N-CSR

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)

Tara Pari, 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: 02/28/21

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 28, 2021 are filed herewith.

GMO Trust

Annual Report

February 28, 2021

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

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO

Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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

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

TABLE OF CONTENTS

Asset Allocation Bond Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance	6
Performance Graph	7
Investment Concentration Summary	8
Schedule of Investments	9
High Yield Fund
Management Discussion and Analysis of Fund Performance	22
Performance Graph	23
Investment Concentration Summary	24
Schedule of Investments	25
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Management Discussion and Analysis of Fund Performance	30
Performance Graph	31
Investment Concentration Summary	32
Schedule of Investments	33
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance	38
Performance Graph	39
Investment Concentration Summary	40
Schedule of Investments	41
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance	52
Performance Graph	53
Investment Concentration Summary	54
Schedule of Investments	55
Portfolio, Counterparty and Currency Abbreviations	56
Fund Financial Statements:
Statements of Assets and Liabilities	57
Statements of Operations	61
Statements of Changes in Net Assets	63
Financial Highlights	66
Notes to Financial Statements	72
Report of Independent Registered Public Accounting Firm	118
Fund Expenses	119
Tax Information	120
Trustees and Officers	121

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned +6.33% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

The Fund’s position in Treasury Inflation-Protected Securities drove the vast majority of gains during the fiscal year, as real 10-year yields plummeted from -0.28% at the start of the period to an incredible -0.71% at the end of the period.

The Fund also had a modest exposure to short-dated U.S. Treasuries, and these made a small positive contribution to performance.

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

2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and VI the gross expense ratio of 0.46% and 0.37%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.40% and 0.31% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		95.5	%
Mutual Funds		4.2
Short-Term Investments		0.3
Other		0.0	^
		100.0	%

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

^ Rounds to 0.0%.

4

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 95.5%
		U.S. Government — 95.5%
	8,178,071	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		9,066,158
	10,410,878	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		11,678,891
	15,054,030	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		18,250,659
	6,282,486	U.S. Treasury Inflation Indexed Bond, 0.75%, due 07/15/28 (a)		7,214,675
	11,370,925	U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 (a)		13,158,959
	17,015,873	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		21,981,384
	16,399,260	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/30 (a)		17,906,583
	14,424,644	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/30 (a)		15,800,056
		Total U.S. Government		115,057,365
		TOTAL DEBT OBLIGATIONS (COST $105,455,986)		115,057,365

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 4.2%
		United States — 4.2%
		Affiliated Issuers — 4.2%
	992,229	GMO U.S. Treasury Fund		5,000,835
		TOTAL MUTUAL FUNDS (COST $5,000,835)		5,000,835
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	416,065	State Street Institutional Treasury Money Market Fund-Premier Class, 0.01% (b)		416,065
		TOTAL SHORT-TERM INVESTMENTS (COST $416,065)		416,065
		TOTAL INVESTMENTS — 100.0% (Cost $110,872,886)		120,474,265
		Other Assets and Liabilities (net) — (0.0%)		(18,193	)
		TOTAL NET ASSETS — 100.0%		$120,456,072

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 56.

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned +2.67% (net) for the fiscal year ended February 28, 2021, as compared with +0.91% for the J.P. Morgan EMBI Global Diversified + (EMBIGD). As of March 1, 2020, the Fund changed its benchmark so that the Fund now seeks total return in excess of that of the EMBIGD, which GMO believes to be a more appropriate benchmark in light of the Fund’s investment strategy. The Fund formerly sought to outperform the J.P. Morgan Emerging Markets Bond Index Global (EMBIG).

EMBIGD’s spread over U.S. Treasuries tightened by 15 basis points to 359 basis points during the fiscal year, while the yield on the 10-year U.S. Treasury bond rose by 26 basis points to 1.40%.

The Fund had positive alpha from country selection during the fiscal year, driven by gains from overweights in Turkey, Oman, and Ukraine, and underweights in Angola, and Lebanon. While only partly offsetting these gains, the Fund’s overweights in Argentina, Belize, and Ecuador, and underweight in Qatar detracted alpha during the fiscal year.

In terms of security selection, gains from the choice of holdings in Ecuador, Argentina, and Qatar drove positive alpha, followed by smaller contributions from security selection in Brazil and Mexico. Negative alpha from security selection in Tunisia, Turkey, and Egypt only partly offsets these gains. The Fund had negative alpha from holding of bonds in off-benchmark countries, which we consider security selection. The most notable country in this category was Venezuela, followed by Israel and Grenada.

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

6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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

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

and the J.P. Morgan EMBI Global

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 1.00% on the purchase and 1.00% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

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

* As of March 1, 2020, the Emerging Country Debt Fund changed its benchmark so that the Fund now seeks total return in excess of that of the J.P. Morgan Emerging Markets Bond Index Global Diversified. The Fund formerly sought to outperform the J.P. Morgan Emerging Markets Bond Index Global. In order to present a performance comparison that tracks changes in the Fund’s benchmark over time, the J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) is shown in the graph above and reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

For Class III and IV the gross expense ratio of 0.54% and 0.49%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.54% and 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		92.7	%
Short-Term Investments		3.5
Loan Participations		0.9
Loan Assignments		0.6
Rights/Warrants		0.4
Swap Contracts		0.3
Written Options/Credit Linked Options		0.0	^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.2	)
Other		1.8
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		17.9	%*
Mexico		7.2
Turkey		5.4
Saudi Arabia		4.6
South Africa		4.5
Indonesia		4.1
Oman		4.0
Egypt		3.5
Ukraine		3.3
Bahrain		3.1
Brazil		2.7
Dominican Republic		2.7
Russia		2.7
Argentina		2.6
Chile		2.6
Tunisia		2.6
United Arab Emirates		2.5
Qatar		2.2
Peru		2.1
Ecuador		1.9
Jordan		1.9
Panama		1.7
Sri Lanka		1.6
Colombia		1.5
Kenya		1.5
Ivory Coast		1.5
Kazakhstan		1.4
Costa Rica		1.2
India		1.1
Philippines		1.1
El Salvador		1.0
Nigeria		1.0
Romania		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. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security.

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

^ Rounds to 0.0%.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.7%
		Albania — 1.1%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		45,258,659
		Angola — 0.3%
		Foreign Government Obligations
	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		7,759,281
	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,290,313
		Total Angola		13,049,594
		Argentina — 2.8%
		Foreign Government Obligations
	11,490,713	Republic of Argentina, 1.00%, due 07/09/29		4,522,212
	23,333,493	Republic of Argentina, Step Up, 0.13%, due 07/09/30		8,487,558
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d)		910,404
	56,547,942	Republic of Argentina, Step Up, 0.13%, due 07/09/35		18,095,341
	72,008,994	Republic of Argentina, Step Up, 0.13%, due 01/09/38		26,462,749
JPY	323,575,000	Republic of Argentina, 0.67%, due 12/31/38 (c) (d)		605,214
	142,761,240	Republic of Argentina, Step Up, 0.13%, due 07/09/41		49,155,294
	34,047,000	Republic of Argentina, Step Up, 0.13%, due 07/09/46		10,873,761
		Total Argentina		119,112,533
		Armenia — 0.7%
		Corporate Debt — 0.5%
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		19,700,000
		Foreign Government Obligations — 0.2%
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,444,681
	7,900,000	Republic of Armenia, 144A, 3.60%, due 02/02/31		7,260,594
				9,705,275
		Total Armenia		29,405,275
		Azerbaijan — 1.3%
		Foreign Government Agency — 0.7%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		11,103,300
	18,950,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		19,400,062
				30,503,362

Par Value†		Description	Value ($)
		Azerbaijan — continued
		Foreign Government Obligations — 0.6%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,624,350
		Total Azerbaijan		53,127,712
		Bahamas — 0.8%
		Foreign Government Obligations
	14,069,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		13,383,136
	6,163,000	Bahamas Government International Bond, Reg S, 6.95%, due 11/20/29		6,066,703
	13,300,000	Bahamas Government International Bond, 144A, 8.95%, due 10/15/32		14,156,188
		Total Bahamas		33,606,027
		Bahrain — 1.7%
		Foreign Government Obligations
	65,290,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		70,717,231
		Barbados — 0.5%
		Foreign Government Obligations
	14,400,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		14,652,000
	7,600,000	Barbados Government International Bond, 144A, 6.50%, due 10/01/29		7,733,000
		Total Barbados		22,385,000
		Belarus — 0.4%
		Foreign Government Agency — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24		8,410,748
		Foreign Government Obligations — 0.2%
	7,500,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		7,321,875
		Total Belarus		15,732,623
		Belize — 0.5%
		Foreign Government Obligations
	53,485,866	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		21,728,633
		Benin — 0.1%
		Foreign Government Obligations
EUR	3,000,000	Benin Government International Bond, 144A, 6.88%, due 01/19/52		3,746,340
		Bermuda — 0.2%
		Foreign Government Obligations
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		8,350,866

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)

February 28, 2021

Par Value†		Description	Value ($)
		Bolivia — 0.2%
		Foreign Government Obligations
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e)		8,205,250
		Brazil — 2.1%
		Corporate Debt — 0.6%
	2,600,000	Guara Norte Sarl, 144A, 5.20%, due 06/15/34		2,644,720
	21,992,477	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		23,923,416
				26,568,136
		Foreign Government Agency — 1.0%
	40,039,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		43,542,412
		Foreign Government Obligations — 0.5%
	19,800,000	Republic of Brazil, 4.75%, due 01/14/50		18,543,938
		Total Brazil		88,654,486
		Cameroon — 0.3%
		Foreign Government Obligations
	10,300,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		11,120,781
		Chile — 2.3%
		Corporate Debt — 0.6%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (a)		27,230,315
		Foreign Government Agency — 1.7%
	8,700,000	Corp Nacional del Cobre de Chile, 144A, 3.70%, due 01/30/50		8,599,406
	24,100,000	Empresa de Transporte de Pasajeros Metro SA, Reg S, 4.70%, due 05/07/50		28,498,250
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		9,396,000
	23,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		25,390,235
				71,883,891
		Total Chile		99,114,206
		China — 0.5%
		Foreign Government Agency
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		14,146,750
	7,300,000	Oryx Funding Ltd., 144A, 5.80%, due 02/03/31		7,600,614
		Total China		21,747,364

Par Value†		Description	Value ($)
		Colombia — 1.8%
		Foreign Government Agency — 1.6%
	45,411,000	Ecopetrol SA, 7.38%, due 09/18/43		56,343,698
	2,800,000	Ecopetrol SA, 5.88%, due 05/28/45		3,008,824
COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,663,765
				68,016,287
		Foreign Government Obligations — 0.2%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		767,504
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		5,458,776
				6,226,280
		Total Colombia		74,242,567
		Congo Republic (Brazzaville) — 1.1%
		Foreign Government Obligations
	63,057,932	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		48,022,556
		Costa Rica — 1.2%
		Foreign Government Agency — 0.1%
	3,798,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,184,386
		Foreign Government Obligations — 1.1%
	10,200,000	Costa Rica Government International Bond, Reg S, 9.20%, due 08/26/26		11,433,562
	34,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		34,079,794
				45,513,356
		Total Costa Rica		48,697,742
		Czech Republic — 0.1%
		Foreign Government Agency
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,234,690
		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.3%
	10,544,944	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		10,871,179
		Foreign Government Obligations — 2.7%
	16,587,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,075,453
DOP	1,500,000,000	Dominican Republic International Bond, 144A, 10.38%, due 01/11/30		29,037,324
	12,100,000	Dominican Republic International Bond, 144A, 5.30%, due 01/21/41		11,873,125
	56,000,000	Dominican Republic International Bond, 144A, 5.88%, due 01/30/60		54,197,500
				115,183,402
		Total Dominican Republic		126,054,581

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)

February 28, 2021

Par Value†		Description	Value ($)
		Ecuador — 2.4%
		Foreign Government Obligations
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		900,000
	8,246,892	Ecuador Government International Bond, Zero Coupon, 144A, due 07/31/30		3,422,460
	36,476,250	Ecuador Government International Bond, 144A, 0.50%, due 07/31/30		21,429,797
	101,887,125	Ecuador Government International Bond, 144A, 0.50%, due 07/31/35		46,358,642
	36,603,750	Ecuador Government International Bond, 144A, 0.50%, due 07/31/40		15,373,575
	19,150,729	Ecuador Social Bond Sarl, Zero Coupon, 144A, due 01/30/35		13,417,479
		Total Ecuador		100,901,953
		Egypt — 2.7%
		Foreign Government Obligations
	11,000,000	Egypt Government International Bond, 144A, 5.88%, due 02/16/31		10,587,500
	26,800,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		26,414,750
	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		24,704,375
	21,400,000	Egypt Government International Bond, 144A, 8.88%, due 05/29/50		22,750,875
	14,814,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		14,675,119
	15,100,000	Egypt Government International Bond, 144A, 7.50%, due 02/16/61		14,118,500
		Total Egypt		113,251,119
		El Salvador — 0.9%
		Foreign Government Obligations
	17,175,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		16,917,375
	21,300,000	El Salvador Government International Bond, 144A, 7.12%, due 01/20/50		19,702,500
		Total El Salvador		36,619,875
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		3,792,197
		Gabon — 0.3%
		Foreign Government Obligations
	14,000,000	Gabonese Republic, 144A, 6.63%, due 02/06/31		13,706,875
		Ghana — 0.9%
		Foreign Government Agency — 0.3%
	11,986,441	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		12,589,509

Par Value†		Description	Value ($)
		Ghana — continued
		Foreign Government Obligations — 0.6%
	13,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		12,703,438
	14,300,000	Republic of Ghana, 144A, 8.75%, due 03/11/61		13,687,781
				26,391,219
		Total Ghana		38,980,728
		Grenada — 0.2%
		Foreign Government Obligations
	10,926,188	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		8,085,379
		Guatemala — 0.4%
		Foreign Government Obligations
	1,965,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		2,765,737
	13,500,000	Republic of Guatemala, 144A, 6.13%, due 06/01/50		16,288,594
		Total Guatemala		19,054,331
		Honduras — 0.1%
		Foreign Government Obligations
	3,200,000	Honduras Government International Bond, 144A, 5.63%, due 06/24/30		3,508,000
		India — 1.2%
		Corporate Debt
	1,000,000	GMR Hyderabad International Airport Ltd, 144A, 4.75%, due 02/02/26		1,002,188
	21,140,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		20,413,312
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		30,099,094
		Total India		51,514,594
		Indonesia — 4.1%
		Foreign Government Agency — 3.1%
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		9,846,875
	3,700,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.45%, due 05/15/30		4,236,500
	15,000,000	Indonesia Asahan Aluminium Persero PT, 144A, 5.80%, due 05/15/50		17,418,750
	13,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		16,882,687
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,352,969
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		7,877,125
	4,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		5,008,406
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		17,608,000

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)

February 28, 2021

Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Agency — continued
	5,300,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 3.80%, due 06/23/50		5,283,438
	41,500,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		37,414,844
				130,929,594
		Foreign Government Obligations — 1.0%
	23,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		31,050,179
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		9,559,000
				40,609,179
		Total Indonesia		171,538,773
		Israel — 0.4%
		Foreign Government Agency
	12,323,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,868,350
		Ivory Coast — 0.9%
		Foreign Government Obligations
EUR	29,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		36,969,088
		Jamaica — 0.8%
		Corporate Debt — 0.1%
	6,251,000	TransJamaican Highway Ltd, Reg S, 5.75%, due 10/10/36		6,243,186
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		12,768,000
		Foreign Government Obligations — 0.4%
	11,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		15,754,375
		Total Jamaica		34,765,561
		Jordan — 1.2%
		Foreign Government Obligations
	47,395,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		51,393,953
		Kazakhstan — 1.0%
		Foreign Government Agency
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,386,250
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		4,489,700
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		25,440,906
		Total Kazakhstan		42,316,856

Par Value†		Description	Value ($)
		Kenya — 0.9%
		Foreign Government Obligations
	32,600,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		36,002,625
		Kuwait — 0.3%
		Corporate Debt
	2,300,000	Equate Petrochemical BV, Reg S, 4.25%, due 11/03/26		2,496,219
	9,200,000	MEGlobal Canada ULC, 144A, 5.88%, due 05/18/30		11,129,125
		Total Kuwait		13,625,344
		Lebanon — 0.4%
		Foreign Government Obligations
	15,000,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		1,916,625
	41,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		5,304,638
	18,800,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		2,385,250
	42,944,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		5,421,680
		Total Lebanon		15,028,193
		Malaysia — 0.6%
		Foreign Government Agency
	10,700,000	1MDB Global Investments Ltd, Reg S, 4.40%, due 03/09/23		10,742,800
	11,700,000	Petronas Capital Ltd., 144A, 4.80%, due 04/21/60		14,847,323
		Total Malaysia		25,590,123
		Mexico — 6.2%
		Foreign Government Agency — 4.1%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		23,439,988
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,472,000
	131,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		125,196,820
	22,986,000	Petroleos Mexicanos, 6.95%, due 01/28/60		20,112,750
				174,221,558
		Foreign Government Obligations — 2.1%
GBP	56,796,000	United Mexican States, 5.63%, due 03/19/2114		87,832,292
		Total Mexico		262,053,850
		Mongolia — 0.1%
		Foreign Government Obligations
	2,400,000	Mongolia Government International Bond, 144A, 5.13%, due 04/07/26		2,616,000

12 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Montenegro — 0.2%
		Foreign Government Obligations
EUR	9,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		10,585,031
		Morocco — 0.4%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		17,767,031
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		8,015,044
		Nigeria — 0.8%
		Foreign Government Obligations
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		10,960,812
	15,550,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		15,831,844
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,668,750
		Total Nigeria		35,461,406
		Oman — 2.4%
		Foreign Government Obligations
	10,000,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		9,437,500
	86,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		83,451,156
	9,800,000	Oman Government International Bond, 144A, 7.00%, due 01/25/51		9,677,500
		Total Oman		102,566,156
		Pakistan — 0.4%
		Foreign Government Obligations
	17,262,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		18,405,608
		Panama — 1.6%
		Foreign Government Agency — 0.7%
	24,379,199	Aeropuerto Internacional de Tocumen SA, Reg S, 6.00%, due 11/18/48		27,883,709
		Foreign Government Obligations — 0.9%
	7,951,000	Panama Government International Bond, 8.13%, due 04/28/34		11,176,124
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		9,714,375
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		18,543,000
				39,433,499
		Total Panama		67,317,208

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		1,453,375
		Peru — 1.8%
		Foreign Government Agency — 1.3%
	11,300,000	Petroleos del Peru SA, 144A, 5.63%, due 06/19/47		12,444,125
	37,295,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		41,071,119
				53,515,244
		Foreign Government Obligations — 0.5%
	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		22,127,625
		Total Peru		75,642,869
		Philippines — 1.6%
		Foreign Government Agency
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		8,695,000
	40,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		59,942,977
		Total Philippines		68,637,977
		Qatar — 2.1%
		Foreign Government Agency — 0.4%
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,573,659
		Foreign Government Obligations — 1.7%
	12,000,000	Qatar Government International Bond, 144A, 3.75%, due 04/16/30		13,552,500
	11,000,000	Qatar Government International Bond, Reg S, 5.10%, due 04/23/48		13,987,187
	38,200,000	Qatar Government International Bond, 144A, 4.40%, due 04/16/50		44,741,750
				72,281,437
		Total Qatar		86,855,096
		Romania — 0.7%
		Foreign Government Obligations
EUR	4,000,000	Romanian Government International Bond, 144A, 2.63%, due 12/02/40		4,759,842
EUR	10,900,000	Romanian Government International Bond, 144A, 3.38%, due 01/28/50		13,981,584
	10,800,000	Romanian Government International Bond, 144A, 4.00%, due 02/14/51		10,428,750
		Total Romania		29,170,176

See accompanying notes to the financial statements. 13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Russia — 2.3%
		Foreign Government Agency — 0.5%
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		22,860,984
		Foreign Government Obligations — 1.8%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		40,003,125
	3,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		4,470,938
	4,400,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		5,762,625
	20,800,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		25,863,500
				76,100,188
		Total Russia		98,961,172
		Saudi Arabia — 2.9%
		Corporate Debt — 0.7%
	26,550,000	ACWA Power Management And Investments One Ltd, Reg S, 5.95%, due 12/15/39		31,262,625
		Foreign Government Agency — 0.5%
	21,400,000	Saudi Arabian Oil Co., 144A, 3.50%, due 11/24/70		19,206,500
		Foreign Government Obligations — 1.7%
	10,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		10,477,438
	67,500,000	Saudi Government International Bond, 144A, 3.45%, due 02/02/61		62,648,437
				73,125,875
		Total Saudi Arabia		123,595,000
		Senegal — 0.3%
		Foreign Government Obligations
	14,000,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		14,275,625
		South Africa — 3.9%
		Foreign Government Agency — 0.8%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		14,256,880
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		15,225,200
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,874,183
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,136,297
				33,492,560
		Foreign Government Obligations — 3.1%
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		23,542,528

Par Value†		Description	Value ($)
		South Africa — continued
		Foreign Government Obligations — continued
	13,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		12,599,719
	12,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		12,332,250
	90,400,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		82,942,000
				131,416,497
		Total South Africa		164,909,057
		Sri Lanka — 1.3%
		Foreign Government Obligations
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		4,170,075
	13,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,802,662
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		19,611,094
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		5,016,000
	35,300,000	Sri Lanka Government International Bond, 144A, 7.55%, due 03/28/30		20,165,125
		Total Sri Lanka		56,764,956
		SupraNational — 0.5%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		13,123,883
BRL	225,000,000	International Finance Corp., Zero Coupon, due 02/25/41		9,291,960
		Total SupraNational		22,415,843
		Suriname — 0.5%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, 144A, 12.88%, due 12/30/23 (d)		9,655,625
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		11,649,299
		Total Suriname		21,304,924
		Tajikistan — 0.3%
		Foreign Government Obligations
	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		11,463,393
		Trinidad And Tobago — 1.1%
		Foreign Government Agency — 1.0%
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, 144A, 8.88%, due 10/18/29		10,299,187
	4,027,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		4,181,788
	24,388,000	Trinidad Petroleum Holdings Ltd, Reg S, 9.75%, due 06/15/26		27,558,440
				42,039,415

14 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Trinidad And Tobago — continued
		Foreign Government Obligations — 0.1%
	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		3,980,500
		Total Trinidad And Tobago		46,019,915
		Tunisia — 1.5%
		Foreign Government Agency
JPY	900,000,000	Banque Centrale de Tunisie International Bond, 3.50%, due 02/03/33		4,728,177
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		44,124,609
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		14,560,511
		Total Tunisia		63,413,297
		Turkey — 3.7%
		Foreign Government Agency — 0.2%
	9,000,000	Export Credit Bank of Turkey, Reg S, 6.13%, due 05/03/24		9,225,000
		Foreign Government Obligations — 3.5%
	9,500,000	Istanbul Metropolitan Municipality, 144A, 6.38%, due 12/09/25		9,749,280
	10,002,000	Republic of Turkey, 6.00%, due 01/14/41		9,133,076
	18,200,000	Republic of Turkey, 4.88%, due 04/16/43		14,707,875
	23,600,000	Republic of Turkey, 6.63%, due 02/17/45		22,633,875
	102,413,000	Republic of Turkey, 5.75%, due 05/11/47		89,547,367
				145,771,473
		Total Turkey		154,996,473
		Ukraine — 2.6%
		Foreign Government Agency — 0.5%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,719,574
	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, 144A, 7.63%, due 11/08/26		15,790,625
	1,052,550	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		1,126,228
	1,000,500	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		1,083,041
				22,719,468

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — 2.1%
	1,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		1,711,305
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		7,134,848
	15,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		16,201,746
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,180,938
	30,200,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		31,058,812
	26,500,000	Ukraine Government International Bond, 144A, 7.25%, due 03/15/33		26,897,500
				87,185,149
		Total Ukraine		109,904,617
		United Arab Emirates — 1.6%
		Foreign Government Agency — 1.1%
	6,000,000	DAE Funding LLC, 144A, 3.38%, due 03/20/28		6,082,500
	3,100,000	DAE Sukuk Difc Ltd., 144A, 3.75%, due 02/15/26		3,212,375
	14,000,000	DP World Plc, Reg S, 4.70%, due 09/30/49		14,910,000
	22,700,000	Finance Department Government of Sharjah, 144A, 4.00%, due 07/28/50		20,770,500
				44,975,375
		Foreign Government Obligations — 0.5%
	15,700,000	Abu Dhabi Government International Bond, 144A, 3.13%, due 09/30/49		15,135,781
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		7,845,906
				22,981,687
		Total United Arab Emirates		67,957,062
		United States — 5.4%
		Asset-Backed Securities — 0.4%
	1,788,981	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.35%, due 12/15/35		1,718,974
	783,621	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.35%, due 12/15/35		770,761
	1,284,189	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.31%, due 05/15/36		1,216,789
	9,133,076	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.27%, due 11/25/36		4,220,058

