	DHI Group, Inc. *		229,149
	2,600	Diamond Hill Investment Group, Inc.		322,166
	92,800	Dick’s Sporting Goods, Inc. (a)		5,022,336
	44,300	Digi International, Inc. * (a)		603,366
	57,800	Dime Community Bancshares, Inc.		745,620
	1,097,100	Discovery, Inc. – Class C *		21,909,087
	4,047	Donegal Group, Inc. – Class A		58,398
	125,500	Donnelley Financial Solutions, Inc. *		1,367,950
	68,000	DSP Group, Inc. *		975,120
	23,000	Ducommun, Inc. *		859,510
	105,700	Ellington Financial, Inc. (REIT)		1,317,022
	24,500	Employers Holdings, Inc.		798,210
	5,600	Enanta Pharmaceuticals, Inc. * (a)		292,264

Shares		Description	Value ($)
		United States — continued
	46,800	Encore Capital Group, Inc. * (a)		2,149,992
	6,400	Encore Wire Corp.		330,304
	502,900	Endo International Plc * (a)		1,513,729
	5,200	Energizer Holdings, Inc.		240,708
	39,700	Ennis, Inc.		727,701
	188,625	Enova International, Inc. *		3,221,715
	9,200	EnPro Industries, Inc.		538,384
	138,118	EOG Resources, Inc.		6,262,270
	11,700	ePlus, Inc. *		897,624
	1,288,200	ESC NII Holdings, Inc. (e)		2,383,170
	7,400	Escalade, Inc.		134,162
	8,300	ESSA Bancorp, Inc. (a)		106,240
	36,800	Essent Group Ltd.		1,313,760
	140,800	Ethan Allen Interiors, Inc.		2,004,992
	51,300	Evolution Petroleum Corp.		140,049
	161,100	Federal Signal Corp.		5,174,532
	104,700	Federated Hermes, Inc.		2,503,377
	27,100	FedNat Holding Co.		230,079
	20,130	Financial Institutions, Inc.		346,840
	12,826	First Community Bankshares, Inc.		246,772
	9,900	First Financial Corp.		340,461
	7,900	First Financial Northwest, Inc.		75,682
	176,000	FirstEnergy Corp. (f)		5,031,845
	166,800	Flagstar Bancorp, Inc.		5,240,856
	13,100	FONAR Corp. *		332,347
	27,000	FutureFuel Corp.		326,700
	229,700	GCI Liberty, Inc. – Class A * (c)		18,555,166
	11,800	Genesco, Inc. *		230,100
	62,400	Genie Energy Ltd. – Class B		551,616
	2,386,011	Genworth Financial, Inc. – Class A * (a)		7,205,753
	285,000	GEO Group, Inc. (REIT)		3,180,600
	7,800	Gibraltar Industries, Inc. * (a)		487,071
	31,100	Gorman-Rupp Co. (The)		993,645
	500	Graham Holdings Co. – Class B		213,975
	5,600	Great Southern Bancorp, Inc.		215,824
	74,200	Greif, Inc. – Class A		2,734,270
	103,300	Griffon Corp.		2,244,709
	11,000	Gritstone Oncology, Inc. * (a)		36,410
	98,000	Group 1 Automotive, Inc. (a)		8,471,120
	57,800	Grubhub, Inc. *		4,181,830
	86,600	H&R Block, Inc. (a)		1,255,700
	59,600	Hasbro, Inc. (a)		4,704,824
	84,600	Haverty Furniture Cos, Inc.		1,786,752
	4,700	Hawkins, Inc.		236,034
	2,100	HB Fuller Co.		101,157
	19,700	HealthStream, Inc. *		408,086
	2,700	Heartland Financial USA, Inc.		92,961
	33,700	HEICO Corp. – Class A		3,012,106
	22,500	Heidrick & Struggles International, Inc.		486,675

58 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	5,800	Heritage Financial Corp.		115,652
	194,936	Herman Miller, Inc. (c)		4,645,325
	51,475	Hilltop Holdings, Inc.		1,060,385
	55,772	Hilton Worldwide Holdings, Inc.		5,039,558
	41,200	HNI Corp.		1,312,220
	29,000	Honeywell International, Inc.		4,800,950
	8,300	Hub Group, Inc. – Class A *		446,872
	5,700	Hurco Cos, Inc.		161,196
	7,600	Huron Consulting Group, Inc. *		329,688
	37,700	Hyster-Yale Materials Handling, Inc. (a)		1,520,818
	27,100	IDT Corp. – Class B *		176,692
	231,760	iHeartMedia, Inc. – Class A *		2,136,827
	30,500	Illinois Tool Works, Inc. (a)		6,025,275
	1,200	Independence Holding Co.		42,000
	23,163	Independent Bank Corp.		345,360
	52,600	Information Services Group, Inc. *		108,093
	27,962	Ingles Markets, Inc. – Class A		1,129,665
	75,400	Innospec, Inc.		5,631,626
	19,100	Inogen, Inc. *		577,393
	122,000	Insight Enterprises, Inc. * (a)		7,296,210
	8,700	Insteel Industries, Inc.		160,428
	27,300	Integer Holdings Corp. *		1,890,798
	34,300	Inter Parfums, Inc.		1,532,181
	35,000	Interface, Inc. (a)		264,600
	51,675	International Bancshares Corp.		1,631,896
	415,500	Investors Bancorp, Inc.		3,220,125
	135,270	JELD-WEN Holding, Inc. *		2,847,433
	17,800	Johnson Outdoors, Inc. – Class A (c)		1,525,638
	30,400	Kelly Services, Inc. – Class A		577,296
	38,300	Kimball Electronics, Inc. *		516,475
	89,400	Kimball International, Inc. – Class B		1,002,174
	36,700	Knoll, Inc.		472,329
	24,900	Koppers Holdings, Inc. *		599,094
	5,000	Kronos Worldwide, Inc.		62,450
	4,300	Kulicke & Soffa Industries, Inc.		103,114
	5,400	L B Foster Co. – Class A *		80,730
	73,400	La-Z-Boy, Inc.		2,385,500
	6,700	Lakeland Financial Corp.		306,123
	39,435	Laredo Petroleum, Inc. * (a)		644,762
	98,504	Las Vegas Sands Corp.		4,995,138
	12,800	LCNB Corp.		187,648
	17,600	Leaf Group Ltd. *		85,536
	177,800	Liberty Broadband Corp.– Class C * (a) (c)		24,908,002
	35,976	Liberty Global Plc – Class A *		840,759
	662,300	Liberty Media Corp.-Liberty SiriusXM –Class C * (c)		23,839,488
	13,200	Liberty Oilfield Services, Inc. – Class A		85,140
	289,400	Liberty TripAdvisor Holdings, Inc. –Class A *		810,320
	48,400	Livongo Health, Inc. *		6,645,320

Shares		Description	Value ($)
		United States — continued
	87,800	Luminex Corp.		2,343,382
	177,800	Lyft, Inc. – Class A * (a)		5,275,326
	23,355	Macatawa Bank Corp.		170,959
	80,330	Macquarie Infrastructure Corp.		2,250,847
	52,600	Marchex, Inc. – Class B *		94,154
	4,894	Markel Corp. * (a)		5,318,946
	5,700	Marlin Business Services Corp. (a)		38,190
	17,430	Masonite International Corp *		1,591,185
	71,600	Materion Corp. (c)		3,908,644
	52,100	Matrix Service Co. *		481,404
	187,400	Maxim Integrated Products, Inc.		12,825,656
	81,300	MDC Holdings, Inc. (a) (c)		3,526,794
	1,000	Mercantile Bank Corp.		21,840
	71,400	Meridian Bioscience, Inc. * (a)		1,009,596
	115,100	Meritor, Inc. *		2,619,676
	23,100	Methode Electronics, Inc.		653,961
	27,570	MGM Growth Properties LLC – Class A (REIT)		773,890
	96,304	Micron Technology, Inc. *		4,382,795
	6,900	MicroStrategy, Inc. – Class A *		996,636
	2,300	Minerals Technologies, Inc.		116,725
	68,300	Modine Manufacturing Co. * (a)		462,391
	88,700	Moog, Inc. – Class A (c)		5,347,723
	51,600	Movado Group, Inc.		562,956
	36,100	Mueller Industries, Inc.		1,072,170
	35,300	National General Holdings Corp.		1,201,965
	6,300	National Presto Industries, Inc.		566,559
	31,400	Natus Medical, Inc. *		570,224
	57,800	Nautilus, Inc. *		684,930
	21,000	Neenah, Inc.		929,880
	48,000	NETGEAR, Inc. *		1,600,800
	6,600	NetScout Systems, Inc. *		152,724
	582,500	Newmark Group, Inc. – Class A		2,580,475
	35,600	NextGen Healthcare, Inc. *		472,056
	840	NexTier Oilfield Solutions, Inc. *		2,117
	4,737	Northrim BanCorp, Inc.		127,473
	40,240	Northwest Bancshares, Inc.		406,826
	11,800	Nu Skin Enterprises, Inc. – Class A		557,786
	42,200	nVent Electric Plc		806,864
	77,740	ODP Corp. (The)		1,817,561
	129,300	OFG Bancorp		1,660,212
	13,000	Old National Bancorp		181,740
	16,800	Olympic Steel, Inc. (a)		184,800
	13,700	OneSpan, Inc. *		295,235
	500	Ooma, Inc. *		6,820
	32,542	Oppenheimer Holdings, Inc. – Class A		795,001
	57,800	OraSure Technologies, Inc.* (a)		677,416
	168,500	Owens & Minor, Inc.		2,793,730
	1,200	Park National Corp.		107,892
	7,300	Park-Ohio Holdings Corp.		115,486

See accompanying notes to the financial statements. 59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	139,200	Patterson Cos., Inc.		4,038,192
	43,900	PC Connection, Inc. (a) (c)		1,944,331
	347,500	PDL BioPharma, Inc. * (a)		1,164,125
	64,400	Penn Virginia Corp. * (a)		735,448
	1,650	Penns Woods Bancorp, Inc.		34,238
	158,700	PennyMac Financial Services, Inc. (a)		8,366,664
	309,800	PennyMac Mortgage Investment Trust (REIT)		5,309,972
	110,900	Perdoceo Education Corp. *		1,593,633
	227,161	PG&E Corp. *		2,103,511
	12,900	Phibro Animal Health Corp. – Class A		276,834
	54,800	Photronics, Inc. *		549,644
	16,500	Plains GP Holdings LP – Class A *		120,615
	1,900	Preformed Line Products Co.		103,379
	12,500	Premier Financial Bancorp, Inc.		160,250
	71,606	Premier Financial Corp.		1,308,600
	142,200	Prestige Consumer Healthcare, Inc. *		5,180,346
	36,600	Progress Software Corp.		1,386,774
	12,100	Protective Insurance Corp. – Class B (a)		173,756
	3,900	Providence Service Corp. (The) *		361,101
	17,900	Quanex Building Products Corp.		300,899
	57,700	Qurate Retail, Inc. – Series A *		637,585
	170,800	Radian Group, Inc.		2,637,152
	102,923	Raytheon Technologies Corp.		6,278,303
	175,700	Realogy Holdings Corp.		1,946,756
	12,600	Reliance Steel & Aluminum Co.		1,321,362
	41,100	Renewable Energy Group, Inc. *		1,373,973
	17,400	Rent-A-Center, Inc.		534,180
	7,233	Republic Bancorp, Inc. – Class A		222,487
	181,800	Resideo Technologies, Inc. *		2,428,848
	43,000	Resources Connection, Inc.		528,470
	15,400	Riverview Bancorp, Inc.		63,602
	18,700	Rocky Brands, Inc.		450,296
	69,800	Sally Beauty Holdings, Inc. *		778,968
	171,700	SandRidge Energy, Inc. *		271,286
	265,300	Sanmina Corp. * (c)		7,507,990
	5,300	Scholar Rock Holding Corp. *		80,030
	37,400	Scholastic Corp.		841,500
	128,700	Schweitzer-Mauduit International, Inc. (a)		3,903,471
	58,200	Sciplay Corp. – Class A *		767,367
	13,100	SeaSpine Holdings Corp. *		174,361
	59,300	Select Medical Holdings Corp. *		1,190,151
	15,776	Seneca Foods Corp. – Class A * (a)		747,151
	174,995	Sensata Technologies Holding Plc * (a)		7,286,792
	52,800	Shoe Carnival, Inc. (a)		1,736,064
	24,800	Sierra Bancorp		443,176
	2,800	Signet Jewelers Ltd.		48,356
	12,600	Silgan Holdings, Inc.		479,556
	18,296	SkillSoft Corp. (e)		2,327,401
	79,800	SLM Corp.		609,672

Shares		Description	Value ($)
		United States — continued
	125,300	Sonic Automotive, Inc. – Class A (a)		5,295,178
	868,000	Southwestern Energy Co. * (a)		2,413,040
	64,400	SpartanNash Co.		1,286,712
	105,600	Spok Holdings, Inc.		1,144,704
	25,000	SPX Corp. *		1,045,750
	20,000	Standard Motor Products, Inc.		908,800
	8,700	Star Group LP		85,260
	160,700	Steelcase, Inc. – Class A		1,679,315
	23,300	Stepan Co.		2,686,257
	79,300	Stoneridge, Inc. *		1,601,860
	43,457	StoneX Group, Inc. * (c)		2,464,012
	336,000	Summit Hotel Properties, Inc. (REIT)		1,979,040
	253,300	Sunstone Hotel Investors, Inc. (REIT)		2,109,989
	5,700	Super Micro Computer, Inc. *		156,123
	87,400	Surgalign Holdings, Inc. * (a)		194,028
	5,600	Surmodics, Inc. *		253,400
	92,600	Sykes Enterprises, Inc. *		3,065,523
	1,400	Synaptics, Inc. *		119,462
	1,507,100	Syncora Holdings Ltd.		460,419
	33,900	Systemax, Inc. (a)		752,241
	130,400	Taubman Centers, Inc. (REIT)		4,994,320
	139,220	Taylor Morrison Home Corp. *		3,275,847
	361,400	TD Ameritrade Holding Corp.		13,870,532
	552,700	TEGNA, Inc. (c)		6,919,804
	137,100	Telephone & Data Systems, Inc.		3,171,123
	33,650	Tempur Sealy International, Inc. *		2,878,421
	61,990	Tenet Healthcare Corp. *		1,746,878
	10,400	Tennant Co.		691,288
	60,400	Terex Corp.		1,182,028
	11,600	Territorial Bancorp, Inc.		245,456
	1,888,723	The Oneida Group (d)		2,020,934
	37,000	Tiffany & Co. (c)		4,532,500
	3,300	Timberland Bancorp, Inc.		57,717
	52,017	Toll Brothers, Inc.		2,196,158
	10,800	Towne Bank/Portsmouth VA		191,484
	72,300	Tredegar Corp.		1,224,039
	84,800	TRI Pointe Group, Inc. *		1,431,424
	75,800	Tribune Publishing Co.		860,330
	33,600	TriCo Bancshares		930,384
	10,600	Triple-S Management Corp. – Class B * (a)		197,160
	446,524	TRU TAJ (d)		1,860,665
	5,869	TRU TAJ Liquidation Unit Trust (e)		88,035
	21,600	TrueBlue, Inc. *		365,472
	22,700	TrustCo Bank Corp.		135,292
	114,800	UFP Industries, Inc. (c)		6,813,380
	14,100	Umpqua Holdings Corp.		159,048
	23,200	Unisys Corp. * (a)		270,512
	121,360	United Natural Foods, Inc. * (a)		2,190,548
	5,421	United Security Bancshares		33,014
	30,900	United States Cellular Corp. *		1,124,142

60 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,000	United Therapeutics Corp. *		213,920
	63,500	Uniti Group, Inc. (REIT)		623,570
	120,200	Universal Corp. (a) (c)		5,217,882
	17,500	Universal Electronics, Inc. *		718,900
	22,800	Universal Insurance Holdings, Inc.		422,940
	208,208	US Bancorp (a) (c)		7,578,771
	10,900	USANA Health Sciences, Inc. *		854,669
	83,400	Valvoline, Inc. (a)		1,701,360
	43,300	Vanda Pharmaceuticals, Inc. *		445,557
	32,000	Varex Imaging Corp. * (a)		354,880
	62,893	Varian Medical Systems, Inc. *		10,922,627
	62,757	Vectrus, Inc. *		2,724,281
	140,300	Vera Bradley, Inc. *		739,381
	32,700	Veritiv Corp. *		568,326
	112,146	Verso Corp. – Class A		1,470,234
	92,701	VF Corp. (a)		6,095,091
	12,700	Village Super Market, Inc. – Class A		323,088
	2,300	Vishay Precision Group, Inc. *		57,293
	40,600	Vista Outdoor, Inc. *		788,046
	186,200	Waddell & Reed Financial, Inc. –Class A (a)		2,932,650
	74,800	Walker & Dunlop, Inc.		4,097,544
	51,725	Waterstone Financial, Inc.		801,220
	16,300	Weis Markets, Inc.		802,449
	183,053	Wells Fargo & Co.		4,420,730
	5,770	West Bancorporation, Inc.		101,552
	107,060	Westmoreland Mining Holdings LLC (d)		624,481
	16,600	Westwood Holdings Group, Inc.		188,908
	9,094	Weyco Group, Inc.		163,692
	154,500	Willis Towers Watson Plc (c)		31,754,385
	257,500	World Fuel Services Corp. (c)		6,798,000
	47,100	Worthington Industries, Inc. (a)		1,956,063
	290,300	Wright Medical Group NV * (a)		8,775,769
	439,200	Xenia Hotels & Resorts, Inc. (REIT)		3,944,016
	22,800	Xerox Holdings Corp.		430,008
	87,600	Xperi Holding Corp. (a)		1,097,628
	50,300	Zumiez, Inc. *		1,291,704
		Total United States		777,046,419
		Vietnam — 0.0%
	580,610	Kinh Bac City Development Share Holding Corp		342,795
	77,980	PetroVietnam Gas JSC		248,560
	769,000	PetroVietnam Technical Services Corp		417,131
	53,480	Pha Lai Thermal Power JSC		54,172
	188,440	Vinh Hoan Corp *		309,074
		Total Vietnam		1,371,732
		TOTAL COMMON STOCKS (COST $4,821,843,247)		4,558,022,248

Shares		Description	Value ($)
		PREFERRED STOCKS (g) — 1.8%
		Brazil — 0.4%
	450,100	Banco do Estado do Rio Grande do Sul SA – Class B		1,077,907
	734,751	Bradespar SA		5,899,734
	220,800	Cia de Saneamento do Parana		213,203
	668,600	Cia Paranaense de Energia – Class B		7,539,675
	93,600	Lojas Americanas SA		551,332
	842,600	Telefonica Brasil SA		7,357,850
		Total Brazil		22,639,701
		Colombia — 0.0%
	22,832	Banco Davivienda SA		176,870
	1,534,780	Grupo Aval Acciones y Valores SA		383,593
		Total Colombia		560,463
		Germany — 0.2%
	14,456	Draegerwerk AG & Co KGaA		1,225,803
	68,016	Henkel AG & Co KGaA		6,953,863
	63,180	Schaeffler AG		423,638
	5,489	Villeroy & Boch AG		75,114
		Total Germany		8,678,418
		Russia — 0.4%
	163,829	Bashneft PJSC		2,967,074
	93,450	Nizhnekamskneftekhim PJSC		100,958
	46,114,500	Surgutneftegas PJSC		23,115,020
	154	Transneft PJSC		286,450
		Total Russia		26,469,502
		South Korea — 0.8%
	12,112	Hyundai Motor Co Ltd Prf		881,335
	13,549	Hyundai Motor Co Ltd-2nd Prf		1,003,470
	54,433	LG Electronics Inc		1,481,486
	1,042,280	Samsung Electronics Co Ltd		41,635,442
	4,541	Samsung Electronics Co Ltd GDR (Registered)		4,672,201
		Total South Korea		49,673,934
		Taiwan — 0.0%
	216,277	CTBC Financial Holding Co Ltd		481,843
		TOTAL PREFERRED STOCKS (COST $113,431,861)		108,503,861
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	14,403	Ascopiave SPA, Expires 09/30/20 *		—

See accompanying notes to the financial statements. 61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — 0.0%
	295,400	Bristol-Myers Squibb Co., Expires 03/31/21 *		791,672
	222,285	Contra Clementia Pharma CVR * (e)		300,085
	2,616,810	Media General, Inc. CVR * (e)		130,841
		Total United States		1,222,598
		TOTAL RIGHTS/WARRANTS (COST $929,287)		1,222,598
		INVESTMENT FUNDS — 1.0%
		United States — 1.0%
	1,245,176	Altaba, Inc. (e)		27,767,425
	558,306	iShares Core MSCI Emerging Markets ETF		29,757,709
		Total United States		57,525,134
		TOTAL INVESTMENT FUNDS (COST $55,167,197)		57,525,134
		DEBT OBLIGATIONS — 19.5%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	8,070,000	Oi SA, 10.00%, due 07/27/25		7,656,413
		Israel — 0.1%
		Corporate Debt — 0.1%
	5,996,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		6,235,840
	570,000	Teva Pharmaceutical Finance Co BV, 3.65%, due 11/10/21		567,150
		Total Israel		6,802,990
		Jamaica — 0.2%
		Bank Loans — 0.1%
	5,510,213	Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 05/28/24 (e)		4,793,885
		Corporate Debt — 0.1%
	975,817	Digicel Group 0.5 Ltd., 10.00%, due 04/01/24		737,657
	1,954,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, Reg S, 8.75%, due 05/25/24		1,968,655
	2,530,000	Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd, 144A, 8.75%, due 05/25/24		2,548,975
	2,330,000	Digicel Ltd., Reg S, 6.75%, due 03/01/23		1,561,100
		Total Corporate Debt		6,816,387
		Total Jamaica		11,610,272

Par Value†		Description	Value ($)
		Netherlands — 0.2%
		Corporate Debt — 0.2%
EUR	14,742,000	Hema Bondco I BV, Reg S, Variable Rate, 6.25%, due 07/15/22		11,971,607
		Puerto Rico — 0.2%
		Municipal Obligations — 0.2%
	1,500,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.05%, due 07/01/28		1,301,250
	3,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), Series A, 6.10%, due 07/01/34		2,813,700
	524,834	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class A, 6.00%, due 07/01/44		532,050
	6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27		6,083,000
	1,518,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, Class B, 6.05%, due 07/01/28		1,316,865
		Total Puerto Rico		12,046,865
		United States — 18.7%
		Asset-Backed Securities — 0.5%
	570,000	Alaska Airlines Pass-Through Trust, Reg. S, 144A, 4.80%, due 02/15/29		595,512
	2,288,000	Alaska Airlines Pass-Through Trust –Class A, 144A, 4.80%, due 02/15/29		2,390,407
	1,720,000	Alaska Airlines Pass-Through Trust –Class B, 144A, 8.00%, due 02/15/27		1,785,627
	129,320	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.21%, due 07/24/29		129,367
	379,702	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.99%, due 07/26/31		379,675
	351,138	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.34%, due 04/25/26		350,881
	173,978	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 07/20/25		173,937
	119,200	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 04/15/30		119,200
	1,048,819	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.18%, due 10/25/37		1,044,390
	300,517	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.86%, 1.03%, due 04/25/36		300,443

62 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	8,058,000	Bear Stearns Commercial Mortgage Securities Trust, Series 06-T22, Class F, 144A, Variable Rate, 6.10%, due 04/12/38		8,071,198
	513,411	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.98%, due 07/15/31		513,410
	113,164	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.86%, due 04/22/30		113,158
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		7
	65,362	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.42%, due 01/16/26		65,316
	1,134,300	Delta Air Lines Pass-Through Trust, Series 19-1, Class AA, 3.20%, due 10/25/25		1,128,160
	431,802	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.88%, due 05/16/31		429,598
	1,574,500	JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30		1,630,160
	286,300	JetBlue Pass-Through Trust – Class A, 4.00%, due 11/15/32		294,175
	1,220,798	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 0.55%, due 07/25/29		1,203,540
	466,762	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/20/31		464,856
	241,218	LCM XXV Ltd., Series 25A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.22%, due 07/20/30		240,805
	1,607,289	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.45%, due 06/25/37		1,574,277
	822,480	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.87%, due 04/19/30		819,452
	400,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.56%, due 07/13/29		406,261
	550,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		560,014
	339,492	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 0.92%, due 01/16/31		338,438
	369,953	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 1.45%, due 05/15/26		368,920

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	953,600	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 04/17/28		953,459
	784,699	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 1.02%, due 01/17/30		779,496
	620,835	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.43%, due 05/25/47		617,575
	218,069	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		217,505
		Total Asset-Backed Securities		28,059,219
		Bank Loans — 0.8%
	5,465,113	BI-LO Holding LLC, Exit Term Loan B, Variable Rate, 3 mo. LIBOR plus 8.00%, 9.00%, due 05/31/24 (e)		5,465,113
	654,179	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (e)		473,737
	6,118,551	Flexential Intermediate Corp., 2017 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.50%, 3.81%, due 08/01/24 (e)		5,124,286
	3,854,568	Murray Energy Corp., DIP Term Loan, Variable Rate, 3 mo. LIBOR plus 11.00%, 13.00%, due 07/31/21 (e)		3,083,654
	7,435,313	Murray Energy Corp., 2018 Term Loan B2, Zero Coupon, due 10/17/22 (e)		74,353
	4,148,833	Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.66%, due 04/30/25 (e)		3,951,763
	1,398,103	Pacific Gas & Electric Co., Revolver, Variable Rate, 1.50%, due 04/27/22 (e)		1,516,942
	6,318,314	Quorum Health Corporation, 2020 Term Loan, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (e)		5,876,032
	10,125,742	SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (e)		9,429,597
	284,187	SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (e)		284,187
	1,953,492	SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25 (e)		1,953,492
	2,079,309	Surgery Center Holdings, Inc., 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 4.25%, due 09/03/24 (e)		1,958,460

See accompanying notes to the financial statements. 63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Bank Loans — continued
	2,780,000	VICI Properties 1 LLC, Replacement Term Loan B1, Variable Rate, 1 mo. LIBOR plus 1.75%, 1.93%, due 12/20/24 (e)		2,674,582
	9,788,541	Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, due 03/15/29 (e)		5,873,125
	2,369,230	WP CPP Holdings LLC, 2018 Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 4.50%, due 04/30/25 (e)		2,025,692
		Total Bank Loans		49,765,015
		Convertible Debt — 0.2%
	1,140,000	Bloomin’ Brands, Inc., 144A, 5.00%, due 05/01/25		1,670,527
	5,140,000	Guess?, Inc., 2.00%, due 04/15/24		3,848,765
	745,300	Live Nation Entertainment, Inc., 144A, 2.00%, due 02/15/25		667,044
	385,000	Prospect Capital Corp., 6.38%, due 03/01/25		385,000
	570,000	Sabre GLBL, Inc., 144A, 4.00%, due 04/15/25		692,562
	4,290,000	Twitter, Inc., 0.25%, due 06/15/24		4,623,327
		Total Convertible Debt		11,887,225
		Corporate Debt — 2.4%
	1,257,000	Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23		521,655
	4,680,000	American Airlines Group, Inc., 144A, 3.75%, due 03/01/25		2,234,700
	3,420,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24		3,154,950
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,007,703
	715,000	Boeing Co. (The), 5.15%, due 05/01/30		800,561
	1,562,900	Boeing Co. (The), 8.75%, due 09/15/31		2,234,294
	748,600	Boeing Co. (The), 8.63%, due 11/15/31		1,064,190
	1,142,000	Boeing Co. (The), 3.50%, due 03/01/39		1,025,365
	1,430,000	Boeing Co. (The), 5.71%, due 05/01/40		1,657,986
	572,000	Boeing Co. (The), 3.63%, due 03/01/48		498,335
	1,989,000	Boeing Co. (The), 3.75%, due 02/01/50		1,779,132
	1,140,000	Boeing Co. (The), 5.81%, due 05/01/50		1,361,855
	2,280,000	Bruin E&P Partners LLC, 144A, 8.88%, due 08/01/23 (h)		4,469
	850,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		765,000
	1,140,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		752,400
	2,118,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,376,700
	1,720,000	EPR Properties, REIT, 5.25%, due 07/15/23		1,725,909

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	3,121,000	EPR Properties, 4.50%, due 04/01/25		3,015,874
	1,895,400	EPR Properties, 4.75%, due 12/15/26		1,827,246
	1,147,000	EPR Properties, REIT, 4.50%, due 06/01/27		1,075,610
	2,287,000	EPR Properties, 4.95%, due 04/15/28		2,216,148
	2,850,000	EPR Properties, 3.75%, due 08/15/29		2,517,706
	290,000	Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25		315,375
	1,740,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,855,101
	1,140,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,145,905
	2,280,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		2,319,490
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		292,175
	12,280,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		12,970,750
	1,140,000	Frontier Communications Corp., 10.50%, due 09/15/22 (h)		504,450
	1,791,000	Frontier Communications Corp., 7.13%, due 01/15/23 (h)		734,310
	1,894,000	Frontier Communications Corp., 11.00%, due 09/15/25 (h)		809,685
	9,823,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		9,945,787
	5,977,000	FS KKR Capital Corp., 4.13%, due 02/01/25		5,934,459
	9,443,000	FS KKR Capital Corp. II, 144A, 4.25%, due 02/14/25		8,966,351
	1,160,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		1,200,160
	1,400,000	Gulfport Energy Corp., 6.38%, due 01/15/26		819,000
	1,316,000	Installed Building Products, Inc., 144A, 5.75%, due 02/01/28		1,388,380
	3,134,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,973,477
	2,224,000	Live Nation Entertainment, Inc., 144A, 4.88%, due 11/01/24		2,185,302
	2,485,000	Live Nation Entertainment, Inc., 144A, 5.63%, due 03/15/26		2,447,725
	6,813,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		6,424,455
	1,144,000	Marriott Ownership Resorts, Inc. / ILG LLC, 6.50%, due 09/15/26		1,188,330
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21 (h)		147
	1,640,000	NGL Energy Partners LP / NGL Energy Finance Corp., 7.50%, due 04/15/26		1,090,600
	2,200,000	OneMain Finance Corp., 6.63%, due 01/15/28		2,511,322

64 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,572,000	Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,520,910
	1,854,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,816,920
	1,550,000	Pacific Gas and Electric Co., 3.45%, due 07/01/25		1,625,858
	1,550,000	Pacific Gas and Electric Co., 3.75%, due 07/01/28		1,616,608
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,130,185
	2,860,000	Six Flags Entertainment Corp., 144A, 4.88%, due 07/31/24		2,773,342
	1,710,000	Tenet Healthcare Corp., 4.63%, due 07/15/24		1,749,330
	2,786,000	TransDigm, Inc., 144A, 6.25%, due 03/15/26		2,939,815
	1,140,000	Uber Technologies, Inc., 144A, 7.50%, due 11/01/23		1,182,750
	1,700,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,801,303
	4,560,000	Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 144A, 7.13%, due 12/15/24		4,383,391
	9,861,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		9,962,075
	1,450,000	Western Midstream Operating LP, 5.38%, due 06/01/21		1,464,500
	2,860,000	Wyndham Destinations, Inc., 6.35%, due 10/01/25		3,003,000
	2,780,000	Wyndham Destinations, Inc., 144A, 6.63%, due 07/31/26		2,939,850
	1,287,000	Wyndham Destinations, Inc., 5.75%, due 04/01/27		1,319,175
	909,000	Wyndham Destinations, Inc., 144A, 4.63%, due 03/01/30		854,460
		Total Corporate Debt		144,723,996
		U.S. Government — 14.7%
	7,500,000	U.S. Treasury Note, 1.38%, due 05/31/21 (c)		7,568,555
	55,000,000	U.S. Treasury Note, 1.75%, due 07/31/21 (i)		55,782,031
	50,000,000	U.S. Treasury Note, 1.13%, due 09/30/21 (c)		50,515,625
	10,000,000	U.S. Treasury Note, 1.50%, due 11/30/21 (c)		10,166,406
	95,000,000	U.S. Treasury Note, 1.63%, due 12/31/21 (c)		96,859,179
	108,000,000	U.S. Treasury Note, 1.38%, due 01/31/22 (c)		109,864,687
	29,000,000	U.S. Treasury Note, 1.13%, due 02/28/22 (c)		29,422,539