See accompanying notes to the financial statements. 15

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	9,254,850	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.34%, due 11/25/36		4,320,374
	4,747,937	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.48%, due 04/25/37		2,405,745
				14,652,701
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169		533,782
	1,411,548	AMBAC LSNI LLC, 3 mo. LIBOR + 5.00%, 6.00%, due 02/12/23		1,416,841
				1,950,623
		U.S. Government — 5.0%
	10,000,000	U.S. Treasury Note, 1.75%, due 02/28/22 (f)		10,166,406
	84,000,000	U.S. Treasury Note, 0.13%, due 05/31/22		84,013,125
	90,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		90,000,000
	6,225,000	U.S. Treasury Note, 1.63%, due 11/15/50		5,535,387
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 07/31/22		20,005,082
				209,720,000
		Total United States		226,323,324
		Uruguay — 0.8%
		Foreign Government Obligations
	27,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		34,400,211
		Uzbekistan — 0.5%
		Foreign Government Obligations
	11,700,000	Republic of Uzbekistan Bond, Reg S, 5.38%, due 02/20/29		13,127,400
	7,600,000	Republic of Uzbekistan Bond, 144A, 3.70%, due 11/25/30		7,600,000
		Total Uzbekistan		20,727,400
		Venezuela — 1.0%
		Foreign Government Agency — 0.3%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		1,671,975
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		7,040,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		2,478,680
				11,190,655

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — 0.7%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,807,660
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,477,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,256,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		16,415,335
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		6,526,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		665,000
				31,147,745
		Total Venezuela		42,338,400
		Vietnam — 0.8%
		Foreign Government Agency — 0.6%
	28,058,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		24,349,083
		Foreign Government Obligations — 0.2%
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.13%, due 03/13/28 (c)		8,975,790
		Total Vietnam		33,324,873
		Zambia — 0.4%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		2,010,375
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		15,698,808
		Total Zambia		17,709,183
		TOTAL DEBT OBLIGATIONS (COST $4,198,772,499)		3,920,180,185
		LOAN ASSIGNMENTS — 0.6%
		Chad — 0.4%
	7,415,303	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.19%, due 09/30/25 (c)		5,561,478
	20,774,455	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.44%, due 12/31/27 (c)		12,049,184
		Total Chad		17,610,662
		Indonesia — 0.0%
EUR	101,262	Republic of Indonesia, Indonesia Paris Club Debt, 5.10%, due 06/01/21 (a)		121,010
		Kenya — 0.2%
	5,475,000	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 (a)		5,640,218
		TOTAL LOAN ASSIGNMENTS (COST $23,964,736)		23,371,890

16 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.7%
	702,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.76%, due 12/07/23 (c)		660,099
	10,912,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.45%, due 12/13/23 (c)		10,094,062
	6,243,341	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.45%, due 12/20/23 (c)		5,775,091
	12,666,667	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		12,666,667
		Total Angola		29,195,919
		Egypt — 0.0%
CHF	686	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		630
		Iraq — 0.2%
EUR	783,548	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (a)		618,716
JPY	112,663,119	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		471,839
JPY	2,028,627,070	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		8,472,641
JPY	265,058,341	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,107,092
		Total Iraq		10,670,288
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3
		TOTAL LOAN PARTICIPATIONS (COST $62,221,378)		39,866,840
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	14,838,144	GMO U.S. Treasury Fund		74,784,247
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247

Par Value† / Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.0%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)		1,263,446
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (c) (g)		34,800
		Total Argentina		1,298,246
		Ukraine — 0.4%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)		15,786,769
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		17,085,015
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.3%
	13,552,268	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		13,552,268
		U.S. Government — 1.4%
	60,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (i)		59,959,883
		TOTAL SHORT-TERM INVESTMENTS (COST $73,513,534)		73,512,151
		TOTAL INVESTMENTS — 98.1% (Cost $4,482,147,296)		4,148,800,328
		Other Assets and Liabilities (net) — 1.9%		79,421,056
		TOTAL NET ASSETS — 100.0%		$4,228,221,384

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
03/19/2021	BOA	EUR	67,025,600	USD	80,762,195		(139,268	)
03/19/2021	MSCI	GBP	66,311,000	USD	91,848,759		(544,777	)
05/19/2021	SSB	JPY	8,000,000,000	USD	75,455,838		339,034
						$	(345,011	)

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Reverse Repurchase Agreements^(j)

Face Value		Description	Value ($)
USD	6,685,232	J.P. Morgan Securities plc, (0.50)%, dated 01/06/21, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.	$	(6,685,232	)
		Average balance outstanding	$	(7,687,893	)
		Average interest rate (net)		0.49	%
		Maximum balance outstanding	$	(15,287,742	)

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

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (a)		(947,472	)		(64,608	)
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)		(92,858	)		73,886
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)		(1,094,693	)		286,483
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)		(3,715,556	)		94,758
					$	(5,850,579	)	$	390,519

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%		1.10%		N/A		06/20/2024		Quarterly		4,376,875		468,501		(3,908,374	)
CDX-EMS.34.V1-5Y	USD	75,000,000		1.00%		1.92%		N/A		12/20/2025		Quarterly		2,096,250		3,127,650		1,031,400
													$	6,473,125	$	3,596,151	$	(2,876,974	)

18 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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^:
Banque Centrale de Tunisie SA	JPM	USD	19,500,000		1.00%		6.43%		N/A		06/20/2022		Quarterly		2,109,320			1,332,634			(776,686	)
Republic of South Africa	GS	USD	9,700,000		1.00%		1.20%		N/A		12/20/2022		Quarterly		152,652			35,936			(116,716	)
Republic of South Africa	CITI	USD	26,200,000		1.00%		1.20%		N/A		12/20/2022		Quarterly		659,930			97,065			(562,865	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.66%		N/A		06/20/2024		Quarterly		1,923,458			795,597			(1,127,861	)
Commonwealth of Bahamas	DB	EUR	37,970,815		1.00%		4.49%		N/A		06/20/2025		Quarterly		5,153,296			3,955,465			(1,197,831	)
Republic of South Africa	GS	USD	41,800,000		1.00%		2.38%		N/A		12/20/2025		Quarterly		4,006,975			2,627,964			(1,379,011	)
Republic of Turkey	CITI	USD	15,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		2,748,570			1,426,661			(1,321,909	)
Republic of Turkey	GS	USD	12,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		2,223,997			1,141,328			(1,082,669	)
Republic of Turkey	GS	USD	5,000,000		1.00%		3.15%		N/A		12/20/2025		Quarterly		947,400			475,554			(471,846	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.65%		N/A		06/20/2029		Quarterly		1,589,641			989,976			(599,665	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.82%		N/A		09/20/2031		Quarterly		2,640,655			1,508,030			(1,132,625	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		4.36%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(256,124	)		385,339
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		4.36%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(512,321	)		751,594
Commonwealth of Bahamas	DB	USD	50,827,085		1.00%		4.48%		50,827,085 USD		06/20/2025		Quarterly		(5,838,385	)		(4,323,758	)		1,514,627
														$	16,412,131		$	9,294,007		$	(7,118,124	)

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

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

⁽¹⁾  As of February 28, 2021, 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) ($)
0.53%	6 Month EURIBOR	EUR	30,000,000	01/24/2050		Semi-Annual		(29,167	)		(1,511,124	)		(1,481,957	)
0.82%	GBP - SONIA - COMPOUND	GBP	10,600,000	02/18/2051		Annually		(41,304	)		365,522			406,826
							$	(70,471	)	$	(1,145,602	)	$	(1,075,131	)

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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 J.P. Morgan EMBI Global Core IG Index Short Swap

3 Month USD LIBOR minus a spread of 0.45%

JPM

USD

19,000,001

04/13/2021

At Maturity

$

—

$

691,966

$

691,966

As of February 28, 2021, 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 collateral requirements on reverse repurchase agreements (Note 2).

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

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

(h) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 56.

20 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO High Yield Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO High Yield Fund returned +7.21% (net) for the fiscal year ended February 28, 2021, as compared with +7.09% for the Markit iBoxx USD Liquid High Yield Index.

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

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

22

GMO High Yield Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

For Class VI the gross expense ratio of 0.56% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.56% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

23

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		57.9	%
Debt Obligations		35.9
Investment Funds		3.1
Swap Contracts		2.1
Forward Currency Contracts		0.3
Futures Contracts		(0.1	)
Other		0.8
		100.0	%
Industry Group Summary¤	% of Investments
Consumer Cyclical		25.6	%
Communications		13.7
Consumer Non-Cyclical		12.8
Energy		9.4
Basic Industry		7.3
Capital Goods		6.1
Finance Companies		4.5
Technology		4.4
Other Industrial		3.9
REITS		2.4
Transportation		2.2
Other Utility		1.8
Banking		1.7
Insurance		1.3
Electric		0.8
Other Financial		0.3
Brokerage/Asset Managers/Exchanges		0.1
		98.3	%

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

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

24

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 35.9%
		Corporate Debt — 35.7%
		Australia — 0.1%
	130,000	North Queensland Export Terminal Pty Ltd., 144A, 4.45%, due 12/15/22		128,556
		Canada — 1.9%
	825,000	Methanex Corp., 5.25%, due 12/15/29		846,141
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		116,562
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		533,125
	275,000	Taseko Mines Ltd., 144A, 8.75%, due 06/15/22		281,050
		Total Canada		1,776,878
		Luxembourg — 0.9%
	500,000	ArcelorMittal SA, 3.60%, due 07/16/24		530,676
	225,000	ArcelorMittal SA, 7.25%, due 10/15/39		324,000
		Total Luxembourg		854,676
		New Zealand — 0.6%
	550,000	Trilogy International Partners LLC / Trilogy International Finance, Inc., 144A, 8.88%, due 05/01/22		536,250
		United Kingdom — 1.3%
	350,000	Avon Products, Inc., 7.00%, due 03/15/23		375,813
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		188,575
	725,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		723,187
		Total United Kingdom		1,287,575
		United States — 30.9%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		128,464
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		429,753
	373,000	AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24		412,747
	325,000	Apache Corp., 5.35%, due 07/01/49		323,375
	625,000	Arconic Corp., 144A, 6.00%, due 05/15/25		664,062
	500,000	Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 144A, 10.50%, due 05/15/25		596,400
	250,000	Bausch Health Cos Inc, 144A, 5.75%, due 08/15/27		269,375
	475,000	Carnival Corp., 144A, 11.50%, due 04/01/23		541,595
	375,000	CDW LLC / CDW Finance Corp., 5.50%, due 12/01/24		413,906
	625,000	Cinemark USA, Inc., 5.13%, due 12/15/22		619,531
	625,000	CIT Group, Inc., 5.00%, due 08/15/22		659,375
	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		270,188

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	375,000	Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, due 01/15/23		394,219
	625,000	CSC Holdings LLC, 6.75%, due 11/15/21		645,313
	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		262,996
	500,000	Darling Ingredients, Inc., 144A, 5.25%, due 04/15/27		526,250
	375,000	Delta Air Lines, Inc., 3.63%, due 03/15/22		380,781
	425,000	DISH DBS Corp., 5.88%, due 07/15/22		443,139
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		127,500
	675,000	Fluor Corp., 3.50%, due 12/15/24		682,958
	1,050,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,105,125
	1,177,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		1,215,252
	375,000	Freeport-McMoRan, Inc., 3.55%, due 03/01/22		380,625
	250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		260,065
	375,000	G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25		404,062
	500,000	Gap, Inc. (The), 144A, 8.88%, due 05/15/27		585,590
	400,000	Genworth Mortgage Holdings, Inc., 144A, 6.50%, due 08/15/25		432,252
	670,000	Hexcel Corp., 4.20%, due 02/15/27		703,275
	250,000	Hillman Group, Inc. (The), 144A, 6.38%, due 07/15/22		250,788
	250,000	iStar, Inc., REIT, 5.50%, due 02/15/26		255,625
	500,000	KB Home, 4.80%, due 11/15/29		537,500
	625,000	Kraft Heinz Foods Co., 3.88%, due 05/15/27		683,167
	250,000	Kraft Heinz Foods Co., 6.75%, due 03/15/32		338,150
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		603,125
	394,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		391,132
	375,000	Netflix, Inc., 4.38%, due 11/15/26		420,941
	525,000	Newell Brands, Inc., 4.70%, due 04/01/26		582,188
	250,000	Nordstrom, Inc., 4.00%, due 03/15/27		247,629
	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		443,750
	775,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		682,484
	375,000	Olin Corp., 144A, 9.50%, due 06/01/25		464,008
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		426,450
	375,000	Pilgrim’s Pride Corp., 144A, 5.88%, due 09/30/27		402,319
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		404,063
	875,000	QVC, Inc., 5.45%, due 08/15/34		925,312

See accompanying notes to the financial statements. 25

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		453,130
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		659,687
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		266,250
	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		250,000
	600,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		558,000
	625,000	Southwestern Energy Co., 6.45%, due 01/23/25		656,250
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		840,264
	600,000	Sprint Corp., 7.88%, due 09/15/23		692,730
	375,000	United Rentals North America, Inc., 5.88%, due 09/15/26		394,103
	250,000	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.00%, due 04/15/23		253,750
	250,000	Vericast Corp., 144A, 8.38%, due 08/15/22		251,563
	500,000	Western Midstream Operating LP, 5.30%, due 02/01/30		541,885
	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		934,250
	500,000	XPO Logistics, Inc., 144A, 6.75%, due 08/15/24		525,000
		Total United States		29,213,666
		Total Corporate Debt		33,797,601
		U.S. Government — 0.2%
	150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22 (a)		150,104
		TOTAL DEBT OBLIGATIONS (COST $32,489,882)		33,947,705
		INVESTMENT FUNDS — 3.1%
		United States — 3.1%
	33,614	iShares iBoxx $ High Yield Corporate Bond ETF		2,905,594
		TOTAL INVESTMENT FUNDS (COST $2,926,591)		2,905,594
		SHORT-TERM INVESTMENTS — 57.9%
		Foreign Government Obligations — 9.9%
JPY	1,000,000,000	Japan Treasury Discount Bill, zero coupon, due 04/12/21		9,382,404
		Money Market Funds — 0.4%
	399,285	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		399,285

Par Value†		Description	Value ($)
		U.S. Government — 47.6%
	700,000	U.S. Treasury Bill, 0.06%, due 11/04/21 (c)		699,723
	16,600,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (c)		16,589,533
	27,700,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (c)		27,681,480
		Total U.S. Government		44,970,736
		TOTAL SHORT-TERM INVESTMENTS (COST $54,987,454)		54,752,425
		TOTAL INVESTMENTS — 96.9% (Cost $90,403,927)		91,605,724
		Other Assets and Liabilities (net) — 3.1%		2,939,607
		TOTAL NET ASSETS — 100.0%		$94,545,331

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
04/12/2021	SSB	JPY	1,000,000,000	USD	9,650,211	$	264,398

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
22	U.S. Treasury Note 5 Yr. (CBT)		June 2021		2,727,312		(20,595	)
22	U.S. Treasury Note 2 Yr. (CBT)		June 2021		4,856,844		(1,668	)
33	U.S. Treasury Note 10 Yr. (CBT)		June 2021		4,379,719		(27,864	)
				$	11,963,875	$	(50,127	)
Sales
3	U.S. Long Bond (CBT)		June 2021		477,656		629
6	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		1,134,375		(10,559	)
				$	1,612,031	$	(9,930	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

26 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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.35.V1-5Y

USD

26,029,000

5.00%

3.11%

23,712,000 USD

12/20/2025

Quarterly

$

1,661,291

$

2,136,044

$

474,753

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

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

(1) As of February 28, 2021, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month USD LIBOR minus a spread of 0.60%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	8,656,086		03/01/2021		At Maturity		—		(60,682	)		(60,682	)
1 Month USD LIBOR minus a spread of 0.75%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	4,722,988		03/01/2021		At Maturity		—		(36,108	)		(36,108	)
1 Month USD LIBOR minus a spread of 0.75%	Total Return on iBoxx High Yield Corporate Bond ETF	GS		USD	15,445,872		03/01/2021		At Maturity		—		(31,116	)		(31,116	)
										$	—	$	(127,906	)	$	(127,906	)

See accompanying notes to the financial statements. 27

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

As of February 28, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

(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 56.

28 See accompanying notes to the financial statements.

This page has been left blank intentionally.

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

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Multi-Sector Fixed Income Fund returned +0.59% (net) for the fiscal year ended February 28, 2021, as compared with +1.38% for the Bloomberg Barclays U.S. Aggregate Index.

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

Developed markets interest rate positioning contributed negatively during the fiscal year. The Fund’s active duration positions in New Zealand, Switzerland, and Canada detracted value, while positions in European and U.K. rates provided some support. Slope positions (2-year vs. 10-year) in New Zealand and Canada compounded losses in rates.

The Fund’s positions in developed market currencies added value during the fiscal year. Exposure to Swedish krona added to performance, but exposure to New Zealand dollar paired gains. Exposure to emerging market currencies resulted in a net positive contribution to performance. Positioning in South African rand and Brazilian real drove gains.

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

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

30

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

(A Series of GMO Trust)

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

GMO Multi-Sector Fixed Income Fund (Formerly GMO Core Plus Bond Fund) Class III Shares and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

For Class III and IV the gross expense ratio of 0.61% and 0.56%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.45% and 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

31

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

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		61.7	%
Short-Term Investments		23.4
Investment Funds		17.5
Mutual Funds		9.2
Swap Contracts		0.7
Forward Currency Contracts		0.6
Loan Participations		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.1	)
Other		(13.0	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		92.0	%
Canada		20.0
New Zealand		12.8
Australia		7.6
Other Emerging		5.7	*
Other Developed		1.1	¤
United Kingdom		(12.5	)
Euro Region		(26.7	)§
		100.0	%

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

‡ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table 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. 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.

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

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

^ Rounds to 0.0%.

32

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)

February 28, 2021

Par Value†	Description	Value ($)
	DEBT OBLIGATIONS — 44.5%
	Brazil — 0.2%
	Corporate Debt
300,000	Suzano Austria GmbH, 3.75%, due 01/15/31		315,735
	Canada — 0.8%
	Corporate Debt
450,000	Bank of Nova Scotia (The), 0.55%, due 09/15/23		451,891
300,000	Cenovus Energy, Inc., 5.38%, due 07/15/25		339,674
350,000	Teck Resources Ltd., 6.25%, due 07/15/41		457,337
	Total Canada		1,248,902
	Chile — 0.3%
	Corporate Debt
400,000	Enel Americas SA, 4.00%, due 10/25/26		441,568
	Germany — 1.4%
	Corporate Debt
1,250,000	Deutsche Bank AG, 3.95%, due 02/27/23		1,325,420
400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		436,675
450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		475,650
	Total Germany		2,237,745
	Japan — 0.2%
	Corporate Debt
400,000	Sumitomo Mitsui Financial Group Inc., 2.85%, due 01/11/22		408,759
	Switzerland — 0.7%
	Corporate Debt
400,000	Credit Suisse Group AG, 3.75%, due 03/26/25		438,337
300,000	Credit Suisse Group AG, 4.88%, due 05/15/45		385,369
400,000	Credit Suisse Group Funding Guernsey Ltd., 3.80%, due 09/15/22		420,036
	Total Switzerland		1,243,742
	United Kingdom — 0.2%
	Certificate of Deposit
350,000	CNH Industrial NV, 4.50%, due 08/15/23		382,268
	United States — 40.7%
	Corporate Debt — 25.4%
400,000	Abbott Laboratories, 2.55%, due 03/15/22		409,275
400,000	Abbott Laboratories, 2.95%, due 03/15/25		431,028
350,000	Abbott Laboratories, 3.75%, due 11/30/26		398,760
400,000	Ally Financial, Inc., 4.13%, due 02/13/22		413,537
450,000	Alphabet, Inc., 0.45%, due 08/15/25		443,607
450,000	Alphabet, Inc., 0.80%, due 08/15/27		437,431
450,000	Amazon.com, Inc., 0.40%, due 06/03/23		451,119

Par Value†	Description	Value ($)
	United States — continued
	Corporate Debt — continued
450,000	Amazon.com, Inc., 0.80%, due 06/03/25		449,302
400,000	Amazon.com, Inc., 3.30%, due 12/05/21		407,328
400,000	Apple, Inc., 2.15%, due 02/09/22		407,291
400,000	Apple, Inc., 2.50%, due 02/09/22		408,028
450,000	Apple, Inc., 0.75%, due 05/11/23		454,077
350,000	Ares Capital Corp., 2.15%, due 07/15/26		345,695
400,000	Arrow Electronics, Inc., 3.88%, due 01/12/28		444,670
200,000	AstraZeneca Plc, 2.38%, due 06/12/22		204,809
300,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		357,695
400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		381,801
200,000	Boeing Co. (The), 5.71%, due 05/01/40		251,993
350,000	Boeing Co. (The), 5.04%, due 05/01/27		403,387
350,000	Bunge Ltd. Finance Corp., 3.25%, due 08/15/26		378,782
400,000	Bunge Ltd. Finance Corp., 3.75%, due 09/25/27		447,267
400,000	Bunge Ltd. Finance Corp., 4.35%, due 03/15/24		440,945
400,000	Caterpillar Financial Services Corp., 1.90%, due 09/06/22		409,828
450,000	Caterpillar Financial Services Corp., 0.45%, due 09/14/23		450,648
300,000	Caterpillar, Inc., 4.75%, due 05/15/64		413,758
400,000	Caterpillar, Inc., 3.25%, due 09/19/49		427,645
400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		466,961
350,000	Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25		403,271
350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		406,102
400,000	Coca-Cola Co. (The), 2.95%, due 03/25/25		433,582
350,000	Conagra Brands, Inc., 5.30%, due 11/01/38		445,034
350,000	Corning, Inc., 5.45%, due 11/15/79		454,354
400,000	Crown Castle International Corp., REIT, 5.25%, due 01/15/23		433,907
350,000	Deere & Co., 3.75%, due 04/15/50		411,180
400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		417,956
400,000	DH Europe Finance II Sarl, 3.25%, due 11/15/39		425,895
400,000	DH Europe Finance II Sarl, 3.40%, due 11/15/49		425,117
350,000	Diamondback Energy, Inc., 5.38%, due 05/31/25		362,041
200,000	Discover Bank, 2.45%, due 09/12/24		211,002
350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		452,284
300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		400,170
450,000	DuPont de Nemours, Inc., 2.17%, due 05/01/23		452,217
450,000	Enable Midstream Partners LP, 4.95%, due 05/15/28		504,804

See accompanying notes to the financial statements. 33

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†	Description	Value ($)
	United States — continued
	Corporate Debt — continued
400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		423,826
400,000	Expedia Group, Inc., 5.00%, due 02/15/26		452,041
450,000	Expedia Group, Inc., 3.80%, due 02/15/28		482,706
250,000	Expedia Group, Inc., 3.25%, due 02/15/30		256,323
400,000	FedEx Corp., 4.10%, due 04/15/43		447,626
350,000	FedEx Corp., 5.10%, due 01/15/44		438,029
300,000	FedEx Corp., 5.25%, due 05/15/50		386,373
350,000	Fortive Corp., 4.30%, due 06/15/46		410,815
300,000	General Electric Co., 4.13%, due 10/09/42		331,059
250,000	General Electric Co., 4.50%, due 03/11/44		286,310
400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		425,836
400,000	Halliburton Co., 4.85%, due 11/15/35		461,723
300,000	Halliburton Co., 5.00%, due 11/15/45		349,606
350,000	International Paper Co., 4.80%, due 06/15/44		434,337
400,000	John Deere Capital Corp., 2.65%, due 01/06/22		408,147
400,000	John Deere Capital Corp., 3.20%, due 01/10/22		409,981
350,000	Johnson & Johnson, 3.63%, due 03/03/37		407,031
350,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		472,989
400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		453,183
400,000	Marriott International Inc/MD, 5.75%, due 05/01/25		461,867
400,000	Marriott International Inc/MD, 4.63%, due 06/15/30		455,552
250,000	Marriott International Inc/MD, 3.50%, due 10/15/32		263,407
300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		434,689
300,000	Morgan Stanley, 6.38%, due 07/24/42		455,139
350,000	Mosaic Co. (The), 5.45%, due 11/15/33		433,385
350,000	Mosaic Co. (The), 5.63%, due 11/15/43		451,564
400,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 4.80%, due 12/01/77		432,000
350,000	NextEra Energy Capital Holdings, Inc., Variable Rate, 5.65%, due 05/01/79		408,969
350,000	NIKE, Inc., 3.38%, due 03/27/50		383,165
350,000	PacifiCorp, 4.15%, due 02/15/50		414,699
400,000	Procter & Gamble Co. (The), 2.30%, due 02/06/22		407,824
400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		428,843
350,000	Starbucks Corp., 4.45%, due 08/15/49		423,656
400,000	Starbucks Corp., 3.50%, due 11/15/50		417,527
150,000	Synchrony Bank, 3.00%, due 06/15/22		154,454
300,000	Synchrony Financial, 4.25%, due 08/15/24		329,378
400,000	Synchrony Financial, 4.38%, due 03/19/24		439,030
150,000	Synchrony Financial, 5.15%, due 03/19/29		178,099
400,000	Synchrony Financial, 2.85%, due 07/25/22		412,049
350,000	Sysco Corp., 5.95%, due 04/01/30		448,412