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	316,185,000	U.S. Treasury Note, 1.75%, due 02/28/22 (c)		323,768,501
	30,000,000	U.S. Treasury Note, 1.75%, due 03/31/22		30,758,203
	90,000,000	U.S. Treasury Note, 1.88%, due 04/30/22		92,583,985
	70,000,000	U.S. Treasury Note, 1.88%, due 05/31/22		72,113,972
		Total U.S. Government		879,403,683
		U.S. Government Agency — 0.1%
	6,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20		6,000,770
		Total United States		1,119,839,908
		TOTAL DEBT OBLIGATIONS (COST $1,178,603,504)		1,169,928,055
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	6,383,580	GMO U.S. Treasury Fund (j)		32,173,243
		TOTAL MUTUAL FUNDS (COST $32,173,243)		32,173,243
		SHORT-TERM INVESTMENTS — 3.3%
		Foreign Government Obligations — 1.9%
JPY	2,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/14/20		24,548,872
JPY	5,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/09/20		51,939,091
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/16/20		16,054,400
JPY	2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/10/20		22,667,395
		Total Foreign Government Obligations		115,209,758
		Money Market Funds — 0.5%
	26,291,122	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (k)		26,291,122
	1,580,150	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.00% (i) (l)		1,580,150
		Total Money Market Funds		27,871,272
		U.S. Government — 0.9%
	47,100,000	U.S. Treasury Bill, 0.05%, due 09/08/20 (c) (i) (m)		47,099,175

See accompanying notes to the financial statements. 65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares			Description	Value ($)
			U.S. Government — continued
	6,500,000		U.S. Treasury Bill, 0.05%, due 01/21/21 (i) (m)		6,497,276
			Total U.S. Government		53,596,451
			TOTAL SHORT-TERM INVESTMENTS (COST $196,064,518)		196,677,481
			TOTAL INVESTMENTS — 101.9% (Cost $6,398,212,857)		6,124,052,620
			SECURITIES SOLD SHORT — (5.0)%
			Common Stocks — (4.9)%
			Austria — (0.1)%
	(3,196	)	ANDRITZ AG		(106,902	)
	(30,724	)	IMMOFINANZ AG *		(508,044	)
	(14,664	)	OMV AG *		(474,681	)
	(7,332	)	Schoeller-Bleckmann Oilfield Equipment AG		(218,775	)
	(5,184	)	Verbund AG		(278,325	)
	(142,912	)	voestalpine AG		(3,551,240	)
			Total Austria		(5,137,967	)
			Brazil — (0.1)%
	(200,700	)	Pagseguro Digital Ltd – Class A *		(8,457,498	)
			Canada — (0.1)%
	(266,400	)	AltaGas Ltd		(3,445,523	)
	(57,500	)	Westshore Terminals Investment Corp		(729,137	)
			Total Canada		(4,174,660	)
			Denmark — (0.2)%
	(1,267	)	AP Moller – Maersk A/S – Class A		(1,799,618	)
	(1,859	)	AP Moller – Maersk A/S – Class B		(2,848,473	)
	(35,421	)	Chr Hansen Holding A/S		(4,065,536	)
	(26,641	)	Jyske Bank A/S (Registered) *		(793,738	)
	(5,032	)	Tryg A/S		(154,415	)
			Total Denmark		(9,661,780	)
			Finland — (0.0)%
	(46,356	)	Nokian Renkaat Oyj		(1,292,701	)
			France — (0.4)%
	(21,959	)	CGG SA *		(19,864	)
	(510,803	)	Peugeot SA *		(8,806,549	)
	(178,758	)	Worldline SA *		(16,453,634	)
			Total France		(25,280,047	)
			Germany — (0.1)%
	(876,157	)	Deutsche Bank AG (Registered) *		(8,401,031	)
	(58,788	)	thyssenkrupp AG *		(423,433	)
			Total Germany		(8,824,464	)

Shares			Description	Value ($)
			Israel — (0.1)%
	(11,500	)	Wix.com Ltd *		(3,388,245	)
			Japan — (0.3)%
	(31,900	)	Coca-Cola Bottlers Japan Holdings Inc		(530,989	)
	(213	)	Daiwa House REIT Investment Corp		(556,512	)
	(88,500	)	Japan Lifeline Co Ltd		(1,177,944	)
	(83	)	Japan Real Estate Investment Corp		(464,791	)
	(199	)	Japan Retail Fund Investment Corp (REIT)		(299,497	)
	(225,800	)	JGC Holding Corp		(2,487,947	)
	(28,700	)	Keikyu Corp		(428,350	)
	(35,000	)	Kyushu Electric Power Co Inc		(310,368	)
	(7,300	)	Maruichi Steel Tube Ltd		(195,714	)
	(21,300	)	Mitsubishi Materials Corp		(446,816	)
	(218,000	)	Mitsui OSK Lines Ltd		(4,027,881	)
	(122	)	Nippon Building Fund Inc (REIT)		(734,637	)
	(237,200	)	Nippon Yusen KK		(3,704,600	)
	(247	)	Nomura Real Estate Master Fund Inc (REIT)		(316,595	)
	(629,500	)	Orient Corp		(694,811	)
	(136	)	Orix JREIT Inc (REIT)		(202,047	)
	(4,000	)	PeptiDream Inc *		(162,400	)
	(37,800	)	Yamato Holdings Co Ltd		(988,693	)
	(4,800	)	Yaskawa Electric Corp		(172,369	)
			Total Japan		(17,902,961	)
			Netherlands — (0.1)%
	(38,784	)	Just Eat Takeaway.com NV *		(4,315,801	)
			New Zealand — (0.0)%
	(4,075	)	Fletcher Building Ltd *		(9,829	)
			Singapore — (0.0)%
	(241,500	)	Singapore Post Ltd		(124,080	)
			Spain — (0.0)%
	(19,102	)	Cellnex Telecom SA		(1,227,191	)
			Sweden — (0.0)%
	(97,585	)	Lundin Energy AB		(2,388,454	)
	(34,297	)	Tele2 AB – B Shares		(486,817	)
			Total Sweden		(2,875,271	)
			United Kingdom — (0.6)%
	(14,504	)	Dechra Pharmaceuticals Plc		(605,653	)
	(882,526	)	G4S Plc		(1,701,161	)
	(1,670,888	)	Melrose Industries Plc		(2,229,414	)
	(98,641	)	Rolls-Royce Holdings Plc		(311,477	)
	(1,020,559	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(30,290,191	)
	(85,020	)	Weir Group Plc (The)		(1,450,724	)
			Total United Kingdom		(36,588,620	)

66 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares			Description	Value ($)
			United States — (2.8)%
	(57	)	AbbVie, Inc.		(5,459	)
	(128,400	)	American Airlines Group, Inc.		(1,675,620	)
	(118,065	)	Analog Devices, Inc.		(13,799,437	)
	(166,777	)	Aon Plc – Class A		(33,353,732	)
	(391,650	)	Charles Schwab Corp. (The)		(13,915,325	)
	(43,867	)	Charter Communications, Inc. –Class A *		(27,004,964	)
	(27,278	)	Digital Realty Trust, Inc. (REIT)		(4,245,821	)
	(995,453	)	Discovery, Inc. – Class A *		(21,964,670	)
	(4	)	Fidelity National Financial, Inc.		(131	)
	(207	)	First Horizon National Corp.		(1,977	)
	(27,306	)	HEICO Corp.		(3,001,476	)
	(133,190	)	Liberty Broadband Corp. – Class C *		(18,658,587	)
	(36,551	)	Liberty Global Plc – Class C *		(841,039	)
	(3,852,566	)	Sirius XM Holdings, Inc.		(22,614,562	)
	(28,589	)	Teladoc Health, Inc. *		(6,166,361	)
			Total United States		(167,249,161	)
			TOTAL COMMON STOCKS (PROCEEDS $276,343,094)		(296,510,276	)

Par Value†			Description	Value ($)
			DEBT OBLIGATIONS — (0.1)%
			Corporate Debt — (0.1)%
	(5,090,000	)	U.S. Concrete, Inc., 6.38%, due 06/01/24		(5,277,930	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $4,710,577)		(5,277,930	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $281,053,671)		(301,788,206	)
			Other Assets and Liabilities (net) — 3.1%		186,448,767
			TOTAL NET ASSETS — 100.0%		$6,008,713,181

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appre- ciation (Depre- ciation) ($)
09/14/2020	BCLY	AUD	3,963,342		USD	2,852,532		(70,763	)
09/14/2020	GS	AUD	7,760,397		USD	5,527,327		(196,611	)
09/14/2020	JPM	AUD	38,409,851		USD	26,701,626		(1,628,835	)
09/21/2020	CITI	AUD	84,424,100		USD	58,960,947		(3,310,392	)
10/06/2020	JPM	AUD	43,070,000		USD	31,121,496		(648,513	)
10/06/2020	MSCI	AUD	71,120,050		USD	50,661,799		(1,798,954	)
10/19/2020	MSCI	AUD	84,424,100		USD	60,425,081		(1,850,996	)
11/04/2020	MSCI	BRL	17,193,810		USD	3,345,685		213,245
09/03/2020	JPM	CAD	9,790,864		USD	7,230,000		(276,366	)
09/03/2020	MSCI	CAD	17,751,466		USD	13,050,000		(559,524	)
09/14/2020	GS	CHF	4,613,433		USD	4,945,740		(159,701	)
10/14/2020	MSCI	CHF	74,328,100		USD	81,493,855		(834,577	)
09/01/2020	DB	CLP	452,093,400		USD	579,666		(1,812	)
09/01/2020	JPM	CLP	13,498,122,200		USD	16,787,860		(573,292	)
09/01/2020	MSCI	CLP	5,757,202,000		USD	7,336,913		(67,944	)
11/02/2020	JPM	CLP	1,041,376,400		USD	1,330,662		(9,176	)
11/03/2020	JPM	COP	41,361,745,300		USD	11,006,758		(5,421	)
09/03/2020	MSCI	EUR	9,670,000		USD	10,949,748		(590,183	)
09/16/2020	MSCI	EUR	7,274,592		USD	8,399,668		(284,121	)
09/16/2020	UBS	EUR	7,538,589		USD	8,672,044		(326,882	)
09/21/2020	CITI	EUR	108,831,533		USD	124,256,781		(5,672,180	)
09/21/2020	DB	EUR	217,663,067		USD	248,730,117		(11,127,808	)
10/19/2020	DB	EUR	105,844,900		USD	125,294,112		(1,146,333	)
10/19/2020	MSCI	EUR	11,238,429		USD	12,884,510		(540,718	)
10/19/2020	SSB	EUR	211,880,494		USD	250,778,648		(2,330,042	)
09/15/2020	MSCI	GBP	5,207,544		USD	6,598,754		(363,031	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appre- ciation (Depre- ciation) ($)
09/21/2020	CITI	GBP	44,474,600		USD	55,870,233		(3,589,215	)
09/21/2020	DB	GBP	44,474,600		USD	55,911,688		(3,547,761	)
10/14/2020	JPM	GBP	23,707,300		USD	31,048,394		(650,922	)
10/19/2020	BCLY	GBP	57,284,149		USD	75,081,324		(1,515,477	)
10/19/2020	MSCI	GBP	54,828,250		USD	71,974,277		(1,338,648	)
10/19/2020	SSB	GBP	65,161		USD	83,353		(3,776	)
09/21/2020	CITI	HKD	356,692,600		USD	45,995,622		(20,921	)
10/19/2020	CITI	HKD	356,692,600		USD	46,017,186		9,669
10/14/2020	BOA	HUF	569,325,120		USD	1,920,000		9,617
10/14/2020	MSCI	HUF	2,607,770,336		USD	8,318,777		(431,655	)
10/26/2020	BCLY	INR	309,892,752		USD	4,112,274		(90,844	)
09/09/2020	BOA	JPY	1,728,795,848		USD	16,120,000		(203,609	)
09/09/2020	JPM	JPY	1,552,050,397		USD	14,510,000		(144,746	)
09/09/2020	MSCI	JPY	1,166,660,023		USD	11,070,000		54,181
09/10/2020	BCLY	JPY	283,001,197		USD	2,639,059		(33,130	)
09/10/2020	SSB	JPY	226,740,609		USD	2,136,428		(4,531	)
09/14/2020	DB	JPY	2,600,000,000		USD	24,248,958		(302,565	)
09/23/2020	DB	JPY	7,136,902,500		USD	67,439,333		37,208
09/23/2020	MSCI	JPY	20,309,545,500		USD	189,705,450		(2,101,365	)
10/19/2020	BOA	JPY	2,486,715,600		USD	23,402,146		(90,598	)
10/19/2020	DB	JPY	6,208,689,200		USD	58,482,210		(173,126	)
10/19/2020	MSCI	JPY	19,566,317,800		USD	183,637,408		(1,211,427	)
11/09/2020	MSCI	JPY	5,500,000,000		USD	52,115,787		142,810
11/16/2020	DB	JPY	1,700,000,000		USD	15,956,568		(109,185	)
12/10/2020	CITI	JPY	2,400,000,000		USD	22,661,441		(27,766	)
09/29/2020	BCLY	KRW	5,775,652,200		USD	4,830,000		(33,242	)

See accompanying notes to the financial statements. 67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appre- ciation (Depre- ciation) ($)
09/29/2020	CITI	KRW	2,178,449,000		USD	1,820,000		(14,308	)
09/29/2020	JPM	KRW	2,636,706,800		USD	2,210,000		(10,173	)
09/29/2020	MSCI	KRW	7,921,155,750		USD	6,650,000		(19,810	)
09/04/2020	JPM	NOK	187,619,756		USD	20,841,226		(636,518	)
10/20/2020	JPM	NOK	64,750,046		USD	7,350,000		(64,260	)
09/14/2020	BCLY	NZD	20,018,392		USD	13,129,156		(354,941	)
10/05/2020	JPM	NZD	15,150,000		USD	9,991,257		(213,282	)
11/03/2020	MSCI	PEN	9,538,280		USD	2,714,443		23,383
09/01/2020	BCLY	PHP	62,533,750		USD	1,250,000		(39,755	)
09/01/2020	CITI	PHP	39,780,450		USD	790,000		(30,469	)
09/01/2020	JPM	PHP	82,900,170		USD	1,630,000		(79,811	)
09/01/2020	MSCI	PHP	185,214,370		USD	3,819,089		(945	)
10/01/2020	MSCI	PHP	120,984,985		USD	2,486,691		(5,789	)
09/15/2020	JPM	PLN	43,834,234		USD	11,143,683		(759,335	)
10/15/2020	BCLY	RUB	802,275,050		USD	11,181,581		426,219
10/05/2020	BCLY	SEK	47,596,640		USD	5,460,000		(44,774	)
10/19/2020	BCLY	SGD	2,264,368		USD	1,660,000		(4,355	)
10/19/2020	MSCI	SGD	2,270,316		USD	1,660,000		(8,726	)
10/15/2020	BCLY	THB	223,626,202		USD	7,070,000		(114,223	)
10/15/2020	BOA	THB	50,755,089		USD	1,610,000		(20,560	)
09/17/2020	JPM	TRY	25,863,795		USD	3,453,110		(54,574	)
10/06/2020	BCLY	TWD	97,651,720		USD	3,350,000		18,801
10/06/2020	JPM	TWD	56,328,980		USD	1,930,000		8,446
09/14/2020	MSCI	USD	3,070,608		AUD	4,294,068		96,625
09/14/2020	SSB	USD	4,358,310		AUD	6,076,561		123,659
09/14/2020	UBS	USD	6,572,836		AUD	9,422,245		376,854
09/21/2020	BONY	USD	12,739,053		AUD	17,780,600		375,943
11/04/2020	MSCI	USD	7,616,140		BRL	39,140,105		(485,433	)
09/03/2020	GS	USD	5,810,000		CAD	7,764,242		142,615
09/03/2020	JPM	USD	64,850,000		CAD	86,746,710		1,656,138
09/03/2020	MSCI	USD	28,275,924		CAD	38,596,490		1,314,864
10/05/2020	GS	USD	1,579,660		CAD	2,104,880		34,239
10/05/2020	SSB	USD	18,774,978		CAD	25,140,305		501,145
11/12/2020	GS	USD	716,325		CAD	940,314		4,707
09/14/2020	MSCI	USD	11,388,431		CHF	10,705,844		459,154
10/14/2020	JPM	USD	7,940,000		CHF	7,203,133		38,445
09/01/2020	DB	USD	590,000		CLP	452,093,400		(8,522	)
09/01/2020	JPM	USD	17,259,365		CLP	13,498,122,200		101,787
09/01/2020	MSCI	USD	7,434,873		CLP	5,757,202,000		(30,016	)
10/19/2020	BOA	USD	3,120,000		CZK	68,741,041		3,755
09/03/2020	DB	USD	10,854,759		EUR	9,670,000		685,172
09/16/2020	BCLY	USD	3,854,990		EUR	3,399,717		203,303
09/16/2020	GS	USD	2,137,672		EUR	1,821,925		37,187
09/16/2020	JPM	USD	5,429,719		EUR	4,815,597		318,731
09/16/2020	SSB	USD	9,426,417		EUR	7,926,874		36,011
09/16/2020	UBS	USD	129,588,946		EUR	114,938,612		7,614,986
09/21/2020	BONY	USD	41,168,210		EUR	34,691,600		248,496
10/19/2020	BONY	USD	25,957,687		EUR	21,967,100		283,822
10/19/2020	GS	USD	443,470		EUR	376,304		6,057
10/19/2020	MSCI	USD	141,238		EUR	123,194		5,927
10/19/2020	SSB	USD	10,147,463		EUR	8,613,192		141,703
10/27/2020	BOA	USD	4,927,281		EUR	4,221,000		115,891

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appre- ciation (Depre- ciation) ($)
10/27/2020	JPM	USD	30,305,319		EUR	25,700,000		400,554
10/27/2020	MSCI	USD	11,023,846		EUR	9,230,000		3,983
09/15/2020	GS	USD	3,784,042		GBP	2,901,730		95,180
09/15/2020	SSB	USD	20,025,064		GBP	15,873,004		1,195,003
09/21/2020	SSB	USD	32,765,058		GBP	24,833,000		434,937
10/14/2020	JPM	USD	18,334,274		GBP	13,900,000		251,583
10/19/2020	BCLY	USD	82,335		GBP	65,161		4,794
10/19/2020	SSB	USD	14,518,391		GBP	11,104,700		330,123
09/21/2020	BONY	USD	17,492,737		HKD	135,572,300		(2,695	)
10/14/2020	BCLY	USD	1,240,000		HUF	361,089,240		(28,357	)
10/14/2020	CITI	USD	2,980,000		HUF	874,083,322		(46,993	)
10/14/2020	MSCI	USD	1,010,000		HUF	295,131,696		(19,679	)
09/21/2020	JPM	USD	4,361,415		IDR	64,623,083,400		64,317
09/21/2020	MSCI	USD	1,540,000		IDR	22,795,388,000		21,149
10/30/2020	JPM	USD	7,435,752		ILS	25,050,676		38,248
10/26/2020	BCLY	USD	2,070,000		INR	155,935,170		44,970
10/26/2020	JPM	USD	2,960,000		INR	222,405,520		56,517
09/09/2020	GS	USD	7,240,000		JPY	768,682,384		18,041
09/09/2020	JPM	USD	88,797,870		JPY	9,723,864,069		3,016,644
09/10/2020	GS	USD	2,944,500		JPY	314,326,468		23,473
09/10/2020	MSCI	USD	1,022,813		JPY	107,913,823		(3,855	)
09/10/2020	SSB	USD	46,106,100		JPY	4,953,139,112		663,054
09/23/2020	DB	USD	29,085,570		JPY	3,080,919,100		11,156
10/19/2020	DB	USD	24,305,382		JPY	2,572,857,400		1,169
10/19/2020	SSB	USD	8,029,380		JPY	847,888,000		(19,129	)
09/29/2020	MSCI	USD	6,204,447		KRW	7,456,380,000		74,010
10/21/2020	JPM	USD	1,814,233		MXN	40,368,352		19,619
09/04/2020	JPM	USD	19,697,974		NOK	187,619,756		1,779,770
10/05/2020	BCLY	USD	519,724		NZD	780,000		5,658
10/05/2020	JPM	USD	26,159,197		NZD	39,790,000		642,030
09/01/2020	BCLY	USD	1,289,435		PHP	62,533,750		319
09/01/2020	CITI	USD	820,266		PHP	39,780,450		203
09/01/2020	JPM	USD	1,709,388		PHP	82,900,170		423
09/01/2020	MSCI	USD	3,749,323		PHP	185,214,370		70,712
09/15/2020	BOA	USD	4,880,000		PLN	18,227,660		69,650
09/15/2020	CITI	USD	11,193,372		PLN	42,897,958		455,402
09/15/2020	DB	USD	6,280,000		PLN	23,369,401		65,871
09/15/2020	JPM	USD	146,628		PLN	558,951		5,153
09/30/2020	BCLY	USD	1,220,000		RON	5,006,125		12,619
09/30/2020	BOA	USD	935,974		RON	4,062,737		64,362
09/30/2020	CITI	USD	910,000		RON	3,725,444		7,287
10/15/2020	BCLY	USD	4,220,000		RUB	314,389,216		(5,274	)
10/15/2020	CITI	USD	1,420,000		RUB	104,254,838		(22,351	)
10/05/2020	JPM	USD	75,419,215		SEK	656,298,006		484,717
10/15/2020	BCLY	USD	2,040,000		THB	63,561,096		1,966
10/15/2020	JPM	USD	1,063,055		THB	33,355,476		8,524
10/06/2020	JPM	USD	2,210,000		TWD	64,654,460		(4,438	)
10/06/2020	MSCI	USD	7,484,135		TWD	217,526,390		(63,644	)
10/30/2020	JPM	USD	10,851,542		ZAR	180,831,176		(249,311	)
							$	(27,151,004	)

68 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,034	Corn (i)		December 2020		18,495,675		1,574,788
293	FTSE 100		September 2020		23,222,231		(670,095	)
50	Gold 100 OZ (i)		December 2020		9,893,000		118,034
153	Hang Seng Index		September 2020		24,695,522		(341,808	)
2,279	Mini MSCI Emerging Markets		September 2020		125,390,580		10,094,943
100	MSCI Taiwan Index		September 2020		4,915,121		(86,531	)
144	S&P/TSX 60		September 2020		21,837,083		1,083,725
92	Silver (i)		December 2020		13,153,240		268,022
24	U.S. Treasury Note 10 Yr. (CBT)		December 2020		3,342,000		(406	)
				$	244,944,452	$	12,040,672
Sales
42	Australian Government Bond 10 Yr.		September 2020		4,568,148		36,807
122	CAC40 10 Euro		September 2020		7,201,455		(24,070	)
135	Canadian Government Bond 10 Yr.		December 2020		15,622,264		45,645

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales — continued
19	DAX Index		September 2020		7,346,251		(279,942	)
5,187	E-mini Russell 2000 Index		September 2020		404,923,155		(44,359,810	)
17,725	Euro STOXX 50		September 2020		691,603,721		(12,794,112	)
2,707	FTSE 100 Index		September 2020		214,548,049		8,982,383
365	FTSE/JSE TOP 40		September 2020		11,002,485		(262,831	)
53	Gilt Long Bond		December 2020		9,565,155		70,095
429	Hang Seng Index		September 2020		69,244,307		971,142
9	Japanese Government Bond 10 Yr. (OSE)		September 2020		12,881,178		40,844
4,788	S&P 500 E-Mini		September 2020		837,636,660		(102,045,529	)
162	SGX Nifty 50		September 2020		3,681,740		32,149
355	Soybean (i)		November 2020		16,924,625		(1,499,480	)
1,039	SPI 200		September 2020		115,044,383		(3,402,620	)
3,454	TOPIX Index		September 2020		526,153,793		1,106,189
				$	2,947,947,369	$	(153,383,140	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(7,449,132	)
Average interest rate (net)		(0.21	)%
Maximum balance outstanding	$	(91,591,373	)

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

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
FirstEnergy Corp. (f)	32.00		01/15/21		(2,700	)		USD	(7,719,300	)		(378,000	)
Equity Options – Puts
FirstEnergy Corp. (f)	27.00		01/15/21		(2,700	)		USD	(7,719,300	)		(648,000	)
			TOTAL WRITTEN OPTIONS (Premiums $1,412,956)								$	(1,026,000	)

See accompanying notes to the financial statements. 69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

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^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		0.92%		N/A		12/20/2024		Quarterly		96,637			(3,770	)		(100,407	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		0.98%		N/A		12/20/2024		Quarterly		(139,584	)		(191,919	)		(52,335	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		3.45%		N/A		12/20/2024		Quarterly		142,500			(67,858	)		(210,358	)
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		3.45%		N/A		12/20/2024		Quarterly		14,842			(33,929	)		(48,771	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		0.87%		N/A		12/20/2024		Quarterly		(96,605	)		(197,949	)		(101,344	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		0.87%		N/A		12/20/2024		Quarterly		(51,323	)		(197,949	)		(146,626	)
														$	(33,533	)	$	(693,374	)	$	(659,841	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 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) ($)
3 Month AUD BBSW	0.19%	AUD	100,774,000		09/16/2022	Quarterly		11,810			47,144			35,334
(0.68)%	6 Month CHF LIBOR	CHF	134,874,000		09/16/2022	Semi-Annually		—			110,542			110,542
6 Month CHF LIBOR	(0.63)%	CHF	24,150,000		09/16/2022	Semi-Annually		1,726			4,526			2,800
6 Month CHF LIBOR	(0.65)%	CHF	19,540,000		09/16/2022	Semi-Annually		—			(3,990	)		(3,990	)
3 Month NZD Bank Bill Rate	0.09%	NZD	41,720,000		09/16/2022	Quarterly		—			12,061			12,061
0.21%	3 Month NZD Bank Bill Rate	NZD	123,698,000		09/16/2022	Quarterly		—			(239,837	)		(239,837	)
0.19%	3 Month NZD Bank Bill Rate	NZD	61,840,000		09/16/2022	Quarterly		—			(96,998	)		(96,998	)
(0.04)%	3 Month SEK STIBOR	SEK	1,111,500,000		09/16/2022	Quarterly		—			37,859			37,859
(0.03)%	3 Month SEK STIBOR	SEK	1,117,600,000		09/16/2022	Quarterly		—			14,780			14,780
(0.03)%	3 Month SEK STIBOR	SEK	2,259,080,000		09/16/2022	Quarterly		19,297			27,260			7,963
3 Month SEK STIBOR	0.02%	SEK	592,500,000		09/16/2022	Quarterly		—			48,407			48,407
(0.02)%	3 Month SEK STIBOR	SEK	318,780,000		09/16/2022	Quarterly		—			(3,903	)		(3,903	)
0.56%	3 Month CAD LIBOR	CAD	231,784,000		09/19/2022	Semi-Annually		22,037			(42,434	)		(64,471	)
6 Month EURIBOR	(0.44)%	EUR	17,130,000		09/21/2022	Semi-Annually		(2,204	)		(3,263	)		(1,059	)
6 Month GBP LIBOR	0.10%	GBP	211,472,000		09/21/2022	Semi-Annually		24,336			(62,926	)		(87,262	)
0.12%	6 Month GBP LIBOR	GBP	40,790,000		09/21/2022	Semi-Annually		(1,806	)		(9,824	)		(8,018	)
6 Month GBP LIBOR	0.10%	GBP	170,640,000		09/21/2022	Semi-Annually		(22,110	)		(32,401	)		(10,291	)
3 Month USD LIBOR	0.21%	USD	315,070,000		09/21/2022	Quarterly		26,926			(21,216	)		(48,142	)
0.84%	6 Month AUD BBSW	AUD	45,190,000		09/16/2030	Semi-Annually		(91,400	)		209,908			301,308

70 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.82%	6 Month AUD BBSW	AUD	20,842,000		09/16/2030	Semi-Annually		(32,524	)		120,023			152,547
6 Month AUD BBSW	0.90%	AUD	17,380,000		09/16/2030	Semi-Annually		—			4,186			4,186
6 Month AUD BBSW	0.83%	AUD	62,190,000		09/16/2030	Semi-Annually		(21,797	)		(311,215	)		(289,418	)
6 Month AUD BBSW	0.83%	AUD	39,670,000		09/16/2030	Semi-Annually		11,044			(204,220	)		(215,264	)
6 Month AUD BBSW	0.81%	AUD	28,840,000		09/16/2030	Semi-Annually		—			(195,091	)		(195,091	)
3 Month CAD LIBOR	1.14%	CAD	143,360,000		09/16/2030	Semi-Annually		15,817			257,147			241,330
0.93%	3 Month CAD LIBOR	CAD	25,560,000		09/16/2030	Semi-Annually		—			360,214			360,214
3 Month CAD LIBOR	1.07%	CAD	33,690,000		09/16/2030	Semi-Annually		(11,687	)		(104,637	)		(92,950	)
3 Month CAD LIBOR	1.06%	CAD	20,020,000		09/16/2030	Semi-Annually		—			(82,987	)		(82,987	)
3 Month CAD LIBOR	0.98%	CAD	40,888,000		09/16/2030	Semi-Annually		(32,426	)		(427,496	)		(395,070	)
3 Month CAD LIBOR	1.00%	CAD	112,600,000		09/16/2030	Semi-Annually		319,045			(968,291	)		(1,287,336	)
3 Month CAD LIBOR	1.08%	CAD	7,340,000		09/16/2030	Semi-Annually		—			(18,983	)		(18,983	)
6 Month CHF LIBOR	(0.19)%	CHF	53,680,000		09/16/2030	Semi-Annually		—			183,954			183,954
6 Month CHF LIBOR	(0.21)%	CHF	116,870,000		09/16/2030	Semi-Annually		(28,303	)		175,023			203,326
(0.32)%	6 Month CHF LIBOR	CHF	3,860,000		09/16/2030	Semi-Annually		—			43,063			43,063
(0.25)%	6 Month CHF LIBOR	CHF	4,810,000		09/16/2030	Semi-Annually		989			11,356			10,367
(0.19)%	6 Month CHF LIBOR	CHF	10,550,000		09/16/2030	Semi-Annually		—			(46,929	)		(46,929	)
6 Month CHF LIBOR	(0.33)%	CHF	26,670,000		09/16/2030	Semi-Annually		—			(305,103	)		(305,103	)
3 Month NZD Bank Bill Rate	0.71%	NZD	25,400,000		09/16/2030	Quarterly		—			154,169			154,169
3 Month NZD Bank Bill Rate	0.64%	NZD	12,710,000		09/16/2030	Quarterly		—			20,914			20,914
0.52%	3 Month NZD Bank Bill Rate	NZD	63,120,000		09/16/2030	Quarterly		139,117			412,651			273,534
0.61%	3 Month NZD Bank Bill Rate	NZD	8,520,000		09/16/2030	Quarterly		—			5,253			5,253
0.59%	3 Month NZD Bank Bill Rate	NZD	28,640,000		09/16/2030	Quarterly		(5,768	)		57,670			63,438
3 Month NZD Bank Bill Rate	0.74%	NZD	22,105,000		09/16/2030	Quarterly		200,119			183,435			(16,684	)
0.64%	3 Month NZD Bank Bill Rate	NZD	19,560,000		09/16/2030	Quarterly		—			(32,185	)		(32,185	)
3 Month SEK STIBOR	0.32%	SEK	61,500,000		09/16/2030	Quarterly		—			(61,774	)		(61,774	)
3 Month SEK STIBOR	0.28%	SEK	224,540,000		09/16/2030	Quarterly		—			(338,768	)		(338,768	)
3 Month SEK STIBOR	0.28%	SEK	225,280,000		09/16/2030	Quarterly		—			(325,684	)		(325,684	)
3 Month SEK STIBOR	0.29%	SEK	456,960,000		09/16/2030	Quarterly		—			(631,817	)		(631,817	)
3 Month SEK STIBOR	0.37%	SEK	64,700,000		09/16/2030	Quarterly		—			(31,620	)		(31,620	)
3 Month SEK STIBOR	0.49%	SEK	571,380,000		09/16/2030	Quarterly		—			545,852			545,852
3 Month SEK STIBOR	0.51%	SEK	568,120,000		09/16/2030	Quarterly		(49,258	)		666,447			715,705
0.34%	3 Month SEK STIBOR	SEK	127,400,000		09/16/2030	Quarterly		(8,457	)		101,685			110,142
0.32%	3 Month SEK STIBOR	SEK	119,700,000		09/16/2030	Quarterly		—			120,233			120,233
0.36%	3 Month SEK STIBOR	SEK	107,500,000		09/16/2030	Quarterly		12,140			58,698			46,558
6 Month EURIBOR	(0.25)%	EUR	5,720,000		09/18/2030	Semi-Annually		—			(78,642	)		(78,642	)
(0.19)%	6 Month EURIBOR	EUR	137,450,000		09/18/2030	Semi-Annually		30,194			862,418			832,224
(0.20)%	6 Month EURIBOR	EUR	145,950,000		09/18/2030	Semi-Annually		128,302			1,148,230			1,019,928
(0.20)%	6 Month EURIBOR	EUR	3,430,000		09/18/2030	Semi-Annually		(948	)		24,883			25,831
6 Month GBP LIBOR	0.45%	GBP	8,300,000		09/18/2030	Semi-Annually		3,554			(15,620	)		(19,174	)
6 Month GBP LIBOR	0.31%	GBP	8,620,000		09/18/2030	Semi-Annually		—			(179,066	)		(179,066	)
6 Month GBP LIBOR	0.28%	GBP	5,440,000		09/18/2030	Semi-Annually		—			(136,166	)		(136,166	)
6 Month GBP LIBOR	0.30%	GBP	10,050,000		09/18/2030	Semi-Annually		—			(213,451	)		(213,451	)
6 Month GBP LIBOR	0.41%	GBP	13,770,000		09/18/2030	Semi-Annually		(36,206	)		(107,435	)		(71,229	)
0.32%	6 Month GBP LIBOR	GBP	57,330,000		09/18/2030	Semi-Annually		44,862			1,076,527			1,031,665
0.32%	6 Month GBP LIBOR	GBP	20,050,000		09/18/2030	Semi-Annually		—			383,164			383,164
0.30%	6 Month GBP LIBOR	GBP	60,660,000		09/18/2030	Semi-Annually		137,030			1,324,667			1,187,637
3 Month USD LIBOR	0.53%	USD	6,490,000		09/18/2030	Quarterly		—			(114,666	)		(114,666	)
0.60%	3 Month USD LIBOR	USD	57,240,000		09/18/2030	Quarterly		(86,850	)		607,858			694,708
0.61%	3 Month USD LIBOR	USD	132,740,000		09/18/2030	Quarterly		(360,220	)		1,278,769			1,638,989
0.70%	3 Month USD LIBOR	USD	7,330,000		09/18/2030	Quarterly		(226	)		5,580			5,806
3 Month USD LIBOR	0.63%	USD	18,640,000		09/18/2030	Quarterly		—			(146,495	)		(146,495	)
3 Month USD LIBOR	0.68%	USD	7,560,000		09/18/2030	Quarterly		208			(17,307	)		(17,515	)
							$	356,363		$	5,094,116		$	4,737,753

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 9.25%)	Appreciation on Total Return on CSI 500 Index	GS	USD	11,010,490		12/07/2020	Monthly		—		196,118			196,118
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	3,188,277		06/18/2022	Monthly		—		111,420			111,420
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	12,618,217		06/18/2022	Monthly		—		1,343,338			1,343,338
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	13,191,950		06/18/2022	Monthly		—		(224,402	)		(224,402	)
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus -1.75	MORD	USD	8,778,888		06/18/2022	Monthly		—		331,734			331,734
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 0.90%	MORD	USD	2,574,022		06/18/2022	Monthly		—		(26,264	)		(26,264	)
								$	—	$	1,731,944		$	1,731,944

As of August 31, 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) Investment valued using significant unobservable inputs (Note 2).

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

(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 or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

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

(k) The rate disclosed is the 7 day net yield as of August 31, 2020.

(l) Rate rounds to 0.00%.

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

(n) 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 95.

72 See accompanying notes to the financial statements.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.7	%
Short-Term Investments		1.7
Preferred Stocks		0.7
Investment Funds		0.2
Futures Contracts		0.1
Debt Obligations		0.1
Swap Contracts		0.0	^
Other		0.5
		100.0	%
Country/Region Summary¤	% of Investments
Japan		18.8	%
United Kingdom		15.9
France		7.7
Netherlands		6.7
Switzerland		5.9
Spain		5.6
Germany		4.9
China		4.1
Australia		3.9
Italy		3.9
Singapore		3.8
Sweden		3.5
Portugal		2.9
Norway		2.4
Other Emerging		2.4	†
Hong Kong		2.0
Taiwan		1.9
Russia		1.6
Belgium		1.1
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% .

73

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	598,134	GMO Emerging Markets Fund, Class VI		19,104,392
	8,318,144	GMO International Equity Fund, Class IV		173,433,293
		TOTAL MUTUAL FUNDS (COST $210,617,377)		192,537,685
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	96,619	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		96,619
		TOTAL SHORT-TERM INVESTMENTS (COST $96,619)		96,619
		TOTAL INVESTMENTS — 100.0% (Cost $210,713,996)		192,634,304
		Other Assets and Liabilities (net) — (0.0%)		(37,560	)
		TOTAL NET ASSETS — 100.0%		$192,596,744

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 95.

74 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.4	%
Preferred Stocks		1.9
Short-Term Investments		1.6
Investment Funds		0.8
Debt Obligations		0.3
Futures Contracts		0.2
Swap Contracts		0.0	^
Other		0.8
		100.0	%
Country/Region Summary¤	% of Investments
China		15.6	%
Japan		12.7
United Kingdom		11.0
Taiwan		7.5
Russia		6.3
France		5.2
Other Emerging		4.7	†
Netherlands		4.5
Switzerland		4.0
Spain		3.8
Germany		3.3
Singapore		2.8
Australia		2.6
Italy		2.6
Sweden		2.4
Portugal		2.0
Korea		1.8
South Africa		1.7
Norway		1.6
Hong Kong		1.4
India		1.1
Other Developed		1.4	‡
		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% .

75

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,130,859	GMO Emerging Markets Fund, Class VI		291,639,651
	22,070,142	GMO International Equity Fund, Class IV		460,162,451
		TOTAL MUTUAL FUNDS (COST $795,429,747)		751,802,102
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	268,834	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (a)		268,834
		TOTAL SHORT-TERM INVESTMENTS (COST $268,834)		268,834
		TOTAL INVESTMENTS — 100.0% (Cost $795,698,581)		752,070,936
		Other Assets and Liabilities (net) — (0.0%)		(40,303	)
		TOTAL NET ASSETS — 100.0%		$752,030,633

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 95.

76 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		96.7	%
Short-Term Investments		4.1
Forward Currency Contracts		1.5
Futures Contracts		0.7	#
Other		(3.0	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 9.9% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

77

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 96.7%
		United States — 96.7%
		U.S. Government — 94.0%
	15,000,000	U.S. Treasury Note, 1.38%, due 01/31/21		15,074,415
	25,000,000	U.S. Treasury Note, 1.25%, due 03/31/21 (a)		25,157,227
	25,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		25,199,219
	16,800,000	U.S. Treasury Note, 2.63%, due 05/15/21 (b)		17,091,375
	47,000,000	U.S. Treasury Note, 1.38%, due 05/31/21		47,429,609
	43,000,000	U.S. Treasury Note, 1.63%, due 06/30/21		43,520,703
	15,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		15,143,555
	30,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		30,587,109
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		30,569,531
	66,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.12%, 0.22%, due 01/31/21 (a) (b)		66,027,062
		Total U.S. Government		315,799,805
		U.S. Government Agency — 2.7%
	9,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.13%, 0.20%, due 10/16/20		9,001,154
		Total United States		324,800,959
		TOTAL DEBT OBLIGATIONS (COST $323,612,357)		324,800,959
		SHORT-TERM INVESTMENTS — 4.1%
		Money Market Funds — 3.2%
	1,420,179	SSgA USD Liquidity Fund – Class D Shares, 0.00% (b)		1,420,179
	9,505,803	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (c)		9,505,803
		Total Money Market Funds		10,925,982
		U.S. Government — 0.9%
	3,000,000	U.S. Treasury Bill, 0.11%, due 01/21/21 (b) (d)		2,998,742
		TOTAL SHORT-TERM INVESTMENTS (COST $13,924,632)		13,924,724
		TOTAL INVESTMENTS — 100.8% (Cost $337,536,989)		338,725,683
		Other Assets and Liabilities (net) — (0.8%)		(2,696,146	)
		TOTAL NET ASSETS — 100.0%		$336,029,537

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/14/2020	BCLY		AUD	2,380,720		USD	1,713,473		(42,506	)
09/14/2020	GS		AUD	4,775,497		USD	3,401,338		(120,988	)
09/14/2020	JPM		AUD	23,591,096		USD	16,399,976		(1,000,420	)
09/14/2020	GS		CHF	2,821,058		USD	3,024,491		(97,423	)
09/16/2020	MSCI		EUR	4,285,586		USD	4,948,387		(167,380	)
09/16/2020	UBS		EUR	4,877,052		USD	5,626,077		(195,733	)
09/15/2020	MSCI		GBP	3,616,093		USD	4,578,417		(255,812	)
09/10/2020	BCLY		JPY	168,660,591		USD	1,572,804		(19,745	)
09/10/2020	SSB		JPY	134,221,359		USD	1,264,680		(2,682	)
09/14/2020	BCLY		NZD	12,263,935		USD	8,043,359		(217,449	)
09/14/2020	MSCI		USD	1,856,586		AUD	2,596,328		58,422
09/14/2020	SSB		USD	2,603,972		AUD	3,630,580		73,883
09/14/2020	UBS		USD	4,093,909		AUD	5,865,807		232,612
10/05/2020	GS		USD	984,170		CAD	1,311,396		21,332
10/05/2020	SSB		USD	11,466,988		CAD	15,361,014		310,944
09/14/2020	MSCI		USD	6,985,593		CHF	6,566,898		281,642
09/16/2020	BCLY		USD	2,404,430		EUR	2,120,468		126,804
09/16/2020	GS		USD	1,425,699		EUR	1,215,115		24,801
09/16/2020	SSB		USD	5,816,299		EUR	4,890,985		22,142
09/16/2020	UBS		USD	82,917,878		EUR	73,541,901		4,870,185
09/15/2020	GS		USD	2,305,464		GBP	1,767,907		57,989
09/15/2020	SSB		USD	12,805,653		GBP	10,150,488		764,182
09/10/2020	GS		USD	1,656,667		JPY	176,849,831		13,207
09/10/2020	MSCI		USD	716,202		JPY	75,564,263		(2,700	)
09/10/2020	SSB		USD	28,316,918		JPY	3,042,062,481		407,227
								$	5,142,534

78 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
636	Corn (b)	December 2020		11,376,450		969,308
181	FTSE 100	September 2020		14,345,473		(403,472	)
31	Gold 100 OZ (b)	December 2020		6,133,660		67,788
94	Hang Seng Index	September 2020		15,172,412		(209,966	)
893	Mini MSCI Emerging Markets	September 2020		49,132,860		2,881,049
62	MSCI Taiwan Index	September 2020		3,047,375		(53,594	)
89	S&P/TSX 60	September 2020		13,496,531		667,841
56	Silver (b)	December 2020		8,006,320		167,373
15	U.S. Treasury Note 10 Yr. (CBT)	December 2020		2,088,750		(253	)
			$	122,799,831	$	4,086,074

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
26	Australian Government Bond 10 Yr.	September 2020	$	2,827,901	$	22,803
76	CAC40 10 Euro	September 2020		4,486,152		(14,994	)
71	Canadian Government Bond 10 Yr.	December 2020		8,216,154		24,051
11	DAX Index	September 2020		4,253,092		(172,632	)
226	FTSE/JSE TOP 40	September 2020		6,812,497		(176,474	)
32	Gilt Long Bond	December 2020		5,775,188		42,321
6	Japanese Government Bond 10 Yr. (OSE)	September 2020		8,587,452		28,299
217	Soybean (b)	November 2020		10,345,475		(921,008	)
55	SPI 200	September 2020		6,089,934		48,061
212	TOPIX Index	September 2020		32,294,327		(748,508	)
			$	89,688,172	$	(1,868,081	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 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) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(c) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 79

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		76.5	%
Short-Term Investments		10.0
Other		13.5
		100.0	%
Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		66.5	%
New Zealand		4.7
Israel		3.7
United Kingdom		1.6
		76.5	%
Industry Group Summary	% of Equity Investments#
Retailing		47.1	%
Real Estate		22.3
Software & Services		11.2
Diversified Financials		6.9
Media & Entertainment		6.4
Health Care Equipment & Services		6.1
		100.0	%

(a) GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund.

& In the table, 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. 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%.

# 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.

80

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 76.5%
		Israel — 3.7%
	38,000	Wix.com Ltd *		11,195,940
		New Zealand — 4.7%
	1,560,000	Ryman Healthcare Ltd		14,063,533
		United Kingdom — 1.6%
	640,000	Burford Capital Ltd		4,838,011
		United States — 66.5%
	750,000	At Home Group, Inc. *		14,332,500
	193,830	Cardlytics, Inc. *		14,702,006
	242,514	Carvana Co. *		52,373,323
	156,684	Fastly, Inc. – Class A *		14,546,543
	207,920	Interactive Brokers Group, Inc. – Class A		11,023,918
	1,082,083	Redfin Corp. *		51,474,688
	140,953	Wayfair, Inc. – Class A *		41,801,022
		Total United States		200,254,000
		TOTAL COMMON STOCKS (COST $79,320,841)		230,351,484
		SHORT-TERM INVESTMENTS — 10.0%
		Money Market Funds — 10.0%
	206	SSgA USD Liquidity Fund – Class D Shares, 0.00% (a)		206
	30,176,887	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (b)		30,176,887
		TOTAL SHORT-TERM INVESTMENTS (COST $30,177,093)		30,177,093
		TOTAL INVESTMENTS — 86.5% (Cost $109,497,934)		260,528,577
		Other Assets and Liabilities (net) — 13.5%		40,673,309
		TOTAL NET ASSETS — 100.0%		$301,201,886

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security or derivative is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(b) The rate disclosed is the 7 day net yield as of August 31, 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 95.

See accompanying notes to the financial statements. 81

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2020 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		78.0	%
Debt Obligations		15.5
Short-Term Investments		5.6
Investment Funds		1.8
Preferred Stocks		1.2
Swap Contracts		0.1
Loan Participations		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.7	)
Securities Sold Short		(1.8	)
Other		0.3
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		8.7	%
Other Emerging		4.1	†
Other Developed		0.9	‡
Euro Region		(1.8	)#
		11.9	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.4	%
China		9.2
Japan		8.3
United Kingdom		6.0
Taiwan		4.6
Other Emerging		4.3	†
Russia		4.1
Other Developed		3.3	‡
France		2.4
Netherlands		2.1
Spain		2.0
Germany		1.8
Switzerland		1.5
Singapore		1.4
Italy		1.3
South Korea		1.2
Australia		1.1
Portugal		1.0
		78.0	%

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

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

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

‡ “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%.

82

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 21.8%
		Australia — 0.3%
	13,710	Ansell Ltd		388,610
	299	Appen Ltd		7,626
	26,425	Asaleo Care Ltd		21,350
	48,596	Australian Pharmaceutical Industries Ltd		38,788
	36,977	Fortescue Metals Group Ltd		472,617
	14,488	GDI Property Group (REIT)		11,502
	31,008	Genworth Mortgage Insurance Australia Ltd		34,403
	16,555	JB Hi-Fi Ltd		610,018
	6,322	Regis Resources Ltd		24,611
	45,288	Sandfire Resources NL		155,281
	3,088	Virtus Health Ltd		7,967
		Total Australia		1,772,773
		Belgium — 0.1%
	17,785	AGFA-Gevaert NV *		75,142
	3,591	bpost SA		35,754
	1,057	Colruyt SA		66,624
	3,277	UCB SA		388,937
		Total Belgium		566,457
		Brazil — 0.0%
	50,200	JBS SA		205,620
	20,300	Petrobras Distribuidora SA		79,073
		Total Brazil		284,693
		Canada — 0.3%
	2,500	AGF Management Ltd – Class B		9,583
	5,900	Bausch Health Cos Inc *		97,930
	16,755	Brookfield Asset Management Inc – Class A		565,314
	1,900	Canfor Pulp Products Inc		7,152
	8,200	Cascades Inc		87,196
	14,200	Celestica Inc *		113,112
	14,500	CI Financial Corp		205,880
	900	Cogeco Inc		54,117
	5,900	Fortuna Silver Mines Inc *		42,972
	200	Home Capital Group Inc *		3,379
	4,000	iA Financial Corp Inc		143,980
	5,600	IGM Financial Inc		136,656
	9,400	Martinrea International Inc		72,283
	16,217	Nutrien Ltd		597,921
	1,700	Stantec Inc		55,196
	700	TFI International Inc		30,944
	5,600	Transcontinental Inc – Class A		65,860
		Total Canada		2,289,475
		China — 0.5%
	10,000	Agile Group Holdings Ltd		13,786
	586,000	Agricultural Bank of China Ltd – Class H		195,710

Shares		Description	Value ($)
		China — continued
	379,500	BAIC Motor Corp Ltd – Class H		181,902
	297,000	Bank of China Ltd – Class H		96,581
	474,000	Bank of Communications Co Ltd – Class H		247,526
	144,000	China CITIC Bank Corp Ltd – Class H		60,153
	63,000	China Everbright Bank Co Ltd – Class H		22,572
	85,000	China Lesso Group Holdings Ltd		158,279
	28,000	China Lilang Ltd		16,139
	17,000	China Medical System Holdings Ltd		19,146
	40,000	China Minsheng Banking Corp Ltd – Class H		24,349
	242,000	China National Building Material Co Ltd – Class H		339,667
	298,000	China Petroleum & Chemical Corp – Class H		136,824
	256,000	China Railway Group Ltd – Class H		131,300
	189,000	China Resources Pharmaceutical Group Ltd		107,000
	73,000	China SCE Group Holdings Ltd		37,994
	34,000	China Shineway Pharmaceutical Group Ltd		23,784
	172,000	Chongqing Rural Commercial Bank Co Ltd – Class H		70,083
	30,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		78,335
	24,000	Guangzhou R&F Properties Co Ltd – Class H		30,469
	21,000	IGG Inc		24,225
	7,000	JNBY Design Ltd		7,309
	4,500	Livzon Pharmaceutical Group Inc – Class H		21,500
	73,000	Postal Savings Bank of China Co Ltd – Class H		34,558
	24,000	Powerlong Real Estate Holdings Ltd		17,346
	18,700	Red Star Macalline Group Corp Ltd – Class H		12,414
	121,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		215,681
	130,000	Shimao Group Holdings Ltd		584,250
	24,800	Sinopharm Group Co Ltd – Class H		60,895
	148,000	Tianneng Power International Ltd		318,380
		Total China		3,288,157
		Denmark — 0.0%
	4,336	Scandinavian Tobacco Group A/S		69,090
		Finland — 0.1%
	18,095	Neste Oyj		968,722
		France — 0.7%
	5,664	ALD SA		57,994
	10,399	APERAM SA		307,058
	1,945	Arkema SA		215,333
	212	Assystem SA		6,024
	197	Axway Software SA *		4,552
	170	Boiron SA		7,018
	84	Caisse Regionale de Credit Agricole Mutuel Nord de France *		1,958
	289	Capgemini SE		40,090
	161	Cie des Alpes		2,976

See accompanying notes to the financial statements. 83

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		France — continued
	4,487	Coface SA *		35,056
	743	Eiffage SA *		68,329
	2,634	Fnac Darty SA *		114,668
	322	GL Events *		3,960
	79	Groupe Crit		4,524
	91	HEXAOM		3,324
	3,884	IPSOS		102,558
	425	Kaufman & Broad SA		16,878
	1,158	Kering SA		710,507
	1,946	L’Oreal SA		645,779
	1,622	LVMH Moet Hennessy Louis Vuitton SE		761,728
	6,238	Metropole Television SA *		77,890
	3,784	Quadient SA		52,736
	8,453	Safran SA *		976,190
	3,617	Sanofi		366,361
	2,000	Sanofi ADR		101,160
	163	Synergie SA *		3,996
		Total France		4,688,647
		Germany — 0.7%
	1,466	Aurubis AG		105,376
	228	Bechtle AG		46,081
	36,229	CECONOMY AG *		166,846
	3,104	CropEnergies AG		45,280
	45,902	Deutsche Pfandbriefbank AG		334,354
	16,552	Deutz AG		89,041
	16,690	Dialog Semiconductor Plc *		725,064
	387	Draegerwerk AG & Co KGaA *		28,607
	2,401	DWS Group GmbH & Co KGaA *		94,646
	2,046	Gerresheimer AG		241,641
	98	Grammer AG *		1,829
	9,760	HeidelbergCement AG		619,193
	1,084	Hornbach Holding AG & Co KGaA		118,035
	40,915	Infineon Technologies AG		1,137,698
	10,214	Software AG		509,280
	4,351	Takkt AG *		57,368
	5,228	Traton SE *		107,017
	2,136	VERBIO Vereinigte BioEnergie AG		36,747
	904	Wuestenrot & Wuerttembergische AG		15,726
		Total Germany		4,479,829
		Hong Kong — 0.2%
	19,000	Chow Sang Sang Holdings International Ltd		21,389
	260,000	CITIC Telecom International Holdings Ltd		90,183
	130,000	CSI Properties Ltd		4,040
	18,500	Dah Sing Banking Group Ltd		17,574
	24,800	Dah Sing Financial Holdings Ltd		70,500
	70,000	Giordano International Ltd		11,730
	245,000	HKT Trust & HKT Ltd – Class SS		350,087
	78,500	Johnson Electric Holdings Ltd		154,864

Shares		Description	Value ($)
		Hong Kong — continued
	139,000	Pacific Textiles Holdings Ltd		61,456
	12,000	Pico Far East Holdings Ltd		1,532
	20,000	Prosperity REIT		6,115
	218,000	Shun Tak Holdings Ltd		75,556
	60,000	Sun Hung Kai & Co Ltd		24,684
	4,000	TAI Cheung Holdings Ltd		2,537
	65,900	VTech Holdings Ltd		384,315
	131,000	WH Group Ltd		112,910
	128,000	Yue Yuen Industrial Holdings Ltd		221,478
		Total Hong Kong		1,610,950
		India — 0.0%
	20,549	REC Ltd		29,738
		Ireland — 0.2%
	10,295	AIB Group Plc *		12,664
	39,165	Bank of Ireland Group Plc		87,745
	690	CRH Plc		25,734
	3,200	CRH Plc Sponsored ADR		118,720
	2,237	Glanbia Plc		25,716
	71,600	Hibernia REIT Plc		101,772
	36,837	Irish Residential Properties REIT Plc		61,925
	9,692	Origin Enterprises Plc		39,774
	7,694	Permanent TSB Group Holdings Plc *		4,685
	49,187	Ryanair Holdings Plc *		699,308
	9,904	Smurfit Kappa Group Plc		350,713
	6,616	Total Produce Plc		8,964
		Total Ireland		1,537,720
		Italy — 0.4%
	2,382	ACEA SPA		48,979
	27,359	Anima Holding SPA		120,183
	3,839	Ascopiave SPA		15,019
	23,846	Buzzi Unicem SPA		582,910
	3,639	Cementir Holding NV		25,415
	26,335	Enav SPA		110,802
	23,403	EXOR NV		1,380,271
	136,816	Hera SPA		522,400
	1,690	La Doria SPA		22,229
	4,121	Nexi SPA *		73,342
	6,156	Piaggio & C SPA		17,463
	92	Recordati Industria Chimica e Farmaceutica SPA		5,018
	348	Sesa SPA		31,248
		Total Italy		2,955,279
		Japan — 4.4%
	1,700	77 Bank Ltd (The)		24,957
	2,000	ADEKA Corp		29,188
	34,000	Aeon Mall Co Ltd		449,283

84 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,400	Aichi Corp		10,843
	65,700	Amada Co Ltd		583,874
	3,300	Amano Corp		68,797
	600	Arata Corp		28,676
	900	Arcland Sakamoto Co Ltd		17,895
	11,700	Arcs Co Ltd		289,157
	42,100	Asics Corp		580,403
	37,200	Astellas Pharma Inc		583,599
	800	Bando Chemical Industries Ltd		4,383
	24,900	Brother Industries Ltd		411,943
	9,900	Chiba Bank Ltd (The)		51,278
	400	Chiyoda Integre Co Ltd		6,043
	21,600	Chugoku Marine Paints Ltd		200,828
	700	Cleanup Corp		3,373
	4,100	Dai Nippon Printing Co Ltd		86,988
	1,300	Dai Nippon Toryo Co Ltd		10,853
	400	Dai-Dan Co Ltd		10,139
	11,300	Daicel Corp		81,880
	8,300	Daihen Corp		326,691
	400	Daiichi Jitsugyo Co Ltd		13,642
	400	Dainichiseika Color & Chemicals Manufacturing Co Ltd		8,131
	1,200	Daiwa Industries Ltd		10,397
	4,600	Daiwabo Holdings Co Ltd		276,997
	20,600	Denka Co Ltd		579,691
	10,500	Doshisha Co Ltd		201,274
	3,500	DTS Corp		73,383
	1,000	ESPEC Corp		17,278
	4,500	FANUC Corp		789,446
	5,200	Fuji Electric Co Ltd		162,228
	700	Fujimi Inc		23,404
	3,400	Fujitec Co Ltd		67,788
	4,200	Fujitsu General Ltd		109,896
	200	Fukuda Corp		9,202
	4,600	Geo Holdings Corp		74,555
	3,600	Glory Ltd		75,169
	6,700	GungHo Online Entertainment Inc		138,351
	9,900	Gunma Bank Ltd (The)		32,550
	6,000	Gunze Ltd		215,979
	6,900	Gurunavi Inc		42,065
	9,100	Hachijuni Bank Ltd (The)		35,166
	6,300	Hakuhodo DY Holdings Inc		78,223
	800	Hakuto Co Ltd		8,345
	56,300	Haseko Corp		768,290
	35,900	Hazama Ando Corp		243,858
	5,600	Hiroshima Bank Ltd (The)		28,341
	3,400	Hisamitsu Pharmaceutical Co Inc		157,059
	10,200	Hogy Medical Co Ltd		323,867
	2,500	Hokuhoku Financial Group Inc		23,181
	10,100	Horiba Ltd		552,960
	3,300	Inaba Denki Sangyo Co Ltd		81,709

Shares		Description	Value ($)
		Japan — continued
	16,600	Inabata & Co Ltd		204,709
	3,000	Itochu Enex Co Ltd		26,567
	2,400	Itochu Techno-Solutions Corp		86,873
	100	Itochu-Shokuhin Co Ltd		5,286
	2,700	Itoki Corp		9,278
	9,000	Jafco Co Ltd		362,178
	40,400	JVCKenwood Corp		59,744
	72,600	K’s Holdings Corp		1,028,702
	26,500	Kadokawa Corp		677,860
	1,800	Kaken Pharmaceutical Co Ltd		83,390
	800	Kamei Corp		7,459
	8,800	Kanamoto Co Ltd		191,011
	26,300	Kanematsu Corp		332,048
	700	Kanematsu Electronics Ltd		26,718
	300	Kato Sangyo Co Ltd		10,342
	24,600	KDDI Corp		715,069
	53,900	Kenedix Inc		261,804
	24,400	Kinden Corp		402,498
	1,800	Kissei Pharmaceutical Co Ltd		39,257
	900	Komeri Co Ltd		27,889
	26,100	Konica Minolta Inc		84,193
	7,000	Konoike Transport Co Ltd		74,477
	1,100	Kureha Corp		47,047
	21,900	Kyowa Exeo Corp		550,952
	1,800	Makino Milling Machine Co Ltd		62,160
	9,900	Mandom Corp		157,368
	10,600	Maruichi Steel Tube Ltd		284,187
	500	Maruzen Showa Unyu Co Ltd		16,168
	500	Matsuda Sangyo Co Ltd		7,345
	19,300	Maxell Holdings Ltd *		185,048
	12,200	Mebuki Financial Group Inc		29,576
	2,100	Medipal Holdings Corp		40,131
	4,900	Meidensha Corp		75,427
	700	METAWATER Co Ltd		29,407
	17,600	Mitsubishi Gas Chemical Co Inc		314,282
	145,200	Mitsubishi UFJ Financial Group Inc		605,828
	1,000	Mitsuboshi Belting Ltd		15,464
	1,200	Mitsui Sugar Co Ltd		21,887
	500	Mochida Pharmaceutical Co Ltd		18,486
	21,700	MS&AD Insurance Group Holdings Inc		601,926
	1,200	MTI Ltd		8,276
	4,200	NEC Networks & System Integration Corp		78,086
	15,800	NH Foods Ltd		715,744
	4,900	Nichi-iko Pharmaceutical Co Ltd		55,043
	5,250	Nichias Corp		124,291
	7,900	Nikkon Holdings Co Ltd		174,304
	3,300	Nippo Corp		85,460
	2,000	Nippon Flour Mills Co Ltd		31,806
	7,300	Nippon Kayaku Co Ltd		71,714
	75,500	Nippon Light Metal Holdings Co Ltd		132,275

See accompanying notes to the financial statements. 85

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,200	Nippon Soda Co Ltd		62,463
	34,100	Nippon Telegraph & Telephone Corp		775,966
	1,200	Nisshin Oillio Group Ltd (The)		35,590
	400	Nissin Corp		6,074
	5,700	Nissin Electric Co Ltd		60,493
	2,600	Nojima Corp		76,947
	13,100	Nomura Real Estate Holdings Inc		249,916
	59,100	Obayashi Corp		577,669
	100	Okinawa Cellular Telephone Co		3,938
	800	Organo Corp		42,388
	51,100	ORIX Corp		635,230
	600	Osaka Soda Co Ltd		14,291
	1,000	Otsuka Corp		49,076
	13,700	Pacific Industrial Co Ltd		127,938
	1,100	Paramount Bed Holdings Co Ltd		43,780
	29,900	Penta-Ocean Construction Co Ltd		191,757
	2,000	Proto Corp		22,981
	10,500	Raiznext Corp		131,596
	600	Rinnai Corp		55,503
	4,600	San-A Co Ltd		186,924
	2,200	San-Ai Oil Co Ltd		19,373
	4,100	Sanki Engineering Co Ltd		43,955
	900	Sanyo Chemical Industries Ltd		41,813
	6,500	Secom Co Ltd		615,143
	4,300	Seiko Holdings Corp		60,598
	600	Sekisui Jushi Corp		12,581
	69,200	Shimizu Corp		531,551
	1,600	Shizuoka Gas Co Ltd		13,191
	7,400	Showa Corp		158,705
	200	Sinanen Holdings Co Ltd		5,589
	1,500	Sinko Industries Ltd		19,282
	1,700	Sintokogio Ltd		11,342
	45,100	SKY Perfect JSAT Holdings Inc		172,103
	40,900	Sumitomo Chemical Co Ltd		132,655
	10,700	Sumitomo Dainippon Pharma Co Ltd		135,269
	28,100	Sumitomo Forestry Co Ltd		448,641
	500	Sumitomo Seika Chemicals Co Ltd		16,264
	1,200	Suzuken Co Ltd		44,577
	12,200	T Hasegawa Co Ltd		243,553
	4,000	T-Gaia Corp		78,765
	2,000	Taisei Corp		69,032
	1,100	Taisho Pharmaceutical Holdings Co Ltd		67,688
	4,100	Takasago Thermal Engineering Co Ltd		56,157
	20,100	Takuma Co Ltd		321,764
	1,200	Tamron Co Ltd		19,363
	16,000	Teijin Ltd		250,874
	10,500	Toho Holdings Co Ltd		202,971
	2,200	Tokyo Seimitsu Co Ltd		67,322
	7,600	Tokyu Construction Co Ltd		34,846
	900	Toli Corp		2,103
	3,500	Toppan Forms Co Ltd		31,681

Shares		Description	Value ($)
		Japan — continued
	58,900	Toppan Printing Co Ltd		914,113
	800	Torii Pharmaceutical Co Ltd		20,825
	23,600	Tosei Corp		206,641
	39,100	Tosoh Corp		578,445
	7,400	Toyo Suisan Kaisha Ltd		420,743
	11,900	Toyota Industries Corp		691,245
	1,100	Trend Micro Inc		68,074
	5,300	TS Tech Co Ltd		155,035
	400	Tsumura & Co		11,359
	18,900	Ushio Inc		233,717
	3,200	YAMABIKO Corp		32,584
	3,200	Yamaha Motor Co Ltd		50,244
	2,800	Yamazen Corp		26,364
	3,100	Yellow Hat Ltd		51,073
	38,800	Yokogawa Electric Corp		633,821
	900	Yuasa Trading Co Ltd		26,154
	14,500	Zenkoku Hosho Co Ltd		513,072
		Total Japan		30,253,316
		Malaysia — 0.0%
	17,200	Top Glove Corp Berhad		108,636
		Malta — 0.0%
	125,500	BGP Holdings Plc (a)		—
		Mexico — 0.1%
	337,400	Grupo Mexico SAB de CV Series B		900,473
	3,100	El Puerto de Liverpool SAB de CV – Class C1		8,166
		Total Mexico		908,639
		Netherlands — 0.7%
	11,227	ABN AMRO Bank NV CVA *		106,631
	656	Adyen NV *		1,105,788
	204	ASM International NV		30,628
	15,230	ASR Nederland NV		526,544
	991	Heineken Holding NV		81,086
	66	Hunter Douglas NV		3,550
	1,190	Koninklijke Ahold Delhaize NV		35,802
	1,945	Koninklijke Vopak NV		106,792
	14,511	Randstad NV		755,202
	42,614	Signify NV		1,421,497
	8,980	Wolters Kluwer NV		736,657
		Total Netherlands		4,910,177
		Norway — 0.3%
	6,365	Austevoll Seafood ASA		58,701
	46,695	BW LPG Ltd		217,849
	95,337	Elkem ASA		196,636
	18,853	Europris ASA		94,897
	11,301	Gjensidige Forsikring ASA		240,575