Par Value†	Description	Value ($)
	United States — continued
	Corporate Debt — continued
300,000	Sysco Corp., 6.60%, due 04/01/40		426,962
300,000	Sysco Corp., 6.60%, due 04/01/50		444,240
300,000	Tapestry, Inc., 4.25%, due 04/01/25		325,675
400,000	Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25		447,599
350,000	Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30		416,528
350,000	Union Pacific Corp., 4.38%, due 11/15/65		428,003
350,000	Union Pacific Corp., 4.10%, due 09/15/67		402,556
400,000	United Parcel Service, Inc., 2.35%, due 05/16/22		409,580
300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		398,838
400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		445,819
400,000	Verizon Communications, Inc., 3.38%, due 02/15/25		436,654
350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		407,281
350,000	Verizon Communications, Inc., 3.88%, due 02/08/29		398,977
400,000	VMware, Inc., 4.50%, due 05/15/25		449,820
400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		419,216
400,000	Walt Disney Co. (The), 1.75%, due 01/13/26		412,299
400,000	Walt Disney Co. (The), 2.20%, due 01/13/28		414,748
350,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		438,262
400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		474,258
400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		481,712
			42,026,259
	U.S. Government Agency — 15.3%
4,100,000	Federal National Mortgage Association, TBA, 2.50%, due 03/16/36		4,286,960
10,900,000	Federal National Mortgage Association, TBA, 3.00%, due 03/11/51		11,407,531
1,300,000	Federal National Mortgage Association, TBA, 4.00%, due 03/11/51		1,396,789
6,000,000	Federal National Mortgage Association, TBA, 3.50%, due 03/11/51		6,361,805
1,700,000	Government National Mortgage Association, TBA, 3.50%, due 03/18/51		1,800,918
			25,254,003
	Total United States		67,280,262
	TOTAL DEBT OBLIGATIONS (COST $73,340,640)		73,558,981

34 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)

(showing percentage of total net assets)

February 28, 2021

	Par Value†	Description	Value ($)
		INVESTMENT FUNDS — 17.5%
		United States — 17.5%
USD	76,000	iShares Core S&P 500 ETF		29,014,520
		TOTAL INVESTMENT FUNDS (COST $27,690,600)		29,014,520
		MUTUAL FUNDS — 30.9%
		United States — 30.9%
		Affiliated Issuers
	336,655	GMO Emerging Country Debt Fund, Class IV		8,584,702
	1,069,719	GMO Opportunistic Income Fund, Class VI		27,641,535
	2,941,558	GMO U.S. Treasury Fund		14,825,453
		TOTAL MUTUAL FUNDS (COST $52,961,551)		51,051,690
		SHORT-TERM INVESTMENTS — 20.1%
		Foreign Government Obligations — 15.5%
JPY	2,725,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/05/21		25,566,527
		Money Market Funds — 1.0%
	1,707,995	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		1,707,995
		U.S. Government — 3.6%
	6,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (b) (c)		5,996,860
		TOTAL SHORT-TERM INVESTMENTS (COST $34,239,586)		33,271,382
		TOTAL INVESTMENTS — 113.0% (Cost $188,232,377)		186,896,573
		Other Assets and Liabilities (net) — (13.0%)		(21,432,121	)
		TOTAL NET ASSETS — 100.0%		$165,464,452

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/10/2021	MSCI	AUD	11,491,000		USD	8,758,268		(85,372	)
04/05/2021	GS	BRL	702,351		USD	130,000		4,820
04/05/2021	JPM	BRL	1,704,778		USD	316,297		12,456
04/05/2021	MSCI	BRL	809,790		USD	150,000		5,672
05/03/2021	BCLY	CAD	1,399,815		USD	1,100,000		(51	)
05/03/2021	JPM	CAD	681,075		USD	537,227		2,000

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/13/2021	JPM	CHF	367,817		USD	410,000		5,173
04/13/2021	MSCI	CHF	10,684,287		USD	12,028,604		269,265
05/24/2021	JPM	CLP	112,760,000		USD	160,000		4,067
05/24/2021	MSCI	CLP	64,538,000		USD	91,126		1,878
03/31/2021	BCLY	EUR	330,000		USD	400,209		1,776
04/13/2021	BCLY	GBP	580,000		USD	801,800		(6,451	)
04/13/2021	JPM	GBP	1,790,000		USD	2,439,149		(55,278	)
04/13/2021	BCLY	HUF	286,971,981		USD	965,460		10,799
04/13/2021	JPM	HUF	68,490,051		USD	230,000		2,156
04/30/2021	GS	ILS	487,985		USD	150,000		2,426
04/19/2021	JPM	INR	8,768,040		USD	120,000		2,231
03/09/2021	BCLY	JPY	56,700,000		USD	540,000		8,048
03/09/2021	JPM	JPY	65,312,158		USD	620,000		7,249
04/05/2021	CITI	JPY	2,725,000,000		USD	26,501,878		927,541
04/21/2021	DB	MXN	2,977,134		USD	150,000		8,447
04/19/2021	JPM	NOK	7,649,210		USD	900,000		17,855
05/05/2021	JPM	NZD	900,000		USD	656,409		6,164
05/05/2021	MSCI	NZD	4,650,000		USD	3,350,418		(9,183	)
04/21/2021	JPM	PHP	24,877,090		USD	516,585		10,923
05/28/2021	BCLY	RON	2,588,388		USD	641,629		3,621
05/05/2021	JPM	SEK	2,563,582		USD	310,000		6,191
04/15/2021	MSCI	SGD	730,245		USD	551,232		3,650
04/16/2021	BOA	THB	4,882,449		USD	162,079		85
05/03/2021	BCLY	TWD	852,235		USD	30,774		(21	)
05/03/2021	JPM	TWD	2,763,600		USD	100,000		139
05/10/2021	JPM	USD	323,855		AUD	410,000		(8,313	)
04/05/2021	JPM	USD	130,000		BRL	701,878		(4,905	)
05/03/2021	BCLY	USD	930,000		CAD	1,173,164		(8,063	)
05/03/2021	MSCI	USD	10,013,259		CAD	12,850,896		85,677
04/13/2021	JPM	USD	190,000		CHF	170,965		(1,833	)
04/13/2021	MSCI	USD	690,000		CHF	612,368		(16,016	)
04/30/2021	MSCI	USD	442,691		COP	1,586,642,700		(8,505	)
05/17/2021	MSCI	USD	386,201		CZK	8,211,026		(7,586	)
03/31/2021	MSCI	USD	8,106,483		EUR	6,679,000		(42,426	)
04/13/2021	MSCI	USD	3,749,010		GBP	2,781,000		126,410
04/13/2021	CITI	USD	190,000		HUF	55,907,367		(4,015	)
05/11/2021	JPM	USD	110,000		IDR	1,562,110,000		(2,619	)
05/11/2021	MSCI	USD	501,821		IDR	7,080,689,000		(15,087	)
04/19/2021	CITI	USD	110,000		INR	8,128,824		(817	)
04/19/2021	JPM	USD	633,929		INR	46,927,240		(3,623	)
03/09/2021	MSCI	USD	8,927,307		JPY	941,082,808		(98,186	)
04/19/2021	MSCI	USD	246,034		KRW	271,835,720		(4,810	)
04/21/2021	JPM	USD	692,435		MXN	13,761,109		(38,137	)
04/19/2021	BCLY	USD	560,000		NOK	4,775,176		(9,303	)
04/19/2021	JPM	USD	335,467		NOK	2,874,034		(4,019	)
05/05/2021	BOA	USD	173,461		NZD	241,385		938
05/05/2021	JPM	USD	3,173,401		NZD	4,408,615		11,801
05/24/2021	MSCI	USD	285,392		PEN	1,042,336		298
05/17/2021	CITI	USD	618,181		PLN	2,291,411		(6,354	)
05/12/2021	MSCI	USD	814,352		RUB	60,545,072		(10,071	)
05/05/2021	BCLY	USD	5,227,472		SEK	43,944,223		(19,653	)
05/05/2021	JPM	USD	2,460,000		SEK	20,614,924		(16,930	)
04/15/2021	DB	USD	210,000		SGD	277,656		(1,796	)
04/15/2021	GS	USD	280,000		SGD	371,304		(1,573	)
04/16/2021	MSCI	USD	162,564		THB	4,882,449		(570	)
05/17/2021	BCLY	USD	696,434		TRY	5,098,382		(33,110	)
04/30/2021	MSCI	USD	993,736		ZAR	15,342,789		12,823
							$	1,037,903

See accompanying notes to the financial statements. 35

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
23	U.S. Long Bond (CBT)		June 2021		3,662,031		(855	)
37	U.S. Treasury Note 10 Yr. (CBT)		June 2021		4,910,594		(49,501	)
82	U.S. Treasury Note 2 Yr. (CBT)		June 2021		18,102,781		(10,469	)
230	U.S. Treasury Note 5 Yr. (CBT)		June 2021		28,512,812		(215,308	)
38	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		5,599,063		(41,314	)
62	U.S. Ultra Bond (CBT)		June 2021		11,721,875		137,478
				$	72,509,156	$	(179,969	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
9	U.S. Treasury Note 2 Yr. (CBT)		June 2021		1,986,891		1,329
5	U.S. Treasury Ultra 10 Yr. (CBT)		June 2021		945,312		(8,799	)
				$	2,932,203	$	(7,470	)

+ 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 CAD LIBOR	0.52%	CAD	3,100,000		03/13/2023	Semi-Annually		—			(7,441	)		(7,441	)
0.49%	3 Month CAD LIBOR	CAD	51,430,000		03/13/2023	Semi-Annually		13,060			147,535			134,475
6 Month EURIBOR	(0.55)%	EUR	10,260,000		03/15/2023	Semi-Annually		(2,541	)		(22,623	)		(20,082	)
6 Month GBP LIBOR	0.10%	GBP	48,020,000		03/15/2023	Semi-Annually		2,482			(235,470	)		(237,952	)
6 Month GBP LIBOR	0.10%	GBP	1,900,000		03/15/2023	Semi-Annually		—			(9,422	)		(9,422	)
6 Month GBP LIBOR	0.18%	GBP	2,010,000		03/15/2023	Semi-Annually		36			(5,337	)		(5,373	)
0.23%	3 Month USD LIBOR	USD	12,010,000		03/15/2023	Quarterly		454			4,768			4,314
0.21%	3 Month USD LIBOR	USD	15,040,000		03/15/2023	Quarterly		(1,683	)		11,963			13,646
0.21%	3 Month USD LIBOR	USD	4,800,000		03/15/2023	Quarterly		(1,899	)		4,105			6,004
0.12%	3 Month AUD BBSW	AUD	5,740,000		03/17/2023	Quarterly		—			7,926			7,926
0.07%	3 Month AUD BBSW	AUD	10,400,000		03/17/2023	Quarterly		139			21,794			21,655
3 Month AUD BBSW	0.10%	AUD	2,300,000		03/17/2023	Quarterly		(272	)		(3,795	)		(3,523	)
0.09%	3 Month AUD BBSW	AUD	4,920,000		03/17/2023	Quarterly		—			9,252			9,252
6 Month CHF LIBOR	(0.70)%	CHF	2,370,000		03/17/2023	Semi-Annually		—			(4,870	)		(4,870	)
(0.72)%	6 Month CHF LIBOR	CHF	1,770,000		03/17/2023	Semi-Annually		(259	)		4,305			4,564
0.39%	3 Month NZD Bank Bill Rate	NZD	42,710,000		03/17/2023	Quarterly		(11,255	)		64,978			76,233
3 Month SEK STIBOR	(0.03)%	SEK	256,890,000		03/17/2023	Quarterly		5,873			(32,878	)		(38,751	)
6 Month AUD BBSW	1.01%	AUD	1,200,000		03/17/2031	Semi-Annually		—			(72,038	)		(72,038	)
6 Month AUD BBSW	0.99%	AUD	1,030,000		03/17/2031	Semi-Annually		—			(63,743	)		(63,743	)
6 Month AUD BBSW	1.95%	AUD	15,000,000		03/17/2031	Semi-Annually		102,315			121,723			19,408
6 Month AUD BBSW	1.26%	AUD	2,180,000		03/17/2031	Semi-Annually		1,362			(92,500	)		(93,862	)
1.05%	6 Month AUD BBSW	AUD	490,000		03/17/2031	Semi-Annually		(230	)		28,097			28,327
3 Month CAD LIBOR	1.50%	CAD	18,230,000		03/17/2031	Semi-Annually		1,892			(514,926	)		(516,818	)
3 Month CAD LIBOR	1.51%	CAD	9,830,000		03/17/2031	Semi-Annually		(9,035	)		(270,422	)		(261,387	)
3 Month CAD LIBOR	1.61%	CAD	1,740,000		03/17/2031	Semi-Annually		—			(35,057	)		(35,057	)
3 Month CAD LIBOR	1.75%	CAD	18,850,000		03/17/2031	Semi-Annually		(23,104	)		(185,495	)		(162,391	)
6 Month CHF LIBOR	(0.25)%	CHF	6,880,000		03/17/2031	Semi-Annually		(3,319	)		(261,976	)		(258,657	)
6 Month CHF LIBOR	(0.27)%	CHF	350,000		03/17/2031	Semi-Annually		765			(13,990	)		(14,755	)
(0.21)%	6 Month CHF LIBOR	CHF	470,000		03/17/2031	Semi-Annually		—			15,541			15,541
(0.19)%	6 Month CHF LIBOR	CHF	690,000		03/17/2031	Semi-Annually		—			21,431			21,431
(0.12)%	6 Month CHF LIBOR	CHF	2,390,000		03/17/2031	Semi-Annually		(970	)		54,798			55,768
0.09%	6 Month CHF LIBOR	CHF	720,000		03/17/2031	Semi-Annually		—			107			107
(0.23)%	6 Month CHF LIBOR	CHF	1,730,000		03/17/2031	Semi-Annually		—			61,442			61,442

36 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)

February 28, 2021

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.25)%	6 Month CHF LIBOR	CHF	690,000		03/17/2031	Semi-Annually		—			25,659			25,659
3 Month NZD Bank Bill Rate	1.10%	NZD	9,000,000		03/17/2031	Quarterly		(26,566	)		(546,849	)		(520,283	)
3 Month NZD Bank Bill Rate	2.15%	NZD	22,990,000		03/17/2031	Quarterly		154,861			230,103			75,242
3 Month NZD Bank Bill Rate	1.70%	NZD	5,350,000		03/17/2031	Quarterly		(18,838	)		(108,718	)		(89,880	)
0.54%	3 Month SEK STIBOR	SEK	13,500,000		03/17/2031	Annually		(421	)		44,240			44,661
0.82%	3 Month SEK STIBOR	SEK	6,900,000		03/17/2031	Quarterly		—			362			362
3 Month SEK STIBOR	0.49%	SEK	10,790,000		03/17/2031	Quarterly		2,621			(41,448	)		(44,069	)
3 Month SEK STIBOR	0.48%	SEK	4,400,000		03/17/2031	Quarterly		—			(17,282	)		(17,282	)
0.41%	3 Month SEK STIBOR	SEK	42,210,000		03/17/2031	Quarterly		1,950			201,031			199,081
(0.03)%	6 Month EURIBOR	EUR	670,000		03/19/2031	Semi-Annually		—			6,928			6,928
0.02%	6 Month EURIBOR	EUR	31,420,000		03/19/2031	Semi-Annually		(9,524	)		128,226			137,750
0.05%	6 Month EURIBOR	EUR	570,000		03/19/2031	Semi-Annually		—			(88	)		(88	)
(0.25)%	6 Month EURIBOR	EUR	2,040,000		03/19/2031	Semi-Annually		1,381			75,931			74,550
0.69%	6 Month GBP LIBOR	GBP	410,000		03/19/2031	Semi-Annually		95			17,815			17,720
0.92%	6 Month GBP LIBOR	GBP	14,090,000		03/19/2031	Semi-Annually		25,158			173,075			147,917
0.48%	6 Month GBP LIBOR	GBP	9,130,000		03/19/2031	Semi-Annually		(190	)		655,287			655,477
0.54%	6 Month GBP LIBOR	GBP	920,000		03/19/2031	Semi-Annually		3,303			58,302			54,999
1.46%	3 Month USD LIBOR	USD	15,800,000		03/19/2031	Quarterly		(8,978	)		107,718			116,696
1.51%	3 Month USD LIBOR	USD	850,000		03/19/2031	Quarterly		—			1,621			1,621
1.52%	3 Month USD LIBOR	USD	970,000		03/19/2031	Quarterly		—			786			786
1.52%	3 Month USD LIBOR	USD	970,000		03/19/2031	Quarterly		—			1,155			1,155
3 Month USD LIBOR	1.45%	USD	6,480,000		03/19/2031	Quarterly		(2,530	)		(50,358	)		(47,828	)
							$	196,133		$	(288,722	)	$	(484,855	)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on iShares Core S&P 500 ETF

1 Month USD LIBOR plus a spread of 0.24%

GS

USD

29,934,120

03/18/2021

At Maturity

$

—

$

921,917

$

921,917

As of February 28, 2021, 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 February 28, 2021.

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

(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).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 56.

See accompanying notes to the financial statements. 37

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Opportunistic Income Fund returned +2.95% (net) for the fiscal year ended February 28, 2021, as compared with +1.56% for the Bloomberg Barclays U.S. Securitized + Index.

Absolute performance was driven by sector allocations such as Residential Mortgage-Backed Securities, Commercial Mortgage-Backed Securities, and Student Loans, which were among the top contributors of the fiscal year. The Fund’s relative value synthetic trades and credit hedge positions also contributed positively during the fiscal year, as did securitizations related to corporate debt markets, such as Collateralized Loan Obligations. Finally, in asset-backed products, such as Small Balance Commercial Asset-Backed Securities (ABS), the Fund added value in less volatile, shorter duration markets.

*The Bloomberg Barclays U.S. Securitized + Index is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3-Month Cash Index through 12/30/2016 and the Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index thereafter.

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

38

GMO Opportunistic Income Fund

(A Series of GMO Trust)

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

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

and the Bloomberg Barclays U.S. Securitized Index

As of February 28, 2021

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

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

* The Bloomberg Barclays U.S. Securitized + Index is a composite benchmark computed by GMO and comprised of the J.P. Morgan U.S. 3 Month Cash Index through December 30, 2016 and the Bloomberg Barclays U.S. Securitized Index thereafter.

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

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

For Class VI and I the gross expense ratio of 0.51% and 0.73%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.47% and 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

39

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		74.4	%
Short-Term Investments		19.8
Swap Contracts		2.0
Mutual Funds		1.3
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		0.0	^
Written Options		(0.0	)^
Securities Sold Short		(0.6	)
Other		3.1
		100.0	%

Industry Sector Summary	% of Debt Obligations
Student Loans – Private		19.3	%
Commercial Mortgage-Backed Securities		16.9
Collateralized Loan Obligations		15.8
Residential Mortgage-Backed Securities – Other		11.3
Small Balance Commercial Mortgages		9.8
Residential Mortgage-Backed Securities – Prime		8.1
Student Loans – Federal Family Education Loan Program		6.5
U.S. Government		4.5
Residential Mortgage-Backed Securities – Subprime		2.6
U.S. Government Agency		2.3
Residential Mortgage-Backed Securities – Alt-A		1.4
CMBS Collateralized Debt Obligations		0.8
Residential Mortgage-Backed Securities – Performing Loans		0.7
		100.0	%

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

^ Rounds to 0.0%.

40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 74.4%
		Asset-Backed Securities — 69.4%
		CMBS Collateralized Debt Obligations — 0.6%
	80,296	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		80,296
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,777,840
	235,928	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 0.39%, 0.61%, due 01/20/37 (a)		232,389
	1,270,892	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,153,970
		Total CMBS Collateralized Debt Obligations		5,244,495
		Collateralized Loan Obligations — 11.8%
	4,266,500	ACIS CLO 2017-7 Ltd., Series 17-7A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.90%, 4.11%, due 05/01/27		4,268,667
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.12%, due 10/17/26		1,899,658
	4,158,000	B&M CLO 2014-1 Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.82%, due 04/16/26		4,133,451
	1,601,809	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.06%, due 01/27/28		1,602,195
	4,222,400	Catamaran CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.80%, 2.01%, due 01/27/28		4,193,156
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.34%, due 01/20/30		6,093,250
	4,161,000	ECP CLO Ltd., Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.36%, due 04/22/30		4,149,104
	2,403,000	Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.62%, due 01/16/26		2,402,212
	8,917,884	Gallatin CLO IX 2018-1 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.27%, due 01/21/28		8,920,265
	1,259,600	Garrison BSL CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.87%, due 07/17/28		1,259,883
	563,071	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 3.19%, due 08/15/23		563,071
	5,446,000	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.93%, due 10/18/26		5,447,106
	2,237,000	Jamestown CLO IV Ltd., Series 14-4A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.65%, 2.89%, due 07/15/26		2,237,150

Par Value†		Description	Value ($)
		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%, 2.57%, due 07/20/26		1,467,154
	4,031,939	Neuberger Berman CLO XIX Ltd., Series 15-19A, Class A1R2, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/15/27		4,032,899
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.28%, due 04/22/31		3,880,013
	4,000,000	Ocean Trails CLO VI, Series 16-6A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.65%, 2.89%, due 07/15/28		4,000,000
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.84%, due 06/22/30		1,991,441
	2,000,000	Telos CLO 2013-3 Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.82%, due 07/17/26		2,000,292
	4,993,200	Venture CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 07/18/31		4,993,330
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.12%, due 07/25/26		1,570,619
	4,919,467	Wellfleet CLO Ltd., Series 15-1A, Class AR3, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.50%, due 07/20/29		4,920,609
	53,333	WhiteHorse IX Ltd., Series 14-9A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.16%, 1.38%, due 07/17/26		53,378
	4,057,600	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.66%, due 05/01/26		4,028,020
	3,121,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.49%, due 10/15/31		3,121,928
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.74%, due 04/15/28		6,751,944
	10,630,024	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 04/15/28		10,632,394
	2,974,228	Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.07%, due 07/25/26		2,972,973
	1,855,001	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		1,842,156
		Total Collateralized Loan Obligations		105,428,318
		Commercial Mortgage-Backed Securities — 12.6%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 (b)		10,475,000
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38		7,373,138

See accompanying notes to the financial statements. 41

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	3,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		3,120,439
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		8,044,902
	1,835,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		1,975,052
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		5,131,438
	169,429	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.36%, due 04/15/37		160,790
	133,861	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		132,522
	6,372,761	CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		7,015,100
	6,749,037	CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48		7,471,343
	5,618,916	GS Mortgage Securities Trust, Series 15-GS1, Class A3, 3.73%, due 11/10/48		6,221,923
	926	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class J, 144A, Variable Rate, 6.23%, due 08/15/36		925
	1,326,589	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.31%, due 08/15/36		1,354,713
	2,741,623	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		2,791,975
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 2.94%, due 02/12/40		4,054,833
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 2.94%, due 02/12/40		2,253,388
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.08%, due 07/15/46		3,972,066
	1,201,206	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class F, 144A, Variable Rate, 7.92%, due 07/15/33		1,177,182
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		6,015,437
	9,085,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.49%, due 05/13/38		7,892,050
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.40%, due 11/23/43		2,520,348
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.99%, due 03/23/45		8,304,765
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35 (b)		1,717,000
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35 (b)		8,284,702

Par Value†		Description	Value ($)
		Commercial Mortgage-Backed Securities — continued
	4,392,094	Wells Fargo Commercial Mortgage Trust, Series 16-C32, Class A4, 3.56%, due 01/15/59		4,849,617
		Total Commercial Mortgage-Backed Securities		112,310,648
		Residential Mortgage-Backed Securities — Other — 8.4%
	885,116	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.26%, due 02/25/36		225,680
	18,516,632	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.30%, due 02/25/36		954,188
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		7,143,103
	4,854,146	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,601,097
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		2,136,916
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		819,903
	380,113	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.44%, due 02/25/37		346,578
	4,662,131	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		4,778,217
	2,637,245	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,609,506
	2,983,098	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,930,022
	5,101,940	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,026,755
	7,362,358	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + 0.15%, 0.26%, due 06/15/37		6,918,255
	300,370	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.62%, due 10/25/34		286,651
	5,644,305	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		5,629,657
	4,412,126	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		587,025
	29,457,626	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.38%, due 06/25/36		1,555,207
	11,843,142	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		7,422,721
	11,561,359	Home Loan Trust, Series 07-HI1, Class A4, Step Up, due 03/25/37		4,461,460
	3,920,620	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.28%, due 03/25/36		515,268
	377,163	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.36%, due 02/26/34		325,378

42 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Other — continued
	13,940,928	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.32%, due 03/25/36		791,722
	7,952,191	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.46%, due 03/25/36		454,730
	21,201,416	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.52%, due 03/25/36		1,212,509
	431,100	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 1.02%, due 08/25/35		704,244
	1,580,214	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,626,139
	1,776,886	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,832,123
	4,456,420	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,658,346
	10,425,437	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		4,150,128
	1,097,177	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		879,883
	695,693	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		704,128
		Total Residential Mortgage-Backed Securities —Other		75,287,539
		Residential Mortgage-Backed Securities — Performing Loans — 0.6%
	4,926,929	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		4,888,951
		Residential Mortgage-Backed Securities — Prime — 5.7%
	9,393,685	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.33%, due 10/25/46		6,365,461
	846,164	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		862,623
	5,029,597	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		4,086,609
	1,957,730	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.01%, due 12/25/36		1,880,706
	1,344,120	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.24%, due 03/25/37		1,303,670
	10,170,339	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.56%, due 04/25/46		9,646,557
	1,880,316	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,376,132