86 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	2,895	Kongsberg Gruppen ASA		43,011
	15,100	Norwegian Finans Holding ASA *		114,420
	28,207	Orkla ASA		286,908
	329	Salmar ASA *		17,799
	1,557	Selvaag Bolig ASA		9,476
	2,664	SpareBank 1 Nord Norge		20,513
	415	Sparebank 1 Oestlandet		4,221
	4,533	SpareBank 1 SMN		45,041
	19,667	SpareBank 1 SR-Bank ASA *		176,647
	9,746	Yara International ASA		408,322
		Total Norway		1,935,016
		Philippines — 0.0%
	350	Globe Telecom Inc		15,059
		Poland — 0.0%
	8,498	PLAY Communications SA		70,428
	19,556	Polskie Gornictwo Naftowe i Gazownictwo SA		27,190
		Total Poland		97,618
		Portugal — 0.4%
	43,398	Altri SGPS SA		217,690
	1,956,817	Banco Comercial Portugues SA – Class R *		231,588
	1,661	CTT-Correios de Portugal SA *		5,179
	2,594	EDP Renovaveis SA		44,373
	88,303	EDP – Energias de Portugal SA		448,894
	38,127	Galp Energia SGPS SA		409,414
	26,554	Jeronimo Martins SGPS SA		437,001
	33,194	Mota-Engil SGPS SA *		62,592
	55,760	Navigator Co SA (The)		147,427
	90,609	NOS SGPS SA		366,983
	43,649	REN – Redes Energeticas Nacionais SGPS SA		127,077
	1,298	Semapa-Sociedade de Investimento e Gestao		11,862
	211,728	Sonae SGPS SA		151,129
		Total Portugal		2,661,209
		Russia — 0.4%
	1,707,000	Inter RAO UES PJSC		120,245
	6,963	LUKOIL PJSC		467,663
	12,094	LUKOIL PJSC Sponsored ADR		827,497
	5,070	Novatek PJSC Sponsered GDR (Registered)		756,865
	4,799	Novolipetsk Steel PJSC GDR		100,009
	4,656,000	ROSSETI PJSC		91,582
	14,700	Surgutneftegas PJSC		7,270
		Total Russia		2,371,131
		Singapore — 0.4%
	25,200	Accordia Golf Trust		13,414
	44,200	Ascendas Real Estate Investment Trust		107,688
	34,500	CapitaLand Commercial Trust (REIT)		42,537

Shares		Description	Value ($)
		Singapore — continued
	23,500	City Developments Ltd		138,477
	122,100	ComfortDelGro Corp Ltd		132,527
	17,000	DBS Group Holdings Ltd		260,524
	21,100	First Real Estate Investment Trust		7,666
	7,800	Jardine Cycle & Carriage Ltd		108,546
	26,700	Keppel DC (REIT)		57,054
	164,100	Mapletree Industrial Trust (REIT)		367,270
	39,200	Mapletree Logistics Trust (REIT)		59,561
	244,400	Mapletree North Asia Commercial Trust (REIT)		168,579
	42,400	Silverlake Axis Ltd		9,960
	15,300	Singapore Exchange Ltd		96,750
	77,100	SPH (REIT)		49,252
	68,000	StarHub Ltd		60,931
	20,600	Venture Corp Ltd		300,230
	33,000	Wilmar International Ltd		105,579
	671,800	Yangzijiang Shipbuilding Holdings Ltd		451,312
	58,400	Yanlord Land Group Ltd		51,875
		Total Singapore		2,589,732
		South Africa — 0.0%
	36,838	Absa Group Ltd		166,854
	4,985	Liberty Holdings Ltd		17,793
	3,145	Motus Holdings Ltd *		5,096
	5,690	Reunert Ltd		10,302
	34,569	Telkom SA SOC Ltd		46,271
		Total South Africa		246,316
		South Korea — 0.3%
	722	DB HiTek Co Ltd		21,600
	28,400	Hana Financial Group Inc		672,148
	733	KB Financial Group Inc		22,742
	20,599	Kia Motors Corp		732,630
	1,558	Shinhan Financial Group Co Ltd		38,777
	990	SK Hynix Inc		62,564
	368	SK Telecom Co Ltd		76,729
	24,700	SK Telecom Co Ltd Sponsored ADR		567,359
	1,202	Yuhan Corp		67,726
		Total South Korea		2,262,275
		Spain — 0.8%
	21,616	Acerinox SA *		175,523
	10,944	ACS Actividades de Construccion y Servicios SA		267,800
	22,346	Almirall SA *		245,825
	13,170	Amadeus IT Group SA		739,854
	20,413	Cia de Distribucion Integral Logista Holdings SA		361,955
	1,589	Ebro Foods SA		39,009
	2,369	eDreams ODIGEO SA *		6,408
	965	Enagas SA		23,631

See accompanying notes to the financial statements. 87

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	34,365	Endesa SA		953,963
	13,977	Faes Farma SA		55,345
	36,357	Iberdrola SA		458,712
	27,806	Industria de Diseno Textil SA		781,827
	40,863	Mediaset Espana Comunicacion SA *		135,778
	33,726	Red Electrica Corp SA		645,453
	123,203	Unicaja Banco SA *		88,606
	8,734	Viscofan SA		646,187
		Total Spain		5,625,876
		Sweden — 0.2%
	2,305	AcadeMedia AB		19,394
	4,348	Betsson AB *		36,400
	10,577	Bilia AB – Class A *		125,617
	5,334	Granges AB *		47,502
	1,741	Humana AB *		12,231
	11,030	Inwido AB *		109,841
	990	Lindab International AB		15,957
	7,667	Nobia AB *		49,527
	532	Nyfosa AB *		3,846
	30,082	Skanska AB – B Shares *		611,802
	1,448	SKF AB – B Shares		28,962
		Total Sweden		1,061,079
		Switzerland — 0.1%
	2,053	Galenica AG		147,414
	298	Partners Group Holding AG		303,575
	30	Roche Holding AG		10,524
		Total Switzerland		461,513
		Taiwan — 0.2%
	3,000	Asustek Computer Inc		24,845
	122,000	Hon Hai Precision Industry Co Ltd		319,968
	12,000	Inventec Corp		9,289
	2,000	Radiant Opto-Electronics Corp		7,344
	23,000	Chicony Electronics Co Ltd		69,384
	47,000	Novatek Microelectronics Corp		384,536
	375,000	Pou Chen Corp		354,305
		Total Taiwan		1,169,671
		Turkey — 0.0%
	20,733	Turkiye Vakiflar Bankasi TAO – Class D *		11,505
		United Kingdom — 2.2%
	65,066	3i Group Plc		799,564
	13,929	Aggreko Plc		87,733
	35,218	Anglo American Plc		865,472
	2,293	AVEVA Group Plc		154,903
	3,420	Bank of Georgia Group Plc *		42,426
	104,997	Barratt Developments Plc		733,204

Shares		Description	Value ($)
		United Kingdom — continued
	8,249	Bellway Plc		262,052
	17,845	Berkeley Group Holdings Plc (The)		1,078,435
	4,639	British American Tobacco Plc		156,358
	13,400	British American Tobacco Plc Sponsored ADR		452,518
	167,643	Centamin Plc		470,938
	8,037	CMC Markets Plc		34,453
	63,184	Compass Group Plc		1,022,440
	7,001	Computacenter Plc		190,335
	2,268	Daily Mail & General Trust Plc – Class A		19,664
	38,085	Dixons Carphone Plc		47,115
	7,106	Dunelm Group Plc		135,183
	3,209	Electrocomponents Plc		29,031
	1,271	EMIS Group Plc		17,392
	5,369	Ferguson Plc		526,513
	138,388	Ferrexpo Plc		340,067
	26,408	Frasers Group Plc *		122,897
	359	Galliford Try Holdings Plc		406
	4,421	Gem Diamonds Ltd *		1,830
	4,488	Go-Ahead Group Plc (The)		39,261
	1,918	Grafton Group Plc		19,792
	32,106	IG Group Holdings Plc		334,341
	4,837	IMI Plc		67,303
	23,422	Inchcape Plc *		157,781
	29,866	Indivior Plc *		47,394
	33,484	International Consolidated Airlines Group SA		89,725
	7,674	International Personal Finance Plc		7,017
	75,663	J Sainsbury Plc		185,912
	5,702	JD Sports Fashion Plc		54,873
	1,128	Johnson Matthey Plc		35,576
	58,548	Kingfisher Plc		212,914
	12,214	Lookers Plc (b)		3,429
	16,888	Meggitt Plc		65,037
	4,410	Micro Focus International Plc *		17,496
	12,455	Mitchells & Butlers Plc *		28,632
	1,399	Mondi Plc		27,527
	16,910	Morgan Advanced Materials Plc		52,408
	4,384	Morgan Sindall Group Plc		73,784
	24,289	National Express Group Plc		41,161
	4,545	Numis Corp Plc		17,685
	19,750	OneSavings Bank Plc		80,383
	16,757	Paragon Banking Group Plc		79,577
	25,522	Pennon Group Plc		340,999
	77,049	Persimmon Plc		2,677,317
	53,309	Pets at Home Group Plc		207,888
	21,902	Phoenix Group Holdings Plc		202,551
	9,878	Playtech Plc		48,689
	25,364	Plus500 Ltd		493,608
	49,124	Premier Foods Plc *		55,181
	110,718	QinetiQ Group Plc		428,463
	9,678	Redde Northgate Plc		24,318
	5,493	Savills Plc		59,856

88 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	35,698	Sirius Real Estate Ltd		35,705
	7,393	Smiths Group Plc		137,218
	5,939	Softcat Plc		109,990
	32,470	Spirent Communications Plc		127,567
	7,940	Stock Spirits Group Plc		22,984
	54,317	Tate & Lyle Plc		492,487
	34,222	Taylor Wimpey Plc		55,329
	2,007	Ultra Electronics Holdings Plc		61,844
	4,575	Vesuvius Plc		24,609
	18,221	WM Morrison Supermarkets Plc		46,627
	1,364	WPP Plc		11,553
		Total United Kingdom		14,994,720
		United States — 7.8%
	4,000	AbbVie, Inc.		383,080
	29,200	ACCO Brands Corp.		189,216
	3,000	Activision Blizzard, Inc.		250,560
	9,700	Acushnet Holdings Corp. (c)		342,313
	1,200	Adtalem Global Education, Inc. * (c)		39,840
	300	AGCO Corp.		21,330
	700	Alexion Pharmaceuticals, Inc. *		79,954
	800	Allstate Corp. (The)		74,400
	13,147	American Express Co. (c)		1,335,604
	7,400	Ameriprise Financial, Inc. (d)		1,160,320
	1,300	AmerisourceBergen Corp.		126,139
	4,500	Amgen, Inc. (c)		1,139,940
	5,600	Apple, Inc. (c)		722,624
	10,140	Applied Materials, Inc.		624,624
	800	Atkore International Group, Inc. *		21,384
	1,700	AutoNation, Inc. * (c)		96,662
	1,200	BellRing Brands, Inc. – Class A *		23,328
	12,100	Best Buy Co., Inc.		1,342,011
	700	Big Lots, Inc.		33,005
	100	Bio-Rad Laboratories, Inc. – Class A *		50,859
	400	Booking Holdings, Inc. * (c)		764,180
	25,400	BorgWarner, Inc. (c)		1,030,986
	2,900	Brady Corp. – Class A		135,981
	1,300	Brinker International, Inc.		58,552
	1,200	Bristol-Myers Squibb Co.		74,640
	3,300	Broadmark Realty Capital, Inc. (REIT)		32,340
	2,400	Bruker Corp.		100,848
	4,800	Builders FirstSource, Inc. *		146,976
	11,100	Cadence Design Systems, Inc. * (d)		1,231,101
	1,000	Campbell Soup Co.		52,610
	1,400	Carrier Global Corp.		41,790
	1,900	CBIZ, Inc. *		46,208
	500	Cerence, Inc. *		26,600
	19,073	Charles Schwab Corp. (The)		677,664
	26,319	Cheesecake Factory, Inc. (The) (c)		777,200
	8,400	Chevron Corp. (c) (d)		705,012
	2,500	Church & Dwight Co., Inc.		239,575

Shares		Description	Value ($)
		United States — continued
	200	Cimpress Plc * (c)		18,540
	800	Clorox Co. (The)		178,800
	4,300	Columbia Sportswear Co. (c)		367,951
	600	Core-Mark Holding Co., Inc.		20,052
	16,200	CoreCivic, Inc. (REIT)		150,822
	700	CoreLogic Inc/United States		46,480
	59,475	Corteva, Inc. (d)		1,698,011
	1,300	CSG Systems International, Inc. (c)		55,341
	3,700	Curo Group Holdings Corp.		28,490
	42,000	Dana, Inc.		585,900
	1,400	Dick’s Sporting Goods, Inc. (c)		75,768
	700	DISH Network Corp. – Class A *		24,864
	700	DR Horton, Inc. (c)		49,959
	300	Eastman Chemical Co.		21,933
	20,100	eBay, Inc.		1,101,078
	7,100	Electronic Arts, Inc. * (d)		990,237
	6,900	Eli Lilly & Co. (d)		1,023,891
	9,300	Enova International, Inc. *		158,844
	8,600	Envista Holdings Corp. * (c)		206,314
	18,957	EOG Resources, Inc.		859,510
	2,600	Estee Lauder Cos, Inc. (The) – Class A (d)		576,472
	700	Exterran Corp. *		3,220
	300	Federal Agricultural Mortgage Corp. – Class C		20,445
	2,100	Federal Signal Corp.		67,452
	1,000	First American Financial Corp.		52,570
	7,100	Fox Corp. – Class A		197,806
	2,800	Fox Corp. – Class B *		77,840
	3,600	Garmin Ltd.		372,996
	200	General Dynamics Corp.		29,870
	1,900	General Mills, Inc.		121,505
	2,200	GEO Group, Inc. (REIT)		24,552
	13,700	Gilead Sciences, Inc. (d)		914,475
	200	Graham Holdings Co. – Class B (d)		85,590
	2,100	Group 1 Automotive, Inc. (c)		181,524
	7,700	H&R Block, Inc.		111,650
	8,200	Hasbro, Inc. (c)		647,308
	2,200	Heidrick & Struggles International, Inc.		47,586
	17,800	Herman Miller, Inc. (d)		424,174
	3,600	Hershey Co. (The) (c)		535,104
	16,900	Hewlett Packard Enterprise Co.		163,423
	7,701	Hilton Worldwide Holdings, Inc.		695,862
	200	Hologic, Inc. *		11,944
	3,951	Honeywell International, Inc.		654,088
	43,000	HP, Inc. (d)		840,650
	6,900	Huntsman Corp. (c)		149,178
	4,200	Illinois Tool Works, Inc. (c)		829,710
	200	Innospec, Inc.		14,938
	2,900	Insight Enterprises, Inc. * (c)		173,435
	23,100	Intel Corp. (d)		1,176,945
	700	Inter Parfums, Inc.		31,269
	14,200	Interpublic Group of Cos., Inc. (The)		252,192

See accompanying notes to the financial statements. 89

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,700	Intuit, Inc. (d)		932,553
	300	Johnson Outdoors, Inc. – Class A		25,713
	41,900	Juniper Networks, Inc. (c)		1,047,500
	1,900	Kimberly-Clark Corp. (c)		299,744
	700	Kontoor Brands, Inc. * (c)		15,470
	14,700	Kroger Co. (The) (c)		524,496
	4,900	La-Z-Boy, Inc.		159,250
	13,595	Las Vegas Sands Corp.		689,402
	1,600	Laureate Education, Inc. – Class A *		20,032
	400	Lockheed Martin Corp.		156,104
	24,500	Lyft, Inc. – Class A * (d)		726,915
	676	Markel Corp. * (c)		734,697
	1,600	Materion Corp.		87,344
	1,500	McKesson Corp.		230,160
	1,100	MDC Holdings, Inc.		47,718
	8,700	Medtronic Plc		934,989
	6,200	Merck & Co., Inc. (d)		528,674
	2,100	Meritor, Inc. *		47,796
	13,280	Micron Technology, Inc. * (d)		604,373
	1,300	Microsoft Corp.		293,189
	13,600	Modine Manufacturing Co. * (c)		92,072
	3,800	Moog, Inc. – Class A		229,102
	2,600	Motorola Solutions, Inc. (c)		402,350
	4,900	Movado Group, Inc.		53,459
	2,600	Mylan NV *		42,588
	300	NetApp, Inc.		14,217
	1,900	Newmark Group, Inc. – Class A		8,417
	3,100	NortonLifeLock, Inc.		72,912
	1,300	OneMain Holdings, Inc.		37,804
	3,200	Oracle Corp. (c)		183,104
	900	Oshkosh Corp.		69,309
	1,350	Otis Worldwide Corp.		84,915
	100	Parker-Hannifin Corp.		20,601
	2,600	Parsons Corp. *		86,476
	6,700	PepsiCo, Inc. (d)		938,402
	12,000	Perdoceo Education Corp. *		172,440
	20,500	Pfizer, Inc. (c) (d)		774,695
	14,500	Phillips 66 (d)		847,815
	2,200	Polaris, Inc.		222,288
	2,500	Progress Software Corp.		94,725
	1,700	PulteGroup, Inc.		75,803
	17,500	Qurate Retail, Inc. – Series A *		193,375
	14,145	Raytheon Technologies Corp.		862,845
	800	Regional Management Corp. *		14,632
	900	Reliance Steel & Aluminum Co.		94,383
	900	Scholastic Corp.		20,250
	1,500	Schweitzer-Mauduit International, Inc. (c)		45,495
	1,200	Seagate Technology Plc (c)		57,588
	24,066	Sensata Technologies Holding Plc *		1,002,108
	800	Silgan Holdings, Inc.		30,448
	1,800	Skechers U.S.A., Inc. – Class A *		53,730

Shares		Description	Value ($)
		United States — continued
	1,900	SolarWinds Corp. *		39,957
	6,000	Sonic Automotive, Inc. – Class A (c)		253,560
	600	SPX Corp. *		25,098
	1,300	Steelcase, Inc. – Class A		13,585
	500	STERIS Plc		79,820
	8,200	Stoneridge, Inc. *		165,640
	900	Sykes Enterprises, Inc. *		29,795
	6,100	Synopsys, Inc. * (d)		1,349,930
	500	TE Connectivity Ltd.		48,300
	500	Teledyne Technologies, Inc. *		156,805
	5,100	Telephone & Data Systems, Inc.		117,963
	3,300	Textron, Inc.		130,119
	12,100	Timken Co. (The) (d)		655,699
	2,627	Triple-S Management Corp. – Class B *		48,862
	1,400	Tyson Foods, Inc.– Class A		87,920
	1,500	UFP Industries, Inc.		89,025
	3,100	Universal Corp.		134,571
	28,660	US Bancorp		1,043,224
	10,047	Verso Corp. – Class A		131,716
	12,748	VF Corp. (c)		838,181
	11,700	Vishay Intertechnology, Inc.		187,083
	25,224	Wells Fargo & Co.		609,160
	700	West Pharmaceutical Services, Inc.		198,772
	300	Williams-Sonoma, Inc. (c)		26,328
	8,700	World Fuel Services Corp.		229,680
	1,200	WW International, Inc. *		28,176
	17,600	Xenia Hotels & Resorts, Inc. (REIT) (d)		158,048
	9,100	Zynga Inc. – Class A *		82,446
		Total United States		53,311,944
		TOTAL COMMON STOCKS (COST $143,381,618)		149,536,962
		PREFERRED STOCKS(e)— 0.2%
		Brazil — 0.1%
	101,132	Bradespar SA		812,046
		Germany — 0.0%
	1,729	Draegerwerk AG & Co KGaA		146,612
	446	Villeroy & Boch AG		6,103
		Total Germany		152,715
		Russia — 0.1%
	411,900	Surgutneftegas PJSC		206,466
		Total Russia		206,466
		TOTAL PREFERRED STOCKS (COST $1,055,551)		1,171,227
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	3,839	Ascopiave SPA, Expires 09/30/20 *		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—

90 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 4.8%
		United States — 4.8%
		U.S. Government — 4.8%
	5,397,038	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (f)		5,996,720
	868,345	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (f)		982,638
	3,272,704	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d) (f)		4,018,523
	1,205,498	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (f)		1,402,216
	1,956,855	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (f)		2,300,986
	9,913,894	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (d) (f)		13,080,919
	2,404,368	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (f)		2,686,881
	2,111,151	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (f)		2,378,632
		Total U.S. Government		32,847,515
		Total United States		32,847,515
		TOTAL DEBT OBLIGATIONS (COST $29,235,015)		32,847,515
		MUTUAL FUNDS — 74.7%
		United States — 74.7%
		Affiliated Issuers — 74.7%
	995,450	GMO Emerging Country Debt Fund, Class IV		26,717,878
	5,026,673	GMO Emerging Markets Fund, Class VI		160,551,948
	6,391,651	GMO International Equity Fund, Class IV		133,265,924
	2,311,477	GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		51,384,127
	716,723	GMO Opportunistic Income Fund, Class VI		18,555,948
	1,551,736	GMO Quality Fund, Class VI		39,910,641
	1,954,646	GMO U.S. Equity Fund, Class VI		24,511,257
	2,747,707	GMO U.S. Small Cap Value Fund, Class VI		49,238,918
	1,706,579	GMO U.S. Treasury Fund		8,601,158
		TOTAL MUTUAL FUNDS (COST $504,932,119)		512,737,799
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	4,096,581	State Street Institutional Treasury Money Market Fund – Premier Class, 0.03% (g)		4,096,581
		TOTAL SHORT-TERM INVESTMENTS (COST $4,096,581)		4,096,581
		TOTAL INVESTMENTS — 102.1% (Cost $682,700,884)		700,390,084

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (1.8)%
			Common Stocks — (1.8)%
			Austria — (0.0)%
	(564	)	OMV AG *		(18,257	)
	(1,334	)	Schoeller-Bleckmann Oilfield Equipment AG		(39,804	)
			Total Austria		(58,061	)
			Brazil — (0.0)%
	(2,800	)	Pagseguro Digital Ltd – Class A *		(117,992	)
			Canada — (0.0)%
	(9,200	)	AltaGas Ltd		(118,990	)
			Denmark — (0.3)%
	(171	)	AP Moller – Maersk A/S – Class A		(242,885	)
	(347	)	AP Moller – Maersk A/S – Class B		(531,695	)
	(5,685	)	Chr Hansen Holding A/S		(652,510	)
	(521	)	DFDS A/S *		(19,669	)
	(3,171	)	Jyske Bank A/S (Registered) *		(94,476	)
	(762	)	Topdanmark A/S		(32,821	)
	(1,478	)	Tryg A/S		(45,355	)
			Total Denmark		(1,619,411	)
			Germany — (0.1)%
	(61,760	)	Deutsche Bank AG (Registered) *		(592,186	)
	(2,512	)	thyssenkrupp AG *		(18,093	)
			Total Germany		(610,279	)
			Japan — (0.1)%
	(20	)	Advance Residence Investment Corp (REIT)		(59,280	)
	(31	)	Daiwa House REIT Investment Corp		(80,995	)
	(500	)	Japan Airport Terminal Co Ltd		(22,437	)
	(46	)	Japan Hotel REIT Investment Corp		(21,302	)
	(4,100	)	Japan Lifeline Co Ltd		(54,571	)
	(7	)	Japan Prime Realty Investment Corp (REIT)		(21,137	)
	(11	)	Japan Real Estate Investment Corp		(61,599	)
	(2,000	)	JGC Holding Corp		(22,037	)
	(300	)	JINS Holdings Inc		(20,699	)
	(3,800	)	Kawasaki Kisen Kaisha Ltd *		(42,280	)
	(1,100	)	Mitsui Mining & Smelting Co Ltd		(26,411	)
	(7,700	)	Mitsui OSK Lines Ltd		(142,269	)
	(11	)	Nippon Building Fund Inc (REIT)		(66,238	)
	(6,100	)	Nippon Yusen KK		(95,270	)
	(34	)	Nomura Real Estate Master Fund Inc (REIT)		(43,580	)
	(15,300	)	Orient Corp		(16,887	)
	(31	)	Orix JREIT Inc (REIT)		(46,055	)
	(39	)	Sekisui House Reit Inc		(27,533	)
	(19	)	United Urban Investment Corp (REIT)		(21,118	)
			Total Japan		(891,698	)

See accompanying notes to the financial statements. 91

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2020 (Unaudited)

Shares			Description	Value ($)
			Netherlands — (0.0)%
	(13,576	)	Altice Europe NV – Class B*		(59,836	)
	(3,052	)	OCI NV *		(41,367	)
			Total Netherlands		(101,203	)
			Sweden — (0.0)%
	(1,722	)	Lundin Energy AB		(42,147	)
			Switzerland — (0.0)%
	(1,559	)	Credit Suisse Group AG (Registered)		(17,154	)
	(2,314	)	Dufry AG (Registered) *		(70,071	)
	(266	)	Swiss Re AG		(21,415	)
			Total Switzerland		(108,640	)
			United Kingdom — (0.0)%
	(43,481	)	Melrose Industries Plc		(58,015	)
	(7,100	)	Tronox Holdings Plc – Class A *		(63,616	)
			Total United Kingdom		(121,631	)
			United States — (1.3)%
	(3,800	)	2U, Inc. *		(157,282	)
	(21,800	)	Aerie Pharmaceuticals, Inc. *		(239,800	)
	(900	)	AnaptysBio, Inc. *		(15,597	)
	(17,700	)	Antero Midstream Corp.		(119,829	)
	(300	)	Axsome Therapeutics, Inc. *		(21,993	)
	(8,800	)	Beyond Meat, Inc. *		(1,195,480	)
	(600	)	Biohaven Pharmaceutical Holding Co Ltd *		(38,034	)
	(5,100	)	Cheniere Energy, Inc. *		(265,455	)
	(28,000	)	Cleveland-Cliffs, Inc.		(184,240	)
	(5,600	)	Diamondback Energy, Inc.		(218,176	)
	(28,200	)	EQT Corp.		(447,534	)
	(3,600	)	Eventbrite, Inc. – Class A *		(38,700	)
	(4,300	)	Heron Therapeutics, Inc. *		(61,490	)
	(5,300	)	Immunomedics, Inc. *		(236,168	)
	(600	)	Innovative Industrial Properties, Inc. (REIT)		(73,854	)
	(2,400	)	Intercept Pharmaceuticals, Inc. *		(119,712	)

Shares			Description	Value ($)
			United States — continued
	(1,300	)	Intra-Cellular Therapies, Inc. *		(23,686	)
	(1,300	)	Invitae Corp. *		(45,448	)
	(4,200	)	Iovance Biotherapeutics, Inc. *		(139,986	)
	(1,400	)	Kratos Defense & Security Solutions, Inc. *		(27,370	)
	(100	)	Ligand Pharmaceuticals, Inc. *		(10,200	)
	(1,500	)	Madrigal Pharmaceuticals, Inc. *		(161,550	)
	(300	)	Match Group, Inc. *		(33,504	)
	(23,000	)	Mosaic Co. (The)		(419,290	)
	(9,400	)	National Oilwell Varco, Inc.		(112,800	)
	(15,100	)	Nektar Therapeutics *		(292,034	)
	(900	)	Novavax, Inc. *		(99,306	)
	(13,500	)	Peloton Interactive, Inc. – Class A *		(1,035,045	)
	(100	)	Schlumberger Ltd.		(1,901	)
	(3,700	)	Seritage Growth Properties – Class A (REIT) *		(51,911	)
	(19,900	)	Shake Shack, Inc. – Class A *		(1,358,174	)
	(156,200	)	Transocean Ltd *		(190,564	)
	(600	)	Trupanion, Inc. *		(37,638	)
	(8,400	)	United States Steel Corp.		(65,772	)
	(800	)	Veritex Holdings, Inc.		(14,384	)
	(2,500	)	Verra Mobility Corp. *		(26,413	)
	(800	)	Vir Biotechnology, Inc. *		(32,384	)
	(1,800	)	WillScot Mobile Mini Holdings Corp. *		(32,220	)
	(5,400	)	World Wrestling Entertainment, Inc.– Class A		(237,978	)
	(4,800	)	Wynn Resorts Ltd.		(419,760	)
	(7,500	)	Zogenix, Inc. *		(177,525	)
			Total United States		(8,480,187	)
			TOTAL COMMON STOCKS (PROCEEDS $12,242,953)		(12,270,239	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $12,242,953)		(12,270,239	)
			Other Assets and Liabilities (net) — (0.3%)		(2,036,401	)
			TOTAL NET ASSETS — 100.0%		$686,083,444

A summary of outstanding financial instruments at August 31, 2020 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/23/2020	DB		JPY	1,029,579,500		USD	9,727,614		4,090
10/19/2020	BOA		JPY	325,030,700		USD	3,058,828		(11,834	)
10/19/2020	DB		JPY	548,247,000		USD	5,171,562		(7,891	)
								$	(15,635	)

92 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
334	MSCI EAFE	September 2020		31,731,670		(2,477,452	)
136	S&P 500 E-Mini	September 2020		23,792,520		(3,098,174	)
115	TOPIX Index	September 2020		17,518,149		(89,135	)
			$	73,042,339	$	(5,664,761	)

+ Buys – Fund is long the futures contract.

Sales – Fund is short the futures contract.

Reverse Repurchase Agreements

Average balance outstanding	$	(4,560,000	)
Average interest rate (net)		(0.09	)%
Maximum balance outstanding	$	(4,560,000	)

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

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	136,873		03/18/2021	Monthly		—		(1,378	)		(1,378	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	639,866		06/20/2022	Monthly		—		89,927			89,927
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	548,878		06/20/2022	Monthly		—		(1,819	)		(1,819	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	481,398		06/20/2022	Monthly		—		(19,867	)		(19,867	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 1.06%	MORD	USD	473,157		06/20/2022	Monthly		—		17,169			17,169
								$	—	$	84,032		$	84,032

As of August 31, 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. 93

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2020 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

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

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

(g) The rate disclosed is the 7 day net yield as of August 31, 2020.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the schedule of Investments as well as the derivative tables, if any, please refer to page 95.

94 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2020 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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

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

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

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 Dollars

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

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.