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Prime — continued
	1,103,794	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.38%, due 09/25/35		1,079,375
	6,593,410	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.78%, due 05/25/35		5,626,344
	1,162,817	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.09%, due 09/25/35		1,198,828
	1,378,342	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.71%, due 01/25/47		1,366,013
	3,161,066	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.58%, due 06/25/35		2,640,843
	13,406,958	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		13,713,982
		Total Residential Mortgage-Backed Securities — Prime		51,147,143
		Residential Mortgage-Backed Securities — Subprime — 1.9%
	1,788,863	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.61%, due 06/25/35		1,873,678
	2,280,188	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.31%, due 05/26/37		2,204,404
	1,179,735	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M3, Variable Rate, 1 mo. LIBOR + 1.08%, 1.20%, due 08/25/35		1,178,821
	3,296,075	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 1.99%, due 08/25/35		3,323,633
	1,385,264	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.23%, due 04/25/31 (b)		3,427,697
	3,822,018	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.52%, due 07/25/36		3,625,872
	1,393,433	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.77%, due 11/20/34		1,436,916
		Total Residential Mortgage-Backed Securities — Subprime		17,071,021
		Residential Mortgage-Backed Securities — Alt-A — 1.4%
	632,996	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		665,988
	1,937,383	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.82%, due 05/25/36		842,360
	1,928,364	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.82%, due 10/25/36		813,230

See accompanying notes to the financial statements. 43

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,750,487	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.25%, due 10/25/34		2,811,066
	4,635,876	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.04%, due 07/25/36		3,206,258
	722,019	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		729,647
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,081,550
		Total Residential Mortgage-Backed Securities — Alt-A		12,150,099
		Small Balance Commercial Mortgages — 7.3%
	394,156	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.97%, due 04/25/34		393,810
	356,968	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.93%, due 04/25/34		356,811
	396,726	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.98%, due 04/25/34		396,668
	4,361,522	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.60%, due 08/25/35		4,126,394
	2,174,961	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.52%, due 01/25/36		2,065,079
	1,181,069	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.70%, due 04/25/36		1,086,709
	1,708,567	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.48%, due 07/25/36		1,613,891
	3,494,896	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.55%, due 07/25/36		3,310,427
	4,345,400	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.38%, due 10/25/36		4,120,495
	2,292,043	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.35%, due 03/25/37		2,157,071
	1,813,368	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.37%, due 07/25/37		1,717,953
	7,486,703	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 07/25/37		7,088,829
	702,151	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.98%, due 12/25/37		701,164

Par Value†		Description	Value ($)
		Small Balance Commercial Mortgages — continued
	6,009,072	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 12/25/37		6,014,944
	2,184,741	Hana SBL Loan Trust, Series 19-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.15%, due 08/25/45		2,168,707
	540,962	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.48%, due 02/25/30		540,929
	989,266	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class M2,144A, Variable Rate, 1 mo. LIBOR + 0.55%, 0.68%, due 02/25/30		989,206
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 09/25/30		2,403,056
	3,430,078	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.66%, due 04/25/31		3,381,931
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 04/25/31		1,917,953
	1,000,345	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.52%, due 09/25/36		982,887
	4,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.53%, due 06/25/37		4,156,834
	4,379,261	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.97%, due 10/25/37		4,420,088
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.97%, due 10/25/37		3,422,447
	2,914,014	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.66%, due 12/27/49		2,896,990
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.81%, due 12/27/49		3,112,749
		Total Small Balance Commercial Mortgages		65,544,022
		Student Loans — Federal Family Education Loan Program — 6.4%
	4,166,532	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR+ 0.19%, 0.41%, due 10/25/24		4,132,169
	9,585,462	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.92%, due 01/25/43		8,461,309

44 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		Student Loans — Federal Family Education Loan Program — continued
	8,600,262	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.28%, due 01/25/23		8,492,502
	3,917,875	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.57%, due 03/28/35 (a)		3,485,010
	7,281,450	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.12%, due 06/15/21		7,167,788
	11,371,947	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.87%, due 07/25/22		11,477,455
	5,992,117	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.72%, due 04/25/23		6,041,193
	8,400,663	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.92%, due 07/25/23		8,504,800
		Total Student Loans — Federal Family Education Loan Program		57,762,226
		Student Loans — Private — 12.7%
	3,233,142	Access Group Inc, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 1.02%, due 07/25/34		3,120,951
	10,956,492	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.73%, due 12/27/41		10,902,414
	2,062,985	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 1.01%, due 04/28/42		2,050,790
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.46%, due 07/28/42		4,989,267
	1,053,219	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.61%, due 10/15/28		1,036,722
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (b)		2,808,000
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		2,363,750
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (b)		1,015,250
	7,713,676	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.43%, due 05/25/32		7,478,435
	5,125,038	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.41%, due 01/25/33		4,883,822
	13,143,876	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.47%, due 03/25/33		12,782,811

Par Value†		Description	Value ($)
		Student Loans — Private — continued
	8,185,148	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.49%, due 06/25/33		7,976,624
	12,556,695	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.42%, due 10/25/33		11,891,514
	3,256,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.66%, due 12/26/33		3,145,995
	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
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		60,750
	5,773,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (b)		5,773,000
	2,950,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (b)		2,950,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.82%, due 09/15/32		2,051,705
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.65%, due 09/15/33		8,915,523
	1,420,586	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.50%, due 12/15/38		1,417,124
	4,089,918	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.51%, due 06/15/39		3,999,286
	2,986,722	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.55%, due 06/15/39		2,927,976
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.61%, due 12/15/39		2,351,582
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.18%, due 01/25/46		6,863,654
		Total Student Loans — Private		113,776,945
		Total Asset-Backed Securities		620,611,407
		U.S. Government — 3.3%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22		30,007,728
		U.S. Government Agency — 1.7%
	3,950,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 0.18%, due 02/01/25 (b)		3,844,028
	4,500,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.35%, due 10/29/26 (b)		4,360,474

See accompanying notes to the financial statements. 45

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
	1,762,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.19%, due 07/01/23 (b)		1,733,500
	5,000,000	Fannie Mae or Freddie Mac, TBA, 2.50%, due 04/14/51		5,172,949
		Total U.S. Government Agency		15,110,951
		TOTAL DEBT OBLIGATIONS (COST $690,781,529)		665,730,086
		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

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 19.8%
		Money Market Funds — 4.5%
	40,438,003	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		40,438,003
		U.S. Government — 15.3%
	10,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (d) (e)		9,994,767
	60,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (d) (e)		59,962,169
	67,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (e)		66,955,203
		Total U.S. Government		136,912,139
		TOTAL SHORT-TERM INVESTMENTS (COST $177,340,718)		177,350,142

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 – Calls — 0.0%
CDX.NA.IGS.35.V1-5Y	BOA		47.50	%		04/21/21	USD	53,190,000	Fixed Spread	Receive	17,437
TOTAL PURCHASED OPTIONS (COST $58,509)											17,437
TOTAL INVESTMENTS — 95.5%                           (Cost $879,184,297)											854,101,206
SECURITIES SOLD SHORT — (0.6)%
DEBT OBLIGATIONS — (0.6)%
U.S. Government Agency — (0.6)%
(5,000,000)        Fannie Mae or Freddie Mac, TBA, 3.00%, due 04/14/51											(5,234,961)
TOTAL SECURITIES SOLD SHORT (PROCEEDS $5,272,656)											(5,234,961)
Other Assets and Liabilities (net) — 5.1%											45,740,987
TOTAL NET ASSETS — 100.0%											$894,607,232

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter-party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/19/2021	BOA		EUR	2,738,070		USD	3,299,225		(5,689	)
03/19/2021	BOA		USD	2,892,505		EUR	2,400,528		4,988
								$	(701	)

46 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
186	U.S. Treasury Note 5 Yr. (CBT)	June 2021		23,058,188		(44,751	)
238	U.S. Treasury Ultra 10 Yr. (CBT)	June 2021		35,067,812		(256,998	)
			$	58,126,000	$	(301,749	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
38	U.S. Treasury Note 2 Yr. (CBT)	June 2021		8,389,094		5,610
1	U.S. Treasury Note 10 Yr. (CBT)	June 2021		132,719		1,101
1	U.S. Treasury Ultra 10 Yr. (CBT)	June 2021		189,062		(1,760	)
			$	8,710,875	$	4,951

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate	Value ($)
Written Option on Credit Default Swaps – Calls
CDX.NA.HYS.35.V1-5Y	JPM	109.50%		03/17/21		USD	(15,880,000	)		Fixed Spread	Receive		(21,720	)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.35.V1-5Y	JPM	109.00%		03/17/21		USD	(15,880,000	)		Fixed Spread	Pay		(200,837	)
CDX.NA.IGS.35.V1-5Y	MSCI	55.00%		03/17/21		USD	(59,146,500	)		Fixed Spread	Pay		(103,385	)
CDX.NA.IGS.35.V1-5Y	BOA	70.00%		04/21/21		USD	(53,190,000	)		Fixed Spread	Pay		(68,555	)
				Total Written Options on Credit Default Swaps – Puts									(372,777	)
				TOTAL WRITTEN OPTIONS (Premiums $487,628)								$	(394,497	)

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	21,745,573		5.00%		1.98%		N/A		12/20/2023		Quarterly		(2,273,176	)		(2,176,213	)		96,963
CDX.NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.57%		N/A		12/20/2024		Quarterly		(417,804	)		(799,693	)		(381,889	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.45%		N/A		12/20/2024		Quarterly		(859,948	)		(752,067	)		107,881
CDX.NA.HYS.35.V1-5Y	USD	15,880,000		5.00%		3.11%		N/A		12/20/2025		Quarterly		(1,468,900	)		(1,303,176	)		165,724
CDX.NA.IGS.35.V1-5Y	USD	53,190,000		1.00%		0.56%		N/A		12/20/2025		Quarterly		(1,287,376	)		(1,102,629	)		184,747
CDX.NA.IGS.35.V1-5Y	USD	59,146,500		1.00%		0.56%		N/A		12/20/2025		Quarterly		(1,281,546	)		(1,226,107	)		55,439
ITRAXX.EUROPES.34.V1-5Y	EUR	20,633,760		1.00%		0.51%		N/A		12/20/2025		Quarterly		(648,690	)		(588,185	)		60,505
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.34%		17,200,000 USD		06/20/2022		Quarterly		300,982			149,382			(151,600	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.59%		2,300,650 USD		12/20/2024		Quarterly		78,900			197,840			118,940
													$	(7,857,558	)	$	(7,600,848	)	$	256,710

See accompanying notes to the financial statements. 47

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	4,458,000		5.00%		1.29%		N/A		12/20/2021		Quarterly		11,145			(135,612	)		(146,757	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		1.29%		N/A		12/20/2021		Quarterly		(11,825	)		(130,805	)		(118,980	)
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.17%		N/A		06/20/2022		Quarterly		(165,250	)		(189,280	)		(24,030	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		2.92%		N/A		12/20/2022		Quarterly		(282,711	)		(241,165	)		41,546
CDX.NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		2.92%		N/A		12/20/2022		Quarterly		(51,765	)		(32,655	)		19,110
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		2.92%		N/A		12/20/2022		Quarterly		(188,413	)		(129,522	)		58,891
Navient Corp.	BCLY	USD	2,082,800		5.00%		2.45%		N/A		12/20/2022		Quarterly		(160,628	)		(94,434	)		66,194
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.45%		N/A		12/20/2022		Quarterly		(264,646	)		(155,751	)		108,895
Navient Corp.	GS	USD	2,700,000		5.00%		2.45%		N/A		12/20/2022		Quarterly		(277,471	)		(122,417	)		155,054
Navient Corp.	GS	USD	4,050,000		5.00%		2.45%		N/A		12/20/2022		Quarterly		(421,122	)		(183,626	)		237,496
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,941,000		5.00%		5.21%		N/A		12/20/2023		Quarterly		(15,370	)		22,708			38,078
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		1.64%		N/A		12/20/2024		Quarterly		748,704			294,512			(454,192	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		4.70%		N/A		01/17/2047		Monthly		89,177			95,337			6,160
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		2.15%		N/A		01/17/2047		Monthly		7,975			83,414			75,439
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.81%		N/A		01/17/2047		Monthly		(119,899	)		(36,745	)		83,154
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.81%		N/A		01/17/2047		Monthly		47,352			(21,758	)		(69,110	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.81%		N/A		01/17/2047		Monthly		197,705			(80,550	)		(278,255	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.81%		N/A		01/17/2047		Monthly		112,812			(21,251	)		(134,063	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.81%		N/A		01/17/2047		Monthly		205,782			(64,092	)		(269,874	)
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		1.25%		N/A		11/18/2054		Monthly		(63,740	)		(73,009	)		(9,269	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.25%		N/A		11/18/2054		Monthly		(61,372	)		(72,986	)		(11,614	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.25%		N/A		11/18/2054		Monthly		(67,279	)		(72,985	)		(5,706	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.61%		N/A		10/17/2057		Monthly		247,717			34,949			(212,768	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.89%		N/A		10/17/2057		Monthly		73,095			(36,087	)		(109,182	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.89%		N/A		10/17/2057		Monthly		140,432			(13,733	)		(154,165	)
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		8.00%		N/A		10/17/2057		Monthly		1,034,610			1,078,839			44,229
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		8.00%		N/A		10/17/2057		Monthly		400,909			661,492			260,583
CMBX.NA.AAA.9	GS	USD	902,300		0.50%		0.28%		N/A		09/17/2058		Monthly		(4,411	)		(8,752	)		(4,341	)
CMBX.NA.AAA.9	MSCI	USD	3,328,000		0.50%		0.28%		N/A		09/17/2058		Monthly		(31,983	)		(32,281	)		(298	)
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.28%		N/A		09/17/2058		Quarterly		(102,116	)		(96,997	)		5,119
CMBX.NA.AAA.9	MORD	USD	2,000,000		0.50%		0.28%		N/A		09/17/2058		Monthly		(20,423	)		(19,399	)		1,024
CMBX.NA.BBB-.9	CGMI	USD	2,500,000		3.00%		5.79%		N/A		09/17/2058		Monthly		290,110			281,226			(8,884	)
CMBX.NA.BBB-.9	CGMI	USD	1,500,000		3.00%		5.79%		N/A		09/17/2058		Monthly		175,119			168,735			(6,384	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		5.79%		N/A		09/17/2058		Monthly		584,727			575,591			(9,136	)
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		5.79%		N/A		09/17/2058		Monthly		63,490			290,788			227,298
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		5.79%		N/A		09/17/2058		Monthly		955,105			385,302			(569,803	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		5.79%		N/A		09/17/2058		Monthly		517,160			479,546			(37,614	)
CMBX.NA.A.6	CGMI	USD	2,840,000		2.00%		6.74%		N/A		05/11/2063		Monthly		340,958			191,169			(149,789	)
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		2.28%		N/A		05/11/2063		Monthly		35,145			57,390			22,245
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		22.45%		N/A		05/11/2063		Monthly		1,357,351			1,056,590			(300,761	)
CMBX.NA.BBB-.13	GS	USD	4,960,000		3.00%		4.05%		N/A		12/16/2072		Monthly		1,011,544			367,318			(644,226	)
CMBX.NA.BBB-.13	GS	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		268,842			148,112			(120,730	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		408,836			148,112			(260,724	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		332,412			148,112			(184,300	)
CMBX.NA.BBB-.13	MORD	USD	2,000,000		3.00%		4.05%		N/A		12/16/2072		Monthly		145,818			148,112			2,294
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		0.18%		2,084,000 USD		12/20/2021		Quarterly		268,315			82,709			(185,606	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.18%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			341,314			(802,486	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.18%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			339,132			(1,030,632	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		0.18%		7,735,000 USD		12/20/2021		Quarterly		1,096,050			306,985			(789,065	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		0.66%		4,264,000 USD		12/20/2022		Quarterly		644,717			337,915			(306,802	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.66%		5,115,600 USD		12/20/2022		Quarterly		742,274			405,403			(336,871	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		0.66%		5,994,100 USD		12/20/2022		Quarterly		229,274			475,022			245,748

48 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) ($)
CDX.NA.HYS.31.V1-5Y	JPM	USD	18,156,815		5.00%		0.24%		18,156,815 USD		12/20/2023		Quarterly		3,615,022			2,412,239			(1,202,783	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000		5.00%		1.41%		2,866,000 USD		12/20/2023		Quarterly		293,765			288,770			(4,995	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000		5.00%		1.41%		4,657,000 USD		12/20/2023		Quarterly		492,478			469,226			(23,252	)
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	655,580		5.00%		34.87%		655,580 EUR		12/20/2023		Quarterly		(487,841	)		(439,816	)		48,025
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	158,684		5.00%		34.87%		158,684 EUR		12/20/2023		Quarterly		(110,801	)		(106,458	)		4,343
CDX.NA.HYS.33.V1-5Y	GS	USD	25,938,066		5.00%		0.47%		25,938,066 USD		12/20/2024		Quarterly		5,736,852			4,388,006			(1,348,846	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,746,000		5.00%		0.47%		10,746,000 USD		12/20/2024		Quarterly		1,826,953			1,817,927			(9,026	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,840,000		5.00%		0.47%		2,840,000 USD		12/20/2024		Quarterly		481,871			480,450			(1,421	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,185,325		5.00%		0.47%		4,185,325 USD		12/20/2024		Quarterly		442,877			708,042			265,165
CDX.NA.HYS.33.V3-5Y	GS	USD	9,506,516		5.00%		0.47%		9,506,516 USD		12/20/2024		Quarterly		1,343,307			1,608,241			264,934
CDX.NA.HYS.33.V8-5Y	GS	USD	6,508,491		5.00%		0.47%		6,508,491 USD		12/20/2024		Quarterly		1,066,328			1,101,057			34,729
CDX.NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		11.8%		1,472,000 USD		12/20/2024		Quarterly		(820,051	)		(506,998	)		313,053
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.76%		25,000,000 EUR		12/20/2024		Quarterly		114,434			279,900			165,466
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.17%		58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,294,018			(373,671	)
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	36,846,000		1.00%		0.23%		36,846,000 USD		12/20/2025		Quarterly		1,774,799			1,680,834			(93,965	)
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		2.51%		2,500,000 USD		09/17/2058		Monthly		(74,374	)		(55,875	)		18,499
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		2.51%		6,822,400 USD		09/17/2058		Monthly		89,487			(152,478	)		(241,965	)
CMBX.NA.A.9	CGMI	USD	4,000,000		2.00%		2.51%		4,000,000 USD		09/17/2058		Monthly		(100,230	)		(89,399	)		10,831
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%		7,399,200 USD		12/16/2072		Monthly		30,439			16,787			(13,652	)
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%		7,399,200 USD		12/16/2072		Monthly		30,439			16,787			(13,652	)
														$	31,401,245		$	23,151,202		$	(8,250,043	)

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

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

(1) As of February 28, 2021, 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) ($)
0.25%		3 Month USD LIBOR	USD	9,700,000		11/10/2022	Quarterly		(4,539	)		(5,614	)		(1,075	)
0.30%		3 Month USD LIBOR	USD	9,750,000		08/17/2024	Quarterly		—			78,311			78,311
0.33%		3 Month USD LIBOR	USD	12,520,000		10/20/2024	Quarterly		3,562			110,298			106,736
0.35%		3 Month USD LIBOR	USD	17,370,000		04/19/2025	Quarterly		14			241,235			241,221
0.40%		3 Month USD LIBOR	USD	26,300,000		10/08/2025	Quarterly		(3,685	)		465,623			469,308
0.82%		3 Month USD LIBOR	USD	5,480,000		01/12/2028	Quarterly		—			136,398			136,398
0.88%		3 Month USD LIBOR	USD	6,595,000		03/06/2028	Quarterly		(15,632	)		147,082			162,714
0.65%		3 Month USD LIBOR	USD	6,770,000		06/04/2028	Quarterly		(34,587	)		283,432			318,019
0.65%		3 Month USD LIBOR	USD	5,790,000		07/30/2028	Quarterly		(25,115	)		255,792			280,907
1.30%		3 Month USD LIBOR	USD	10,027,000		12/19/2029	Quarterly		—			97,359			97,359
0.75%		3 Month USD LIBOR	USD	5,100,000		02/11/2030	Quarterly		(22,015	)		298,620			320,635
0.95%		3 Month USD LIBOR	USD	2,560,000		12/11/2030	Quarterly		—			131,565			131,565
1.02%		3 Month USD LIBOR	USD	7,200,000		01/08/2031	Quarterly		24,435			329,593			305,158
								$	(77,562	)	$	2,569,694		$	2,647,256

See accompanying notes to the financial statements. 49

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iBoxx USD Liquid Leveraged Loan Index		1 Month USD LIBOR	JPM		USD	9,000,000	03/20/2021		Quarterly		1,789		6,041			4,252
Total Return on iBoxx USD Liquid Leveraged Loan Index		1 Month USD LIBOR	JPM		USD	3,000,000	03/20/2021		Quarterly		338		(16,956	)		(17,294	)
										$	2,127	$	(10,915	)	$	(13,042	)

As of February 28, 2021, 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) The rate disclosed is the 7 day net yield as of February 28, 2021.

(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) 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 56.

50 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes.

GMO U.S. Treasury Fund returned +0.63% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

Security selection in U.S. Treasury Notes drove positive performance during the year, followed by positive contributions from Floating Rate Treasury Notes, U.S. Treasury Bills, and Federal Home Loan Bank Notes.

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

52

GMO U.S. Treasury Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

The gross expense ratio of 0.11% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. The corresponding net expense ratio of 0.08% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

53

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.7	%
Other		0.3
		100.0	%

54

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.7%
		U.S. Government — 98.3%
	59,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (a)		58,969,128
	40,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (a)		39,974,779
	30,000,000	U.S. Treasury Bill, 0.08%, due 02/24/22 (a)		29,975,500
	35,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		35,184,570
	30,000,000	U.S. Treasury Note, 1.13%, due 09/30/21		30,187,500
	16,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.30%, 0.33%, due 10/31/21		16,031,461
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22		45,031,238
	40,000,000	U.S. Treasury Note, 1.75%, due 02/28/22		40,665,625
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22		45,011,591
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23		35,002,764
		Total U.S. Government		376,034,156

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 1.3%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.11%, due 09/10/21		5,001,940
		Money Market Funds — 0.1%
	226,388	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.03% (b)		226,388
		TOTAL SHORT-TERM INVESTMENTS (COST $381,095,369)		381,262,484
		TOTAL INVESTMENTS — 99.7% (Cost $381,095,369)		381,262,484
		Other Assets and Liabilities (net) — 0.3%		1,192,214
		TOTAL NET ASSETS — 100.0%		$382,454,698

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 February 28, 2021.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 56.

See accompanying notes to the financial statements. 55

GMO Trust Funds

February 28, 2021

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

MTA – Monthly Treasury Average Index

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 February 28,

2021, 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

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

DOP - Dominican Peso

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,000,835	$	74,784,247	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		115,473,430		4,074,016,081		91,605,724
Cash		—		14,957,923		—
Receivable for investments sold		—		7,436,743		—
Dividends and interest receivable		119,240		64,209,132		427,955
Unrealized appreciation on open forward currency contracts (Note 4)		—		339,034		264,398
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		42,530
Due from broker (Note 2)		—		13,494,985		2,666,515
Receivable for open OTC swap contracts (Note 4)		—		15,078,176		—
Interest receivable for open OTC swap contracts (Note 4)		—		119,173		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		7,720		4,917		—
Receivable for options (Note 4)(c)		—		455,127		—
Miscellaneous receivable		—		1,761		—
Total assets		120,601,225		4,264,897,299		95,007,122
Liabilities:
Due to custodian		—		—		215,067
Payable for investments purchased		309		21,180,062		—
Payable for Fund shares repurchased		—		169,636		—
Payable for recoupment of past waived and/or reimbursed fees (Note 5)		—		—		473
Payable to affiliate for (Note 5):
Management fee		25,067		1,240,126		27,380
Shareholder service fee		8,581		395,043		4,303
Payable to agents unaffiliated with GMO		81		2,744		58
Payable for variation margin on open futures contracts (Note 4)		—		—		15,828
Payable for variation margin on open cleared swap contracts (Note 4)		—		225,581		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		684,045		—
Interest payable for open OTC swap contracts (Note 4)		—		471,259		—
Payable for open OTC swap contracts (Note 4)		—		5,092,203		127,906
Payable for reverse repurchase agreements (Note 2)		—		6,685,232		—
Payable for options (Note 4)(c)		—		64,608		—
Payable to Trustees and related expenses		1,307		20,443		762
Accrued expenses		109,808		444,933		70,014
Total liabilities		145,153		36,675,915		461,791
Net assets	$	120,456,072	$	4,228,221,384	$	94,545,331
(a)  Cost of investments – affiliated issuers:	$	5,000,835	$	74,296,430	$	—
(b)  Cost of investments – unaffiliated issuers:	$	105,872,051	$	4,407,850,866	$	90,403,927
(c)  Premiums on options:	$	—	$	5,850,579	$	—

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	166,961,851		$	4,754,455,355		$	85,774,255
Distributable earnings (accumulated loss)		(46,505,779	)		(526,233,971	)		8,771,076
	$	120,456,072		$	4,228,221,384		$	94,545,331
Net assets attributable to:
Class III	$	61,835,560		$	1,010,105,543		$	—
Class IV	$	—		$	3,218,115,841		$	—
Class VI	$	58,620,512		$	—		$	94,545,331
Shares outstanding:
Class III		2,596,185			39,549,662			—
Class IV		—			126,223,136			—
Class VI		2,454,379			—			4,522,647
Net asset value per share:
Class III	$	23.82		$	25.54		$	—
Class IV	$	—		$	25.50		$	—
Class VI	$	23.88		$	—		$	20.90

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (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)	$	51,051,690	$	11,003,541	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		135,844,883		843,097,665		381,262,484
Cash		—		1,407,376		—
Receivable for investments sold		—		17,263,015		—
Receivable for Fund shares sold		—		811,642		3,050,000
Receivable for closed swap contracts (Note 4)		46,239		63,933		—
Dividends and interest receivable		483,020		1,654,009		711,644
Unrealized appreciation on open forward currency contracts (Note 4)		1,562,579		4,988		—
Receivable for variation margin on open cleared swap contracts (Note 4)		310,718		—		—
Due from broker (Note 2)		3,844,463		8,041,033		—
Receivable for variation margin on open futures contracts (Note 4)		256,344		182,129		—
Receivable for open OTC swap contracts (Note 4)		921,917		26,574,159		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,543,391		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		33,053		42,625		17,973
Total assets		194,354,906		911,689,506		385,042,101
Liabilities:
Due to broker (Note 2)		516		7,914		—
Investments sold short, at value (Note 2)(c)		—		5,234,961		—
Due to custodian		1,090,728		—		—
Foreign currency due to custodian		2,175		—		—
Payable for investments purchased		25,359,035		6,851,895		—
Payable for Fund shares repurchased		—		49,277		2,500,000
Payable to affiliate for (Note 5):
Management fee		34,482		286,860		22,246
Shareholder service fee		15,487		70,446		—
Payable to agents unaffiliated with GMO		118		527		222
Payable for variation margin on open cleared swap contracts (Note 4)		—		102,567		—
Payable for closed swap contracts (Note 4)		1,752,232		—		—
Dividend payable		—		—		9,434
Unrealized depreciation on open forward currency contracts (Note 4)		524,676		5,689		—
Interest payable for open OTC swap contracts (Note 4)		—		433,864		—
Payable for open OTC swap contracts (Note 4)		—		3,433,872		—
Payable to Trustees and related expenses		2,189		3,245		2,515
Written options outstanding, at value (Note 4)(d)		—		394,497		—
Accrued expenses		108,816		206,660		52,986
Total liabilities		28,890,454		17,082,274		2,587,403
Net assets	$	165,464,452	$	894,607,232	$	382,454,698
(a)  Cost of investments – affiliated issuers:	$	52,961,551	$	11,003,541	$	—
(b)  Cost of investments – unaffiliated issuers:	$	135,270,826	$	868,180,756	$	381,095,369
(c)  Proceeds from securities sold short:	$	—	$	5,272,656	$	—
(d)  Premiums on written options:	$	—	$	487,628	$	—

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (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	$	190,096,791		$	988,228,790		$	382,133,507
Distributable earnings (accumulated loss)		(24,632,339	)		(93,621,558	)		321,191
	$	165,464,452		$	894,607,232		$	382,454,698
Net assets attributable to:
Core Class	$	—		$	—		$	382,454,698
Class III	$	31,602,438		$	—		$	—
Class IV	$	133,862,014		$	—		$	—
Class VI	$	—		$	477,456,830		$	—
Class I	$	—		$	417,150,402		$	—
Shares outstanding:
Core Class		—			—			75,927,856
Class III		1,570,298			—			—
Class IV		6,625,861			—			—
Class VI		—			18,473,921			—
Class I		—			16,170,677			—
Net asset value per share:
Core Class	$	—		$	—		$	5.04
Class III	$	20.13		$	—		$	—
Class IV	$	20.20		$	—		$	—
Class VI	$	—		$	25.84		$	—
Class I	$	—		$	25.80		$	—

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Interest	$	2,166,836		$	255,160,359		$	2,556,973
Dividends from unaffiliated issuers		1,226			433,428			2,936,353
Dividends from affiliated issuers (Note 10)		14,512			161,137			7,346
Total investment income		2,182,574			255,754,924			5,500,672
Expenses:
Management fee (Note 5)		369,670			14,794,164			513,373
Shareholder service fee – Class III (Note 5)		52,862			1,667,335			—
Shareholder service fee – Class IV (Note 5)		—			3,115,348			—
Shareholder service fee – Class VI (Note 5)		61,945			—			80,673
Audit and tax fees		77,575			176,677			66,985
Custodian, fund accounting agent and transfer agent fees		24,951			690,107			42,383
Legal fees		13,845			255,735			12,545
Registration fees		6,249			97,741			680
Trustees’ fees and related expenses (Note 5)		5,001			157,088			5,526
Interest expense (Note 2)		—			99,147			2,036
Recoupment of past waived and/or reimbursed fees (Note 5)		—			—			20,494
Miscellaneous		7,395			146,024			13,400
Total expenses		619,493			21,199,366			758,095
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(117,813	)		—			—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(4,595	)		(59,810	)		(1,879	)
Net expenses		497,085			21,139,556			756,216
Net investment income (loss)		1,685,489			234,615,368			4,744,456
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		11,142,632			91,739,482			7,736,475
Investments in affiliated issuers		59,580			—			30,663
Realized gain distributions from affiliated issuers (Note 10)		447			7,419			—
Futures contracts		—			—			694,143
Options		—			361,902			—
Swap contracts		—			31,068,906			(2,722,738	)
Forward currency contracts		—			(8,711,030	)		(942,834	)
Foreign currency and foreign currency related transactions		—			(1,825,085	)		74,979
Net realized gain (loss)		11,202,659			112,641,594			4,870,688
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,742,480	)		(208,096,163	)		1,064,676
Investments in affiliated issuers		(19,842	)		296,763			—
Futures contracts		—			—			(131,689	)
Options		—			(1,007,552	)		—
Swap contracts		—			(19,587,360	)		643,269
Forward currency contracts		—			(2,758,896	)		884,087
Foreign currency and foreign currency related transactions		—			389,820			—
Net change in unrealized appreciation (depreciation)		(4,762,322	)		(230,763,388	)		2,460,343
Net realized and unrealized gain (loss)		6,440,337			(118,121,794	)		7,331,031
Net increase (decrease) in net assets resulting from operations	$	8,125,826		$	116,493,574		$	12,075,487

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (Continued)

	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	2,460,874		$	35,691,588		$	1,040,332
Dividends from affiliated issuers (Note 10)		2,450,278			14,759			—
Dividends from unaffiliated issuers		1,372,504			14,126			7,296
Total investment income		6,283,656			35,720,473			1,047,628
Expenses:
Management fee (Note 5)		819,786			3,169,176			295,167
Shareholder service fee – Class III (Note 5)		111,455			—			—
Shareholder service fee – Class IV (Note 5)		253,611			—			—
Shareholder service fee – Class VI (Note 5)		—			354,214			—
Shareholder service fee – Class I (Note 5)		—			222,402			—
Audit and tax fees		80,935			145,610			39,215
Custodian, fund accounting agent and transfer agent fees		140,037			350,669			54,459
Legal fees		24,613			105,584			13,339
Registration fees		8,063			19,493			2,403
Trustees’ fees and related expenses (Note 5)		13,324			28,614			9,135
Interest expense (Note 2)		10,772			6,511			—
Miscellaneous		10,728			36,276			6,448
Total expenses		1,473,324			4,438,549			420,166
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(245,204	)		(419,001	)		(108,476	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(333,812	)		(6,436	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(53,249	)		—			—
Net expenses		841,059			4,013,112			311,690
Net investment income (loss)		5,442,597			31,707,361			735,938
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		19,614,265			3,634,801			1,188,447
Investments in affiliated issuers		(2,358,587	)		61,299			—
Realized gain distributions from affiliated issuers (Note 10)		322,725			1,092			—
Futures contracts		3,192,454			382,759			—
Written options		—			574,297			—
Swap contracts		2,506,165			(1,735,880	)		—
Forward currency contracts		(2,854,245	)		32,973			—
Foreign currency and foreign currency related transactions		(673,681	)		(22,232	)		—
Net realized gain (loss)		19,749,096			2,929,109			1,188,447
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(13,390,019	)		(23,515,541	)		(507,093	)
Investments in affiliated issuers		421,038			(40,861	)		—
Investments in securities sold short		—			37,695			—
Futures contracts		(2,101,050	)		(358,778	)		—
Written options		—			1,600,951			—
Swap contracts		(4,783,558	)		9,617,601			—
Forward currency contracts		2,230,212			30,265			—
Foreign currency and foreign currency related transactions		40,942			24,959			—
Net change in unrealized appreciation (depreciation)		(17,582,435	)		(12,603,709	)		(507,093	)
Net realized and unrealized gain (loss)		2,166,661			(9,674,600	)		681,354
Net increase (decrease) in net assets resulting from operations	$	7,609,258		$	22,032,761		$	1,417,292

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Emerging Country Debt Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,685,489		$	7,889,067		$	234,615,368		$	221,319,017
Net realized gain (loss)		11,202,659			6,054,299			112,641,594			111,192,411
Change in net unrealized appreciation (depreciation)		(4,762,322	)		15,537,386			(230,763,388	)		27,585,038
Net increase (decrease) in net assets from operations		8,125,826			29,480,752			116,493,574			360,096,466
Distributions to shareholders:
Class III		(403,791	)		(2,812,796	)		(110,457,805	)		(86,984,349	)
Class IV		—			—			(299,019,091	)		(184,491,074	)
Class VI		(1,120,355	)		(10,562,420	)		—			—
Total distributions		(1,524,146	)		(13,375,216	)		(409,476,896	)		(271,475,423	)
Net share transactions (Note 9):
Class III		18,928,517			(44,781,434	)		(59,256,916	)		(193,723,603	)
Class IV		—			—			222,010,887			310,461,408
Class VI		(138,607,964	)		(126,433,401	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(119,679,447	)		(171,214,835	)		162,753,971			116,737,805
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,428,115			1,185,127
Class IV		—			—			3,980,122			2,605,465
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			5,408,237			3,790,592
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(119,679,447	)		(171,214,835	)		168,162,208			120,528,397
Total increase (decrease) in net assets		(113,077,767	)		(155,109,299	)		(124,821,114	)		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	$	120,456,072		$	233,533,839		$	4,228,221,384		$	4,353,042,498

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,744,456		$	4,998,965		$	5,442,597		$	15,443,713
Net realized gain (loss)		4,870,688			13,609,310			19,749,096			33,693,622
Change in net unrealized appreciation (depreciation)		2,460,343			(3,757,036	)		(17,582,435	)		23,835,389
Net increase (decrease) in net assets from operations		12,075,487			14,851,239			7,609,258			72,972,724
Distributions to shareholders:
Class III		—			—			(8,300,596	)		(4,223,692	)
Class IV		—			—			(24,041,607	)		(27,712,585	)
Class VI		(3,588,431	)		(16,679,907	)		—			—
Total distributions		(3,588,431	)		(16,679,907	)		(32,342,203	)		(31,936,277	)
Net share transactions (Note 9):
Class III		—			—			(42,133,243	)		(8,936,625	)
Class IV		—			—			(297,963,316	)		(166,424,406	)
Class VI		(75,391,205	)		(49,483,824	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(75,391,205	)		(49,483,824	)		(340,096,559	)		(175,361,031	)
Total increase (decrease) in net assets		(66,904,149	)		(51,312,492	)		(364,829,504	)		(134,324,584	)
Net assets:
Beginning of period		161,449,480			212,761,972			530,293,956			664,618,540
End of period	$	94,545,331		$	161,449,480		$	165,464,452		$	530,293,956

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	31,707,361		$	51,863,736		$	735,938		$	9,860,244
Net realized gain (loss)		2,929,109			5,513,015			1,188,447			1,018,767
Change in net unrealized appreciation (depreciation)		(12,603,709	)		(7,623,564	)		(507,093	)		864,705
Net increase (decrease) in net assets from operations		22,032,761			49,753,187			1,417,292			11,743,716
Distributions to shareholders:
Core Class		—			—			(773,665	)		(9,860,244	)
Class VI		(24,129,562	)		(48,827,021	)		—			—
Class I		(5,867,931	)		(249,504	)*		—			—
Total distributions		(29,997,493	)		(49,076,525	)		(773,665	)		(9,860,244	)
Net share transactions (Note 9):
Core Class		—			—			159,049,444			(414,899,246	)
Class VI		(337,486,350	)		(176,144,018	)		—			—
Class I		391,498,422			22,560,690	*		—			—
Increase (decrease) in net assets resulting from net share transactions		54,012,072			(153,583,328	)		159,049,444			(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		54,012,072			(153,262,570	)		159,049,444			—
Total increase (decrease) in net assets		46,047,340			(152,585,908	)		159,693,071			(413,015,774	)
Net assets:
Beginning of period		848,559,892			1,001,145,800			222,761,627			635,777,401
End of period	$	894,607,232		$	848,559,892		$	382,454,698		$	222,761,627

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

See accompanying notes to the financial statements. 65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.26				0.55				0.54				0.33				0.18				0.27				0.56				0.57				0.36				0.21
Net realized and unrealized gain (loss)			1.18				1.52				0.18				(0.31	)			(0.19	)			1.18				1.53				0.18				(0.33	)			(0.19	)
Total from investment operations			1.44				2.07				0.72				0.02				(0.01	)			1.45				2.09				0.75				0.03				0.02
Less distributions to shareholders:
From net investment income			(0.28	)			(1.02	)			(1.06	)			(0.22	)			—				(0.29	)			(1.04	)			(1.10	)			(0.24	)			—
Total distributions			(0.28	)			(1.02	)			(1.06	)			(0.22	)			—				(0.29	)			(1.04	)			(1.10	)			(0.24	)			—
Net asset value, end of period		$	23.82			$	22.66			$	21.61			$	21.95			$	22.15			$	23.88			$	22.72			$	21.67			$	22.02			$	22.23
Total Return(b)			6.33	%			9.74	%			3.37	%			0.07	%			(0.05	)%			6.39	%			9.83	%			3.48	%			0.12	%			0.09	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	61,836			$	41,124			$	82,801			$	207,008			$	282,272			$	58,621			$	192,410			$	305,842			$	1,019,135			$	1,209,721
Net operating expenses to average daily net assets			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			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)			—				0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Total net expenses to average daily net assets			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.31	%(c)			0.31	%(c)			0.31	%(c)			0.31	%			0.31	%(c)
Net investment income (loss) to average daily net assets(a)			1.11	%			2.49	%			2.48	%			1.50	%			0.81	%			1.15	%			2.49	%			2.57	%			1.59	%			0.94	%
Portfolio turnover rate			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%			0.02	%			0.08	%(g)			0.06	%(g)			0.04	%			0.02	%			0.02	%

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

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 39%, 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.

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017(a)				2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.56				1.44				1.36				1.36				1.94				1.39				1.43				1.37				1.39				1.95
Net realized and unrealized gain (loss)			(0.85	)			0.91				(1.19	)			0.32				3.01	(c)			(0.66	)			0.94				(1.19	)			0.29				3.01	(c)
Total from investment operations			0.71				2.35				0.17				1.68				4.95				0.73				2.37				0.18				1.68				4.96
Less distributions to shareholders:
From net investment income			(1.93	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
From net realized gains			(0.62	)			—				—				—				—				(0.62	)			—				—				—				—
Total distributions			(2.55	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(2.57	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
Net asset value, end of period		$	25.54			$	27.38			$	26.82			$	28.62			$	28.99			$	25.50			$	27.34			$	26.77			$	28.57			$	28.95
Total Return(d)			2.67	%			8.97	%			0.97	%			5.81	%			19.47	%			2.73	%			9.08	%			1.02	%			5.83	%			19.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,010,106			$	1,133,945			$	1,294,577			$	1,273,188			$	1,067,086			$	3,218,116			$	3,219,098			$	2,849,316			$	2,862,977			$	3,018,159
Net operating expenses to average daily net assets(e)			0.54	%			0.53	%			0.52	%			0.53	%			0.54	%			0.49	%			0.48	%			0.47	%			0.48	%			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)			0.01	%			0.02	%			0.00	%(g)			—
Total net expenses to average daily net assets(e)			0.54	%			0.54	%			0.54	%			0.53	%			0.54	%			0.49	%			0.49	%			0.49	%			0.48	%			0.49	%
Net investment income (loss) to average daily net assets(b)			6.02	%			5.23	%			4.99	%			4.57	%			6.76	%			5.38	%			5.22	%			5.04	%			4.67	%			6.81	%
Portfolio turnover rate(h)			56	%			41	%			15	%			34	%			21	%			56	%			41	%			15	%			34	%			21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.03			$	0.03			$	0.03			$	0.04	(a)		$	0.03			$	0.03			$	0.03			$	0.03			$	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, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Rounds to less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 40%, 15%, 33% and 23%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Year Ended February 28/29,								Period From June 25, 2018 (commencement of operations) through February 28, 2019
	2021				2020
Net asset value, beginning of period		$	19.94			$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.64				0.48				0.27
Net realized and unrealized gain (loss)			0.77				0.82				0.71
Total from investment operations			1.41				1.30				0.98
Less distributions to shareholders:
From net investment income			(0.40	)			(1.57	)			(0.61	)
From net realized gains			(0.05	)			—				(0.16	)
Total distributions			(0.45	)			(1.57	)			(0.77	)
Net asset value, end of period		$	20.90			$	19.94			$	20.21
Total Return(b)			7.21	%			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	94,545			$	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	%(f)			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)			3.23	%			2.34	%			2.00	%*
Portfolio turnover rate(g)			288	%			105	%			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(f)(h)			0.00	%(f)(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, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Rounds to less than 0.01%.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020 and February 28, 2019, including transactions in USTF, was 317%, 214% and 159%, 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.

68 See accompanying notes to the financial statements.

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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017(a)				2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	22.19			$	20.88			$	20.93			$	21.10			$	21.39			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.43				0.53				0.51				0.41				0.26				0.35				0.54				0.48				0.46				0.24
Net realized and unrealized gain (loss)			(0.24	)(c)			2.01				0.49				(0.06	)			0.25				(0.16	)(c)			2.02				0.53				(0.10	)			0.29
Total from investment operations			0.19				2.54				1.00				0.35				0.51				0.19				2.56				1.01				0.36				0.53
Less distributions to shareholders:
From net investment income			(0.93	)			(0.64	)			(1.05	)			(0.52	)			(0.80	)			(0.93	)			(0.65	)			(1.05	)			(0.53	)			(0.83	)
From net realized gains			(1.32	)			(0.59	)			—				—				—				(1.32	)			(0.59	)			—				—				—
Total distributions			(2.25	)			(1.23	)			(1.05	)			(0.52	)			(0.80	)			(2.25	)			(1.24	)			(1.05	)			(0.53	)			(0.83	)
Net asset value, end of period		$	20.13			$	22.19			$	20.88			$	20.93			$	21.10			$	20.20			$	22.26			$	20.94			$	20.98			$	21.15
Total Return(d)			0.59	%			12.38	%			4.88	%			1.61	%			2.44	%			0.59	%			12.44	%			4.93	%			1.68	%			2.55	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	31,602			$	80,639			$	84,163			$	34,641			$	22,172			$	133,862			$	449,655			$	580,456			$	920,637			$	566,433
Net operating expenses to average daily net assets(e)			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%			0.24	%			0.24	%			0.24	%			0.24	%			0.30	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Total net expenses to average daily net assets(e)			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%			0.24	%			0.24	%			0.24	%			0.24	%			0.30	%
Net investment income (loss) to average daily net assets(b)			1.98	%			2.43	%			2.41	%			1.91	%			1.21	%			1.57	%			2.47	%			2.29	%			2.14	%			1.10	%
Portfolio turnover rate(h)			262	%			215	%			201	%			198	%			216	%			262	%			215	%			201	%			198	%			216	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.19	%			0.16	%			0.16	%			0.14	%			0.30	%			0.19	%			0.16	%			0.15	%			0.14	%			0.26	%

^(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 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

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

^(g) Rounds to less than 0.01%.

^(h) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 335%, 285%, 250%, 221% and 325%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class VI Shares																				Class I Shares
	Year Ended February 28/29,																				Year Ended February 28, 2021				Period from November 5, 2019 (commencement of operations) through February  29, 2020
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	26.15			$	26.21			$	26.41			$	25.78			$	24.57			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			1.06				1.46				1.32				1.15				0.96				0.89				0.54
Net realized and unrealized gain (loss)			(0.31	)			(0.06	)			(0.38	)			0.18				0.89				(0.18	)			(0.08	)
Total from investment operations			0.75				1.40				0.94				1.33				1.85				0.71				0.46
Less distributions to shareholders:
From net investment income			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(1.03	)			(1.19	)
From net realized gains			—				—				—				—				—				—				—
Total distributions			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)			(1.03	)			(1.19	)
Net asset value, end of period		$	25.84			$	26.15			$	26.21			$	26.41			$	25.78			$	25.80			$	26.12
Total Return(b)			2.95	%			5.45	%			3.58	%			5.18	%			7.62	%			2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	477,457			$	825,876			$	1,001,146			$	1,205,954			$	1,510,894			$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%			0.68	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	% (d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%*(d)
Total net expenses to average daily net assets(c)			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%			0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			4.12	%			5.50	%			4.99	%			4.39	%			3.82	%			3.47	%			6.55	%*
Portfolio turnover rate(f)			43	%			47	%			75	%			152	%			66	%			43	%(f)			47	%**(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(g)			0.04	%(g)			0.04	%			0.03	%			0.04	%			0.07	%(g)			0.07	%*(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.01			$	0.05			$	0.04			$	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)  Rounds to less than 0.01%.

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short 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 years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 45%, 48%, 83%, 175% and 75%, 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.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Year Ended February 28/29,
	2021				2020				2019(a)				2018(a)				2017(a)
Net asset value, beginning of period		$	5.02			$	5.00			$	5.00			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.10				0.10				0.05				0.02
Net realized and unrealized gain (loss)			0.02				0.02				0.01				(0.01	)			0.00	(b)
Total from investment operations			0.03				0.12				0.11				0.04				0.02
Less distributions to shareholders:
From net investment income			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
From net realized gains			(0.00	)(b)			—				—				—				(0.00	)(b)
Total distributions			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
Net asset value, end of period		$	5.04			$	5.02			$	5.00			$	5.00			$	5.01
Total Return(c)			0.63	%			2.47	%			2.16	%			0.96	%			0.54	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	382,455			$	222,762			$	635,777			$	2,324,706			$	2,666,697
Net expenses to average daily net assets			0.08	%			0.06	%			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			0.20	%			2.03	%			1.97	%			1.06	%			0.47	%
Portfolio turnover rate(e)			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	%

^(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.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Notes to Financial Statements

February 28, 2021

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 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

72

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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 year ended February 28, 2021, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign

73

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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 February 28, 2021:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—	$	115,057,365	$	—	$	115,057,365
TOTAL DEBT OBLIGATIONS		—		115,057,365		—		115,057,365
Mutual Funds		5,000,835		—		—		5,000,835
Short-Term Investments		416,065		—		—		416,065
Total Investments		5,416,900		115,057,365		—		120,474,265
Total	$	5,416,900	$	115,057,365	$	—	$	120,474,265
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	25,523,880	$	—	$	25,523,880
Corporate Debt		—		150,864,508		27,230,315		178,094,823
Foreign Government Agency		—		1,076,734,155		91,338,775		1,168,072,930
Foreign Government Obligations		—		2,197,489,408		141,279,144		2,338,768,552
U.S. Government		209,720,000		—		—		209,720,000
TOTAL DEBT OBLIGATIONS		209,720,000		3,450,611,951		259,848,234		3,920,180,185
Loan Assignments		—		—		23,371,890		23,371,890
Loan Participations		—		—		39,866,840		39,866,840
Mutual Funds		74,784,247		—		—		74,784,247
Rights/Warrants		—		17,050,215		34,800		17,085,015
Short-Term Investments		73,512,151		—		—		73,512,151
Total Investments		358,016,398		3,467,662,166		323,121,764		4,148,800,328
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		339,034		—		339,034
Options
Credit Risk		—		—		455,127		455,127
Swap Contracts
Credit Risk		—		17,982,361		—		17,982,361
Interest Rate Risk		—		1,057,488		—		1,057,488
Total	$	358,016,398	$	3,487,041,049	$	323,576,891	$	4,168,634,338

74

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(684,045	)	$	—		$	(684,045	)
Options
Credit Risk		—			—			(64,608	)		(64,608	)
Swap Contracts
Credit Risk		—			(5,092,203	)		—			(5,092,203	)
Interest Rate Risk		—			(1,511,124	)		—			(1,511,124	)
Total	$	—		$	(7,287,372	)	$	(64,608	)	$	(7,351,980	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	33,797,601		$	—		$	33,797,601
U.S. Government		150,104			—			—			150,104
TOTAL DEBT OBLIGATIONS		150,104			33,797,601			—			33,947,705
Investment Funds		2,905,594			—			—			2,905,594
Short-Term Investments		45,370,021			9,382,404			—			54,752,425
Total Investments		48,425,719			43,180,005			—			91,605,724
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			264,398		$	—			264,398
Futures Contracts
Interest Rate Risk		629			—			—			629
Swap Contracts
Credit Risk		—			2,136,044			—			2,136,044
Total	$	48,426,348		$	45,580,447		$	—		$	94,006,795
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(60,686	)	$	—		$	—		$	(60,686	)
Swap Contracts
Interest Rate Risk		—			(127,906	)		—			(127,906	)
Total	$	(60,686	)	$	(127,906	)	$	—		$	(188,592	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Valuation Inputs
Debt Obligations
Certificates of Deposit	$	—		$	382,268		$	—		$	382,268
Corporate Debt		—			47,922,710			—			47,922,710
U.S. Government Agency		—			25,254,003			—			25,254,003
TOTAL DEBT OBLIGATIONS		—			73,558,981			—			73,558,981
Investment Funds		29,014,520			—			—			29,014,520
Mutual Funds		51,051,690			—			—			51,051,690
Short-Term Investments		7,704,855			25,566,527			—			33,271,382
Total Investments		87,771,065			99,125,508			—			186,896,573

75

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund) (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,562,579		$	—	$	1,562,579
Futures Contracts
Interest Rate Risk		138,807			—			—		138,807
Swap Contracts
Interest Rate Risk		—			3,229,921			—		3,229,921
Total	$	87,909,872		$	103,918,008		$	—	$	191,827,880
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(524,676	)	$	—	$	(524,676	)
Futures Contracts
Interest Rate Risk		(326,246	)		—			—		(326,246	)
Swap Contracts
Interest Rate Risk		—			(2,596,726	)		—		(2,596,726	)
Total	$	(326,246	)	$	(3,121,402	)	$	—	$	(3,447,648	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	577,998,859		$	42,612,548	$	620,611,407
U.S. Government		30,007,728			—			—		30,007,728
U.S. Government Agency		—			5,172,949			9,938,002		15,110,951
TOTAL DEBT OBLIGATIONS		30,007,728			583,171,808			52,550,550		665,730,086
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		177,350,142			—			—		177,350,142
Purchased Options		—			17,437			—		17,437
Total Investments		218,361,411			583,189,245			52,550,550		854,101,206
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,988			—		4,988
Futures Contracts
Interest Rate Risk		6,711			—			—		6,711
Swap Contracts
Credit Risk		—			26,915,340			—		26,915,340
Interest Rate Risk		—			2,581,349			—		2,581,349
Total	$	218,368,122		$	612,690,922		$	52,550,550	$	883,609,594
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(5,234,961	)	$	—	$	(5,234,961	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,689	)		—		(5,689	)
Futures Contracts
Interest Rate Risk		(303,509	)		—			—		(303,509	)
Written Options
Credit Risk		—			(394,497	)		—		(394,497	)

76

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	(11,364,986	)	$	—	$	(11,364,986	)
Interest Rate Risk		—			(22,570	)		—		(22,570	)
Total	$	(303,509	)	$	(17,022,703	)	$	—	$	(17,326,212	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	381,262,484		$	—		$	—	$	381,262,484
Total Investments		381,262,484			—			—		381,262,484
Total	$	381,262,484		$	—		$	—	$	381,262,484

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). Excludes purchased options, if any, which are included in investments.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, 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 125 basis points for liquidity considerations and nine asset backed securities which were either adjusted for additional cashflow projections discounted for timing and likelihood of receipt or valued based on a comparable bond. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at February 28, 2021.