BONY - Bank Of New York

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

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

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 95

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited)

	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)	$	50,952,080	$	7,109,007,917	$	522,413,159	$	1,315,522,732
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		380,824,445		4,347,848		1,692,563,949		3,409,139
Foreign currency, at value (Note 2)(d)		—		—		542,152		—
Cash		3,825,072		—		14,177		350
Receivable for investments sold		2,776,440		28,293,000		124,032,199		—
Receivable for Fund shares sold		1,043,512		57,333		755,680		—
Receivable for closed swap contracts (Note 4)		29,851		—		14,006		—
Dividends and interest receivable		517,507		234		4,650,385		1,510
Dividend withholding tax receivable		—		—		381,702		—
Foreign capital gains tax refund receivable (Note 2)		—		—		109,924		—
Unrealized appreciation on open forward currency contracts (Note 4)		7,110,880		—		2,331,146		—
Due from broker (Note 2)		4,551,848		—		2,513,489		8,113,600
Receivable for variation margin on open futures contracts (Note 4)		46,984		—		5,340,189		1,470,630
Receivable for open OTC swap contracts (Note 4)		717,966		—		692,511		—
Interest receivable for open OTC swap contracts (Note 4)		47,071		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		60,912		649,595		111,042		27,966
Total assets		452,504,568		7,142,355,927		2,356,465,710		1,328,545,927
Liabilities:
Foreign currency due to custodian(d)		43,379		—		—		—
Investments sold short, at value (Note 2)(e)		79,192,858		—		29,901,054		—
Payable for cash collateral from securities loaned (Note 2)		—		—		5,372,023		—
Payable for investments purchased		913,908		—		8,297,657		1,410
Payable for Fund shares repurchased		11,017		28,070,548		170,880,738		254,591
Payable to affiliate for (Note 5):
Management fee		219,081		4,005,803		—		—
Supplemental support fee – Class MF		—		177,739		—		—
Shareholder service fee		42,129		573,200		—		—
Payable to agents unaffiliated with GMO		99		2,359		740		400
Payable for variation margin on open futures contracts (Note 4)		635,246		—		522,567		—
Payable for variation margin on open cleared swap contracts (Note 4)		402,137		—		172,561		—
Unrealized depreciation on open forward currency contracts (Note 4)		6,764,374		—		16,689,011		—
Interest payable for open OTC swap contracts (Note 4)		22,594		—		—		—
Interest and dividend payable for short sales		136,434		—		22,679		—
Payable for open OTC swap contracts (Note 4)		13,457		—		125,919		—
Payable to Trustees and related expenses		195		33,637		8,107		6,292
Written options outstanding, at value (Note 4)(f)		507,364		—		—		—
Accrued expenses		171,985		266,676		552,033		88,083
Total liabilities		89,076,257		33,129,962		232,545,089		350,776
Net assets	$	363,428,311	$	7,109,225,965	$	2,123,920,621	$	1,328,195,151
(a)  Cost of investments – affiliated issuers:	$	48,891,548	$	7,557,410,712	$	479,120,269	$	1,338,720,305
(b)  Cost of investments – unaffiliated issuers:	$	373,092,620	$	4,347,848	$	1,681,948,475	$	3,411,726
(c)  Includes securities on loan at value (Note 2):	$	5,208,531	$	—	$	37,062,160	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	538,659	$	—
(e)  Proceeds from securities sold short:	$	73,938,480	$	—	$	27,065,974	$	—
(f)   Premiums on written options:	$	785,158	$	—	$	—	$	—

96 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	373,463,176		$	7,755,170,340		$	2,479,246,611		$	1,575,115,128
Distributable earnings (accumulated loss)		(10,034,865	)		(645,944,375	)		(355,325,990	)		(246,919,977	)
	$	363,428,311		$	7,109,225,965		$	2,123,920,621		$	1,328,195,151
Net assets attributable to:
Class III	$	—		$	2,933,619,899		$	2,123,920,621		$	1,312,198,653
Class IV	$	—		$	1,960,950,306		$	—		$	—
Class VI	$	170,269,664		$	—		$	—		$	—
Class MF	$	—		$	2,036,647,293		$	—		$	—
Class R6	$	461,539		$	43,335,074		$	—		$	15,996,498
Class I	$	192,697,108		$	134,673,393		$	—		$	—
Shares outstanding:
Class III		—			117,121,200			114,846,919			40,318,369
Class IV		—			78,295,162			—			—
Class VI		8,781,737			—			—			—
Class MF		—			81,239,431			—			—
Class R6		23,846			1,730,702			—			491,491
Class I		9,952,749			5,382,019			—			—
Net asset value per share:
Class III	$	—		$	25.05		$	18.49		$	32.55
Class IV	$	—		$	25.05		$	—		$	—
Class VI	$	19.39		$	—		$	—		$	—
Class MF	$	—		$	25.07		$	—		$	—
Class R6	$	19.36		$	25.04		$	—		$	32.55
Class I	$	19.36		$	25.02		$	—		$	—

See accompanying notes to the financial statements. 97

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	73,473,251	$	1,548,262,763	$	32,173,243	$	192,537,685
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		53,605		581,026		6,091,879,377		96,619
Foreign currency, at value (Note 2)(d)		—		—		2,475,329		—
Receivable for investments sold		—		—		12,918,837		—
Receivable for Fund shares sold		—		226		—		151,410
Receivable for closed swap contracts (Note 4)		—		—		86,019		—
Dividends and interest receivable		4		29		17,194,696		6
Dividend withholding tax receivable		—		—		1,164,934		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		26,313,985		—
Due from broker (Note 2)		—		—		260,664,215		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		14,759,080		—
Receivable for open OTC swap contracts (Note 4)		—		—		1,982,610		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		2,852		9,552		308,860		5,115
Miscellaneous receivable		—		—		5,121		—
Total assets		73,529,712		1,548,853,596		6,461,926,306		192,790,835
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		301,788,206		—
Due to custodian		—		—		2,316,043		—
Payable for cash collateral from securities loaned (Note 2)		—		—		32,091,421		—
Payable for investments purchased		—		—		26,033,855		23,283
Payable for Fund shares repurchased		—		—		28,293,000		127,519
Payable to agents unaffiliated with GMO		17		393		1,904		75
Payable for variation margin on open futures contracts (Note 4)		—		—		4,195,758		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		1,055,854		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		53,464,989		—
Interest payable for open OTC swap contracts (Note 4)		—		—		52,836		—
Interest and dividend payable for short sales		—		—		533,441		—
Payable for open OTC swap contracts (Note 4)		—		—		944,040		—
Payable to Trustees and related expenses		354		5,563		25,425		1,115
Written options outstanding, at value (Note 4)(f)		—		—		1,026,000		—
Accrued expenses		35,683		82,724		1,390,353		42,099
Total liabilities		36,054		88,680		453,213,125		194,091
Net assets	$	73,493,658	$	1,548,764,916	$	6,008,713,181	$	192,596,744
(a)  Cost of investments – affiliated issuers:	$	69,181,971	$	1,570,338,024	$	32,173,243	$	210,617,377
(b)  Cost of investments – unaffiliated issuers:	$	53,605	$	581,026	$	6,366,039,614	$	96,619
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	109,345,304	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	2,094,526	$	—
(e)  Proceeds from securities sold short:	$	—	$	—	$	281,053,671	$	—
(f)   Premiums on written options:	$	—	$	—	$	1,412,956	$	—

98 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	74,321,885		$	1,729,835,068		$	7,351,888,254		$	375,270,258
Distributable earnings (accumulated loss)		(828,227	)		(181,070,152	)		(1,343,175,073	)		(182,673,514	)
	$	73,493,658		$	1,548,764,916		$	6,008,713,181		$	192,596,744
Net assets attributable to:
Core Class	$	—		$	—		$	6,008,713,181		$	—
Class III	$	73,493,658		$	1,542,922,802		$	—		$	192,596,744
Class R6	$	—		$	5,784,598		$	—		$	—
Class I	$	—		$	57,516		$	—		$	—
Shares outstanding:
Core Class		—			—			498,307,422			—
Class III		3,281,126			59,385,639			—			12,727,760
Class R6		—			222,639			—			—
Class I		—			2,214			—			—
Net asset value per share:
Core Class	$	—		$	—		$	12.06		$	—
Class III	$	22.40		$	25.98		$	—		$	15.13
Class R6	$	—		$	25.98		$	—		$	—
Class I	$	—		$	25.98		$	—		$	—

See accompanying notes to the financial statements. 99

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	751,802,102	$	—	$	—	$	512,737,799
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		268,834		338,725,683		260,528,577		187,652,285
Foreign currency, at value (Note 2)(d)		—		38		—		56,143
Cash		—		—		19,336,519		57,847
Receivable for investments sold		—		—		21,813,523		—
Receivable for Fund shares sold		—		234,485		—		—
Dividends and interest receivable		19		803,480		21,453		428,252
Dividend withholding tax receivable		—		—		—		21,352
Unrealized appreciation on open forward currency contracts (Note 4)		—		7,265,372		—		4,090
Due from broker (Note 2)		—		546,790		—		40
Receivable for variation margin on open futures contracts (Note 4)		—		68,839		—		238,810
Receivable for open OTC swap contracts (Note 4)		—		—		—		107,096
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		27,137		22,049		—		41,335
Total assets		752,098,092		347,666,736		301,700,072		701,345,049
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		—		12,270,239
Payable for investments purchased		—		—		12,108		2,752,237
Payable for Fund shares repurchased		—		7,504,788		—		—
Payable to affiliate for (Note 5):
Management fee		—		246,262		282,376		—
Shareholder service fee		—		17,556		14,119		—
Payable to agents unaffiliated with GMO		219		218		82		222
Payable for variation margin on open futures contracts (Note 4)		—		1,514,763		—		87,795
Unrealized depreciation on open forward currency contracts (Note 4)		—		2,122,838		—		19,725
Interest and dividend payable for short sales		—		—		—		5,946
Payable for open OTC swap contracts (Note 4)		—		—		—		23,064
Payable to Trustees and related expenses		3,926		5,503		1,224		2,009
Accrued expenses		63,314		225,271		188,277		100,368
Total liabilities		67,459		11,637,199		498,186		15,261,605
Net assets	$	752,030,633	$	336,029,537	$	301,201,886	$	686,083,444
(a)  Cost of investments – affiliated issuers:	$	795,429,747	$	—	$	—	$	504,932,119
(b)  Cost of investments – unaffiliated issuers:	$	268,834	$	337,536,989	$	109,497,934	$	177,768,765
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	8,269,509
(e)  Proceeds from securities sold short:	$	—	$	—	$	—	$	12,242,953
(d)  Cost of foreign currency:	$	—	$	38	$	—	$	55,466

100 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2020 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	930,641,380		$	353,609,052		$	40,002,247	$	690,131,108
Distributable earnings (accumulated loss)		(178,610,747	)		(17,579,515	)		261,199,639		(4,047,664	)
	$	752,030,633		$	336,029,537		$	301,201,886	$	686,083,444
Net assets attributable to:
Class III	$	525,819,588		$	20,246,265		$	—	$	686,083,444
Class VI	$	—		$	315,783,272		$	301,201,886	$	—
Class R6	$	226,211,045		$	—		$	—	$	—
Shares outstanding:
Class III		18,379,449			608,828			—		35,292,223
Class VI		—			9,510,633			9,166,901		—
Class R6		7,909,102			—			—		—
Net asset value per share:
Class III	$	28.61		$	33.25		$	—	$	19.44
Class VI	$	—		$	33.20		$	32.86	$	—
Class R6	$	28.60		$	—		$	—	$	—

See accompanying notes to the financial statements. 101

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited)

	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)	$	746,422		$	6,449		$	37,417,664		$	1,604
Dividends from affiliated issuers (Note 10)		159,673			23,779,966			4,365,207			4,730,607
Interest		331,978			203			1,077,302			2,353
Securities lending income from affiliated issuers (net)		—			—			32,137			—
Securities lending income (net)		—			—			23,508			—
Total investment income		1,238,073			23,786,618			42,915,818			4,734,564
Expenses:
Management fee (Note 5)		1,176,040			24,327,094			—			—
Shareholder service fee – Class III (Note 5)		—			2,393,581			—			—
Shareholder service fee – Class IV (Note 5)		—			972,034			—			—
Shareholder service fee – Class VI (Note 5)		45,828			—			—			—
Shareholder service fee – Class R6 (Note 5)		85	*		4,796	**		—			—
Shareholder service fee – Class I (Note 5)		171,016			88,231			—			—
Supplemental support fee – Class MF (Note 5)		—			1,112,857			—			—
Audit and tax fees		57,974			14,086			74,459			14,934
Custodian, fund accounting agent and transfer agent fees		158,398			109,808			688,664			35,336
Dividend expense on short sales		587,791			—			236,595			—
Legal fees		9,627			95,663			47,827			18,009
Registration fees		15,432			12,984			952			19,976
Trustees’ fees and related expenses (Note 5)		4,683			135,236			41,016			23,914
Interest expense and borrowing costs for investments sold short (Note 2)		215,355			—			101,878			—
Miscellaneous		19,255			24,416			74,704	***		7,143	****
Total expenses		2,461,484			29,290,786			1,266,095			119,312
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(118,085	)		(185,725	)		(551,206	)		(92,631	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(121,958	)		(3,859,327	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(13,277	)		(396,519	)		—			—
Net expenses		2,208,164			24,849,215			714,889			26,681
Net investment income (loss)		(970,091	)		(1,062,597	)		42,200,929			4,707,883
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(6,827,594	)		—			(29,384,695	)		—
Investments in affiliated issuers		(273,452	)		(97,485,020	)		33,272,855			11,616,161
Investments in securities sold short		(1,451,688	)		—			(341,006	)		—
Realized gain distributions from affiliated issuers (Note 10)		—			60,976,921			25,364,077			14,747,547
Futures contracts		1,408,722			—			(138,011,580	)		(9,272,753	)
Written options		1,443,651			—			(2,599,801	)		—
Swap contracts		1,017,545			—			13,766,784			—
Forward currency contracts		135,466			—			(33,575,119	)		—
Foreign currency and foreign currency related transactions		(556,842	)		—			2,089,610			—
Net realized gain (loss)		(5,104,192	)		(36,508,099	)		(129,418,875	)		17,090,955
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		10,111,914			—			83,890,191			(3,458	)
Investments in affiliated issuers		4,799,466			(154,476,641	)		39,612,971			21,429,854
Investments in securities sold short		(6,336,548	)		—			(4,272,943	)		—
Futures contracts		(6,874,562	)		—			(59,359,966	)		(5,672,502	)
Written options		4,624,731			—			(27,359	)		—
Swap contracts		(1,625,121	)		—			(3,478,679	)		—
Forward currency contracts		1,276,345			—			(13,025,159	)		—
Foreign currency and foreign currency related transactions		12,892			—			276,155			—
Net change in unrealized appreciation (depreciation)		5,989,117			(154,476,641	)		43,615,211			15,753,894
Net realized and unrealized gain (loss)		884,925			(190,984,740	)		(85,803,664	)		32,844,849
Net increase (decrease) in net assets resulting from operations	$	(85,166	)	$	(192,047,337	)	$	(43,602,735	)	$	37,552,732
(a)   Withholding tax:	$	—		$	—		$	1,768,448		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(2,561	)	$	—
*    Period from July 31, 2020 (commencement of operations) through August 31, 2020
**   Period from May 1, 2020 (commencement of operations) through August 31, 2020.
***   Includes $66,888 of pricing expenses.
****  Includes $3,068 of printing expenses.

102 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	85		$	634		$	116,918,326		$	158
Dividends from affiliated issuers (Note 10)		224,741			5,127,869			—			895,900
Interest		—			12			16,316,625			5
Securities lending income from affiliated issuers (net)		—			—			83,028			—
Securities lending income (net)		—			—			76,188			—
Total investment income		224,826			5,128,515			133,394,167			896,063
Expenses:
Audit and tax fees		11,668			11,668			133,809			11,668
Custodian, fund accounting agent and transfer agent fees		4,760			26,128			1,597,656			21,632
Dividend expense on short sales		—			—			2,596,935			—
Legal fees		911			18,778			143,225			3,816
Registration fees		1,008			3,420			952			544
Trustees’ fees and related expenses (Note 5)		1,243			24,108			110,386			4,892
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			516,736			—
Miscellaneous		3,711	*		6,763	**		93,088	***		4,119	****
Total expenses		23,301			90,865			5,192,787			46,671
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(21,907	)		(63,906	)		(1,820,186	)		(41,132	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(11,267	)		—
Net expenses		1,394			26,959			3,361,334			5,539
Net investment income (loss)		223,432			5,101,556			130,032,833			890,524
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			(26,196,006	)		—
Investments in affiliated issuers		(1,558,149	)		4,130,294			121,961			2,281,025
Investments in securities sold short		—			—			10,066,880			—
Realized gain distributions from affiliated issuers (Note 10)		930,589			12,101,828			—			—
Futures contracts		—			—			(329,137,448	)		—
Written options		—			—			(11,933,759	)		—
Swap contracts		—			—			44,739,244			—
Forward currency contracts		—			—			(89,805,709	)		—
Foreign currency and foreign currency related transactions		—			—			3,677,865			—
Net realized gain (loss)		(627,560	)		16,232,122			(398,466,972	)		2,281,025
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			119,956,052			—
Investments in affiliated issuers		4,835,553			77,122,060			(11,987	)		6,176,284
Investments in securities sold short		—			—			(36,992,716	)		—
Futures contracts		—			—			(167,153,480	)		—
Written options		—			—			11,883,793			—
Swap contracts		—			—			(27,722,274	)		—
Forward currency contracts		—			—			(20,960,576	)		—
Foreign currency and foreign currency related transactions		—			—			664,664			—
Net change in unrealized appreciation (depreciation)		4,835,553			77,122,060			(120,336,524	)		6,176,284
Net realized and unrealized gain (loss)		4,207,993			93,354,182			(518,803,496	)		8,457,309
Net increase (decrease) in net assets resulting from operations	$	4,431,425		$	98,455,738		$	(388,770,663	)	$	9,347,833
(a)   Withholding tax:	$	—		$	—		$	6,170,530		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(1,536	)	$	—
*    Includes $3,133 of printing expenses.
**   Includes $3,253 of printing expenses.
***   Includes $70,055 of pricing expenses.
****  Includes $3,031 of printing expenses.

See accompanying notes to the financial statements. 103

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2020 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	2,796,592		$	—		$	—		$	2,442,370
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		451			27,738			415,247			2,227,585
Interest		—			1,848,416			12,537			206,406
Total investment income		2,797,043			1,876,154			427,784			4,876,361
Expenses:
Management fee (Note 5)		—			1,968,613			1,585,369			—
Shareholder service fee – Class III (Note 5)		—			14,621			—			—
Shareholder service fee – Class VI (Note 5)		—			122,020			79,269			—
Audit and tax fees		11,668			42,638			51,185			26,184
Custodian, fund accounting agent and transfer agent fees		30,800			87,136			26,856			135,600
Dividend expense on short sales		—			—			—			66,068
Legal fees		10,012			16,324			13,773			12,546
Registration fees		21,352			9,384			680			1,576
Trustees’ fees and related expenses (Note 5)		13,458			11,637			4,953			11,934
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			—			41,534
Miscellaneous		5,644	*		35,155			6,750			23,940	**
Total expenses		92,934			2,307,528			1,768,835			319,382
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(77,889	)		(182,146	)		—			(184,578	)
Net expenses		15,045			2,125,382			1,768,835			134,804
Net investment income (loss)		2,781,998			(249,228	)		(1,341,051	)		4,741,557
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			4,105,241			168,791,138			1,893,473
Investments in affiliated issuers		(10,982,531	)		—			—			4,665,088
Investments in securities sold short		—			—			—			(1,219,223	)
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			5,016,169
Futures contracts		—			42,625,810			—			(9,159,466	)
Swap contracts		—			—			—			(115,852	)
Forward currency contracts		—			(1,253,422	)		—			(967	)
Foreign currency and foreign currency related transactions		—			(1,085,193	)		54,739			52,154
Net realized gain (loss)		(10,982,531	)		44,392,436			168,845,877			1,131,376
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			(3,146,098	)		121,868,978			13,220,396
Investments in affiliated issuers		25,505,041			—			—			12,724,028
Investments in securities sold short		—			—			—			(1,543,949	)
Futures contracts		—			(11,508,311	)		—			(5,664,761	)
Written options		—			—			—			(5,760	)
Swap contracts		—			—			—			(103,750	)
Forward currency contracts		—			8,047,449			—			(15,635	)
Foreign currency and foreign currency related transactions		—			141,033			(11,421	)		6,701
Net change in unrealized appreciation (depreciation)		25,505,041			(6,465,927	)		121,857,557			18,617,270
Net realized and unrealized gain (loss)		14,522,510			37,926,509			290,703,434			19,748,646
Net increase (decrease) in net assets resulting from operations	$	17,304,508		$	37,677,281		$	289,362,383		$	24,490,203
(a)  Withholding tax:	$	—		$	—		$	23,223		$	18,587
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	1,181
*   Includes $3,053 of printing expenses.
**   Includes $20,022 of pricing expenses.

104 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2020 (Unaudited)			Period from May 1, 2019 (commencement of operations) through February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(970,091	)	$	1,415,144		$	(1,062,597	)	$	322,250,716
Net realized gain (loss)		(5,104,192	)		35,517			(36,508,099	)		82,640,517
Change in net unrealized appreciation (depreciation)		5,989,117			(2,674,806	)		(154,476,641	)		(341,926,780	)
Net increase (decrease) in net assets from operations		(85,166	)		(1,224,145	)		(192,047,337	)		62,964,453
Distributions to shareholders:
Class III		—			—			(22,143,472	)		(131,407,420	)
Class IV		—			—			(14,458,610	)		(82,564,617	)
Class VI		(352,233	)		(4,899,582	)		—			—
Class MF		—			—			(15,558,280	)		(108,452,767	)
Class R6		—	*		—			(62,670	)***		—
Class I		(244,820	)		(443,533	)**		(957,551	)		(2,367,100	)****
Total distributions		(597,053	)		(5,343,115	)		(53,180,583	)		(324,791,904	)
Net share transactions (Note 9):
Class III		—			—			(738,355,086	)		(753,562,440	)
Class IV		—			—			(79,517,456	)		(579,993,431	)
Class VI		(29,304,507	)		206,323,583			—			—
Class MF		—			—			(704,656,125	)		(1,017,495,098	)
Class R6		460,959	*		—			43,163,794	***		—
Class I		157,912,918			35,284,837	**		37,031,639			103,318,200	****
Increase (decrease) in net assets resulting from net share transactions		129,069,370			241,608,420			(1,442,333,234	)		(2,247,732,769	)
Total increase (decrease) in net assets		128,387,151			235,041,160			(1,687,561,154	)		(2,509,560,220	)
Net assets:
Beginning of period		235,041,160			—			8,796,787,119			11,306,347,339
End of period	$	363,428,311		$	235,041,160		$	7,109,225,965		$	8,796,787,119

* Period from July 31, 2020 (commencement of operations) through August 31, 2020.

** Period from September 4, 2019 (commencement of operations) through February 29, 2020.

*** Period from May 1, 2020 (commencement of operations) through August 31, 2020.

**** Period from August 8, 2019 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 105

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	42,200,929		$	104,531,054		$	4,707,883		$	58,404,101
Net realized gain (loss)		(129,418,875	)		(9,059,878	)		17,090,955			21,602,440
Change in net unrealized appreciation (depreciation)		43,615,211			(74,483,051	)		15,753,894			(918,266	)
Net increase (decrease) in net assets from operations		(43,602,735	)		20,988,125			37,552,732			79,088,275
Distributions to shareholders:
Class III		(7,240,207	)		(110,241,387	)		(7,396,711	)		(67,351,522	)
Class R6		—			—			(89,097	)		(527,446	)*
Total distributions		(7,240,207	)		(110,241,387	)		(7,485,808	)		(67,878,968	)
Net share transactions (Note 9):
Class III		(409,166,091	)		(492,548,074	)		(257,028,420	)		(382,139,553	)
Class R6		—			—			(2,253,411	)		18,611,818	*
Increase (decrease) in net assets resulting from net share transactions		(409,166,091	)		(492,548,074	)		(259,281,831	)		(363,527,735	)
Total increase (decrease) in net assets		(460,009,033	)		(581,801,336	)		(229,214,907	)		(352,318,428	)
Net assets:
Beginning of period		2,583,929,654			3,165,730,990			1,557,410,058			1,909,728,486
End of period	$	2,123,920,621		$	2,583,929,654		$	1,328,195,151		$	1,557,410,058

* Period from September 30, 2019 (commencement of operations) through February 29, 2020.

106 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	223,432		$	3,330,041		$	5,101,556		$	53,039,452
Net realized gain (loss)		(627,560	)		(4,933,557	)		16,232,122			5,760,054
Change in net unrealized appreciation (depreciation)		4,835,553			9,472,867			77,122,060			(13,790,931	)
Net increase (decrease) in net assets from operations		4,431,425			7,869,351			98,455,738			45,008,575
Distributions to shareholders:
Class III		(167,375	)		(10,153,738	)		(2,523,456	)		(55,610,130	)
Total distributions		(167,375	)		(10,153,738	)		(2,523,456	)		(55,610,130	)
Net share transactions (Note 9):
Class III		(4,153,282	)		(372,206,442	)		(8,898,337	)		(171,078,291	)
Class R6		—			—			5,609,396	*		—
Class I		—			—			57,825	**		—
Increase (decrease) in net assets resulting from net share transactions		(4,153,282	)		(372,206,442	)		(3,231,116	)		(171,078,291	)
Total increase (decrease) in net assets		110,768			(374,490,829	)		92,701,166			(181,679,846	)
Net assets:
Beginning of period		73,382,890			447,873,719			1,456,063,750			1,637,743,596
End of period	$	73,493,658		$	73,382,890		$	1,548,764,916		$	1,456,063,750

* Period from July 15, 2020 (commencement of operations) through August 31, 2020.

** Period from August 17, 2020 (commencement of operations) through August 31, 2020.

See accompanying notes to the financial statements. 107

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	130,032,833		$	296,754,906		$	890,524		$	15,661,862
Net realized gain (loss)		(398,466,972	)		(17,401,093	)		2,281,025			(22,509,794	)
Change in net unrealized appreciation (depreciation)		(120,336,524	)		(225,262,025	)		6,176,284			29,860,875
Net increase (decrease) in net assets from operations		(388,770,663	)		54,091,788			9,347,833			23,012,943
Distributions to shareholders:
Core Class		(15,205,271	)		(310,939,020	)		—			—
Class III		—			—			(448,320	)		(15,687,875	)
Total distributions		(15,205,271	)		(310,939,020	)		(448,320	)		(15,687,875	)
Net share transactions (Note 9):
Core Class		(701,617,006	)		(1,594,424,900	)		—			—
Class III		—			—			(113,766,114	)		(282,691,634	)
Increase (decrease) in net assets resulting from net share transactions		(701,617,006	)		(1,594,424,900	)		(113,766,114	)		(282,691,634	)
Total increase (decrease) in net assets		(1,105,592,940	)		(1,851,272,132	)		(104,866,601	)		(275,366,566	)
Net assets:
Beginning of period		7,114,306,121			8,965,578,253			297,463,345			572,829,911
End of period	$	6,008,713,181		$	7,114,306,121		$	192,596,744		$	297,463,345

108 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,781,998		$	37,246,109		$	(249,228	)	$	8,392,098
Net realized gain (loss)		(10,982,531	)		(9,324,801	)		44,392,436			(29,279,985	)
Change in net unrealized appreciation (depreciation)		25,505,041			(10,853,560	)		(6,465,927	)		4,727,112
Net increase (decrease) in net assets from operations		17,304,508			17,067,748			37,677,281			(16,160,775	)
Distributions to shareholders:
Class III		(1,873,987	)		(28,289,670	)		(20,449	)		(496,259	)
Class IV		—			—			—			(167,985	)**
Class VI		—			—			(326,530	)		(15,675,471	)
Class R6		(784,848	)		(8,867,347	)*		—			—
Total distributions		(2,658,835	)		(37,157,017	)		(346,979	)		(16,339,715	)
Net share transactions (Note 9):
Class III		(125,268,964	)		(259,098,085	)		449,872			(25,234,742	)
Class IV		—			—			—			(22,837,965	)**
Class VI		—			—			(552,147,509	)		(298,663,476	)
Class R6		5,808,717			206,065,739	*		—			—
Increase (decrease) in net assets resulting from net share transactions		(119,460,247	)		(53,032,346	)		(551,697,637	)		(346,736,183	)
Total increase (decrease) in net assets		(104,814,574	)		(73,121,615	)		(514,367,335	)		(379,236,673	)
Net assets:
Beginning of period		856,845,207			929,966,822			850,396,872			1,229,633,545
End of period	$	752,030,633		$	856,845,207		$	336,029,537		$	850,396,872

* 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.

See accompanying notes to the financial statements. 109

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020			Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(1,341,051	)	$	(1,717,448	)	$	4,741,557		$	28,472,605
Net realized gain (loss)		168,845,877			81,378,049			1,131,376			12,372,066
Change in net unrealized appreciation (depreciation)		121,857,557			(77,014,516	)		18,617,270			(16,305,103	)
Net increase (decrease) in net assets from operations		289,362,383			2,646,085			24,490,203			24,539,568
Distributions to shareholders:
Class III		—			—			(8,954,899	)		(42,379,462	)
Class VI		(85,072,483	)		(44,327,184	)		—			—
Total distributions		(85,072,483	)		(44,327,184	)		(8,954,899	)		(42,379,462	)
Net share transactions (Note 9):
Class III		—			—			(102,889,537	)		(123,870,724	)
Class VI		(190,782,594	)		(96,368,961	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(190,782,594	)		(96,368,961	)		(102,889,537	)		(123,870,724	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		1,641,904			727,630			—			—
Increase in net assets resulting from purchase premiums and redemption fees		1,641,904			727,630			—			—
		(189,140,690	)		(95,641,331	)		(102,889,537	)		(123,870,724	)
Total increase (decrease) in net assets		15,149,210			(137,322,430	)		(87,354,233	)		(141,710,618	)
Net assets:
Beginning of period		286,052,676			423,375,106			773,437,677			915,148,295
End of period	$	301,201,886		$	286,052,676		$	686,083,444		$	773,437,677

110 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Cash Flows — Six Months Ended August 31, 2020 (Unaudited)

	Consolidated Alternative Allocation Fund
Cash flows from operating activities
Net increase (decrease) in net assets resulting from operations	$	(85,166	)
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		(5,989,117	)
Net realized (gain) loss		5,104,192
Cost of purchased investments held long		(352,894,589	)
Cost of purchased investments held short		(65,551,737	)
Proceeds from sale of investments held long		210,927,432
Proceeds of sales to securities sold short		106,108,423
Net amortization of discount and accretion of premium		1,107,799
Short-term investments, net		(21,441,367	)
Gain (loss) from derivatives:
Futures contracts		(5,004,410	)
Written option contracts		154,600
Swap contracts		885,843
Forward currency contracts		135,466
Foreign currency and foreign currency related transactions		(543,950	)
Change in assets and liabilities:
(Increase) decrease in due from broker		373,678
(Increase) decrease in dividends and interest receivable		(296,255	)
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		(1,587	)
(Increase) decrease in interest receivable for open OTC swap contracts		(47,071	)
(Increase) decrease in receivable for closed swap contracts		481,476
Increase (decrease) in payable to affiliate for:
Management fee		89,080
Shareholder service fee		27,948
Increase (decrease) in foreign currency due to custodian		42,550
Increase (decrease) in dividends and interest payable		136,434
Increase (decrease) in payable to agents unaffiliated with GMO		66
Increase (decrease) in payable for closed swap contracts		(56,667	)
Increase (decrease) in payable to Trustees and related expenses		(450	)
Increase (decrease) in payable for interest on OTC swap contracts		22,594
Increase (decrease) in accrued expenses		807
Net Cash Provided by Operating Activities		(126,313,978	)
Cash flows from financing activities:
Proceeds from shares sold		202,850,311
Shares repurchased		(75,313,271	)
Cash distributions paid		(152,638	)
Net cash provided by (used in) financing activities		127,384,402
Net increase (decrease) in cash		1,070,424
Cash, beginning of period		2,754,648
Cash, end of period	$	3,825,072

See accompanying notes to the financial statements. 111

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares								Class R6 Shares				Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Period from May 1, 2019 (commencement of operations) through February 29, 2020				Period from July 31, 2020 (commencement of operations) through August 31, 2020 (Unaudited)				Six Months Ended August 31, 2020 (Unaudited)				Period from September 4, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	19.45			$	20.00			$	19.33			$	19.44			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.04	)			0.15				(0.01	)			(0.07	)			0.10
Net realized and unrealized gain (loss)			0.02				(0.18	)			0.04				0.02				(0.33	)
Total from investment operations			(0.02	)			(0.03	)			0.03				(0.05	)			(0.23	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.06	)			—				(0.03	)			(0.05	)
From net realized gains			—				(0.46	)			—				—				(0.46	)
Total distributions			(0.04	)			(0.52	)			—				(0.03	)			(0.51	)
Net asset value, end of period		$	19.39			$	19.45			$	19.36			$	19.36			$	19.44
Total Return(b)			(0.10	)%**			(0.21	)%**			0.16	%**			(0.26	)%**			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	170,270			$	200,812			$	462			$	192,697			$	34,229
Net operating expenses to average daily net assets(c)			0.74	%*			0.77	%*			0.91	%*			1.01	%*			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.49	%*			0.29	%*			0.73	%*			0.51	%*			0.23	%*
Total net expenses to average daily net assets(c)			1.23	%*			1.05	%*			1.64	%*			1.52	%*			1.25	%*
Net investment income (loss) to average daily net assets(a)			(0.45	)%*			0.88	%*			(0.81	)%*			(0.76	)%*			0.98	%*
Portfolio turnover rate(e)			174	%**			243	%**			174	%**			174	%**			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(f)			0.16	%*			0.27	%*			0.20	%*			0.16	%*			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 periods ended August 31, 2020 and February 29, 2020, including transactions in USTF, was 174% and 250%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

112 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
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016(a)								2020				2019				2018				2017				2016(a)
Net asset value, beginning of period		$	25.53			$	26.36			$	27.76			$	25.78			$	23.46			$	27.04			$	25.53			$	26.35			$	27.75			$	25.78			$	23.46			$	27.03
Income (loss) from investment operations:
Net investment income (loss)(b)†			(0.01	)			0.83				0.82				0.52				0.37				0.19				0.00	(c)			0.83				0.88				0.58				0.40				0.20
Net realized and unrealized gain (loss)			(0.29	)			(0.75	)			(1.30	)			2.12				2.35				(3.26	)			(0.30	)			(0.73	)			(1.35	)			2.06				2.33				(3.26	)
Total from investment operations			(0.30	)			0.08				(0.48	)			2.64				2.72				(3.07	)			(0.30	)			0.10				(0.47	)			2.64				2.73				(3.06	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.90	)			(0.90	)			(0.66	)			(0.40	)			(0.34	)			(0.02	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)			(0.34	)
From net realized gains			(0.16	)			(0.01	)			(0.02	)			—				—				(0.17	)			(0.16	)			(0.01	)			(0.02	)			—				—				(0.17	)
Total distributions			(0.18	)			(0.91	)			(0.92	)			(0.66	)			(0.40	)			(0.51	)			(0.18	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)			(0.51	)
Net asset value, end of period		$	25.05			$	25.53			$	26.36			$	27.76			$	25.78			$	23.46			$	25.05			$	25.53			$	26.35			$	27.75			$	25.78			$	23.46
Total Return(d)			(1.17	)%**			0.11	%			(1.55	)%			10.28	%			11.66	%			(11.51	)%			(1.16	)%**			0.21	%			(1.50	)%			10.30	%			11.71	%			(11.46	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,933,620			$	3,785,568			$	4,642,211			$	5,162,084			$	5,248,863			$	5,872,663			$	1,960,950			$	2,085,324			$	2,737,619			$	2,756,005			$	2,663,418			$	2,508,115
Net operating expenses to average daily net assets(e)			0.69	%*			0.66	%			0.65	%			0.65	%			0.65	%			0.66	%			0.64	%*			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	%(f)			—				—				—				—				—				0.02	%(f)
Total net expenses to average daily net assets(e)			0.69	%*			0.66	%			0.65	%			0.65	%			0.65	%			0.68	%			0.64	%*			0.61	%			0.60	%			0.60	%			0.60	%			0.63	%
Net investment income (loss) to average daily net assets(b)			(0.06	)%*			3.12	%			3.07	%			1.93	%			1.46	%			0.73	%			0.02	%*			3.12	%			3.29	%			2.13	%			1.61	%			0.80	%
Portfolio turnover rate			8	%**			10	%			18	%			9	%			7	%			53	%(g)			8	%**			10	%			18	%			9	%			7	%			53	%(g)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.12	%*			0.15	%			0.15	%			0.16	%			0.15	%			0.16	%			0.12	%*			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	(c)		$	0.01			$	0.02			$	0.01			$	—			$	—			$	0.00	(c)		$	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)  Rounds to less than $0.01.