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February 28, 2021

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 February 28, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February  28, 2021
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	29,902,115	$	—	$	—		$	(1,619	)	$	—		$	(2,670,181	)	$	—		$	—	$	27,230,315	$	(2,670,181	)
Foreign Government Agency		170,402,802		—		(34,979,202	)		16,637,632			2,918,183			(63,640,640	)		—			—		91,338,775		(55,988,156	)
Foreign Government Obligations		173,035,182		4,887,340		(11,412,671	)		26,226,567			—			(51,457,274	)		—			—		141,279,144		(50,611,392	)
Loan Assignments		14,402,514		11,639,508		(2,511,376	)		681,564			157,341			(997,661	)		—			—		23,371,890		(997,661	)
Loan Participations		47,750,729		3,173,040		(12,533,202	)		2,382,510			—			(906,237	)		—			—		39,866,840		(906,237	)
Rights/Warrants		2,082,394		—		—			—			(6,136,547	)		4,088,953			—			—		34,800		(416,865	)
Total Investments		437,575,736		19,699,888		(61,436,451	)		45,926,654			(3,061,023	)		(115,583,040	)		—			—		323,121,764		(111,590,492	)
Derivatives
Options		1,036,169		—		—			—			361,902			(1,007,552	)		—			—		390,519		108,774
Total	$	438,611,905	$	19,699,888	$	(61,436,451	)#	$	45,926,654		$	(2,699,121	)	$	(116,590,592	)	$	—		$	—	$	323,512,283	$	(111,481,718	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	25,989,481	$	9,996,905	$	(4,505,969	)	$	200,884		$	—		$	(1,434,205	)	$	12,365,452	‡	$	—	$	42,612,548	$	(1,434,205	)
U.S. Government Agency		12,228,802		—		(2,442,500	)		32,811			—			118,889			—			—		9,938,002		118,889
Total	$	38,218,283	$	9,996,905	$	(6,948,469	)##	$	233,695		$	—		$	(1,315,316	)	$	12,365,452		$	—	$	52,550,550	$	(1,315,316	)

# Includes $23,964,524 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $6,948,469 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.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2021 for Funds with material Level 3 investments.

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February 28, 2021

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 Obligations		45,258,659		Fair Value	Discount for lack of liquidity/marketability		1.40% (N/A)
Corporate Debt		27,230,315		Fair Value	Discount for lack of liquidity/marketability		2.00% (N/A)
Loan Assignments and Participations		6,380,574		Fair Value	Discount for lack of liquidity/marketability		5.00%-6.00% (5.12%)
Options		390,519		Fair Value	Probability of CDS threshold event		<5% (N/A)
Opportunistic Income Fund
Asset-Backed Securities		3,427,697		Fair Value	Probability and timing of cash flow receipt		25-75% (N/A)
Asset-Backed Securities		35,386,702		Fair Value	Broker mark of comparable bond		N/A (N/A)
Government Agency		9,938,002		Fair Value	Discount for lack of liquidity/marketability		1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $244,252,216 and $3,798,149, 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.

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

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February 28, 2021

party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of February 28, 2021, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Emerging Country Debt Fund		6,685,232		6,435,625

As of February 28, 2021, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities plc with a gross value of $6,685,232. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 28, 2021, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

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

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February 28, 2021

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

	February 28, 2021
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		On Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	6,685,232	$	6,685,232
Total borrowings	$	—	$	—	$	—	$	—	$	6,685,232	$	6,685,232

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

Delayed delivery commitments and when-issued securities

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

Short sales

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

Taxes and distributions

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

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February 28, 2021

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2021, 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.

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February 28, 2021

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

Differences related to:	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)	Opportunistic Income Fund	U.S. Treasury Fund
Interest, accretion and amortization		X		X	X
Capital loss carry forwards	X			X	X	X
Debt modifications		X
Defaulted bonds		X
Derivative contract transactions		X	X	X	X
Foreign currency transactions		X	X	X	X
Late-year ordinary losses				X
Losses on wash sale transactions	X	X	X
Losses related to debt obligations					X
Mutual fund distributions received				X
Post-October capital losses	X

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

	Tax year ended February 28, 2021						Tax year ended February 29, 2020
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Asset Allocation Bond Fund		1,524,146		—		1,524,146		13,375,216		—		13,375,216
Emerging Country Debt Fund		351,626,283		57,850,613		409,476,896		271,475,423		—		271,475,423
High Yield Fund		3,469,056		119,375		3,588,431		16,679,907		—		16,679,907
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		15,707,759		16,634,444		32,342,203		30,152,164		1,784,113		31,936,277
Opportunistic Income Fund		29,997,493		—		29,997,493		49,076,525		—		49,076,525
U.S. Treasury Fund		773,665		—		773,665		9,860,244		—		9,860,244

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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February 28, 2021

As of February 28, 2021, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)			Capital Loss Carryforwards ($)			Post-October Capital Loss Deferral ($)
Asset Allocation Bond Fund		—		—		(12,156	)		(55,896,066	)		(64,953	)
Emerging Country Debt Fund		77,803,443		37,729,235		—			—			—
High Yield Fund		7,242,622		—		—			—			—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		—		5,147,817		(2,819,162	)		(23,609,757	)		—
Opportunistic Income Fund		3,419,192		—		—			(59,208,878	)		—
U.S. Treasury Fund		154,076		—		—			—			—

As of February 28, 2021, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2021, 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		(26,085,292)		(29,810,774)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		(291,118)		(23,318,639)
Opportunistic Income Fund		—		(59,208,878)
U.S. Treasury Fund		—		—

As of February 28, 2021, 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		111,006,871		9,682,784		(215,390)		9,467,394			—
Emerging Country Debt Fund		4,645,037,384		260,964,759		(757,201,815)		(496,237,056	)		(9,700,089)
High Yield Fund		90,423,948		1,550,943		(369,167)		1,181,776			346,679
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		189,397,699		2,156,456		(4,657,582)		(2,501,126	)		(892,166	)
Opportunistic Income Fund		879,525,924		18,654,656		(49,314,335)		(30,659,679	)		(5,252,946	)
U.S. Treasury Fund		381,095,369		175,730		(8,615)		167,115			—

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February 28, 2021

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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. As of February 28, 2021, each Fund has determined that no tax liability is required in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

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

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February 28, 2021

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 February 28, 2021, 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.

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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.

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

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

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

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

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

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds 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

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

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

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

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

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

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

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

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt 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

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counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., 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

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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 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 2021 or 2022. 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

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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.

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.

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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), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

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

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

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

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

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

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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 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

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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 provider. For example, trading delays or errors could prevent a Fund from benefiting from investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value for a Fund or share class on a timely basis. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

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The Funds and their service providers (including GMO) are susceptible to cyber-attacks and to technological malfunctions that have effects similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and disrupting operations. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release or misappropriation of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges, 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”). An agreement between the United Kingdom and the European Union governing their future trade relationship became effective January 1, 2021. 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

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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.

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

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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. 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 reporting standards and resulting unavailability of reliable information about issuers; slower clearance and settlement; difficulties in

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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.

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,

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

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

For Funds that held derivatives during the year ended February 28, 2021, 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
Adjust portfolio beta		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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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

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

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.

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

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

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

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

***

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

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

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2021 and the Statements of Operations for the year ended February 28, 2021^:

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			Foreign Currency Contracts			Interest Rate Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	339,034		$	—		$	339,034
Options, at value		455,127			—			—			455,127
Swap Contracts, at value¤		17,982,361			—			1,057,488			19,039,849
Total	$	18,437,488		$	339,034		$	1,057,488		$	19,834,010
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(684,045	)	$	—		$	(684,045	)
Options, at value		(64,608	)		—			—			(64,608	)
Swap Contracts, at value¤		(5,092,203	)		—			(1,511,124	)		(6,603,327	)
Total	$	(5,156,811	)	$	(684,045	)	$	(1,511,124	)	$	(7,351,980	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	(8,711,030	)	$	—		$	(8,711,030	)
Options		361,902			—			—			361,902
Swap Contracts		33,120,255			—			(2,051,349	)		31,068,906
Total	$	33,482,157		$	(8,711,030	)	$	(2,051,349	)	$	22,719,778
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(2,758,896	)	$	—		$	(2,758,896	)
Options		(1,007,552	)		—			—			(1,007,552	)
Swap Contracts		(28,308,796	)		—			8,721,436			(19,587,360	)
Total	$	(29,316,348	)	$	(2,758,896	)	$	8,721,436		$	(23,353,808	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	264,398		$	—		$	264,398
Unrealized Appreciation on Futures Contracts¤		—			—			629			629
Swap Contracts, at value¤		2,136,044			—			—			2,136,044
Total	$	2,136,044		$	264,398		$	629		$	2,401,071
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(60,686	)	$	(60,686	)
Swap Contracts, at value¤		—			—			(127,906	)		(127,906	)
Total	$	—		$	—		$	(188,592	)	$	(188,592	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	694,143		$	694,143
Forward Currency Contracts		—			(942,834	)		—			(942,834	)
Swap Contracts		(25,064	)		—			(2,697,674	)		(2,722,738	)
Total	$	(25,064	)	$	(942,834	)	$	(2,003,531	)	$	(2,971,429	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	884,087		$	—		$	884,087
Futures Contracts		—			—			(131,689	)		(131,689	)
Swap Contracts		657,234			—			(13,965	)		643,269
Total	$	657,234		$	884,087		$	(145,654	)	$	1,395,667

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,562,579		$	—		$	1,562,579
Unrealized Appreciation on Futures Contracts¤		—			—			138,807			138,807
Swap Contracts, at value¤		—			—			3,229,921			3,229,921
Total	$	—		$	1,562,579		$	3,368,728		$	4,931,307
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(524,676	)	$	—		$	(524,676	)
Unrealized Depreciation on Futures Contracts¤		—			—			(326,246	)		(326,246	)
Swap Contracts, at value¤		—			—			(2,596,726	)		(2,596,726	)
Total	$	—		$	(524,676	)	$	(2,922,972	)	$	(3,447,648	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	1,610		$	—		$	1,610
Futures Contracts		—			—			3,192,454			3,192,454
Forward Currency Contracts		—			(2,854,245	)		—			(2,854,245	)
Swap Contracts		—			—			2,506,165			2,506,165
Total	$	—		$	(2,852,635	)	$	5,698,619		$	2,845,984
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	4,601		$	—		$	4,601
Forward Currency Contracts		—			2,230,212			—			2,230,212
Futures Contracts		—			—			(2,101,050	)		(2,101,050	)
Swap Contracts		—			—			(4,783,558	)		(4,783,558	)
Total	$	—		$	2,234,813		$	(6,884,608	)	$	(4,649,795	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	17,437		$	—		$	—		$	17,437
Unrealized Appreciation on Forward Currency Contracts		—			4,988			—			4,988
Unrealized Appreciation on Futures Contracts¤		—			—			6,711			6,711
Swap Contracts, at value¤		26,915,340			—			2,581,349			29,496,689
Total	$	26,932,777		$	4,988		$	2,588,060		$	29,525,825
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(5,689	)	$	—		$	(5,689	)
Unrealized Depreciation on Futures Contracts¤		—			—			(303,509	)		(303,509	)
Written Options, at value		(394,497	)		—			—			(394,497	)
Swap Contracts, at value¤		(11,364,986	)		—			(22,570	)		(11,387,556	)
Total	$	(11,759,483	)	$	(5,689	)	$	(326,079	)	$	(12,091,251	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	515,280		$	515,280
Futures Contracts		—			—			382,759			382,759
Written Options		—			—			574,297			574,297
Forward Currency Contracts		—			32,973			—			32,973
Swap Contracts		3,065,006			—			(4,800,886	)		(1,735,880	)
Total	$	3,065,006		$	32,973		$	(3,328,550	)	$	(230,571	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(1,228,407	)	$	—		$	—		$	(1,228,407	)
Forward Currency Contracts		—			30,265			—			30,265
Futures Contracts		—			—			(358,778	)		(358,778	)
Written Options		1,600,951			—			—			1,600,951
Swap Contracts		3,234,218			—			6,383,383			9,617,601
Total	$	3,606,762		$	30,265		$	6,024,605		$	9,661,632

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and, reverse repurchase agreements held by the Funds at February 28, 2021, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2021:

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.	$	2,319,323	$	(1,800,000	)	$	—	$	519,323
Deutsche Bank AG		4,410,592		—			4,410,592		—
Goldman Sachs International		6,778,788		(5,539,231	)		—		1,239,557
JPMorgan Chase Bank, N.A.		2,024,600		(1,672,652	)		—		351,948
State Street Bank and Trust Company		339,034		—			—		339,034
Total	$	15,872,337	$	(9,011,883	)	$	4,410,592	$	2,449,862

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Emerging Country Debt 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.	$	139,268	$	(139,268	)	$	—		$	—	*
Deutsche Bank AG		5,156,811		(746,219	)		(4,410,592	)		—	*
Morgan Stanley & Co. International PLC		544,777		(544,777	)		—			—	*
Total	$	5,840,856	$	(1,430,264	)	$	(4,410,592	)	$	—

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
State Street Bank and Trust Company	$	264,398	$	—	$	—	$	264,398
Total	$	264,398	$	—	$	—	$	264,398
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs International	$	127,906	$	—	$	—	$	127,906
Total	$	127,906	$	—	$	—	$	127,906

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.	$	1,023	$	(1,023	)	$	—		$	—	*
Barclays Bank PLC		24,244		—			24,244			—
Citibank N.A.		927,541		(720,000	)		(11,186	)		196,355
Deutsche Bank AG		8,447		—			(1,796	)		6,651
Goldman Sachs International		929,163		(780,000	)		(1,573	)		147,590
JPMorgan Chase Bank, N.A.		88,405		—			88,405			—
Morgan Stanley & Co. International PLC		505,673		(207,861	)		(297,812	)		—	*
Total	$	2,484,496	$	(1,708,884	)	$	(199,718	)	$	350,596
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	76,652	$	—		$	(24,244	)	$	52,408
Citibank N.A.		11,186		—			11,186			—
Deutsche Bank AG		1,796		—			1,796			—
Goldman Sachs International		1,573		—			1,573			—
JPMorgan Chase Bank, N.A.		135,657		—			(88,405	)		47,252
Morgan Stanley & Co. International PLC		297,812		—			297,812			—
Total	$	524,676	$	—		$	199,718		$	99,660

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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.	$	3,022,206	$	(2,926,204	)	$	(96,002	)	$	—	*
Citibank N.A.		3,781,695		(3,274,697	)		(506,998	)		—	*
Citigroup Global Markets Inc.		2,178,359		—			(254,370	)		1,923,989
Credit Suisse International		34,949		(34,949	)		—			—	*
Deutsche Bank AG		479,546		(362,251	)		(117,295	)		—	*
Goldman Sachs International		11,870,596		(11,149,463	)		(721,133	)		—	*
JPMorgan Chase Bank, N.A.		3,066,579		(1,876,167	)		(1,190,412	)		—	*
Morgan Stanley Capital Services LLC		2,162,654		(1,740,000	)		(372,717	)		49,937
Total	$	26,596,584	$	(21,363,731	)	$	(3,258,927	)	$	1,973,926
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.	$	96,002	$	—		$	96,002		$	—
Barclays Bank PLC		439,465		(439,465	)		—			—	*
Citibank N.A.		506,998		—			506,998			—
Citigroup Global Markets Inc.		254,370		—			254,370			—
Deutsche Bank AG		117,295		—			117,295			—
Goldman Sachs International		721,133		—			721,133			—
JPMorgan Chase Bank, N.A.		1,190,412		—			1,190,412			—
Morgan Stanley & Co. International PLC		135,666		(9,995	)		—			125,671
Morgan Stanley Capital Services LLC		372,717		—			372,717			—
Total	$	3,834,058	$	(449,460	)	$	3,258,927		$	125,671

* 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 year ended February 28, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		237,065,914		—		244,043,000		702,141,329
High Yield Fund		24,969,686		16,448,512		—		48,441,182
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		335,669,594		102,408,197		886,915		522,754,326
Opportunistic Income Fund		7,320,158		16,494,833		128,214,678		786,320,101

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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 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 February 28, 2021.

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), 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.

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

For the year ended February 28, 2021, GMO recouped the following previously recorded waivers and/or reimbursements.

	Recoupment Amount ($)
High Yield Fund, Class VI		20,494

On February 28, 2021, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2022		Expiring the year ending February 28, 2023		Expiring the year ending February 29, 2024
High Yield Fund, Class VI		$72,033		$—		$—

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.

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.

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2021 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		5,001		673
Emerging Country Debt Fund		157,088		15,826
High Yield Fund		5,526		531
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		13,324		1,451
Opportunistic Income Fund		28,614		3,009
U.S. Treasury Fund		9,135		1,120

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2021, 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)		0.121%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2021, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2021 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		43,614,649		14,844,718		159,707,607		18,540,000
Emerging Country Debt Fund		463,845,238		1,793,439,299		793,400,930		1,530,381,735
High Yield Fund		50,315,517		280,048,578		50,529,533		360,339,616
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		615,544,517		382,142,405		762,475,516		562,914,833
Opportunistic Income Fund		35,253,240		280,706,617		32,705,013		394,329,013
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.

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

8. Principal shareholders and related parties as of February 28, 2021

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‡		87.05%		<0.01%		99.96%
Emerging Country Debt Fund		1		10.89%		0.13%		12.02%
High Yield Fund		2		99.99%		—		99.99%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		4‡		80.72%		0.01%		90.71%
Opportunistic Income Fund		4#		75.23%		0.55%		52.26%
U.S. Treasury Fund		2‡		35.29%		3.89%		71.02%

‡ 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:

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		1,248,070		$	29,430,309			110,325		$	2,474,600
Shares issued to shareholders in reinvestment of distributions		16,888			403,791			126,900			2,798,964
Shares repurchased		(483,688	)		(10,905,583	)		(2,253,855	)		(50,054,998	)
Net increase (decrease)		781,270		$	18,928,517			(2,016,630	)	$	(44,781,434	)
Class VI:
Shares sold		433,703		$	10,053,052			202,925		$	4,483,781
Shares issued to shareholders in reinvestment of distributions		33,513			802,127			414,203			9,160,744
Shares repurchased		(6,482,285	)		(149,463,143	)		(6,261,332	)		(140,077,926	)
Net increase (decrease)		(6,015,069	)	$	(138,607,964	)		(5,644,204	)	$	(126,433,401	)
Emerging Country Debt Fund
Class III:
Shares sold		11,064,651		$	283,435,647			7,880,299		$	217,000,478
Shares issued to shareholders in reinvestment of distributions		3,930,574			101,703,325			2,957,296			79,423,521
Shares repurchased		(16,856,375	)		(444,395,888	)		(17,701,435	)		(490,147,602	)
Purchase premiums		—			490,114			—			446,109
Redemption fees		—			938,001			—			739,018
Net increase (decrease)		(1,861,150	)	$	(57,828,801	)		(6,863,840	)	$	(192,538,476	)

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		23,275,901		$	606,562,660			19,712,189		$	544,492,697
Shares issued to shareholders in reinvestment of distributions		10,246,489			264,614,402			5,991,783			160,731,422
Shares repurchased		(25,052,203	)		(649,166,175	)		(14,371,734	)		(394,762,711	)
Purchase premiums		—			1,390,217			—			993,428
Redemption fees		—			2,589,905			—			1,612,037
Net increase (decrease)		8,470,187		$	225,991,009			11,332,238		$	313,066,873
High Yield Fund
Class VI:
Shares sold		2,201,261		$	42,312,765			98,276		$	2,056,846
Shares issued to shareholders in reinvestment of distributions		178,442			3,585,146			820,617			16,679,907
Shares repurchased		(5,954,398	)		(121,289,116	)		(3,348,294	)		(68,220,577	)
Net increase (decrease)		(3,574,695	)	$	(75,391,205	)		(2,429,401	)	$	(49,483,824	)
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III:
Shares sold		812,914		$	17,690,556			171,785		$	3,857,759
Shares issued to shareholders in reinvestment of distributions		382,203			8,066,426			197,461			4,223,692
Shares repurchased		(3,258,411	)		(67,890,225	)		(765,786	)		(17,018,076	)
Net increase (decrease)		(2,063,294	)	$	(42,133,243	)		(396,540	)	$	(8,936,625	)
Class IV:
Shares sold		3,063,305		$	64,755,408			360,886		$	7,771,423
Shares issued to shareholders in reinvestment of distributions		1,036,159			22,030,270			1,233,567			26,460,017
Shares repurchased		(17,672,884	)		(384,748,994	)		(9,111,663	)		(200,655,846	)
Net increase (decrease)		(13,573,420	)	$	(297,963,316	)		(7,517,210	)	$	(166,424,406	)
Opportunistic Income Fund
Class VI:
Shares sold		2,091,345		$	53,827,718			702,105		$	18,486,845
Shares issued to shareholders in reinvestment of distributions		855,202			21,741,055			1,589,564			41,113,159
Shares repurchased		(16,058,148	)		(413,055,123	)		(8,905,218	)		(235,744,022	)
Purchase premiums		—			—			—			69,702
Redemption fees		—			—			—			251,056
Net increase (decrease)		(13,111,601	)	$	(337,486,350	)		(6,613,549	)	$	(175,823,260	)
Class I:(a)
Shares sold		16,150,520		$	413,015,196			880,843		$	22,880,307
Shares issued to shareholders in reinvestment of distributions		92,094			2,336,633			9,193			236,179
Shares repurchased		(940,346	)		(23,853,407	)		(21,627	)		(555,796	)
Net increase (decrease)		15,302,268		$	391,498,422			868,409		$	22,560,690

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
U.S. Treasury Fund
Core Class:
Shares sold		373,331,155		$	1,880,713,417			785,807,533		$	3,930,131,346
Shares issued to shareholders in reinvestment of distributions		72,372			364,660			1,061,376			5,309,001
Shares repurchased		(341,823,451	)		(1,722,028,633	)		(869,725,175	)		(4,350,339,593	)
Net increase (decrease)		31,580,076		$	159,049,444			(82,856,266	)	$	(414,899,246	)

(a) 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 year ended February 28, 2021 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	$	14,844,718	$	18,540,000	$	14,512	$	447	$	59,580		$	(19,842	)	$	5,000,835
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,487,484	$	—	$	—	$	161,137	$	7,419	$	—		$	296,763		$	74,784,247
High Yield Fund
GMO U.S. Treasury Fund	$	385,180	$	37,755,748	$	38,171,591	$	7,346	$	—	$	30,663		$	—		$	—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
GMO Emerging Country Debt Fund, Class IV	$	29,316,657	$	—	$	19,500,000	$	805,940	$	322,725	$	(2,006,793	)	$	774,838		$	8,584,702
GMO Opportunistic Income Fund, Class VI		108,395,452		—		80,000,000		1,614,883		—		(404,135	)		(349,782	)		27,641,535
GMO U.S. Treasury Fund		4,517,130		248,400,000		238,140,000		29,455		—		52,341			(4,018	)		14,825,453
Totals	$	142,229,239	$	248,400,000	$	337,640,000	$	2,450,278	$	322,725	$	(2,358,587	)	$	421,038		$	51,051,690
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,256,103	$	18,500,000	$	17,773,000	$	14,759	$	1,092	$	61,299		$	(40,861	)	$	11,003,541

11. Subsequent events

As of April 9, 2021, GMO has voluntarily agreed to waive GMO U.S. Treasury Fund’s annual management fee of 0.08%.

Subsequent to February 28, 2021, GMO Asset Allocation Bond Fund received redemption requests in the amount of $64,777,684.

117

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Multi-Sector Fixed Income Fund (formerly known as GMO Core Plus Bond Fund), GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (six of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations for the year ended February 28, 2021, the statements of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

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

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

Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, MA

April 27, 2021

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

118

GMO Trust Funds

Fund Expenses

February 28, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2021.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2020 through February 28, 2021.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$996.10		$2.03		$1,000.00		$1,022.76		$2.06		0.41%
Class VI		$1,000.00		$996.10		$1.53		$1,000.00		$1,023.26		$1.56		0.31%
Emerging Country Debt Fund
Class III		$1,000.00		$1,017.40		$2.70		$1,000.00		$1,022.12		$2.71		0.54%
Class IV		$1,000.00		$1,017.70		$2.45		$1,000.00		$1,022.37		$2.46		0.49%
High Yield Fund
Class VI		$1,000.00		$1,056.40		$2.60		$1,000.00		$1,022.27		$2.56		0.51%
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)
Class III		$1,000.00		$974.70		$2.06		$1,000.00		$1,022.71		$2.11		0.42%
Class IV		$1,000.00		$974.80		$1.76		$1,000.00		$1,023.01		$1.81		0.36%
Opportunistic Income Fund
Class VI		$1,000.00		$1,028.70		$2.41		$1,000.00		$1,022.41		$2.41		0.48%
Class I		$1,000.00		$1,028.40		$3.47		$1,000.00		$1,021.37		$3.46		0.69%
U.S. Treasury Fund
Core		$1,000.00		$1,000.70		$0.40		$1,000.00		$1,024.40		$0.40		0.08%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2021, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

119

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2021 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2021:

Fund Name	U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short-Term Capital  Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Code Section 163(j) Interest-Related Dividend Income ($)(4)
Asset Allocation Bond Fund		100.00%		1,491,834		—		—		—
Emerging Country Debt Fund		—		4,742,235		41,062,839		57,850,613		—
High Yield Fund		5.23%		2,814,812		291,765		119,375		—
Multi-Sector Fixed Income Fund (formerly Core Plus Bond Fund)		5.27%		4,186,431		3,047,284		16,634,444		—
Opportunistic Income Fund		—		21,021,817		—		—		—
U.S. Treasury Fund		97.78%		735,938		37,727		—		735,938

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

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

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

⁽⁴⁾  The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations thereunder.

In early 2022, the Funds will notify applicable shareholders of amounts for use in preparing 2021 U.S. federal income tax forms.

120

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2021. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		29	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		29	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		29	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).
Interested Trustee and Officer
Jonathan Feigelson1 YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA – CREF (2006 – 2016)		29	None.

¹  Mr. Feigelson is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above.

121

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President-Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present; Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

122

AR-022821-FI

GMO Trust

Annual Report

February 28, 2021

Climate Change Fund

Cyclical Focus Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT, which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

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

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

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

TABLE OF CONTENTS

Climate Change Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Cyclical Focus Fund
Management Discussion and Analysis of Fund Performance	8
Performance Graph	9
Investment Concentration Summary	10
Schedule of Investments	11
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance	12
Performance Graph	13
Investment Concentration Summary	14
Schedule of Investments	15
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance	18
Performance Graph	19
Investment Concentration Summary	20
Schedule of Investments	21
International Equity Fund
Management Discussion and Analysis of Fund Performance	28
Performance Graph	29
Investment Concentration Summary	30
Schedule of Investments	31
Japan Value Creation Fund
Management Discussion and Analysis of Fund Performance	36
Performance Graph	37
Investment Concentration Summary	38
Schedule of Investments	39
Quality Fund
Management Discussion and Analysis of Fund Performance	42
Performance Graph	43
Investment Concentration Summary	44
Schedule of Investments	45
Resources Fund
Management Discussion and Analysis of Fund Performance	48
Performance Graph	49
Investment Concentration Summary	50
Schedule of Investments	51
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance	54
Performance Graph	55
Investment Concentration Summary	56
Schedule of Investments	57
U.S. Equity Fund
Management Discussion and Analysis of Fund Performance	62
Performance Graph	63
Investment Concentration Summary	64
Schedule of Investments	65
U.S. Small Cap Value Fund
Management Discussion and Analysis of Fund Performance	70
Performance Graph	71
Investment Concentration Summary	72
Schedule of Investments	73
Portfolio, Counterparty and Currency Abbreviations	78

Fund Financial Statements:
Statements of Assets and Liabilities	79
Statements of Operations	85
Statements of Changes in Net Assets	88
Financial Highlights	94
Notes to Financial Statements	108
Report of Independent Registered Public Accounting Firm	158
Board Review of Investment Management Agreements	159
Fund Expenses	160
Tax Information	162
Trustees and Officers	163

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class III shares of GMO Climate Change Fund returned +63.84% (net) for the fiscal year ended February 28, 2021, as compared with +30.25% for the MSCI ACWI.

The Fund’s clean energy holdings posted strong gains. Solar, wind, and biofuels each more than doubled during the year. SolarEdge Technologies Inc. and Renewable Energy Group Inc. were among the best performers.

The Fund’s copper exposure gained 145% as copper prices rose approximately 57% during the year. Freeport McMoRan Inc. was among the best performers.

The Fund’s agriculture exposure also performed well. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor to performance.

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

2

GMO Climate Change Fund

(A Series of GMO Trust)

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

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, R6 and I the gross expense ratio of 0.94%, 0.94% and 1.04%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.78%, 0.78% and 0.88% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.9	%
Mutual Funds		5.3
Preferred Stocks		1.8
Short-Term Investments		0.1
Other		(2.1	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		36.4	%
Japan		8.8
China		6.9
Canada		6.3
France		5.3
Russia		4.0
Germany		3.6
Other Emerging		3.3	†
Italy		2.9
Finland		2.9
United Kingdom		2.8
Spain		2.8
Mexico		2.6
Australia		2.2
Norway		2.0
Other Developed		1.9	‡
Chile		1.8
Brazil		1.2
Portugal		1.2
Netherlands		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		42.3	%
Energy Efficiency		21.3
Agriculture		13.1
Copper		8.7
Electric Grid		7.6
Water		7.0
		100.0	%

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

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

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

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

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

4

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Argentina — 0.9%
	382,515	Adecoagro SA *		3,155,749
		Australia — 2.2%
	6,401,117	Clean TeQ Holdings Ltd *		1,437,317
	1,451,781	Nickel Mines Ltd		1,556,274
	487,057	Sandfire Resources Ltd		2,276,496
	583,294	Tassal Group Ltd (a)		1,520,986
	542,889	Western Areas Ltd (a)		1,075,146
		Total Australia		7,866,219
		Brazil — 1.2%
	521,178	Sao Martinho SA		2,903,390
	196,300	SLC Agricola SA		1,435,419
		Total Brazil		4,338,809
		Canada — 6.4%
	104,505	Canadian Solar Inc * (a)		4,904,420
	431,600	Greenlane Renewables Inc * (a)		773,258
	1,364,615	Ivanhoe Mines Ltd – Class A *		8,417,592
	3,021,500	Largo Resources Ltd *		4,202,464
	112,100	Lundin Mining Corp		1,283,433
	79,400	NFI Group Inc		1,834,323
	212,700	Sierra Metals Inc * (a)		563,655
	42,100	Turquoise Hill Resources Ltd *		638,236
		Total Canada		22,617,381
		China — 7.0%
	833,000	Canvest Environmental Protection Group Co Ltd		344,034
	1,609,000	Chaowei Power Holdings Ltd		683,404
	3,638,919	China High Speed Transmission Equipment Group Co Ltd		3,536,413
	2,155,000	China Longyuan Power Group Corp Ltd – Class H		3,203,615
	1,784,000	China Water Affairs Group Ltd		1,406,035
	137,700	Hollysys Automation Technologies Ltd		2,073,762
	10,086,000	Sinofert Holdings Ltd		1,466,135
	126,222	Sungrow Power Supply Co Ltd – Class A		1,690,102
	1,396,000	Tianneng Power International Ltd (a)		2,697,194
	2,432,000	Wasion Group Holdings Ltd		798,829
	1,061,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		2,269,292
	863,176	Zhengzhou Yutong Bus Co Ltd – Class A		2,028,537
	553,785	Zhuzhou CRRC Times Electric Co Ltd – Class H		2,405,372
		Total China		24,602,724
		Denmark — 0.9%
	5,065	Rockwool International A/S – Class B		1,831,194
	6,428	Vestas Wind Systems A/S		1,205,411
		Total Denmark		3,036,605

Shares		Description	Value ($)
		Finland — 3.0%
	129,133	Kemira Oyj		2,088,677
	125,785	Neste Oyj		8,308,112
		Total Finland		10,396,789
		France — 5.4%
	8,770	Albioma SA		428,492
	315,924	Electricite de France SA *		3,769,399
	38,000	Nexans SA *		2,953,205
	15,017	Schneider Electric SE		2,220,629
	155,055	Suez SA		3,223,003
	36,439	Valeo SA		1,287,828
	151,182	Veolia Environnement SA		4,054,151
	17,193	Vilmorin & Cie SA		1,100,242
		Total France		19,036,949
		Germany — 3.7%
	326,099	E.ON SE		3,325,057
	268,151	K+S AG (Registered)		3,000,130
	209	Knorr-Bremse AG		26,617
	42,427	Siemens AG (Registered)		6,566,058
		Total Germany		12,917,862
		India — 0.3%
	891,358	Jain Irrigation Systems Ltd *		229,467
	279,286	Power Grid Corp of India Ltd		813,492
		Total India		1,042,959
		Israel — 0.2%
	146,922	ICL Group Ltd		845,198
		Italy — 3.0%
	674,023	Enel SPA		6,355,295
	129,818	Prysmian SPA		4,169,898
		Total Italy		10,525,193
		Japan — 9.0%
	39,400	Central Japan Railway Co		6,492,106
	1,400	Daikin Industries Ltd		272,844
	58,800	East Japan Railway Co		4,382,486
	88,300	Ebara Corp		3,327,255
	82,400	GS Yuasa Corp (a)		2,451,522
	22,400	Iseki & Co Ltd *		316,552
	67,200	Kurita Water Industries Ltd		2,730,029
	16,600	METAWATER Co Ltd		315,122
	70,000	Osaki Electric Co Ltd		385,152
	305,300	Panasonic Corp		3,946,961
	253,700	Renesas Electronics Corp *		2,790,871
	10,300	Sanken Electric Co Ltd (a)		526,222
	69,300	Takuma Co Ltd		1,363,231
	42,800	Tsukishima Kikai Co Ltd		498,139

See accompanying notes to the financial statements. 5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	93,200	Yokogawa Electric Corp		1,782,470
		Total Japan		31,580,962
		Mexico — 2.6%
	1,866,152	Grupo Mexico SAB de CV – Series B		8,846,850
	307,515	Grupo Rotoplas SAB de CV		414,361
		Total Mexico		9,261,211
		Netherlands — 1.1%
	112,195	Arcadis NV * (a)		3,826,298
		Norway — 2.0%
	545,683	Austevoll Seafood ASA		6,252,050
	88,723	Grieg Seafood ASA * (a)		844,644
		Total Norway		7,096,694
		Pakistan — 0.2%
	1,135,326	Fauji Fertilizer Co Ltd		795,098
		Philippines — 0.2%
	4,653,200	Nickel Asia Corp		555,241
		Portugal — 1.2%
	745,653	EDP – Energias de Portugal SA		4,273,863
		Russia — 4.0%
	234,466	MMC Norilsk Nickel PJSC ADR		7,388,716
	309,890	PhosAgro PJSC GDR (Registered)		5,432,600
	116,061	Ros Agro Plc GDR (Registered)		1,409,057
		Total Russia		14,230,373
		South Korea — 0.5%
	43,127	Dae Dong Industrial Co Ltd *		304,072
	2,142	LG Chem Ltd		1,581,361
		Total South Korea		1,885,433
		Spain — 2.9%
	9,725	Acciona SA		1,564,877
	3,282	Construcciones y Auxiliar de Ferrocarriles SA		145,454
	162,012	Endesa SA		4,003,368
	47,238	Fomento de Construcciones y Contratas SA		557,603
	187,842	Red Electrica Corp SA (a)		3,138,146
	135,578	Talgo SA *		710,849
		Total Spain		10,120,297
		Switzerland — 0.9%
	1,035	Gurit Holding AG		2,614,897
	7,226	Landis+Gyr Group AG		501,177
		Total Switzerland		3,116,074

Shares		Description	Value ($)
		Taiwan — 0.5%
	157,000	Delta Electronics Inc *		1,580,239
		Thailand — 0.2%
	1,220,500	SPCG Pcl		795,304
		Ukraine — 0.6%
	143,832	Kernel Holding SA		2,096,771
		United Kingdom — 2.9%
	49,400	Atlantica Sustainable Infrastructure Plc (a)		1,785,810
	643,346	Drax Group Plc		3,422,965
	88,728	Go-Ahead Group Plc *		1,446,660
	47,533	Polypipe Group Plc *		365,803
	3,069,135	Renewi Plc *		1,863,300
	978,991	Stagecoach Group Plc *		1,269,874
		Total United Kingdom		10,154,412
		United States — 31.9%
	46,800	AGCO Corp.		6,059,664
	13,100	Ameresco, Inc. – Class A *		748,272
	196,059	BorgWarner, Inc.		8,822,655
	65,900	Clean Energy Fuels Corp. *		859,336
	153,796	Darling Ingredients, Inc. *		9,695,300
	5,500	Deere & Co.		1,920,160
	17,800	Eaton Corp Plc		2,317,382
	15,900	Emerson Electric Co.		1,365,810
	25,700	EnerSys		2,320,196
	8,255	Enphase Energy, Inc. *		1,453,375
	119,086	Exelon Corp.		4,596,720
	18,084	First Solar, Inc. *		1,465,166
	218,932	Freeport-McMoRan, Inc. *		7,423,984
	72,000	FutureFuel Corp.		1,056,960
	1,541,856	GrafTech International Ltd.		18,240,156
	13,400	Johnson Controls International Plc		747,586
	70,800	Livent Corp. * (a)		1,318,296
	153,000	Montauk Renewables, Inc. *		1,958,400
	125,647	Mosaic Co. (The)		3,694,022
	57,600	MYR Group, Inc. *		3,395,520
	76,979	ON Semiconductor Corp. *		3,099,944
	61,133	Owens Corning		4,952,996
	87,967	Renewable Energy Group, Inc. *		6,841,193
	20,900	Rexnord Corp.		939,455
	11,100	Sensata Technologies Holding Plc *		635,919
	30,909	SolarEdge Technologies, Inc. *		9,220,464
	22,700	Sunrun, Inc. *		1,420,566
	19,829	TE Connectivity Ltd.		2,578,365
	10,200	Valmont Industries, Inc.		2,412,606
	8,400	Westinghouse Air Brake Technologies Corp.		608,412
		Total United States		112,168,880
		TOTAL COMMON STOCKS (COST $263,937,836)		333,919,587

6 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 1.8%
		Chile — 1.8%
	117,911	Sociedad Quimica y Minera de Chile SA Sponsored ADR		6,320,030
		TOTAL PREFERRED STOCKS (COST $3,903,819)		6,320,030
		MUTUAL FUNDS — 5.3%
		United States — 5.3%
		Affiliated Issuers — 5.3%
	3,683,280	GMO U.S. Treasury Fund (c)		18,563,731
		TOTAL MUTUAL FUNDS (COST $18,563,731)		18,563,731
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	506,601	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		506,601
		TOTAL SHORT-TERM INVESTMENTS (COST $506,601)		506,601
		TOTAL INVESTMENTS — 102.1% (Cost $286,911,987)		359,309,949
		Other Assets and Liabilities (net) — (2.1%)		(7,428,483	)
		TOTAL NET ASSETS — 100.0%		$351,881,466

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 7

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.

Class VI shares of GMO Cyclical Focus Fund returned +53.56% (net) for the period from the Fund’s inception on May 12, 2020 until the end of the fiscal year on February 28, 2021, as compared with +37.29% for the MSCI ACWI.

The Fund’s Consumer Discretionary (overweight) and Health Care (underweight) allocations made a positive contribution during the period, and Information Technology (underweight) and Energy (overweight) had a negative impact.

The Fund’s security selection results in Materials and Industrials made a positive contribution during the period, and selection results in Consumer Discretionary detracted. Sector allocation mattered slightly more than stock selection within sector.

The U.S./non-U.S. regional allocation made little difference to performance.

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

8

GMO Cyclical Focus Fund

(A Series of GMO Trust)

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

GMO Cyclical Focus Fund Class VI Shares and the MSCI ACWI

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

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

For Class VI the gross expense ratio of 0.77% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

9

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.7	%
Preferred Stocks		3.0
Mutual Funds		0.4
Short-Term Investments		0.2
Other		(0.3	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		50.8	%
United Kingdom		12.1
France		7.7
Mexico		6.3
Spain		4.9
Canada		4.7
Russia		4.4
Finland		3.2
Brazil		3.0
Ireland		2.9
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		16.4	%
Consumer Durables & Apparel		14.8
Materials		10.3
Diversified Financials		8.7
Consumer Services		8.2
Capital Goods		7.9
Transportation		6.5
Banks		6.2
Retailing		5.2
Food, Beverage & Tobacco		4.3
Technology Hardware & Equipment		3.7
Automobiles & Components		3.0
Software & Services		2.5
Insurance		2.3
		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.

# 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.

10

GMO Cyclical Focus Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Canada — 4.7%
	83,280	Brookfield Asset Management Inc – Class A		3,360,348
	60,900	Nutrien Ltd		3,286,164
		Total Canada		6,646,512
		Finland — 3.2%
	68,179	Neste Oyj		4,503,230
		France — 7.7%
	4,362	Kering SA		2,758,742
	6,112	LVMH Moet Hennessy Louis Vuitton SE		3,872,679
	31,851	Safran SA *		4,341,691
		Total France		10,973,112
		Ireland — 2.9%
	203,590	Ryanair Holdings Plc *		4,061,581
		Mexico — 6.3%
	437,500	Fomento Economico Mexicano SAB de CV		2,984,979
	1,271,500	Grupo Mexico SAB de CV – Series B		6,027,789
		Total Mexico		9,012,768
		Russia — 4.4%
	39,867	LUKOIL PJSC Sponsored ADR		2,970,546
	19,101	Novatek PJSC Sponsered GDR (Registered)		3,268,331
		Total Russia		6,238,877
		Spain — 4.9%
	49,667	Amadeus IT Group SA *		3,467,614
	104,768	Industria de Diseno Textil SA		3,454,537
		Total Spain		6,922,151
		United Kingdom — 12.1%
	59,296	Berkeley Group Holdings Plc (The)		3,359,535
	238,069	Compass Group Plc *		4,834,458
	118,136	Persimmon Plc		4,280,701
	241,762	Royal Dutch Shell Plc – B Shares		4,739,340
		Total United Kingdom		17,214,034
		United States — 50.5%
	32,739	American Express Co.		4,428,277
	1,700	Booking Holdings, Inc. *		3,958,467
	95,700	BorgWarner, Inc.		4,306,500
	72,127	Charles Schwab Corp. (The)		4,451,679
	31,700	Chevron Corp.		3,170,000
	62,202	Coca-Cola Co. (The)		3,047,276
	71,552	EOG Resources, Inc.		4,619,397
	30,900	Hasbro, Inc.		2,895,639
	29,022	Hilton Worldwide Holdings, Inc. *		3,589,441
	15,000	Honeywell International, Inc.		3,035,250

Shares		Description	Value ($)
		United States — continued
	51,063	Las Vegas Sands Corp.		3,196,544
	92,200	Lyft, Inc. – Class A *		5,135,540
	3,047	Markel Corp. *		3,317,574
	53,382	Raytheon Technologies Corp.		3,842,970
	90,787	Sensata Technologies Holding Plc *		5,201,187
	107,985	US Bancorp		5,399,250
	72,288	Verso Corp. – Class A		903,600
	48,123	VF Corp.		3,807,973
	94,979	Wells Fargo & Co.		3,435,390
		Total United States		71,741,954
		TOTAL COMMON STOCKS (COST $103,068,727)		137,314,219
		PREFERRED STOCKS (a) — 3.0%
		Brazil — 3.0%
	382,200	Bradespar SA		4,286,979
		TOTAL PREFERRED STOCKS (COST $2,421,143)		4,286,979
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	104,762	GMO U.S. Treasury Fund		528,000
		TOTAL MUTUAL FUNDS (COST $528,000)		528,000
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds— 0.2%
	298,283	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		298,283
		TOTAL SHORT-TERM INVESTMENTS (COST $298,283)		298,283
		TOTAL INVESTMENTS — 100.3% (Cost $106,316,153)		142,427,481
		Other Assets and Liabilities (net) — (0.3%)		(438,684	)
		TOTAL NET ASSETS — 100.0%		$141,988,797

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 11

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class II shares of GMO Emerging Domestic Opportunities Fund returned +31.76% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s overweight in India Financials and underweight in India Information Technology hurt relative performance.

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

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

12

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

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

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

For Class II, V and I the gross expense ratio of 1.14%, 1.01% and 1.23%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 1.12%, 0.99% and 1.15% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

13

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.6	%
Investment Funds		2.9
Short-Term Investments		2.0
Preferred Stocks		0.8
Other		0.7
		100.0	%
Country/Region Summary¤	% of Investments
China		38.5	%
Taiwan		17.6
South Korea		12.6
India		12.2
Brazil		4.9
Russia		4.4
Vietnam		1.6
Hong Kong		1.6
South Africa		1.2
Indonesia		0.8
Mexico		0.7
Thailand		0.7
Philippines		0.6
Poland		0.6
United Arab Emirates		0.6
Turkey		0.4
Chile		0.3
Hungary		0.3
Singapore		0.3
Germany		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Media & Entertainment		17.6	%
Banks		13.6
Technology Hardware & Equipment		12.8
Semiconductors & Semiconductor Equipment		12.5
Retailing		12.2
Capital Goods		3.8
Software & Services		3.2
Diversified Financials		3.2
Food, Beverage & Tobacco		3.0
Insurance		2.9
Food & Staples Retailing		2.3
Consumer Durables & Apparel		2.1
Pharmaceuticals, Biotechnology & Life Sciences		1.8
Consumer Services		1.8
Materials		1.8
Automobiles & Components		1.2
Telecommunication Services		1.1
Health Care Equipment & Services		0.8
Real Estate		0.7
Household & Personal Products		0.5
Transportation		0.4
Utilities		0.4
Energy		0.3
		100.0	%

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

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

# 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.

14

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 93.6%
		Brazil — 3.7%
	1,639,000	Atacadao SA		5,559,650
	825,600	B3 SA – Brasil Bolsa Balcao		7,999,372
	1,254,100	BR Malls Participacoes SA *		1,868,551
	4,118,900	JHSF Participacoes SA		4,762,584
	1,400	MercadoLibre Inc *		2,293,354
	1,219,100	Movida Participacoes SA		3,850,339
	12,203,000	Oi SA *		4,093,651
	328,800	Suzano SA *		4,292,905
	489,600	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		3,014,025
		Total Brazil		37,734,431
		Chile — 0.3%
	56,573,837	Banco Santander Chile		3,227,041
		China — 37.5%
	810,000	Alibaba Group Holding Ltd *		24,339,828
	156,776	Alibaba Group Holding Ltd Sponsored ADR *		37,275,062
	222,000	Alibaba Health Information Technology Ltd. *		743,652
	93,000	Anhui Conch Cement Co Ltd – Class H		597,644
	22,000	Autohome Inc ADR		2,508,880
	53,900	Baidu Inc Sponsored ADR *		15,278,494
	881,508	Bank of Ningbo Co Ltd – Class A		5,472,901
	48,000	Bilibili, Inc. Sponsored ADR *		6,046,560
	3,440,000	China Construction Bank Corp – Class H		2,761,441
	1,580,400	China International Capital Corp. Ltd. – Class H *		3,643,900
	810,000	China Mengniu Dairy Co Ltd		4,426,249
	1,949,002	China Merchants Bank Co Ltd – Class H		14,946,413
	2,384,289	Focus Media Information Technology Co Ltd – Class A		4,045,849
	536,465	Gree Electric Appliances Inc of Zhuhai – Class A		4,901,553
	634,000	Haitian International Holdings Ltd		2,174,842
	543,844	Han’s Laser Technology Industry Group Co Ltd – Class A		3,628,476
	104,000	Hangzhou Tigermed Consulting Co Ltd – Class H *		2,035,096
	126,600	Jason Furniture Hangzhou Co Ltd – Class A		1,473,379
	172,700	JD.com Inc ADR *		16,211,349
	385,500	JD.com Inc – Class A *		18,079,859
	315,947	Jiangsu Hengli Hydraulic Co Ltd – Class A		4,648,946
	236,767	Jiangsu Hengrui Medicine Co Ltd – Class A		3,732,316
	44,300	Kuaishou Technology *		1,763,673
	23,087	Kweichow Moutai Co Ltd – Class A		7,595,312
	84,500	Longfor Group Holdings Ltd		500,852
	320,200	Luxshare Precision Industry Co Ltd – Class A		2,301,904
	673,600	Man Wah Holdings Ltd		1,472,495
	222,100	Meituan – Class B *		9,975,496
	313,521	Midea Group Co Ltd – Class A		4,520,885
	85,800	Momo Inc Sponsored ADR		1,359,072