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

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

^(f)  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.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 113

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares																								Class R6 Shares				Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Period from May 1, 2020 (commencement of operations) through August 31, 2020 (Unaudited)				Six Months Ended August 31, 2020 (Unaudited)				Period from August 8, 2019 (commencement of operations) through February 29, 2020
					2020				2019				2018				2017				2016(a)
Net asset value, beginning of period		$	25.55			$	26.38			$	27.77			$	25.80			$	23.47			$	27.04			$	23.95			$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.00	(c)			0.83				0.77				0.56				0.35				0.19				0.01				(0.01	)			1.10
Net realized and unrealized gain (loss)			(0.30	)			(0.74	)			(1.23	)			2.08				2.39				(3.24	)			1.26				(0.32	)			(0.93	)
Total from investment operations			(0.30	)			0.09				(0.46	)			2.64				2.74				(3.05	)			1.27				(0.33	)			0.17
Less distributions to shareholders:
From net investment income			(0.02	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)			(0.35	)			(0.02	)			(0.01	)			(0.89	)
From net realized gains			(0.16	)			(0.01	)			(0.02	)			—				—				(0.17	)			(0.16	)			(0.16	)			—
Total distributions			(0.18	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)			(0.52	)			(0.18	)			(0.17	)			(0.89	)
Net asset value, end of period		$	25.07			$	25.55			$	26.38			$	27.77			$	25.80			$	23.47			$	25.04			$	25.02			$	25.52
Total Return(d)			(1.16	)%**			0.16	%			(1.47	)%			10.29	%			11.76	%			(11.45	)%			5.33	%**			(1.26	)%**			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,036,647			$	2,827,442			$	3,926,518			$	5,622,091			$	5,858,177			$	8,025,066			$	43,335			$	134,673			$	98,453
Net operating expenses to average daily net assets(e)			0.64	%*			0.61	%			0.60	%			0.60	%			0.60	%(f)			0.58	%(f)			0.70	%*			0.79	%*			0.74	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets			—				—				—				—				—				0.02	%(g)			—				—				—
Total net expenses to average daily net assets(e)			0.64	%*			0.61	%			0.60	%			0.60	%			0.60	%(f)			0.60	%(f)			—				—				—
Net investment income (loss) to average daily net assets(b)			(0.02	)%*			3.12	%			2.88	%			2.06	%			1.38	%			0.77	%			0.15	%*			(0.05	)%*			7.22	%*
Portfolio turnover rate			8	%**			10	%			18	%			9	%			7	%			53	%(h)			8	%**			8	%**			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.12	%*			0.15	%			0.15	%			0.16	%			0.16	%			0.19	%			0.11	%*			0.12	%*			0.15	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(c)		$	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) Rounds to less than $0.01.

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

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

^(f) Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(h)  Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

114 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	18.88			$	19.56			$	20.91			$	18.95			$	17.00			$	20.30
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.31				0.72				0.58				0.46				0.43				0.58
Net realized and unrealized gain (loss)			(0.65	)			(0.59	)			(1.21	)			2.10				2.01				(2.70	)
Total from investment operations			(0.34	)			0.13				(0.63	)			2.56				2.44				(2.12	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)			(0.60	)
From net realized gains			—				—				—				—				—				(0.58	)
Total distributions			(0.05	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)			(1.18	)
Net asset value, end of period		$	18.49			$	18.88			$	19.56			$	20.91			$	18.95			$	17.00
Total Return(b)			(1.78	)%**			0.41	%			(2.80	)%			13.59	%			14.52	%			(10.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,123,921			$	2,583,930			$	3,165,731			$	4,486,489			$	4,394,260			$	4,305,118
Net operating expenses to average daily net assets(c)			0.03	%*			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	%*			0.03	%			0.04	%			0.00	%(d)			0.00	%(d)			—
Total net expenses to average daily net assets(c)			0.06	%*			0.05	%			0.06	%			0.02	%			0.01	%			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			3.50	%*			3.64	%			2.92	%			2.29	%			2.37	%			3.09	%
Portfolio turnover rate			63	%(f)**			50	%(f)			59	%(f)			78	%(f)			83	%(f)			101	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			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 of entering into reverse repurchase agreements or securities sold short, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 66%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 115

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares																								Class R6 Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				Period from September 30, 2019 (commencement of operations) through February 29, 2020
					2020				2019				2018				2017				2016(a)
Net asset value, beginning of period		$	31.50			$	31.47			$	33.31			$	30.48			$	27.60			$	33.81			$	31.50			$	32.56
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.11				1.08				1.02				0.73				0.61				1.02				0.11				0.86
Net realized and unrealized gain (loss)			1.12				0.29				(1.74	)			2.93				3.00				(4.53	)			1.12				(0.71	)
Total from investment operations			1.23				1.37				(0.72	)			3.66				3.61				(3.51	)			1.23				0.15
Less distributions to shareholders:
From net investment income			(0.18	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(1.14	)			(0.18	)			(1.21	)
From net realized gains			—				—				—				—				—				(1.56	)			—				—
Total distributions			(0.18	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(2.70	)			(0.18	)			(1.21	)
Net asset value, end of period		$	32.55			$	31.50			$	31.47			$	33.31			$	30.48			$	27.60			$	32.55			$	31.50
Total Return(c)			3.91	%**			4.12	%			(1.96	)%			12.04	%			13.21	%			(10.98	)%			3.91	%**			0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,312,199			$	1,539,522			$	1,909,728			$	2,475,605			$	2,423,945			$	3,317,792			$	15,996			$	17,888
Net operating expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(b)			0.71	%*			3.32	%			3.17	%			2.24	%			2.06	%			3.33	%			0.70	%*			6.23	%*
Portfolio turnover rate(f)			12	%**			27	%(f)			21	%(f)			20	%(f)			19	%(f)			20	%			12	%**			27	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%*			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 period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 16%, 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.

116 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
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	20.87			$	21.20			$	22.88			$	19.60			$	17.40			$	22.84
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.07				0.25				0.57				0.42				0.52				0.51
Net realized and unrealized gain (loss)			1.51				0.42				(1.67	)			3.55				2.87				(3.64	)
Total from investment operations			1.58				0.67				(1.10	)			3.97				3.39				(3.13	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.74	)			(0.58	)			(0.69	)			(0.55	)			(0.52	)
From net realized gains			—				(0.26	)			—				—				(0.64	)			(1.79	)
Total distributions			(0.05	)			(1.00	)			(0.58	)			(0.69	)			(1.19	)			(2.31	)
Net asset value, end of period		$	22.40			$	20.87			$	21.20			$	22.88			$	19.60			$	17.40
Total Return(b)			7.59	%**			2.87	%			(4.58	)%			20.39	%			20.03	%			(14.81	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	73,494			$	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	%			0.00	%
Net investment income (loss) to average daily net assets(a)			0.67	%*			1.16	%			2.62	%			1.99	%			2.78	%			2.49	%
Portfolio turnover rate			8	%**			21	%			6	%			5	%			29	%			14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%*			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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 117

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares																								Class R6 Shares				Class I Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Period from July 15, 2020 (commencement of operations) through August 31, 2020 (Unaudited)				Period from August, 17 2020 (commencement of operations) through August 31, 2020 (Unaudited)
					2020				2019				2018				2017(a)				2016(a)
Net asset value, beginning of period		$	24.37			$	24.63			$	26.86			$	22.84			$	19.71			$	26.22			$	25.19			$	26.14
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.09				0.83				0.65				0.68				0.57				0.60				(0.00	)(c)			(0.00	)(c)
Net realized and unrealized gain (loss)			1.56				(0.16	)			(2.18	)			4.11				3.67				(4.47	)			0.79				(0.16	)
Total from investment operations			1.65				0.67				(1.53	)			4.79				4.24				(3.87	)			0.79				(0.16	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.93	)			(0.70	)			(0.77	)			(0.70	)			(0.60	)			—				—
From net realized gains			—				—				—				—				(0.41	)			(2.04	)			—				—
Total distributions			(0.04	)			(0.93	)			(0.70	)			(0.77	)			(1.11	)			(2.64	)			—				—
Net asset value, end of period		$	25.98			$	24.37			$	24.63			$	26.86			$	22.84			$	19.71			$	25.98			$	25.98
Total Return(d)			6.79	%**			2.36	%			(5.43	)%			21.06	%			21.93	%			(15.96	)%			3.14	%**			(0.61	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,542,923			$	1,456,064			$	1,637,744			$	2,328,921			$	2,206,818			$	2,879,168			$	5,785			$	58
Net expenses to average daily net assets(e)			0.00	%(f)*			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)*			0.10	%*
Net investment income (loss) to average daily net assets(b)			0.73	%*			3.26	%			2.56	%			2.67	%			2.63	%			2.58	%			(0.00	)%(f)*			(0.10	)%*
Portfolio turnover rate			8	%**			20	%			11	%			14	%			27	%			15	%			8	%**			8	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%*			0.01	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(c)		$	0.01			$	0.02	(a)		$	0.01	(a)		$	—			$	—

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

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

^(c) Rounds to less than $0.01.

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

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

^(f)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

118 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	12.74			$	13.22			$	14.09			$	13.06			$	11.80			$	13.59
Income (loss) from investment operations:
Net investment income (loss)†			0.25	(a)			0.49	(a)			0.40				0.33				0.27				0.21
Net realized and unrealized gain (loss)			(0.90	)			(0.43	)			(0.69	)			1.11				1.24				(2.00	)
Total from investment operations			(0.65	)			0.06				(0.29	)			1.44				1.51				(1.79	)
Less distributions to shareholders:(b)
From net investment income			(0.03	)			(0.54	)			(0.58	)			(0.41	)			(0.25	)			—
Total distributions			(0.03	)			(0.54	)			(0.58	)			(0.41	)			(0.25	)			—
Net asset value, end of period		$	12.06			$	12.74			$	13.22			$	14.09			$	13.06			$	11.80
Total Return(c)			(5.11	)%**			0.25	%			(1.88	)%			11.12	%			12.88	%			(13.17	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,008,713			$	7,114,306			$	8,965,578			$	11,505,699			$	11,226,684			$	13,655,203
Net operating expenses to average daily net assets			0.01	%(d)*			0.00	%(d)(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.10	%*			0.06	%			0.10	%			0.04	%			0.05	%			0.07	%
Total net expenses to average daily net assets			0.11	%(d)*			0.06	%(d)			0.10	%			0.04	%			0.05	%			0.07	%
Net investment income (loss) to average daily net assets			4.17	%(a)*			3.65	%(a)			2.95	%			2.44	%			2.11	%			1.62	%
Portfolio turnover rate			85	%(g)**			97	%(g)			112	%			146	%			142	%			127	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%(h)*			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) 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 repurchase agreements or securities sold short, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The fund’s portfolio turnover rate during the period ended August 31, 2020 and February 29, 2020, including transactions in USTF was 89% and 100% respectively, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 119

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	14.52			$	14.75			$	17.32			$	14.72			$	13.05			$	16.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.05				0.49				0.51				0.53				0.45				0.48
Net realized and unrealized gain (loss)			0.58				(0.12	)			(2.56	)			2.61				1.79				(3.83	)
Total from investment operations			0.63				0.37				(2.05	)			3.14				2.24				(3.35	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)
Total distributions			(0.02	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.48	)
Net asset value, end of period		$	15.13			$	14.52			$	14.75			$	17.32			$	14.72			$	13.05
Total Return(b)			4.36	%**			2.14	%			(11.57	)%			21.41	%			17.37	%			(20.09	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	192,597			$	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	%			0.00	%
Net investment income (loss) to average daily net assets(a)			0.70	%*			3.25	%			3.25	%			3.20	%			3.14	%			3.07	%
Portfolio turnover rate			2	%**			11	%			8	%			5	%			10	%			14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			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.

* Annualized.

** Not annualized.

120 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
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	27.45			$	28.09			$	32.62			$	27.49			$	23.40			$	31.71			$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.10				1.02				0.91				0.93				0.84				0.84				0.10				1.14
Net realized and unrealized gain (loss)			1.16				(0.46	)			(4.47	)			5.19				4.15				(7.11	)			1.16				0.33
Total from investment operations			1.26				0.56				(3.56	)			6.12				4.99				(6.27	)			1.26				1.47
Less distributions to shareholders:
From net investment income			(0.10	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(0.87	)			(0.10	)			(1.10	)
From net realized gains			—				—				—				—				—				(1.17	)			—				—
Total distributions			(0.10	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(2.04	)			(0.10	)			(1.10	)
Net asset value, end of period		$	28.61			$	27.45			$	28.09			$	32.62			$	27.49			$	23.40			$	28.60			$	27.44
Total Return(c)			4.60	%**			1.62	%			(10.69	)%			22.38	%			21.57	%			(20.70	)%			4.60	%**			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	525,820			$	646,622			$	929,967			$	1,151,327			$	1,085,803			$	1,134,800			$	226,211			$	210,223
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%*			0.00	%*
Net investment income (loss) to average daily net assets(b)			0.75	%*			3.55	%			3.09	%			3.00	%			3.20	%			2.92	%			0.80	%*			7.83	%*
Portfolio turnover rate			6	%**			7	%			8	%			12	%			7	%			14	%			6	%**			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%*			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. 121

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2020 (Unaudited)				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		$	31.13			$	32.17			$	31.87			$	32.68			$	33.25			$	33.80			$	31.07			$	32.11			$	31.78			$	32.57			$	33.26			$	33.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.04	)			0.27				0.31				0.24				(0.21	)			(0.26	)			(0.02	)			0.25				0.33				0.05				(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			2.19				(0.83	)			0.11	(b)			0.23				1.87				(0.29	)			2.18				(0.77	)			0.13	(b)			0.44				1.85				0.24
Total from investment operations			2.15				(0.56	)			0.42				0.47				1.66				(0.55	)			2.16				(0.52	)			0.46				0.49				1.69				0.19
Less distributions to shareholders:
From net investment income			(0.03	)			(0.48	)			(0.12	)			—				(1.01	)			—				(0.03	)			(0.52	)			(0.13	)			—				(1.16	)			—
From net realized gains			—				—				—				(1.28	)			(1.22	)			—				—				—				—				(1.28	)			(1.22	)			—
Total distributions			(0.03	)			(0.48	)			(0.12	)			(1.28	)			(2.23	)			—				(0.03	)			(0.52	)			(0.13	)			(1.28	)			(2.38	)			—
Net asset value, end of period		$	33.25			$	31.13			$	32.17			$	31.87			$	32.68			$	33.25			$	33.20			$	31.07			$	32.11			$	31.78			$	32.57			$	33.26
Total Return(c)			6.92	%**			(1.74	)%			1.32	%			1.44	%			5.12	%			(1.63	)%			6.97	%**			(1.65	)%			1.47	%			1.50	%			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,246			$	18,527			$	45,409			$	26,630			$	6,117			$	24,020			$	315,783			$	831,870			$	1,161,238			$	1,843,748			$	1,446,445			$	1,297,025
Net expenses to average daily net assets(d)			1.01	%*			1.01	%			1.00	%			1.00	%			1.00	%			0.85	%			0.91	%*			0.91	%			0.91	%			0.91	%			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets(a)			(0.23	)%*			0.85	%			0.97	%			0.75	%			(0.61	)%			(0.79	)%			(0.10	)%*			0.79	%			1.04	%			0.16	%			(0.47	)%			(0.59	)%*
Portfolio turnover rate			42	%**			46	%			49	%(e)			106	%(e)			15	%(e)			29	%			42	%**			46	%			49	%(e)			106	%(e)			15	%(e)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.05	%			0.04	%			0.03	%			0.04	%			0.03	%			0.08	%*			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 year 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.

122 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
	Six Months Ended August 31, 2020 (Unaudited)				Year Ended February 28/29,
					2020				2019				2018				2017				2016
Net asset value, beginning of period		$	16.40			$	19.04			$	25.27			$	20.39			$	18.65			$	19.81
Income (loss) from investment operations:
Net investment income (loss)†			(0.10	)			(0.09	)			(0.04	)			(0.03	)			0.21				0.16
Net realized and unrealized gain (loss)			25.10				0.09				1.28				6.57				2.23				(0.85	)
Total from investment operations			25.00				—				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			(8.54	)			(2.64	)			(7.47	)			(1.64	)			(0.38	)			(0.26	)
Total distributions			(8.54	)			(2.64	)			(7.47	)			(1.66	)			(0.70	)			(0.47	)
Net asset value, end of period		$	32.86			$	16.40			$	19.04			$	25.27			$	20.39			$	18.65
Total Return(a)			166.74	%**			(0.75	)%			4.77	%			32.60	%			13.21	%			(3.64	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	301,202			$	286,053			$	423,375			$	1,036,245			$	992,819			$	1,138,735
Net expenses to average daily net assets			1.23	%*			1.22	%			1.20	%			1.21	%			1.23	%			1.29	%
Net investment income (loss) to average daily net assets			(0.93	)%*			(0.48	)%			(0.20	)%			(0.12	)%			1.05	%			0.80	%
Portfolio turnover rate			40	%**			43	%			30	%			10	%			87	%			69	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.12			$	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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 123

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2020 (Unaudited)			Year Ended February 28/29,
				2020			2019			2018			2017			2016
Net asset value, beginning of period	$	18.98		$	19.48		$	22.08		$	19.76		$	17.43		$	21.89
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.12			0.67			0.62			0.58			0.51			0.75
Net realized and unrealized gain (loss)		0.57			(0.11	)		(1.45	)		2.39			2.36			(3.47	)
Total from investment operations		0.69			0.56			(0.83	)		2.97			2.87			(2.72	)
Less distributions to shareholders:
From net investment income		(0.05	)		(0.77	)		(0.67	)		(0.63	)		(0.53	)		(0.80	)
From net realized gains		(0.18	)		(0.29	)		(1.10	)		(0.02	)		(0.01	)		(0.94	)
Total distributions		(0.23	)		(1.06	)		(1.77	)		(0.65	)		(0.54	)		(1.74	)
Net asset value, end of period	$	19.44		$	18.98		$	19.48		$	22.08		$	19.76		$	17.43
Total Return(b)		3.69	%**		2.57	%		(3.45	)%		15.10	%		16.60	%		(13.00	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	686,083		$	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	%		0.01	%		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	%		0.03	%		—			—			—
Total net expenses to average daily net assets(c)		0.04	%*		0.04	%		0.04	%		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)		1.32	%*		3.35	%		3.01	%		2.73	%		2.69	%		3.80	%
Portfolio turnover rate		19	%(f)**		36	%(f)		35	%(f)		20	%(f)		28	%(f)		65	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.05	%*		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 of entering into reverse repurchase agreements or securities sold short, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2020, and the years ended February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 30%, 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.

* Annualized.

** Not annualized.

124 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2020 (Unaudited)

1. Organization

Each of 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 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
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.

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

125

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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.

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

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2020:

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	7,142,806		$	—	$	7,142,806
Italy		—			3,296,206			—		3,296,206
United Kingdom		9,947,400			—			—		9,947,400
United States		80,616,999			—			—		80,616,999
TOTAL COMMON STOCKS		90,564,399			10,439,012			—		101,003,411
Rights/Warrants
United States		268,536			—			—		268,536
TOTAL RIGHTS/WARRANTS		268,536			—			—		268,536
Debt Obligations
United States		164,084,065			—			—		164,084,065
TOTAL DEBT OBLIGATIONS		164,084,065			—			—		164,084,065
Mutual Funds
United States		50,952,080			—			—		50,952,080
TOTAL MUTUAL FUNDS		50,952,080			—			—		50,952,080
Investment Funds
United States		—			—			9,255,816		9,255,816
TOTAL INVESTMENT FUNDS		—			—			9,255,816		9,255,816
Short-Term Investments		1,591,834			104,620,783			—		106,212,617
Total Investments		307,460,914			115,059,795			9,255,816		431,776,525
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,110,880			—		7,110,880
Futures Contracts
Equity Risk		1,419,295			20,013			—		1,439,308
Interest Rate Risk		46,885			—			—		46,885
Swap Contracts
Credit Risk		—			682,372			—		682,372
Interest Rate Risk		—			3,927,192			—		3,927,192
Physical Commodity Contract Risk		—			35,594			—		35,594
Total	$	308,927,094		$	126,835,846		$	9,255,816	$	445,018,756
Liability Valuation Inputs
Common Stocks
France	$	—		$	(8,549,703	)	$	—	$	(8,549,703	)
Netherlands		—			(1,612,861	)		—		(1,612,861	)
United Kingdom		(10,114,469	)		—			—		(10,114,469	)
United States		(58,915,825	)		—			—		(58,915,825	)
TOTAL COMMON STOCKS		(69,030,294	)		(10,162,564	)		—		(79,192,858	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(6,764,374	)		—		(6,764,374	)
Futures Contracts
Equity Risk		(4,259,789	)		(714,267	)		—		(4,974,056	)
Interest Rate Risk		(101	)		—			—		(101	)

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives (continued)
Written Options
Equity Risk	$	(507,364	)	$	—		$	—		$	(507,364	)
Swap Contracts
Interest Rate Risk		—			(2,101,973	)		—			(2,101,973	)
Physical Commodity Contract Risk		—			(13,457	)		—			(13,457	)
Total	$	(73,797,548	)	$	(19,756,635	)	$	—		$	(93,554,183	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	7,109,007,917		$	—		$	—		$	7,109,007,917
Short-Term Investments		4,347,848			—			—			4,347,848
Total Investments		7,113,355,765			—			—			7,113,355,765
Total	$	7,113,355,765		$	—		$	—		$	7,113,355,765
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	38,081		$	—		$	—		$	38,081
Australia		—			20,744,976			—			20,744,976
Austria		—			75,070			—			75,070
Belgium		—			8,709,320			—			8,709,320
Brazil		—			19,673,293			—			19,673,293
Canada		28,387,490			—			—			28,387,490
Chile		1,719,198			218,027			—			1,937,225
China		23,508,104			228,608,974			—			252,117,078
Czech Republic		—			71,876			—			71,876
Denmark		—			443,234			—			443,234
Finland		—			3,128,717			—			3,128,717
France		3,360,035			40,751,678			—			44,111,713
Germany		—			33,710,790			—			33,710,790
Greece		—			—			0	§		0	§
Hong Kong		—			13,696,324			—			13,696,324
Hungary		—			1,143,553			—			1,143,553
India		3,408,762			26,206,819			—			29,615,581
Indonesia		—			6,467,828			—			6,467,828
Ireland		2,478,280			5,911,634			—			8,389,914
Israel		—			416,959			—			416,959
Italy		—			25,495,078			—			25,495,078
Japan		—			161,930,778			—			161,930,778
Kuwait		—			30,756			—			30,756
Malaysia		—			12,336,217			—			12,336,217
Mexico		18,935,250			—			—			18,935,250
Netherlands		—			35,145,392			—			35,145,392
New Zealand		—			494,258			—			494,258
Norway		484,764			16,478,481			—			16,963,245
Pakistan		—			704,781			—			704,781
Philippines		—			1,126,581			—			1,126,581
Poland		—			8,547,213			—			8,547,213
Portugal		—			17,786,121			—			17,786,121
Qatar		—			714,537			—			714,537
Russia		1,012,019			65,245,087			—			66,257,106
Singapore		—			24,254,857			—			24,254,857

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	471,686	$	26,963,598		$	—	$	27,435,284
South Korea		3,807,368		58,687,747			—		62,495,115
Spain		—		35,748,957			—		35,748,957
Sweden		—		14,382,571			—		14,382,571
Switzerland		—		18,788,360			—		18,788,360
Taiwan		2,279,153		83,370,490			—		85,649,643
Thailand		—		2,988,238			—		2,988,238
Turkey		—		14,315,069			—		14,315,069
United Arab Emirates		—		2,636,061			—		2,636,061
United Kingdom		5,136,092		103,069,930			14,589		108,220,611
United States		165,695,188		—			—		165,695,188
Vietnam		—		196,753			—		196,753
TOTAL COMMON STOCKS		260,721,470		1,141,416,983			14,589		1,402,153,042
Preferred Stocks
Brazil		—		9,091,549			—		9,091,549
Colombia		115,726		—			—		115,726
Germany		—		3,649,983			—		3,649,983
Russia		—		7,593,686			—		7,593,686
South Korea		—		13,053,681			—		13,053,681
Taiwan		—		45,589			—		45,589
TOTAL PREFERRED STOCKS		115,726		33,434,488			—		33,550,214
Rights/Warrants
Italy		—		0	§		—		0	§
TOTAL RIGHTS/WARRANTS		—		0	§		—		0	§
Investment Funds
United States		4,855,950		—			—		4,855,950
TOTAL INVESTMENT FUNDS		4,855,950		—			—		4,855,950
Debt Obligations
United States		238,769,180		4,245,263			—		243,014,443
TOTAL DEBT OBLIGATIONS		238,769,180		4,245,263			—		243,014,443
Mutual Funds
United States		522,413,159		—			—		522,413,159
TOTAL MUTUAL FUNDS		522,413,159		—			—		522,413,159
Short-Term Investments		8,990,300		—			—		8,990,300
Total Investments		1,035,865,785		1,179,096,734			14,589		2,214,977,108
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,331,146			—		2,331,146
Futures Contracts
Equity Risk		432,102		4,825,678			—		5,257,780
Swap Contracts
Equity Risk		—		692,511			—		692,511
Interest Rate Risk		—		1,763,498			—		1,763,498
Total	$	1,036,297,887	$	1,188,709,567		$	14,589	$	2,225,022,043

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(1,875,751	)	$	—	$	(1,875,751	)
Brazil		(3,457,878	)		—			—		(3,457,878	)
Canada		(910,529	)		—			—		(910,529	)
Denmark		—			(3,666,672	)		—		(3,666,672	)
Finland		—			(505,329	)		—		(505,329	)
France		—			(357,624	)		—		(357,624	)
Germany		—			(3,497,118	)		—		(3,497,118	)
Israel		(1,944,558	)		—			—		(1,944,558	)
Japan		—			(7,839,391	)		—		(7,839,391	)
Netherlands		—			(105,871	)		—		(105,871	)
Norway		—			(52,157	)		—		(52,157	)
Singapore		—			(69,156	)		—		(69,156	)
Spain		—			(1,206,183	)		—		(1,206,183	)
Sweden		—			(1,184,050	)		—		(1,184,050	)
Switzerland		—			(46,875	)		—		(46,875	)
United Kingdom		—			(1,565,020	)		—		(1,565,020	)
United States		(1,616,892	)		—			—		(1,616,892	)
TOTAL COMMON STOCKS		(7,929,857	)		(21,971,197	)		—		(29,901,054	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(16,689,011	)		—		(16,689,011	)
Futures Contracts
Equity Risk		(49,448,356	)		(6,399,844	)		—		(55,848,200	)
Swap Contracts
Equity Risk		—			(125,919	)		—		(125,919	)
Interest Rate Risk		—			(910,469	)		—		(910,469	)
Total	$	(57,378,213	)	$	(46,096,440	)	$	—	$	(103,474,653	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,315,522,732		$	—		$	—	$	1,315,522,732
Debt Obligations
Asset-Backed Securities		—			28,356			—		28,356
TOTAL DEBT OBLIGATIONS		—			28,356			—		28,356
Short-Term Investments		3,380,783			—			—		3,380,783
Total Investments		1,318,903,515			28,356			—		1,318,931,871
Total	$	1,318,903,515		$	28,356		$	—	$	1,318,931,871
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(5,672,502	)	$	—		$	—	$	(5,672,502	)
Total	$	(5,672,502	)	$	—		$	—	$	(5,672,502	)
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	73,473,251		$	—		$	—	$	73,473,251
Short-Term Investments		53,605			—			—		53,605
Total Investments		73,526,856			—			—		73,526,856
Total	$	73,526,856		$	—		$	—	$	73,526,856

131

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,548,262,763	$	—	$	—	$	1,548,262,763
Short-Term Investments		581,026		—		—		581,026
Total Investments		1,548,843,789		—		—		1,548,843,789
Total	$	1,548,843,789	$	—	$	—	$	1,548,843,789
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	171,196	$	—	$	—	$	171,196
Australia		—		62,530,126		—		62,530,126
Austria		—		255,218		—		255,218
Belgium		—		21,185,738		—		21,185,738
Brazil		—		55,838,809		—		55,838,809
Canada		77,634,508		—		—		77,634,508
Chile		5,920,497		413,170		—		6,333,667
China		104,716,910		740,431,310		—		845,148,220
Czech Republic		—		476,610		—		476,610
Denmark		—		1,544,362		—		1,544,362
Finland		—		7,896,500		—		7,896,500
France		6,818,350		137,173,064		—		143,991,414
Germany		—		86,287,840		—		86,287,840
Hong Kong		—		34,306,034		—		34,306,034
Hungary		—		3,965,352		—		3,965,352
India		8,934,912		80,234,350		—		89,169,262
Indonesia		—		25,827,591		—		25,827,591
Ireland		7,267,890		15,071,777		—		22,339,667
Israel		—		260,517		—		260,517
Italy		—		79,378,711		—		79,378,711
Japan		—		426,573,276		—		426,573,276
Kuwait		—		193,873		—		193,873
Malaysia		—		32,069,537		—		32,069,537
Mexico		60,486,175		—		—		60,486,175
Netherlands		—		94,894,237		—		94,894,237
New Zealand		—		1,116,361		—		1,116,361
Norway		1,048,332		38,155,764		—		39,204,096
Pakistan		—		4,200,527		—		4,200,527
Philippines		—		4,681,656		—		4,681,656
Poland		—		35,202,906		—		35,202,906
Portugal		—		46,330,120		—		46,330,120
Qatar		—		7,198,439		—		7,198,439
Russia		3,507,857		244,962,619		—		248,470,476
Saudi Arabia		—		43,777		—		43,777
Singapore		—		70,406,899		—		70,406,899
South Africa		2,422,277		91,599,830		—		94,022,107
South Korea		13,064,402		158,242,114		382,537		171,689,053
Spain		—		89,722,996		—		89,722,996
Sweden		—		39,055,981		—		39,055,981
Switzerland		—		49,256,886		—		49,256,886
Taiwan		24,706,187		308,650,389		—		333,356,576
Thailand		—		6,430,497		—		6,430,497
Turkey		—		42,060,018		—		42,060,018

132

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Arab Emirates	$	—	$	6,775,333	$	—	$	6,775,333
United Kingdom		46,150,208		265,470,745		—		311,620,953
United States		767,022,183		—		10,024,236		777,046,419
Vietnam		—		1,371,732		—		1,371,732
TOTAL COMMON STOCKS		1,129,871,884		3,417,743,591		10,406,773		4,558,022,248
Preferred Stocks
Brazil		—		22,639,701		—		22,639,701
Colombia		560,463		—		—		560,463
Germany		—		8,678,418		—		8,678,418
Russia		—		26,469,502		—		26,469,502
South Korea		—		49,673,934		—		49,673,934
Taiwan		—		481,843		—		481,843
TOTAL PREFERRED STOCKS		560,463		107,943,398		—		108,503,861
Rights/Warrants
United States		791,672		—		430,926		1,222,598
TOTAL RIGHTS/WARRANTS		791,672		—		430,926		1,222,598
Investment Funds
United States		29,757,709		—		27,767,425		57,525,134
TOTAL INVESTMENT FUNDS		29,757,709		—		27,767,425		57,525,134
Debt Obligations
Brazil		—		7,656,413		—		7,656,413
Israel		—		6,802,990		—		6,802,990
Jamaica		—		6,816,387		4,793,885		11,610,272
Netherlands		—		11,971,607		—		11,971,607
Puerto Rico		—		12,046,865		—		12,046,865
United States		885,404,453		184,670,440		49,765,015		1,119,839,908
TOTAL DEBT OBLIGATIONS		885,404,453		229,964,702		54,558,900		1,169,928,055
Mutual Funds
United States		32,173,243		—		—		32,173,243
TOTAL MUTUAL FUNDS		32,173,243		—		—		32,173,243
Short-Term Investments		79,887,573		116,789,908		—		196,677,481
Total Investments		2,158,446,997		3,872,441,599		93,164,024		6,124,052,620
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		26,313,985		—		26,313,985
Futures Contracts
Equity Risk		11,178,668		11,091,863		—		22,270,531
Interest Rate Risk		193,391		—		—		193,391
Physical Commodity Contract Risk		1,960,844		—		—		1,960,844
Swap Contracts
Equity Risk		—		1,982,610		—		1,982,610
Interest Rate Risk		—		10,706,556		—		10,706,556
Total	$	2,171,779,900	$	3,922,536,613	$	93,164,024	$	6,187,480,537

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(5,137,967	)	$	—	$	(5,137,967	)
Brazil		(8,457,498	)		—			—		(8,457,498	)
Canada		(4,174,660	)		—			—		(4,174,660	)
Denmark		—			(9,661,780	)		—		(9,661,780	)
Finland		—			(1,292,701	)		—		(1,292,701	)
France		—			(25,280,047	)		—		(25,280,047	)
Germany		—			(8,824,464	)		—		(8,824,464	)
Israel		(3,388,245	)		—			—		(3,388,245	)
Japan		—			(17,902,961	)		—		(17,902,961	)
Netherlands		—			(4,315,801	)		—		(4,315,801	)
New Zealand		—			(9,829	)		—		(9,829	)
Singapore		—			(124,080	)		—		(124,080	)
Spain		—			(1,227,191	)		—		(1,227,191	)
Sweden		—			(2,875,271	)		—		(2,875,271	)
United Kingdom		(30,290,191	)		(6,298,429	)		—		(36,588,620	)
United States		(167,249,161	)		—			—		(167,249,161	)
TOTAL COMMON STOCKS		(213,559,755	)		(82,950,521	)		—		(296,510,276	)
Debt Obligations
United States		—			(5,277,930	)		—		(5,277,930	)
TOTAL DEBT OBLIGATIONS		—			(5,277,930	)		—		(5,277,930	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(53,464,989	)		—		(53,464,989	)
Futures Contracts
Equity Risk		(146,405,339	)		(17,862,009	)		—		(164,267,348	)
Interest Rate Risk		(406	)		—			—		(406	)
Physical Commodity Contract Risk		(1,499,480	)		—			—		(1,499,480	)
Written Options
Equity Risk		(1,026,000	)		—			—		(1,026,000	)
Swap Contracts
Credit Risk		—			(693,374	)		—		(693,374	)
Equity Risk		—			(250,666	)		—		(250,666	)
Interest Rate Risk		—			(5,612,440	)		—		(5,612,440	)
Total	$	(362,490,980	)	$	(166,111,929	)	$	—	$	(528,602,909	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	192,537,685		$	—		$	—	$	192,537,685
Short-Term Investments		96,619			—			—		96,619
Total Investments		192,634,304			—			—		192,634,304
Total	$	192,634,304		$	—		$	—	$	192,634,304
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	751,802,102		$	—		$	—	$	751,802,102
Short-Term Investments		268,834			—			—		268,834
Total Investments		752,070,936			—			—		752,070,936
Total	$	752,070,936		$	—		$	—	$	752,070,936

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	315,799,805		$	—		$	—	$	315,799,805
U.S. Government Agency		9,001,154			—			—		9,001,154
TOTAL DEBT OBLIGATIONS		324,800,959			—			—		324,800,959
Short-Term Investments		12,504,545			1,420,179			—		13,924,724
Total Investments		337,305,504			1,420,179			—		338,725,683
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,265,372			—		7,265,372
Futures Contracts
Equity Risk		3,548,890			48,061			—		3,596,951
Interest Rate Risk		117,474			—			—		117,474
Physical Commodity Contract Risk		1,204,469			—			—		1,204,469
Total	$	342,176,337		$	8,733,612		$	—	$	350,909,949
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,122,838	)	$	—	$	(2,122,838	)
Futures Contracts
Equity Risk		—			(1,779,640	)		—		(1,779,640	)
Interest Rate Risk		(253	)		—			—		(253	)
Physical Commodity Contract Risk		(921,008	)		—			—		(921,008	)
Total	$	(921,261	)	$	(3,902,478	)	$	—	$	(4,823,739	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Israel	$	11,195,940		$	—		$	—	$	11,195,940
New Zealand		—			14,063,533			—		14,063,533
United Kingdom		—			4,838,011			—		4,838,011
United States		200,254,000			—			—		200,254,000
TOTAL COMMON STOCKS		211,449,940			18,901,544			—		230,351,484
Short-Term Investments		30,176,887			206			—		30,177,093
Total Investments		241,626,827			18,901,750			—		260,528,577
Total	$	241,626,827		$	18,901,750		$	—	$	260,528,577
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,772,773		$	—	$	1,772,773
Belgium		—			566,457			—		566,457
Brazil		—			284,693			—		284,693
Canada		2,289,475			—			—		2,289,475
China		—			3,288,157			—		3,288,157
Denmark		—			69,090			—		69,090
Finland		—			968,722			—		968,722

135

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
France	$	101,160	$	4,587,487		$	—		$	4,688,647
Germany		—		4,479,829			—			4,479,829
Hong Kong		—		1,610,950			—			1,610,950
India		—		29,738			—			29,738
Ireland		118,720		1,419,000			—			1,537,720
Italy		—		2,955,279			—			2,955,279
Japan		—		30,253,316			—			30,253,316
Malaysia		—		108,636			—			108,636
Malta		—		—			0	§		0	§
Mexico		908,639		—			—			908,639
Netherlands		—		4,910,177			—			4,910,177
Norway		—		1,935,016			—			1,935,016
Philippines		—		15,059			—			15,059
Poland		—		97,618			—			97,618
Portugal		—		2,661,209			—			2,661,209
Russia		—		2,371,131			—			2,371,131
Singapore		—		2,589,732			—			2,589,732
South Africa		—		246,316			—			246,316
South Korea		567,359		1,694,916			—			2,262,275
Spain		—		5,625,876			—			5,625,876
Sweden		—		1,061,079			—			1,061,079
Switzerland		—		461,513			—			461,513
Taiwan		—		1,169,671			—			1,169,671
Turkey		—		11,505			—			11,505
United Kingdom		452,518		14,538,773			3,429			14,994,720
United States		53,311,944		—			—			53,311,944
TOTAL COMMON STOCKS		57,749,815		91,783,718			3,429			149,536,962
Preferred Stocks
Brazil		—		812,046			—			812,046
Germany		—		152,715			—			152,715
Russia		—		206,466			—			206,466
TOTAL PREFERRED STOCKS		—		1,171,227			—			1,171,227
Rights/Warrants
Italy		—		0	§		—			0	§
TOTAL RIGHTS/WARRANTS		—		0	§		—			0	§
Debt Obligations
United States		—		32,847,515			—			32,847,515
TOTAL DEBT OBLIGATIONS		—		32,847,515			—			32,847,515
Mutual Funds
United States		512,737,799		—			—			512,737,799
TOTAL MUTUAL FUNDS		512,737,799		—			—			512,737,799
Short-Term Investments		4,096,581		—			—			4,096,581
Total Investments		574,584,195		125,802,460			3,429			700,390,084
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		4,090			—			4,090
Swap Contracts
Equity Risk		—		107,096			—			107,096
Total	$	574,584,195	$	125,913,646		$	3,429		$	700,501,270

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Austria	$	—		$	(58,061	)	$	—	$	(58,061	)
Brazil		(117,992	)		—			—		(117,992	)
Canada		(118,990	)		—			—		(118,990	)
Denmark		—			(1,619,411	)		—		(1,619,411	)
Germany		—			(610,279	)		—		(610,279	)
Japan		—			(891,698	)		—		(891,698	)
Netherlands		—			(101,203	)		—		(101,203	)
Sweden		—			(42,147	)		—		(42,147	)
Switzerland		—			(108,640	)		—		(108,640	)
United Kingdom		(63,616	)		(58,015	)		—		(121,631	)
United States		(8,480,188	)		—			—		(8,480,188	)
TOTAL COMMON STOCKS		(8,780,786	)		(3,489,454	)		—		(12,270,240	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(19,725	)		—		(19,725	)
Futures Contracts
Equity Risk		(5,575,626	)		(89,135	)		—		(5,664,761	)
Swap Contracts
Equity Risk		—			(23,064	)		—		(23,064	)
Total	$	(14,356,412	)	$	(3,621,378	)	$	—	$	(17,977,790	)

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

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

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2020.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Implementation Fund’s Level 3 holdings also includes two common stocks which are priced at the average of broker bids and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2020.

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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 29, 2020		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2020		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2020
Consolidated Alternative Allocation Fund
Investment Funds
United States	$	2,667,600	$	6,193,018	$	—		$	—	$	—		$	395,198		$	—		$	—	$	9,255,816	$	395,198
Total Investments	$	2,667,600	$	6,193,018	$	—		$	—	$	—		$	395,198		$	—		$	—	$	9,255,816	$	395,198
Consolidated Implementation Fund
Common Stocks
South Korea	$	—	$	—	$	—		$	—	$	—		$	—		$	382,537	‡	$	—	$	382,537	$	—
United States		9,521,813		3,070,351		(302,137	)		—		—			(2,265,791	)		—			—		10,024,236		(2,265,791	)
Rights/Warrants
United States		430,926		—		—			—		—			—			—			—		430,926		—
Investment Funds
United States		29,566,080		3,248,376		(5,701,050	)		—		1,495,949			(841,930	)		—			—		27,767,425		(841,930	)
Debt Obligations
Bank Loans
Luxembourg		7,763,747		—		(6,906,643	)		43,520		(2,263,375	)		1,362,751			—			—		—		—
Saint Lucia		1,925,000		2,790,550		(19,787	)		58,888		—			39,234			—			—		4,793,885		39,234
United States		67,533,991		27,354,561		(45,441,198	)		665,861		(13,489,148	)		525,857			12,615,091	‡		—		49,765,015		(1,244,279	)
Total Investments	$	116,741,557	$	36,463,838	$	(58,370,815	)#	$	768,269	$	(14,256,574	)	$	(1,179,879	)	$	12,997,628		$	—	$	93,164,024	$	(4,312,766	)

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

# Includes $12,255,609 of proceeds received from partial calls and/or principal paydowns as applicable.

Some Funds have material Level 3 investments. The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2020.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology		Unobservable Inputs		Range (Weighted Average)
Consolidated Alternative Allocation Fund
N/A		—		N/A		N/A		N/A
Consolidated Implementation Fund
Common Stock		382,537		Fair Value		Pending Corporate Action		N/A (N/A)
Common Stock		2,020,934		Fair Value		Discount Rate		30% (N/A)
Common Stock		2,485,147		Fair Value		Most Relevant Broker Quote		4-7.5 (4.59)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2020, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $9,255,816 and $88,275,406, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

138

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August 31, 2020 (Unaudited)

Cash

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

Due to/from broker

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

Foreign currency translation

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

Loan assignments and participations

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

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which

139

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generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

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

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash 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 August 31, 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		11,721,978		5,372,023		6,833,318		12,205,341
Consolidated Implementation Fund		49,453,043		32,091,421		18,899,323		50,990,744

* 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.

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August 31, 2020 (Unaudited)

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian, or by lending securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of August 31, 2020:

Fund Name	Value of securities on loan ($)
Consolidated Alternative Allocation Fund		5,208,531
Benchmark-Free Fund		25,340,182
Consolidated Implementation Fund		59,892,261
Strategic Opportunities Allocation Fund		8,269,509

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

Municipal obligations

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

Trade claims

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

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Taxes and distributions

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

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 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.

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

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August 31, 2020 (Unaudited)

As of February 29, 2020, certain Funds elected to defer to March 1, 2020, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		(506,822)		(635,957)
Benchmark-Free Allocation Fund		(4,351,061)		—
Benchmark-Free Fund		—		—
Global Asset Allocation Fund		—		—
Global Developed Equity Allocation Fund		(643)		—
Global Equity Allocation Fund		(8,854)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(1,222)		(1,244,638)
International Equity Allocation Fund		(5,570)		—
Consolidated SGM Major Markets Fund		—		(21,776,446)
Consolidated Special Opportunities Fund		(522,202)		—
Strategic Opportunities Allocation Fund		—		(286,733)

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		—		—

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August 31, 2020 (Unaudited)

As of August 31, 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		352,631,511		8,795,922		(8,843,766)		(47,844	)		(1,259,740)
Benchmark-Free Allocation Fund		7,675,794,286		79,193,769		(641,632,290)		(562,438,521	)		—
Benchmark-Free Fund		2,155,554,560		187,264,041		(157,742,547)		29,521,494			(63,599,843)
Global Asset Allocation Fund		1,377,798,410		25,017,131		(83,883,670)		(58,866,539	)		(5,672,502)
Global Developed Equity Allocation Fund		73,984,026		620,855		(1,078,025)		(457,170	)		—
Global Equity Allocation Fund		1,649,359,931		52,938,931		(153,455,073)		(100,516,142	)		—
Consolidated Implementation Fund		6,151,003,794		482,641,850		(811,381,230)		(328,739,380	)		(162,758,024)
International Developed Equity Allocation Fund		240,581,452		—		(47,947,148)		(47,947,148	)		—
International Equity Allocation Fund		824,126,302		6,295,932		(78,351,298)		(72,055,366	)		—
Consolidated SGM Major Markets Fund		377,981,647		—		(39,255,964)		(39,255,964	)		7,077,065
Consolidated Special Opportunities Fund		112,091,070		156,463,188		(8,025,681)		148,437,507			—
Strategic Opportunities Allocation Fund		682,496,798		27,437,808		(21,814,761)		5,623,047			(5,596,364)

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

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/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.

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August 31, 2020 (Unaudited)

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. 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. For example, GMO 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), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

As of August 31, 2020, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Benchmark-Free Allocation Fund	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.
Benchmark-Free Fund	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.

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August 31, 2020 (Unaudited)

Global Asset Allocation Fund	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.
Global Developed Equity Allocation Fund	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.
Global Equity Allocation Fund	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.
Implementation Fund	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.
International Developed Equity Allocation Fund	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.
International Equity Allocation Fund	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.
Special Opportunities Fund	For the period from June 30, 2015 to June 30, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.50% and 0.50% of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	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 March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU on the Funds’ financial statements.

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August 31, 2020 (Unaudited)

3. Investment and other risks

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

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

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

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

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indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. In addition, the value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise be forced to hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws, regulations or other requirements. The Funds are not subject to any limit on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms longer than six months (and, in some cases, decades). The creditworthiness of a counterparty can be expected to be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral if the Fund’s interest in the collateral is not perfected or additional collateral is not posted promptly as required. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds. Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and 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,

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netting of obligations or realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligation to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligors’ failure to meet their payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income investment. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-sovereign debt involve the risk that the governmental entities responsible for repayment will be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner can be expected to be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer will default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

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

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

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

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

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

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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 investments 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 investment 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.

Some Funds may lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of a Fund’s ability to vote the securities, and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline.

• 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, forward contracts, 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

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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., forward currency contracts), (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 the Funds realize when they close or sell 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, the Funds run a risk that inaccurate valuations will result in increased cash payments to counterparties, under-collateralization and/or errors in the calculation of the Funds’ net asset values.

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.

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 requirements are evolving, their impact on the Funds remains unclear.

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

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to a bilateral derivative position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivative position or an increase in the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements

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or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. 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. 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 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. Variation margin requirements became effective in March 2017 and initial margin requirements will become effective in 2020 or 2021. 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 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 these 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 different kinds of costs and risks.

The SEC recently reproposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. The ultimate impact, if any, of such a rule is unclear, but the reproposed rule, if adopted, could, among other things, restrict a Fund’s ability to continue to engage in derivatives transactions in the manner it has historically and increase the costs of derivatives transactions, which could have an adverse impact on a Fund’s performance.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the

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relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights at any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date). If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

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

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

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 do 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. A Fund that invests in Underlying Funds (including underlying GMO Funds or its wholly-owned subsidiary) is exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. A Fund also is indirectly exposed to all of the risks to which the Underlying Funds or its wholly-owned subsidiary are exposed.

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Because, absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary of an underlying fund, 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.

The SEC recently adopted a rule that will change the regulatory framework under which some registered investment companies are permitted to invest in other registered investment companies (the “Fund of Funds Rule”). The impact of the Fund of Funds Rule is still under review but could adversely affect the Funds by, among other things, limiting the number of shares of other registered investment companies (such as other Funds or exchange-traded funds) or pooled investment vehicles that a Fund is permitted to purchase.

• 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 increases 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 recover 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

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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 Board of Trustees has designated GMO as administrator to the Funds’ liquidity risk management program, which was adopted by the Funds pursuant to Rule 22e-4 under the 1940 Act. Under that program, each Fund is 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 under current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investments. While the liquidity risk management program is designed to assist in the assessment and management of 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

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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. Those Funds run the risk that GMO’s models will not accurately predict future market movements or characteristics. In addition, GMO’s 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 operational risks resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other operational services. Examples of such operational risks include the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service

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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, and such service providers, counterparties, or issuers may have limited, if any, indemnification obligations to GMO or the Funds, each of whom could be negatively impacted as a result.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars, pandemics 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, as well as in early 2020) 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

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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 have resulted, and any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in 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 subject to the sanctions. In addition, trade disputes (such as the “trade war” between the United States and China that intensified in 2018 and 2019) may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. Events such as these and their impact on the Funds are difficult to predict.

Natural and environmental disasters (such as the earthquake and tsunami in Japan in early 2011), epidemics or pandemics (such as the outbreak of a novel coronavirus beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008) can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and 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, government economic stimulus measures, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, rapid increases in unemployment, increased demand for and strain on government resources, 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.

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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. Issuers of asset-backed securities also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds are 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 be attributable to 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. Equities which are characterized as relatively cyclical, such as investments in companies in the consumer discretionary, financials, energy, real estate, materials and industrials sectors, often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities’ performance can be significantly affected by, among other factors, cyclical revenue generation, consumer confidence and changing consumer preferences, and the performance of domestic and international economies. 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 decline due to GMO’s incorrect

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

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due, for example, 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 investments, 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 fee.

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. The risks associated with rising interest rates are generally greater during periods when prevailing interest rates are at or near their historic lows. Moreover, fixed income investments will be difficult to value during such periods. The U.S. Federal Reserve Bank recently decreased interest rates back to near historically low levels. A substantial increase in interest rates could have a

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material adverse effect on 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 imposition of currency controls) also could have a material adverse effect on the Funds.

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

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

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

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, they are likely to be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment is likely to have a greater impact on their performance.

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.

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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 GMO is confident it will be received. Generally, absent a determination by GMO that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value until it is received. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian and Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.

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

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

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

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. The economies of emerging countries often are more volatile than the economies of developed countries. For example, the Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.

• SMALLER 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.

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

4. Derivative financial instruments

During the period ended August 31, 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 and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

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

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by 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 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

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equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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

* * *

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

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

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For Funds that held derivatives during the period ended August 31, 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

Global Asset Allocation Fund

Consolidated Implementation Fund*

Consolidated SGM Major Markets Fund*

Strategic Opportunities Allocation Fund

Forward currency contracts

Adjust currency exchange rate risk

X

Adjust exposure to foreign currencies

X

X

X

X

X

Manage against anticipated currency exchange rate changes

X

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

Substitute for direct investment

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

Options (Purchased)

Substitute for direct equity investment

X

X

Adjust exposure to foreign currencies

X

Options (Written)

Substitute for direct equity investment

X

X

X

X

Swap contracts

Adjust interest rate exposure

X

X

X

Substitute for direct investment in securities

X

X

X

X

Achieve exposure to a reference entity’s credit

X

X

X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

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

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

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures

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

Options

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

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

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

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

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,

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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 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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Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

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

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020 and the Statements of Operations for the period ended August 31, 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			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	7,110,880		$	—		$	—	$	7,110,880
Unrealized Appreciation on Futures Contracts¤		—			—			1,439,308			—			46,885			—		1,486,193
Swap Contracts, at value¤		682,372			35,594			—			—			3,927,192			—		4,645,158
Total	$	682,372		$	35,594		$	1,439,308		$	7,110,880		$	3,974,077		$	—	$	13,242,231
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(6,764,374	)	$	—		$	—	$	(6,764,374	)
Unrealized Depreciation on Futures Contracts¤		—			—			(4,974,056	)		—			(101	)		—		(4,974,157	)
Written Options, at value		—			—			(507,364	)		—			—			—		(507,364	)
Swap Contracts, at value¤		—			(13,457	)		—			—			(2,101,973	)		—		(2,115,430	)
Total	$	—		$	(13,457	)	$	(5,481,420	)	$	(6,764,374	)	$	(2,102,074	)	$	—	$	(14,361,325	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	735,904		$	1,445		$	43,050		$	—	$	780,399
Forward Currency Contracts		—			—			—			135,466			—			—		135,466
Futures Contracts		—			—			2,001,116			—			(592,394	)		—		1,408,722
Written Options		—			—			1,465,301			—			(21,650	)		—		1,443,651
Swap Contracts		513,566			(306,706	)		1,195,223			—			(384,538	)		—		1,017,545
Total	$	513,566		$	(306,706	)	$	5,397,544		$	136,911		$	(955,532	)	$	—	$	4,785,783
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(669,519	)	$	4,129		$	—		$	—	$	(665,390	)
Forward Currency Contracts		—			—			—			1,276,345			—			—		1,276,345
Futures Contracts		—			—			(6,921,346	)		—			46,784			—		(6,874,562	)
Written Options		—			—			4,624,731			—			—			—		4,624,731
Swap Contracts		(7,374	)		(1,200,499	)		(923,520	)		—			506,272			—		(1,625,121	)
Total	$	(7,374	)	$	(1,200,499	)	$	(3,889,654	)	$	1,280,474		$	553,056		$	—	$	(3,263,997	)
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	2,331,146		$	—		$	—	$	2,331,146
Unrealized Appreciation on Futures Contracts¤		—			—			5,257,780			—			—			—		5,257,780
Swap Contracts, at value¤		—			—			692,511			—			1,763,498			—		2,456,009
Total	$	—		$	—		$	5,950,291		$	2,331,146		$	1,763,498		$	—	$	10,044,935
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(16,689,011	)	$	—		$	—	$	(16,689,011	)
Unrealized Depreciation on Futures Contracts¤		—			—			(55,848,200	)		—			—			—		(55,848,200	)
Swap Contracts, at value¤		—			—			(125,919	)		—			(910,469	)		—		(1,036,388	)
Total	$	—		$	—		$	(55,974,119	)	$	(16,689,011	)	$	(910,469	)	$	—	$	(73,573,599	)

169

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	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	$	—		$	—		$	—		$	(33,575,119	)	$	—		$	—	$	(33,575,119	)
Futures Contracts		—			—			(138,011,580	)		—			—			—		(138,011,580	)
Written Options		—			—			(2,599,801	)		—			—			—		(2,599,801	)
Swap Contracts		3,897,188			—			11,090,453			—			(1,220,857	)		—		13,766,784
Total	$	3,897,188		$	—		$	(129,520,928	)	$	(33,575,119	)	$	(1,220,857	)	$	—	$	(160,419,716	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	(13,025,159	)	$	—		$	—	$	(13,025,159	)
Futures Contracts		—			—			(59,359,966	)		—			—			—		(59,359,966	)
Written Options		—			—			(27,359	)		—			—			—		(27,359	)
Swap Contracts		—			—			(4,260,530	)		—			781,851			—		(3,478,679	)
Total	$	—		$	—		$	(63,647,855	)	$	(13,025,159	)	$	781,851		$	—	$	(75,891,163	)
Global Asset Allocation Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(5,672,502	)	$	—		$	—		$	—	$	(5,672,502	)
Total	$	—		$	—		$	(5,672,502	)	$	—		$	—		$	—	$	(5,672,502	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(9,272,753	)	$	—		$	—		$	—	$	(9,272,753	)
Total	$	—		$	—		$	(9,272,753	)	$	—		$	—		$	—	$	(9,272,753	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	(5,672,502	)	$	—		$	—		$	—	$	(5,672,502	)
Total	$	—		$	—		$	(5,672,502	)	$	—		$	—		$	—	$	(5,672,502	)
Consolidated Implementation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	26,313,985		$	—		$	—	$	26,313,985
Unrealized Appreciation on Futures Contracts¤		—			1,960,844			22,270,531			—			193,391			—		24,424,766
Swap Contracts, at value¤		—			—			1,982,610			—			10,706,556			—		12,689,166
Total	$	—		$	1,960,844		$	24,253,141		$	26,313,985		$	10,899,947		$	—	$	63,427,917
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(53,464,989	)	$	—		$	—	$	(53,464,989	)
Unrealized Depreciation on Futures Contracts¤		—			(1,499,480	)		(164,267,348	)		—			(406	)		—		(165,767,234	)
Written Options, at value		—			—			(1,026,000	)		—			—			—		(1,026,000	)
Swap Contracts, at value¤		(693,374	)		—			(250,666	)		—			(5,612,440	)		—		(6,556,480	)
Total	$	(693,374	)	$	(1,499,480	)	$	(165,544,014	)	$	(53,464,989	)	$	(5,612,846	)	$	—	$	(226,814,703	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(6,686,553	)	$	7,483		$	—		$	—	$	(6,679,070	)
Forward Currency Contracts		—			—			—			(89,805,709	)		—			—		(89,805,709	)
Futures Contracts		—			8,871,795			(338,180,697	)		—			171,454			—		(329,137,448	)
Written Options		—			—			(11,933,759	)		—			—			—		(11,933,759	)
Swap Contracts		4,323,104			—			39,971,509			—			444,631			—		44,739,244
Total	$	4,323,104		$	8,871,795		$	(316,829,500	)	$	(89,798,226	)	$	616,085		$	—	$	(392,816,742	)

170

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(4,807,981	)	$	21,383		$	—		$	—	$	(4,786,598	)
Forward Currency Contracts		—			—			—			(20,960,576	)		—			—		(20,960,576	)
Futures Contracts		—			461,364			(167,737,734	)		—			122,890			—		(167,153,480	)
Written Options		—			—			11,883,793			—			—			—		11,883,793
Swap Contracts		(1,060,663	)		—			(26,671,950	)		—			10,339			—		(27,722,274	)
Total	$	(1,060,663	)	$	461,364		$	(187,333,872	)	$	(20,939,193	)	$	133,229		$	—	$	(208,739,135	)
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	7,265,372		$	—		$	—	$	7,265,372
Unrealized Appreciation on Futures Contracts¤		—			1,204,469			3,596,951			—			117,474			—		4,918,894
Total	$	—		$	1,204,469		$	3,596,951		$	7,265,372		$	117,474		$	—	$	12,184,266
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(2,122,838	)	$	—		$	—	$	(2,122,838	)
Unrealized Depreciation on Futures Contracts¤		—			(921,008	)		(1,779,640	)		—			(253	)		—		(2,700,901	)
Total	$	—		$	(921,008	)	$	(1,779,640	)	$	(2,122,838	)	$	(253	)	$	—	$	(4,823,739	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	(1,253,422	)	$	—		$	—	$	(1,253,422	)
Futures Contracts		—			22,368,015			20,370,860			—			(113,065	)		—		42,625,810
Total	$	—		$	22,368,015		$	20,370,860		$	(1,253,422	)	$	(113,065	)	$	—	$	41,372,388
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	8,047,449		$	—		$	—	$	8,047,449
Futures Contracts		—			(2,657,304	)		(8,968,228	)		—			117,221			—		(11,508,311	)
Total	$	—		$	(2,657,304	)	$	(8,968,228	)	$	8,047,449		$	117,221		$	—	$	(3,460,862	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	4,090		$	—		$	—	$	4,090
Swap Contracts, at value¤		—			—			107,096			—			—			—		107,096
Total	$	—		$	—		$	107,096		$	4,090		$	—		$	—	$	111,186
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(19,725	)	$	—		$	—	$	(19,725	)
Unrealized Depreciation on Futures Contracts¤		—			—			(5,664,761	)		—			—			—		(5,664,761	)
Swap Contracts, at value¤		—			—			(23,064	)		—			—			—		(23,064	)
Total	$	—		$	—		$	(5,687,825	)	$	(19,725	)	$	—		$	—	$	(5,707,550	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	(967	)	$	—		$	—	$	(967	)
Futures Contracts		—			—			(9,159,466	)		—			—			—		(9,159,466	)
Swap Contracts		—			—			(115,852	)		—			—			—		(115,852	)
Total	$	—		$	—		$	(9,275,318	)	$	(967	)	$	—		$	—	$	(9,276,285	)

171

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Strategic Opportunities Allocation Fund (continued)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—	$	—		$	(15,635	)	$	—	$	—	$	(15,635	)
Futures Contracts		—		—		(5,664,761	)		—			—		—		(5,664,761	)
Written Options		—		—		(5,760	)		—			—		—		(5,760	)
Swap Contracts		—		—		(103,750	)		—			—		—		(103,750	)
Total	$	—	$	—	$	(5,774,271	)	$	(15,635	)	$	—	$	—	$	(5,789,906	)

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 2020, if any.

172

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2020:

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.	$	98,028	$	—		$	98,028		$	—
Barclays Bank PLC		233,467		—			233,467			—
Citibank N.A.		225,864		(162,799	)		(63,065	)		—	*
Deutsche Bank AG		284,845		—			284,845			—
Goldman Sachs International		128,337		—			(93,408	)		34,929
JPMorgan Chase Bank, N.A.		3,540,610		(1,419,964	)		(1,950,894	)		169,752
Morgan Stanley & Co. International PLC		742,783		—			742,783			—
State Street Bank and Trust Company		617,914		(299,077	)		(10,029	)		308,808
UBS AG		1,956,998		(1,670,000	)		(86,966	)		200,032
Total	$	7,828,846	$	(3,551,840	)	$	(845,239	)	$	713,521
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.	$	702,102	$	—		$	(98,028	)	$	604,074
Barclays Bank PLC		237,584		—			(233,467	)		4,117
Citibank N.A.		63,065		—			63,065			—
Deutsche Bank AG		1,386,472		—			(284,845	)		1,101,627
Goldman Sachs International		93,408		—			93,408			—
JPMorgan Chase Bank, N.A.		1,950,894		—			1,950,894			—
Morgan Stanley & Co. International PLC		2,247,311		(1,504,528	)		(742,783	)		—	*
Morgan Stanley & Co. LLC		507,364		(507,364	)		—			—	*
State Street Bank and Trust Company		10,029		—			10,029			—
UBS AG		86,966		—			86,966			—
Total	$	7,285,195	$	(2,011,892	)	$	845,239		$	1,709,818

173

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Benchmark-Free Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	39,417	$	—		$	39,417		$	—
Bank of New York Mellon		415,529		—			(1,230	)		414,299
Barclays Bank PLC		85,606		—			85,606			—
Citibank N.A.		80,169		—			80,169			—
Deutsche Bank AG		145,609		—			145,609			—
Goldman Sachs International		65,863		—			—			65,863
JPMorgan Chase Bank, N.A.		1,140,008		(431,872	)		(708,136	)		—	*
Morgan Stanley & Co. International PLC		257,022		—			257,022			—
Morgan Stanley Capital Services LLC		652,882		(399,000	)		(125,919	)		127,963
State Street Bank and Trust Company		141,552		—			141,552			—
Total	$	3,023,657	$	(830,872	)	$	(85,910	)	$	608,125
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.	$	40,117	$	—		$	(39,417	)	$	700
Bank of New York Mellon		1,230		—			1,230			—
Barclays Bank PLC		469,552		—			(85,606	)		383,946
Citibank N.A.		5,052,557		(3,768,241	)		(80,169	)		1,204,147
Deutsche Bank AG		6,334,824		—			(145,609	)		6,189,215
JPMorgan Chase Bank, N.A.		708,136		—			708,136			—
Morgan Stanley & Co. International PLC		3,198,604		(1,264,905	)		(257,022	)		1,676,677
Morgan Stanley Capital Services LLC		125,919		—			125,919			—
State Street Bank and Trust Company		883,991		—			(141,552	)		742,439
Total	$	16,814,930	$	(5,033,146	)	$	85,910		$	10,197,124

174

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Consolidated Implementation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	263,275	$	—		$	263,275		$	—
Bank of New York Mellon		908,261		—			(2,695	)		905,566
Barclays Bank PLC		718,649		—			718,649			—
Citibank N.A.		472,561		—			472,561			—
Deutsche Bank AG		800,576		—			800,576			—
Goldman Sachs International		557,617		—			(356,312	)		201,305
JPMorgan Chase Bank, N.A.		8,891,646		(2,194,699	)		(6,308,709	)		388,238
Morgan Stanley & Co. International PLC		2,480,043		—			2,480,043			—
Morgan Stanley Capital Services LLC		1,786,492		(1,300,000	)		(250,666	)		235,826
State Street Bank and Trust Company		3,425,635		(1,068,157	)		(2,357,478	)		—	*
UBS AG		7,991,840		(6,320,000	)		(326,882	)		1,344,958
Total	$	28,296,595	$	(10,882,856	)	$	(4,867,638	)	$	3,075,893
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.	$	318,537	$	(34,495	)	$	(263,275	)	$	20,767
Bank of New York Mellon		2,695		—			2,695			—
Barclays Bank PLC		2,527,054		(407,906	)		(718,649	)		1,400,499
Citibank N.A.		12,734,595		(9,295,995	)		(472,561	)		2,966,039
Credit Suisse International		197,949		—			—			197,949
Deutsche Bank AG		16,417,112		(10,342,530	)		(800,576	)		5,274,006
Goldman Sachs International		356,312		—			356,312			—
JPMorgan Chase Bank, N.A.		6,308,709		—			6,308,709			—
Morgan Stanley & Co. International PLC		12,611,040		(4,239,946	)		(2,480,043	)		5,891,051
Morgan Stanley & Co. LLC		1,026,000		(1,026,000	)		—			—	*
Morgan Stanley Capital Services LLC		250,666		—			250,666			—
State Street Bank and Trust Company		2,357,478		—			2,357,478			—
UBS AG		326,882		—			326,882			—
Total	$	55,435,029	$	(25,346,872	)	$	4,867,638		$	15,750,311

175

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August 31, 2020 (Unaudited)

Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	126,804	$	—		$	126,804		$	—
Goldman Sachs International		117,329		—			117,329			—
Morgan Stanley & Co. International PLC		340,064		—			340,064			—
State Street Bank and Trust Company		1,578,378		(1,066,152	)		(2,682	)		509,544
UBS AG		5,102,797		(4,697,703	)		(195,733	)		209,361
Total	$	7,265,372	$	(5,763,855	)	$	385,782		$	718,905
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	279,700	$	—		$	(126,804	)	$	152,896
Goldman Sachs International		218,411		—			(117,329	)		101,082
JPMorgan Chase Bank, N.A.		1,000,420		(957,987	)		—			42,433
Morgan Stanley & Co. International PLC		425,892		—			(340,064	)		85,828
State Street Bank and Trust Company		2,682		—			2,682			—
UBS AG		195,733		—			195,733			—
Total	$	2,122,838	$	(957,987	)	$	(385,782	)	$	382,239

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
Deutsche Bank AG	$	4,090	$	—		$	4,090		$	—
Morgan Stanley Capital Services LLC		107,096		(77,000	)		(23,064	)		7,032
Total	$	111,186	$	(77,000	)	$	(18,974	)	$	7,032
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.	$	11,834	$	—		$	—		$	11,834
Deutsche Bank AG		7,891		—			(4,090	)		3,801
Morgan Stanley Capital Services LLC		23,064		—			23,064			—
Total	$	42,789	$	—		$	18,974		$	15,635

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

176

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2020:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)			Swap Contracts ($)
Consolidated Alternative Allocation Fund		562,296,893		78,520,730		1,591,851		2,547			764,587,509
Benchmark-Free Fund		644,149,078		763,048,107		—		57	*		311,246,253
Global Asset Allocation Fund		—		55,137,455		—		—			—
Consolidated Implementation Fund		3,143,369,717		2,270,305,549		8,244,173		12,265			2,245,419,116
Consolidated SGM Major Markets Fund		284,503,220		181,802,544		—		—			—
Strategic Opportunities Allocation Fund		2,995,607		49,760,776		—		—			2,138,741

* During the period ended August 31, 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 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.

177

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III			Class IV			Class V		Class VI		Class MF		Class R6			Class I
Alternative Allocation Fund		0.22%*		0.15%	*		0.105%	*		0.085%*		0.055%				0.22%			0.22%
Benchmark-Free Allocation Fund				0.15%			0.10%							0.10%		0.15%			0.15%
SGM Major Markets Fund				0.15%			0.10%	*				0.055%				0.15%	*		0.15%	*
Special Opportunities Fund				0.15%	*		0.10%	*		0.085%*		0.055%

* Class is offered but has no shareholders as of August 31, 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

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

For the period ended August 31, 2020, GMO did not recoup any previously recorded waivers and/or reimbursements.

GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee to the extent necessary to offset the management fee and shareholder service fee paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

178

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

These contractual waivers and reimbursements will continue through at least June 30, 2021 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, 2021, 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 provided by financial intermediaries 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 for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders 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 for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of 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. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. 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 I shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

179

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		4,683		455
Benchmark-Free Allocation Fund		135,236		14,103
Benchmark-Free Fund		41,016		4,296
Global Asset Allocation Fund		23,914		2,496
Global Developed Equity Allocation Fund		1,243		151
Global Equity Allocation Fund		24,108		2,481
Consolidated Implementation Fund		110,386		11,366
International Developed Equity Allocation Fund		4,892		510
International Equity Allocation Fund		13,458		1,403
Consolidated SGM Major Markets Fund		11,637		1,291
Consolidated Special Opportunities Fund		4,953		526
Strategic Opportunities Allocation Fund		11,934		1,188

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 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		0.092%
Benchmark-Free Allocation Fund		0.208%	*
Benchmark-Free Fund		0.185%
Global Asset Allocation Fund		0.596%	*
Global Developed Equity Allocation Fund		0.526%
Global Equity Allocation Fund		0.570%
International Developed Equity Allocation Fund		0.615%
International Equity Allocation Fund		0.653%
Strategic Opportunities Allocation Fund		0.445%

* 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 period ended August 31, 2020, the Funds did not engage in these transactions.

180

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 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		120,473,848		279,158,556		13,806,660		278,682,422
Benchmark-Free Allocation Fund		—		636,251,419		—		2,071,741,929
Benchmark-Free Fund		539,587,831		971,499,562		523,328,942		1,297,549,808
Global Asset Allocation Fund		—		213,961,979		—		488,777,705
Global Developed Equity Allocation Fund		—		5,297,250		—		8,448,021
Global Equity Allocation Fund		—		128,476,974		—		117,101,929
Consolidated Implementation Fund		1,584,975,345		3,512,136,173		1,602,618,347		4,091,576,950
International Developed Equity Allocation Fund		—		5,939,925		—		119,237,256
International Equity Allocation Fund		—		43,523,686		—		162,811,582
Consolidated SGM Major Markets Fund		183,736,719		—		497,108,829		—
Consolidated Special Opportunities Fund		—		103,308,595		—		412,269,341
Strategic Opportunities Allocation Fund		5,976,971		204,183,638		18,346,883		303,106,403

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.

181

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

8. Principal shareholders and related parties as of August 31, 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		3	‡		88.45%		0.15%		46.58%
Benchmark-Free Allocation Fund		1			28.63%		1.32%		9.31%
Benchmark-Free Fund		1			10.47%		—		100.00%
Global Asset Allocation Fund		2	†		23.97%		0.05%		12.17%
Global Developed Equity Allocation Fund		3			92.62%		0.02%		—
Global Equity Allocation Fund		3			55.77%		0.01%		—
Implementation Fund		1	‡		100.00%		—		100.00%
International Developed Equity Allocation Fund		2			93.14%		0.01%		5.48%
International Equity Allocation Fund		4			74.70%		0.01%		1.49%
SGM Major Markets Fund		2	#		76.03%		0.70%		77.60%
Special Opportunities Fund		2	#		96.28%		0.80%		96.72%
Strategic Opportunities Allocation Fund		4			46.75%		0.01%		99.93%

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

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

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

9. Share transactions

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

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:(a)
Shares sold		584,257		$	11,122,489			10,854,051		$	216,921,996
Shares issued to shareholders in reinvestment of distributions		18,432			352,233			244,857			4,899,582
Shares repurchased		(2,144,056	)		(40,779,229	)		(775,804	)		(15,497,995	)
Net increase (decrease)		(1,541,367	)	$	(29,304,507	)		10,323,104		$	206,323,583
Class R6:(b)
Shares sold		23,853		$	461,090
Shares repurchased		(7	)		(131	)
Net increase (decrease)		23,846		$	460,959

182

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund (continued)
Class I:(c)
Shares sold		10,013,122		$	192,294,464			1,756,057		$	35,182,098
Shares issued to shareholders in reinvestment of distributions		4,829			92,182			22,166			443,534
Shares repurchased		(1,826,258	)		(34,473,728	)		(17,167	)		(340,795	)
Net increase (decrease)		8,191,693		$	157,912,918			1,761,056		$	35,284,837
Benchmark-Free Allocation Fund
Class III:
Shares sold		1,725,471		$	40,543,332			24,257,167		$	640,075,459
Shares issued to shareholders in reinvestment of distributions		861,127			21,399,016			4,613,259			124,178,972
Shares repurchased		(33,718,701	)		(800,297,434	)		(56,749,593	)		(1,517,816,871	)
Net increase (decrease)		(31,132,103	)	$	(738,355,086	)		(27,879,167	)	$	(753,562,440	)
Class IV:
Shares sold		3,048,182		$	72,474,288			7,923,022		$	212,654,200
Shares issued to shareholders in reinvestment of distributions		468,741			11,648,211			2,512,433			67,603,590
Shares repurchased		(6,906,263	)		(163,639,955	)		(32,635,505	)		(860,251,221	)
Net increase (decrease)		(3,389,340	)	$	(79,517,456	)		(22,200,050	)	$	(579,993,431	)
Class MF:
Shares sold		371,656		$	9,262,629			803,494		$	21,189,670
Shares issued to shareholders in reinvestment of distributions		625,584			15,558,280			4,026,104			108,452,767
Shares repurchased		(30,406,092	)		(729,477,034	)		(43,051,526	)		(1,147,137,535	)
Net increase (decrease)		(29,408,852	)	$	(704,656,125	)		(38,221,928	)	$	(1,017,495,098	)
Class R6:(d)
Shares sold		1,776,402		$	44,273,660
Shares issued to shareholders in reinvestment of distributions		2,523			62,670
Shares repurchased		(48,223	)		(1,172,536	)
Net increase (decrease)		1,730,702		$	43,163,794
Class I:(e)
Shares sold		2,068,932		$	50,360,274			3,946,657		$	105,678,811
Shares issued to shareholders in reinvestment of distributions		35,549			882,688			77,829			2,094,391
Shares repurchased		(580,450	)		(14,211,323	)		(166,498	)		(4,455,002	)
Net increase (decrease)		1,524,031		$	37,031,639			3,857,988		$	103,318,200
Benchmark-Free Fund
Class III:
Shares sold		3,336,415		$	55,562,138			1,317,983		$	25,892,943
Shares issued to shareholders in reinvestment of distributions		386,534			7,127,690			5,386,720			108,505,171
Shares repurchased		(25,721,014	)		(471,855,919	)		(31,708,368	)		(626,946,188	)
Net increase (decrease)		(21,998,065	)	$	(409,166,091	)		(25,003,665	)	$	(492,548,074	)

183

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:
Shares sold		797,238		$	23,479,968			1,000,287		$	32,203,398
Shares issued to shareholders in reinvestment of distributions		208,997			6,581,327			1,786,325			59,695,328
Shares repurchased		(9,564,724	)		(287,089,715	)		(14,588,483	)		(474,038,279	)
Net increase (decrease)		(8,558,489	)	$	(257,028,420	)		(11,801,871	)	$	(382,139,553	)
Class R6:(f)
Shares sold		14,228		$	427,171			607,847		$	19,935,268
Shares issued to shareholders in reinvestment of distributions		2,829			89,097			15,735			527,446
Shares repurchased		(93,472	)		(2,769,679	)		(55,676	)		(1,850,896	)
Net increase (decrease)		(76,415	)	$	(2,253,411	)		567,906		$	18,611,818
Global Developed Equity Allocation Fund
Class III:
Shares sold		—		$	—			1,268		$	27,967
Shares issued to shareholders in reinvestment of distributions		5,696			119,211			446,904			9,818,537
Shares repurchased		(241,042	)		(4,272,493	)		(18,054,457	)		(382,052,946	)
Net increase (decrease)		(235,346	)	$	(4,153,282	)		(17,606,285	)	$	(372,206,442	)
Global Equity Allocation Fund
Class III:
Shares sold		1,178,155		$	27,619,962			2,875,035		$	74,723,516
Shares issued to shareholders in reinvestment of distributions		96,178			2,364,062			1,937,148			52,274,016
Shares repurchased		(1,638,146	)		(38,882,361	)		(11,553,457	)		(298,075,823	)
Net increase (decrease)		(363,813	)	$	(8,898,337	)		(6,741,274	)	$	(171,078,291	)
Class R6:(g)
Shares sold		229,093		$	5,773,070
Shares repurchased		(6,454	)		(163,674	)
Net increase (decrease)		222,639		$	5,609,396
Class I:(h)
Shares sold		2,214		$	57,825
Net increase (decrease)		2,214		$	57,825
Consolidated Implementation Fund
Core Class:
Shares sold		42,501,039		$	501,494,533			45,504,277		$	615,547,348
Shares issued to shareholders in reinvestment of distributions		1,258,715			15,205,272			22,932,913			310,939,020
Shares repurchased		(103,868,841	)		(1,218,316,811	)		(188,088,082	)		(2,520,911,268	)
Purchase premiums		—			—			—			—
Redemption fees		—			—			—			—
Net increase (decrease)		(60,109,087	)	$	(701,617,006	)		(119,650,892	)	$	(1,594,424,900	)

184

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
International Developed Equity Allocation Fund
Class III:
Shares sold		1,241,659		$	15,669,554			2,432,306		$	36,078,936
Shares issued to shareholders in reinvestment of distributions		24,459			353,918			803,039			12,819,179
Shares repurchased		(9,025,746	)		(129,789,586	)		(21,571,600	)		(331,589,749	)
Net increase (decrease)		(7,759,628	)	$	(113,766,114	)		(18,336,255	)	$	(282,691,634	)
International Equity Allocation Fund
Class III:
Shares sold		80,771		$	2,185,345			247,154		$	7,467,402
Shares issued to shareholders in reinvestment of distributions		67,152			1,864,131			931,484			28,142,608
Shares repurchased		(5,327,376	)		(129,318,440	)		(10,725,589	)		(294,708,095	)
Net increase (decrease)		(5,179,453	)	$	(125,268,964	)		(9,546,951	)	$	(259,098,085	)
Class R6:(i)
Shares sold		219,705		$	5,024,895			8,056,830		$	218,098,392
Shares issued to shareholders in reinvestment of distributions		28,283			784,848			291,593			8,867,347
Shares repurchased		(35	)		(1,026	)		(687,274	)		(20,900,000	)
Net increase (decrease)		247,953		$	5,808,717			7,661,149		$	206,065,739
Consolidated SGM Major Markets Fund
Class III:
Shares sold		36,960		$	1,198,760			525,054		$	16,975,147
Shares issued to shareholders in reinvestment of distributions		24			770			7,014			225,366
Shares repurchased		(23,220	)		(749,658	)		(1,348,349	)		(42,435,255	)
Net increase (decrease)		13,764		$	449,872			(816,281	)	$	(25,234,742	)
Class IV:(j)
Shares sold								—		$	—
Shares issued to shareholders in reinvestment of distributions								5,236			167,985
Shares repurchased								(721,896	)		(23,005,950	)
Net increase (decrease)								(716,660	)	$	(22,837,965	)
Class VI:
Shares sold		2,237,378		$	71,567,527			1,257,758		$	40,323,424
Shares issued to shareholders in reinvestment of distributions		9,062			291,957			477,353			15,034,172
Shares repurchased		(19,512,196	)		(624,006,993	)		(11,128,347	)		(354,021,072	)
Net increase (decrease)		(17,265,756	)	$	(552,147,509	)		(9,393,236	)	$	(298,663,476	)
Consolidated Special Opportunities Fund
Class VI:
Shares sold		4,555,245		$	62,088,000			126,580		$	2,408,910
Shares issued to shareholders in reinvestment of distributions		3,151,013			84,620,116			2,552,208			44,327,184
Shares repurchased		(15,978,378	)		(337,490,710	)		(7,471,715	)		(143,105,055	)
Purchase premiums		—			312,000			—			12,105
Redemption fees		—			1,329,904			—			715,525
Net increase (decrease)		(8,272,120	)	$	(189,140,690	)		(4,792,927	)	$	(95,641,331	)

185

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

	Six Months Ended August 31, 2020 (Unaudited)						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Strategic Opportunities Allocation Fund
Class III:
Shares sold		1,574,726		$	25,857,003			2,855,111		$	54,190,000
Shares issued to shareholders in reinvestment of distributions		430,029			8,054,446			1,875,730			38,161,859
Shares repurchased		(7,455,475	)		(136,800,986	)		(10,966,560	)		(216,222,583	)
Net increase (decrease)		(5,450,720	)	$	(102,889,537	)		(6,235,719	)	$	(123,870,724	)

^(a)  The period under the heading “Year Ended February 29, 2020” represents the period from May 1, 2019 (commencement of operations) through February 29, 2020.

^(b)  The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from July 31, 2020 (commencement of operations) through August 31, 2020.

^(c)  The period under the heading “Year Ended February 29, 2020 “represents the period from September 4, 2019 (commencement of operations) through February 29, 2020.

^(d)  The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from May 1, 2020 (commencement of operations) through August 31, 2020.

^(e)  The period under the heading “Year Ended February 29, 2020 “represents the period from August 8, 2019 (commencement of operations) through February 29, 2020.

^(f)  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.

^(g)  The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from July 15, 2020 (commencement of operations) through August 31, 2020.

^(h)  The period under the heading “Six Months Ended August 31, 2020 (Unaudited)” represents the period from August, 17, 2020 (commencement of operations) through August 31, 2020.

⁽ⁱ⁾  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.

^(j)  For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

186

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 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 Emerging Markets Fund, Class VI	$	13,595,699	$	8,375,000	$	1,655,000	$	114,884		$	—	$	(27,919	)	$	1,083,248		$	21,371,028
GMO International Equity Fund, Class IV		9,097,096		5,610,000		1,165,000		40,733			—		(120,759	)		896,907			14,318,244
GMO Resources Fund, Class IV		6,568,271		4,300,000		1,300,000		4,007			—		(124,774	)		2,819,311			12,262,808
GMO U.S. Treasury Fund		—		3,000,000		—		49			—		—			—			3,000,000
Totals	$	29,261,066	$	21,285,000	$	4,120,000	$	159,673		$	—	$	(273,452	)	$	4,799,466		$	50,952,080
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	264,983,913	$	6,689,062	$	17,225,929	$	3,773,746		$	2,915,316	$	(59,582	)	$	(4,660,141	)	$	249,727,323
GMO High Yield Fund, Class VI		110,184,438		670,111		34,400,000		608,301			61,810		(532,087	)		347,515			76,269,977
GMO Implementation Fund		7,114,226,325		516,699,804		1,218,316,811		15,205,272			—		(83,444,419	)		(319,577,384	)		6,009,587,515
GMO Opportunistic Income Fund, Class VI		446,590,600		3,984,656		79,028,303		3,984,656			—		2,078,399			(7,871,276	)		365,754,076
GMO SGM Major Markets Fund, Class VI		664,643,917		207,991		487,983,785		207,991			—		(44,207,551	)		68,771,020			201,431,592
GMO Special Opportunities Fund, Class VI		195,830,895		107,999,795		234,787,101		—			57,999,795		28,680,220			108,513,625			206,237,434
Totals	$	8,796,460,088	$	636,251,419	$	2,071,741,929	$	23,779,966		$	60,976,921	$	(97,485,020	)	$	(154,476,641	)	$	7,109,007,917
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	88,839,361	$	2,339,588	$	2,956,718	$	1,319,917		$	1,019,671	$	107,907		$	(1,610,265	)	$	86,719,873
GMO Emerging Markets Fund, Class VI		277,719,859		1,315,877		131,140,000		1,315,877			—		22,281,408			(12,638,454	)		157,538,690
GMO Opportunistic Income Fund, Class VI		174,387,661		1,667,064		38,700,000		1,667,064			—		1,314,501			(3,681,578	)		134,987,648
GMO SGM Major Markets Fund, Class VI		119,656,426		59,062,349		131,599,924		62,349			—		3,726,904			3,142,134			53,987,889
GMO Special Opportunities Fund, Class VI		81,623,064		36,444,406		94,497,915		—			24,344,406		5,795,366			54,404,807			83,769,728
GMO U.S. Treasury Fund		1,849,041		85,622,047		82,104,853		—	**		—		46,769			(3,673	)		5,409,331
Totals	$	744,075,412	$	186,451,331	$	480,999,410	$	4,365,207		$	25,364,077	$	33,272,855		$	39,612,971		$	522,413,159

187

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	162,822,665	$	7,538,183	$	37,200,730	$	273,248	$	—	$	(1,773,627	)	$	688,933		$	132,075,424
GMO Asset Allocation Bond Fund, Class VI		122,351,825		4,671,342		44,100,257		193,289		—		447,991			3,996,179			87,367,080
GMO Cyclical Focus Fund, Class IV		—		38,860,000		—		—		—		—			7,383,400			46,243,400
GMO Emerging Country Debt Fund, Class IV		57,278,855		2,520,534		8,181,174		756,837		584,677		357,505			(1,265,400	)		50,710,320
GMO Emerging Markets Fund, Class VI		306,807,240		8,629,698		63,516,851		1,504,007		—		13,138,076			(2,839,848	)		262,218,315
GMO International Equity Fund, Class IV		375,344,309		59,395,591		151,382,819		836,506		—		(702,118	)		8,706,747			291,361,710
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		234,253,275		13,904,082		62,424,884		—		5,908,863		3,884,665			(4,034,781	)		185,582,357
GMO Opportunistic Income Fund, Class VI		33,470,164		291,017		6,672,935		291,017		—		277,765			(613,634	)		26,752,377
GMO Quality Fund, Class VI		29,476,103		949,285		6,505,714		79,376		869,909		612,534			2,526,355			27,058,563
GMO Risk Premium Fund, Class VI		31,514,461		639,164		13,772,747		90,479		548,686		(3,393,243	)		(78,146	)		14,909,489
GMO U.S. Equity Fund, Class VI		116,800,239		13,993,882		29,877,349		533,897		6,835,412		(556,767	)		6,887,469			107,247,474
GMO U.S. Small Cap Value Fund, Class VI		86,440,407		9,339,144		15,941,238		161,901		—		(724,161	)		75,398			79,189,550
GMO U.S. Treasury Fund		725,851		53,230,057		49,193,958		10,050		—		47,541			(2,818	)		4,806,673
Totals	$	1,557,285,394	$	213,961,979	$	488,770,656	$	4,730,607	$	14,747,547	$	11,616,161		$	21,429,854		$	1,315,522,732
Global Developed Equity Allocation Fund
GMO Cyclical Focus Fund, Class IV	$	—	$	3,110,000	$	—	$	—	$	—	$	—		$	590,900		$	3,700,900
GMO Emerging Markets Fund, Class VI		7,608,658		38,586		701,371		38,586		—		53,925			146,616			7,146,414
GMO International Equity Fund, Class IV		36,181,574		94,542		2,552,514		94,542		—		(435,119	)		1,341,657			34,630,140
GMO Quality Fund, Class VI		9,214,489		300,767		1,312,995		25,149		275,618		(28,093	)		932,082			9,106,250
GMO U.S. Equity Fund, Class VI		13,571,810		706,129		3,731,676		51,158		654,971		(1,082,391	)		1,503,885			10,967,757
GMO U.S. Small Cap Value Fund, Class VI		6,770,087		1,047,226		149,465		15,306		—		(66,471	)		320,413			7,921,790
Totals	$	73,346,618	$	5,297,250	$	8,448,021	$	224,741	$	930,589	$	(1,558,149	)	$	4,835,553		$	73,473,251

188

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Equity Allocation Fund
GMO Cyclical Focus Fund, Class IV	$	—	$	66,600,000	$	—	$	—		$	—	$	—		$	12,654,000		$	79,254,000
GMO Emerging Markets Fund, Class VI		405,390,168		6,926,324		30,137,348		2,146,686			—		5,600,324			9,170,435			396,949,903
GMO International Equity Fund, Class IV		608,303,007		12,227,219		41,823,677		1,633,486			—		(1,421,485	)		20,831,516			598,116,580
GMO Quality Fund, Class VI		197,661,153		10,011,004		15,598,790		588,626			6,450,933		152,141			23,069,440			215,294,948
GMO U.S. Equity Fund, Class VI		107,094,199		8,375,756		24,545,001		441,378			5,650,895		(1,095,406	)		6,298,935			96,128,483
GMO U.S. Small Cap Value Fund, Class VI		137,186,837		24,336,671		4,997,113		317,693			—		894,720			5,097,734			162,518,849
Totals	$	1,455,635,364	$	128,476,974	$	117,101,929	$	5,127,869		$	12,101,828	$	4,130,294		$	77,122,060		$	1,548,262,763
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	6,103,201	$	241,443,815	$	215,483,747	$	—	**	$	—	$	121,961		$	(11,987	)	$	32,173,243
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	30,679,613	$	1,406,077	$	13,908,456	$	161,609		$	—	$	1,371,580		$	(444,422	)	$	19,104,392
GMO International Equity Fund, Class IV		266,698,094		4,533,848		105,328,800		734,291			—		909,445			6,620,706			173,433,293
Totals	$	297,377,707	$	5,939,925	$	119,237,256	$	895,900		$	—	$	2,281,025		$	6,176,284		$	192,537,685
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	306,462,975	$	33,423,572	$	53,574,249	$	1,428,821		$	—	$	5,343,210		$	(15,857	)	$	291,639,651
GMO International Equity Fund, Class IV		550,104,514		10,100,114		109,237,334		1,367,771			—		(16,325,741	)		25,520,898			460,162,451
Totals	$	856,567,489	$	43,523,686	$	162,811,583	$	2,796,592		$	—	$	(10,982,531	)	$	25,505,041		$	751,802,102
Strategic Opportunities Allocation Fund
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV	$	67,321,337	$	1,689,789	$	17,386,119	$	—		$	1,689,789	$	425,167		$	(666,047	)	$	51,384,127
GMO Emerging Country Debt Fund, Class IV		27,054,909		712,492		592,362		401,964			310,528		(17,492	)		(439,669	)		26,717,878
GMO Emerging Markets Fund, Class VI		182,753,835		973,913		31,145,000		973,913			—		8,617,780			(648,580	)		160,551,948
GMO International Equity Fund, Class IV		198,303,123		17,284,319		87,662,481		492,668			—		(3,728,758	)		9,069,721			133,265,924
GMO Opportunistic Income Fund, Class VI		21,226,892		195,627		2,653,377		195,627			—		117,157			(330,351	)		18,555,948
GMO Quality Fund, Class VI		57,387,212		1,480,564		22,195,000		123,801			1,356,763		81,230			3,156,635			39,910,641
GMO U.S. Equity Fund, Class VI		28,351,515		1,788,676		7,075,000		129,587			1,659,089		(1,166,127	)		2,612,193			24,511,257
GMO U.S. Small Cap Value Fund, Class VI		53,392,571		5,428,680		9,850,000		108,627			—		285,990			(18,323	)		49,238,918
GMO U.S. Treasury Fund		5,804,477		74,712,149		71,954,058		16,183			—		50,141			(11,551	)		8,601,158
Totals	$	641,595,871	$	104,266,209	$	250,513,397	$	2,442,370		$	5,016,169	$	4,665,088		$	12,724,028		$	512,737,799

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2020 through August 31, 2020. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2021.

** 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 $32,137 and $83,028 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

189

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Notes to Financial Statements — (Continued)

August 31, 2020 (Unaudited)

11. Subsequent events

On September 14, 2020, Form N-14 filed with the SEC by Benchmark-Free Allocation Series Fund, Global Asset Allocation Series Fund, International Developed Equity Allocation Series Fund and International Equity Allocation Series Fund became effective. The combined proxy statement/prospectus outlines the proposal for a reorganization of the series of GMO Series Trust listed above to be reorganized with and into the corresponding series of GMO Trust.

190

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2020 (Unaudited)

GMO Alternative Allocation Fund

Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

191

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing and supplemental support fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

192

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees the Fund pays GMO the management fees, shareholder servicing fees and most other expenses borne by those other underlying GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

193

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund

194

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

195

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

196

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its

197

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees considered the fact that the Fund does not pay GMO any fees.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

198

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to those accounts. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

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

199

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

200

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered

201

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to fees received by GMO for providing sub-advisory services to a fund managed by a third party and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by GMO to the Fund and to the third-party fund and to those other vehicles and accounts, as well as differences in the business and other risks borne by GMO in managing the Fund relative to the risks borne by GMO in managing third party funds and those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Special Opportunities Fund

Approval of renewal of management agreement for GMO Special Opportunities Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

202

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

203

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 4, 2020, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2020 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 14, 2020, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from GMO, which they received before and at a meeting of the Trustees on June 4, 2020. At the June meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that advises the Fund. The Trustees discussed how a fund pursuing similar investment strategies to those of the Fund might be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expense ratio (i.e., annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests.    The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational and technology services. The Trustees also considered the effects of the COVID-19 pandemic on various aspects of GMO’s operations, including portfolio management, marketing, distribution and data security, and expressed overall satisfaction with the way GMO’s business continuity plan had facilitated the continuation of operations during the pandemic.

The Trustees also reviewed information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and considered the results of different approaches to calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered possible economies of scale to GMO at the Fund’s recent asset levels and whether the fees payable by the Fund to GMO reflected these economies of scale.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment management personnel and legal, compliance, and risk-management personnel), noting personnel changes made during the past year and earlier. The Trustees also considered the resources GMO employed in managing the Fund, GMO’s organization, its

204

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2020 (Unaudited)

reputation and relationship with Fund shareholders, its risk management policies, and other matters relating to GMO and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

205

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2020 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 24, 2020 addressing the Program’s operation, adequacy and effectiveness.

206

GMO Trust Funds

Fund Expenses

August 31, 2020 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 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, March 1, 2020 through August 31, 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 March 1, 2020		Ending Account Value August 31, 2020*		Expenses Paid During the Period*		Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020*		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$999.00		$6.65		$1,000.00		$1,018.55		$6.72		1.32%
Class R6(a)		$1,000.00		$1,001.60		$1.47		$1,000.00		$1,016.48		$8.79		1.73%
Class I		$1,000.00		$997.40		$8.11		$1,000.00		$1,017.09		$8.19		1.61%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$988.30		$4.51		$1,000.00		$1,020.67		$4.58		0.90%
Class IV		$1,000.00		$988.40		$4.26		$1,000.00		$1,020.92		$4.33		0.85%
Class MF		$1,000.00		$988.40		$4.26		$1,000.00		$1,020.92		$4.33		0.85%
Class R6(b)		$1,000.00		$1,053.30		$3.12		$1,000.00		$1,020.62		$4.63		0.91%
Class I		$1,000.00		$987.40		$5.01		$1,000.00		$1,020.16		$5.09		1.00%
Benchmark-Free Fund
Class III		$1,000.00		$982.20		$1.25		$1,000.00		$1,023.95		$1.28		0.25%
Global Asset Allocation Fund
Class III		$1,000.00		$1,039.10		$3.08		$1,000.00		$1,022.18		$3.06		0.60%
Class R6		$1,000.00		$1,039.10		$3.08		$1,000.00		$1,022.18		$3.06		0.60%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,075.90		$2.77		$1,000.00		$1,022.53		$2.70		0.53%
Global Equity Allocation Fund
Class III		$1,000.00		$1,067.90		$2.97		$1,000.00		$1,022.33		$2.91		0.57%
Class R6(c)		$1,000.00		$1,031.40		$0.75		$1,000.00		$1,022.33		$2.91		0.57%
Class I(d)		$1,000.00		$993.90		$0.26		$1,000.00		$1,021.83		$3.41		0.67%

207

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2020 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020*		Expenses Paid During the Period*		Beginning Account Value March 1, 2020		Ending Account Value August 31, 2020*		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core		$1,000.00		$948.90		$0.54		$1,000.00		$1,024.65		$0.56		0.11%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,043.60		$3.19		$1,000.00		$1,022.08		$3.16		0.62%
International Equity Allocation Fund
Class III		$1,000.00		$1,046.00		$3.35		$1,000.00		$1,021.93		$3.31		0.65%
Class R6		$1,000.00		$1,046.00		$3.35		$1,000.00		$1,021.93		$3.31		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$1,069.20		$5.27		$1,000.00		$1,020.11		$5.14		1.01%
Class VI		$1,000.00		$1,069.70		$4.75		$1,000.00		$1,020.62		$4.63		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$2,667.40		$11.37		$1,000.00		$1,019.01		$6.26		1.23%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,036.90		$2.52		$1,000.00		$1,022.74		$2.50		0.49%

^*  Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2020, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

^(a)  For the period July 31, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 31 days in the period, divided by 365 days in the year.

^(b)  For the period May 1, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 122 days in the period, divided by 365 days in the year.

^(c)  For the period July 15, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 47 days in the period, divided by 365 days in the year.

^(d)  For the period August 17, 2020 (commencement of operations) through August 31, 2020, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2020, multiplied by the average account value over the period, multiplied by 14 days in the period, divided by 365 days in the year.

208

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer
	Date:   October 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.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Executive Officer
	Date:   October 30, 2020
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date:   October 30, 2020