Shares		Description	Value ($)
		China — continued
	28,400	NetEase Inc		619,940
	72,000	NetEase Inc ADR		7,909,200
	36,200	New Oriental Education & Technology Group Inc Sponsored ADR *		6,429,844
	46,100	NIO, Inc. ADR *		2,110,458
	37,400	Pinduoduo, Inc ADR *		6,401,384
	719,700	Ping An Bank Co Ltd – Class A		2,382,010
	913,746	Ping An Insurance Group Co of China Ltd – Class H		11,307,213
	289,399	Sany Heavy Industry Co Ltd – Class A		1,842,931
	68,083	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		4,411,252
	373,800	Shenzhou International Group Holdings Ltd		7,751,279
	64,100	Suofeiya Home Collection Co Ltd – Class A		335,591
	48,700	TAL Education Group ADR *		3,776,198
	1,138,184	Tencent Holdings Ltd		99,018,521
	68,000	Tencent Music Entertainment Group ADR *		1,748,960
	31,900	Weibo Corp Sponsored ADR *		1,759,923
	135,330	Wuliangye Yibin Co Ltd – Class A		5,875,780
	169,500	Wuxi Biologics Cayman, Inc. *		2,099,921
	890,000	Xinyi Solar Holdings Ltd.		1,869,327
	114,900	Yum China Holdings Inc		6,875,616
	965,400	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		1,470,620
		Total China		384,458,346
		Germany — 0.1%
	21,000	Jumia Technologies AG ADR *		930,510
		Hong Kong — 1.5%
	1,238,000	AIA Group Ltd		15,612,946
		Hungary — 0.3%
	65,252	OTP Bank Plc *		2,959,701
		India — 11.8%
	303,302	Adani Total Gas Ltd		2,108,717
	54,337	Apollo Hospitals Enterprise Ltd		2,255,844
	1,239,301	Ashok Leyland Ltd		2,165,402
	467,650	Aurobindo Pharma Ltd		5,404,170
	259,695	Axis Bank Ltd *		2,562,547
	73,123	Bajaj Auto Ltd		3,764,123
	229,482	Central Depository Services India Ltd		1,946,983
	166,421	Cipla Ltd		1,778,709
	3,904,869	Gayatri Projects Ltd *		2,125,571
	220,842	Gujarat Gas Ltd		1,482,648
	661,296	HCL Technologies Ltd		8,193,160
	534,535	HDFC Bank Ltd *		11,234,224
	158,061	HDFC Life Insurance Co Ltd *		1,504,208
	86,821	Housing Development Finance Corp Ltd		3,005,220
	1,232,797	ICICI Bank Ltd *		10,127,590

See accompanying notes to the financial statements. 15

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		India — continued
	148,500	ICICI Bank Ltd Sponsored ADR *		2,466,585
	12,266	IndiaMART InterMESH Ltd		1,434,050
	169,596	IndusInd Bank Ltd *		2,458,916
	558,442	Infosys Ltd		9,565,695
	178,758	Jubilant Ingrevia Ltd. * (a)		265,151
	178,758	Jubilant Pharmova Ltd.		1,845,121
	254,806	Muthoot Finance Ltd		4,514,016
	109,338	Polycab India Ltd		1,989,383
	368,821	SBI Cards & Payment Services Ltd		5,367,533
	33,127	SRF Ltd		2,442,210
	529,823	State Bank of India *		2,819,924
	494,997	Sun TV Network Ltd		3,307,903
	404,138	Tata Chemicals Ltd		4,027,724
	201,505	Tata Consultancy Services Ltd		7,963,315
	297,873	Tata Consumer Products Ltd		2,455,493
	445,562	Tech Mahindra Ltd		5,568,205
	444,041	UPL Ltd		3,389,946
		Total India		121,540,286
		Indonesia — 0.8%
	3,397,400	Bank Central Asia Tbk PT		7,993,218
		Mexico — 0.7%
	539,700	Grupo Financiero Banorte SAB de CV – Class O *		2,710,238
	1,683,124	Wal-Mart de Mexico SAB de CV		4,790,077
		Total Mexico		7,500,315
		Philippines — 0.6%
	296,990	GT Capital Holdings Inc		3,425,548
	11,752,900	Semirara Mining & Power Corp		3,089,521
		Total Philippines		6,515,069
		Poland — 0.5%
	312,986	Bank Polska Kasa Opieki SA *		5,642,295
		Russia — 2.8%
	1,348,600	Moscow Exchange MICEX-RTS PJSC		3,124,292
	389,955	Sberbank of Russia PJSC Sponsored ADR		5,674,601
	132,479	TCS Group Holding Plc GDR (Registered)		6,928,432
	84,088	X5 Retail Group NV GDR (Registered)		2,738,329
	158,100	Yandex NV – Class A *		10,116,029
		Total Russia		28,581,683
		Singapore — 0.3%
	10,900	Sea Ltd ADR *		2,569,021
		South Africa — 0.2%
	579,022	FirstRand Ltd		1,921,726

Shares		Description	Value ($)
		South Korea — 12.2%
	30,244	AfreecaTV Co Ltd		1,958,360
	12,909	E-MART Inc		1,938,336
	20,027	Hyundai Mobis Co Ltd		5,388,015
	11,343	Kakao Corp		4,919,944
	223,621	KB Financial Group Inc		8,655,401
	98,194	Kolmar BNH Co Ltd *		4,357,305
	35,744	Korea Investment Holdings Co Ltd *		2,771,897
	3,060	LG Chem Ltd		2,259,087
	56,355	LG Corp		4,697,619
	264	LG Household & Health Care Ltd		355,425
	17,010	NAVER Corp		5,663,001
	806,931	Samsung Electronics Co Ltd		59,136,445
	6,837	Samsung SDI Co Ltd		4,090,776
	153,871	Shinhan Financial Group Co Ltd *		4,478,751
	87,129	SK Hynix Inc		10,943,829
	17,949	SK Telecom Co Ltd		3,934,863
		Total South Korea		125,549,054
		Taiwan — 17.1%
	333,458	Advantech Co Ltd		4,336,420
	159,000	Airtac International Group		5,533,475
	199,000	Bizlink Holding, Inc.		2,128,095
	578,000	CTBC Financial Holding Co Ltd		414,968
	1,161,000	Delta Electronics Inc		11,685,719
	2,207,000	E Ink Holdings Inc		4,000,561
	1,222,000	Hon Hai Precision Industry Co Ltd		4,909,075
	233,000	MediaTek Inc		7,478,508
	707,000	Micro-Star International Co Ltd		3,781,418
	1,507,000	Pegatron Corp		4,033,411
	2,032,000	Quanta Computer Inc		6,198,020
	36,000	Silergy Corp.		3,455,964
	194,000	Simplo Technology Co Ltd		2,605,961
	892,000	Sinbon Electronics Co Ltd		8,608,941
	4,120,800	Taiwan Semiconductor Manufacturing Co Ltd		90,027,225
	2,781,000	United Microelectronics Corp		5,422,293
	443,000	Vanguard International Semiconductor Corp		1,842,717
	276,000	Walsin Technology Corp		2,512,350
	3,084,000	Wistron Corp		3,541,454
	132,000	Yageo Corp		2,806,166
		Total Taiwan		175,322,741
		Thailand — 0.7%
	383,600	Carabao Group Pcl – Class F		1,738,867
	2,866,000	CP ALL Pcl (Foreign Registered) *		5,615,784
		Total Thailand		7,354,651
		Turkey — 0.4%
	353,947	Migros Ticaret AS *		1,857,222
	2,199,883	Turk Telekomunikasyon AS		2,304,925
		Total Turkey		4,162,147

16 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Arab Emirates — 0.5%
	1,563,407	Abu Dhabi Commercial Bank PJSC		2,636,210
	734,185	First Abu Dhabi Bank PJSC		2,888,275
		Total United Arab Emirates		5,524,485
		Vietnam — 1.6%
	2,172,500	Bank for Foreign Trade of Vietnam JSC		9,257,599
	1,466,200	Vietnam Dairy Products JSC		6,671,543
		Total Vietnam		15,929,142
		TOTAL COMMON STOCKS (COST $809,927,277)		961,028,808
		PREFERRED STOCKS (b) — 0.8%
		Brazil — 0.8%
	1,751,400	Itau Unibanco Holding SA		7,984,774
		TOTAL PREFERRED STOCKS (COST $8,618,172)		7,984,774
		INVESTMENT FUNDS — 2.9%
		Brazil — 0.4%
	116,800	iShares MSCI Brazil ETF		3,725,920
		Russia — 1.5%
	626,600	VanEck Vectors Russia ETF		15,332,902
		South Africa — 1.0%
	225,800	iShares MSCI South Africa ETF		10,443,250
		TOTAL INVESTMENT FUNDS (COST $29,221,491)		29,502,072
		SHORT-TERM INVESTMENTS — 2.0%
		Money Market Funds — 2.0%
	20,442,282	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		20,442,282
		TOTAL SHORT-TERM INVESTMENTS (COST $20,442,282)		20,442,282
		TOTAL INVESTMENTS — 99.3% (Cost $868,209,222)		1,018,957,936
		Other Assets and Liabilities (net) — 0.7%		7,348,637
		TOTAL NET ASSETS — 100.0%		$1,026,306,573

Notes to Schedule of Investments:

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned +23.89% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.

Country allocation contributed to the Fund’s relative returns for the fiscal year. In particular, the Fund’s underweight positions in Brazil Financials and India Financials added to relative performance.

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

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

18

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

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

the S&P/IFCI Composite

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

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

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

For Class II, III, V, VI, R6 and I the gross expense ratio of 0.97%, 0.90%, 0.84%, 0.81%, 0.97% and 1.07%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.94%, 0.89%, 0.79%, 0.76%, 0.94% and 0.99% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.7	%
Preferred Stocks		3.2
Investment Funds		0.7
Debt Obligations		0.6
Short-Term Investments		0.5
Futures Contracts		0.2
Swap Contracts		0.0	^
Other		1.1
		100.0	%
Country/Region Summary¤	% of Investments
China		33.9	%
Taiwan		22.5
Russia		15.5
United States		9.5	*
Mexico		2.5
South Korea		2.5
Indonesia		2.3
India		2.2
Kuwait		1.8
South Africa		1.5
Thailand		1.0
Poland		0.7
United Kingdom		0.6	*
Qatar		0.5
Pakistan		0.5
Brazil		0.4
Argentina		0.4
United Arab Emirates		0.3
Turkey		0.3
Vietnam		0.3
Philippines		0.3
Saudi Arabia		0.2
Czech Republic		0.2
Colombia		0.1
Sri Lanka		0.0	^
Egypt		0.0	^
Chile		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.0	%
Technology Hardware & Equipment		11.4
Semiconductors & Semiconductor Equipment		11.2
Materials		10.2
Media & Entertainment		8.2
Retailing		6.3
Energy		5.8
Real Estate		4.5
Insurance		4.1
Capital Goods		4.0
Automobiles & Components		3.8
Food, Beverage & Tobacco		2.9
Diversified Financials		2.4
Consumer Durables & Apparel		2.0
Software & Services		1.6
Utilities		1.1
Household & Personal Products		1.0
Food & Staples Retailing		0.7
Transportation		0.4
Telecommunication Services		0.3
Consumer Services		0.1
Pharmaceuticals, Biotechnology & Life Sciences		0.0	^
Commercial & Professional Services		0.0	^
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 93.7%
		Argentina — 0.4%
	228,200	Banco BBVA Argentina SA ADR * (a)		618,422
	16,800	Banco Macro SA ADR *		227,808
	44,100	Globant SA *		9,469,152
	351,800	Grupo Financiero Galicia SA ADR		2,620,910
		Total Argentina		12,936,292
		Brazil — 0.5%
	40,700	CPFL Energia SA		209,593
	1,395,300	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		8,589,602
	381,100	WEG SA		5,307,601
		Total Brazil		14,106,796
		Chile — 0.0%
	47,403	Inversiones La Construccion SA		336,954
		China — 35.0%
	4,731,000	361 Degrees International Ltd		1,085,641
	852,000	Agile Group Holdings Ltd		1,203,250
	90,794,590	Agricultural Bank of China Ltd – Class H		33,021,420
	370,526	Alibaba Group Holding Ltd Sponsored ADR *		88,096,262
	1,739,699	Anhui Conch Cement Co Ltd – Class H		11,179,791
	113,500	Asia Cement China Holdings Corp		106,721
	1,800	Autohome Inc ADR		205,272
	19,800	Baidu Inc Sponsored ADR *		5,612,508
	16,638,682	Bank of China Ltd – Class H		5,834,358
	642,500	Budweiser Brewing Co APAC Ltd		1,960,096
	1,518,208	BYD Co Ltd – Class A		46,267,170
	1,898,000	BYD Electronic International Co Ltd (a)		10,556,184
	10,819,878	China Communications Services Corp Ltd – Class H		5,117,814
	125,110,148	China Construction Bank Corp – Class H		100,431,490
	4,227,000	China Dongxiang Group Co Ltd		473,538
	19,548,000	China Feihe Ltd		53,472,682
	361,430	China International Travel Service Corp Ltd – Class A		17,226,266
	1,564,000	China Lesso Group Holdings Ltd		2,888,178
	8,920,000	China Machinery Engineering Corp – Class H		4,090,577
	555,305	China Merchants Bank Co Ltd – Class A		4,389,266
	2,794,000	China Oriental Group Co Ltd		876,687
	128,000	China Overseas Grand Oceans Group Ltd		70,331
	248,400	China Pacific Insurance Group Co Ltd – Class A		1,698,691
	15,241,000	China Reinsurance Group Corp – Class H		1,688,446
	74,000	China Resources Gas Group Ltd		369,950
	6,118,000	China Resources Land Ltd		29,073,557
	1,907,500	China Shenhua Energy Co Ltd – Class H		3,628,767
	2,213,900	China Vanke Co Ltd – Class A		11,353,820
	48,000	Chinasoft International Ltd *		50,808
	9,257,714	Country Garden Holdings Co Ltd		11,523,508

Shares		Description	Value ($)
		China — continued
	68,000	Country Garden Services Holdings Co Ltd		559,344
	85,700	ENN Energy Holdings Ltd		1,310,533
	4,252,769	Fangda Special Steel Technology Co Ltd – Class A *		4,731,111
	2,660,000	Geely Automobile Holdings Ltd		8,604,323
	1,919,000	Greenland Hong Kong Holdings Ltd		616,813
	5,870,000	Guangdong Investment Ltd		10,483,324
	277,200	Guangdong Tapai Group Co Ltd – Class A		539,036
	381,000	Guotai Junan Securities Co Ltd – Class H		529,160
	362,722	Hangzhou Robam Appliances Co Ltd – Class A		2,122,945
	108,500	Hebei Construction Group Corp Ltd – Class H (a)		45,046
	8,306,238	Hisense Home Appliances Group Co Ltd – Class A		19,241,384
	313,000	Hisense Home Appliances Group Co Ltd – Class H		478,936
	195,100	Hollysys Automation Technologies Ltd		2,938,206
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		—
	516,400	Huayu Automotive Systems Co Ltd – Class A		2,058,892
	63,019,847	Industrial & Commercial Bank of China Ltd – Class H		41,228,855
	2,500	Kuaishou Technology *		99,530
	49,305	Kweichow Moutai Co Ltd – Class A		16,220,681
	2,453,000	KWG Property Holding Ltd		3,715,549
	2,533,000	Logan Group Co Ltd		3,943,374
	2,546,000	Longfor Group Holdings Ltd		15,090,750
	2,767,000	Lonking Holdings Ltd		1,023,256
	293,700	Lufax Holding Ltd ADR *		4,411,374
	259,500	Midea Group Co Ltd – Class A		3,741,917
	544,200	NetEase Inc		11,879,270
	620,800	NetEase Inc ADR		68,194,880
	274,993	New China Life Insurance Co Ltd – Class A		2,217,209
	3,600	Niu Technologies Sponsored ADR *		134,568
	891,000	PAX Global Technology Ltd		818,904
	28,885,000	PICC Property & Casualty Co Ltd – Class H		21,853,326
	5,704,400	Qingling Motors Co Ltd – Class H		1,234,716
	65,000	Road King Infrastructure Ltd		88,314
	57,800	Shanghai Baosight Software Co Ltd – Class A		512,776
	85,400	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		242,139
	3,068,789	Shenzhen Investment Ltd		1,105,163
	2,317,481	Shenzhen YUTO Packaging Technology Co Ltd – Class A		11,105,514
	4,945,000	Shimao Group Holdings Ltd		16,283,633
	1,944,000	Sinopec Engineering Group Co Ltd – Class H		1,037,287
	1,614,000	Sinotruk Hong Kong Ltd		5,150,981
	3,567,051	Suofeiya Home Collection Co Ltd – Class A		18,675,043
	1,322,965	Tencent Holdings Ltd		115,093,902
	129,000	Tencent Holdings Ltd ADR		11,248,800
	450,851	Tsingtao Brewery Co Ltd – Class A		5,565,002
	212,000	Tsingtao Brewery Co Ltd – Class H		1,741,045

See accompanying notes to the financial statements. 21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		China — continued
	1,068,500	Vipshop Holdings Ltd ADR *		39,876,420
	13,711,831	Weifu High-Technology Group Co Ltd – Class A		48,857,754
	8,050,100	Yangzijiang Shipbuilding Holdings Ltd		6,427,553
	3,064,000	Yuzhou Group Holdings Co Ltd		1,180,983
	86,907	Zhejiang Supor Co Ltd – Class A		1,013,279
	1,249,629	Zhejiang Weixing New Building Materials Co Ltd – Class A		3,591,305
	6,512,786	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		14,962,354
	1,878,000	Zhongsheng Group Holdings Ltd		11,607,342
	15,883,382	Zhuzhou Kibing Group Co Ltd – Class A		36,229,535
		Total China		1,055,216,385
		Czech Republic — 0.2%
	36,319	CEZ AS		886,447
	13,907	Komercni Banka AS *		434,079
	1,201,627	Moneta Money Bank AS *		4,380,768
	306	Philip Morris CR AS		217,059
		Total Czech Republic		5,918,353
		Egypt — 0.0%
	105,984	Commercial International Bank Egypt SAE		417,500
	100,934	Eastern Co SAE		95,436
	176,784	Medinet Nasr Housing		42,035
	387,481	Palm Hills Developments SAE *		42,373
		Total Egypt		597,344
		India — 3.5%
	256,987	Asian Paints Ltd		7,981,961
	11,950	Bajaj Consumer Care Ltd		39,403
	27,610	Balrampur Chini Mills Ltd		66,174
	10,859	Cochin Shipyard Ltd		54,720
	419,720	Engineers India Ltd		453,701
	11,567,064	Gayatri Projects Ltd * (c)		6,296,399
	18,986	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		75,320
	598,198	HCL Technologies Ltd		7,411,404
	230,960	HDFC Bank Ltd *		4,854,044
	2	Hero MotoCorp Ltd		88
	261,937	Hindustan Unilever Ltd		7,576,291
	72,481	Hindustan Zinc Ltd		291,309
	252,428	Housing Development Finance Corp Ltd		8,737,538
	1,332,810	ICICI Bank Ltd *		10,949,210
	476,400	Infosys Ltd Sponsored ADR		8,155,968
	3,013,682	Jai Balaji Industries Ltd *		1,156,294
	92,574	JSW Energy Ltd		90,414
	1,322,083	Kiri Industries Ltd		8,155,193
	386,197	Kotak Mahindra Bank Ltd *		9,417,933
	5,280	Larsen & Toubro Infotech Ltd		258,698
	3,330	Mahanagar Gas Ltd		52,656

Shares		Description	Value ($)
		India — continued
	12,832	Mindtree Ltd		278,376
	1,413,409	NBCC India Ltd		825,544
	162,057	NCC Ltd		197,099
	7,947	Oracle Financial Services Software Ltd		327,947
	13,130	Redington India Ltd		32,683
	193,830	Tata Consultancy Services Ltd		7,660,005
	312,651	Titan Co Ltd		5,998,626
	121,620	Welspun Corp Ltd		212,797
	1,548,435	Wipro Ltd		8,626,103
		Total India		106,233,898
		Indonesia — 2.5%
	1,401,900	Astra International Tbk PT		529,701
	10,875,900	Bank Central Asia Tbk PT		25,588,226
	9,819,700	Bank Mandiri Persero Tbk PT		4,204,827
	12,413,500	Bank Negara Indonesia Persero Tbk PT		5,165,451
	16,446,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		975,022
	72,331,200	Bank Rakyat Indonesia Persero Tbk PT		23,826,232
	18,940,400	Bukit Asam Tbk PT		3,592,125
	5,320,091	Indo Tambangraya Megah Tbk PT		4,542,396
	598,500	Matahari Department Store Tbk PT *		52,812
	206,516,700	Panin Financial Tbk PT *		3,323,771
	28,266,100	Ramayana Lestari Sentosa Tbk PT		1,444,864
	242,700	United Tractors Tbk PT		383,429
		Total Indonesia		73,628,856
		Kuwait — 1.9%
	1,142,974	Alimtiaz Investment Group KSC *		417,149
	221,596	Burgan Bank SAK		162,772
	82,944	Gulf Bank KSCP		59,031
	90,778	Gulf Cable & Electrical Industries Co KSCP		259,622
	223,693	Humansoft Holding Co KSC *		2,827,697
	10,778,354	Kuwait Finance House KSCP		25,600,745
	1,696,339	Kuwait Projects Co Holding KSCP		955,352
	1,228,141	Mobile Telecommunications Co KSC		2,534,328
	8,916,416	National Bank of Kuwait SAKP		24,284,729
	217,009	Qurain Petrochemical Industries Co		264,107
		Total Kuwait		57,365,532
		Mexico — 2.7%
	1,100,600	Banco del Bajio SA *		1,277,308
	3,359,400	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *		3,182,606
	273,100	Concentradora Fibra Danhos SA de CV (REIT)		334,701
	1,679,200	Credito Real SAB de CV SOFOM ER *		915,008
	194,000	El Puerto de Liverpool SAB de CV – Class C1		586,980
	2,173,600	Fibra Uno Administracion SA de CV (REIT)		2,468,560
	248,200	Gentera SAB de CV *		124,331

22 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Mexico — continued
	503,400	Grupo Aeroportuario del Centro Norte SAB de CV *		2,905,239
	8,596,300	Grupo Financiero Banorte SAB de CV – Class O *		43,168,456
	472,800	Grupo Financiero Inbursa SAB de CV – Class O *		424,867
	3,674,400	Grupo Mexico SAB de CV – Series B		17,419,196
	76,800	Industrias Bachoco SAB de CV – Series B		254,691
	403,627	Qualitas Controladora SAB de CV		2,190,517
	430,700	Regional SAB de CV *		1,954,939
	526,790	Unifin Financiera SAB de CV SOFOM ENR *		623,708
	1,001,300	Wal-Mart de Mexico SAB de CV		2,849,644
		Total Mexico		80,680,751
		Pakistan — 0.5%
	454,736	Engro Corp Ltd		871,345
	6,181,635	Engro Fertilizers Ltd		2,548,123
	1,732,776	Fauji Fertilizer Co Ltd		1,213,508
	3,540	Indus Motor Co Ltd		25,051
	39,201	Lucky Cement Ltd *		219,322
	411,500	National Bank of Pakistan *		92,716
	5,349,280	Oil & Gas Development Co Ltd		3,540,543
	812,094	Pakistan Oilfields Ltd		2,053,921
	3,383,334	Pakistan Petroleum Ltd		1,936,261
	213,476	Pakistan State Oil Co Ltd *		319,462
	741,830	Searle Co Ltd (The)		1,269,086
	1,214,622	United Bank Ltd		979,886
		Total Pakistan		15,069,224
		Philippines — 0.3%
	349,070	Manila Electric Co		1,947,196
	32,739,800	Megaworld Corp		2,445,991
	19,565,000	Metro Pacific Investments Corp		1,637,121
	111,500	Metropolitan Bank & Trust Co		116,274
	205,650	Security Bank Corp		555,253
	6,276,900	Semirara Mining & Power Corp		1,650,028
		Total Philippines		8,351,863
		Poland — 0.7%
	46,032	Budimex SA		4,250,534
	31,007	Lubelski Wegiel Bogdanka SA *		192,524
	2,254,022	Powszechny Zaklad Ubezpieczen SA *		17,568,792
		Total Poland		22,011,850
		Qatar — 0.6%
	1,401,107	Doha Bank QPSC *		848,331
	163,346	Masraf Al Rayan QSC		193,997
	195,018	Qatar Electricity & Water Co QSC		930,379
	3,072,981	Qatar National Bank QPSC		14,442,283

Shares		Description	Value ($)
		Qatar — continued
	1,062,466	Qatar National Cement Co QSC		1,187,083
		Total Qatar		17,602,073
		Russia — 14.8%
	29,324,710	Alrosa PJSC		39,150,433
	1,054,350	Detsky Mir PJSC		2,007,466
	66,973	Etalon Group Plc GDR (Registered)		115,401
	234,095	Evraz Plc		1,879,313
	1,423,020,000	Federal Grid Co Unified Energy System PJSC		4,097,996
	91,130	Gazprom Neft PJSC		415,618
	8,830	Gazprom Neft PJSC Sponsored ADR		200,178
	700,819	Globaltrans Investment Plc Sponsored GDR (Registered)		4,667,413
	90,928,000	Inter RAO UES PJSC		6,248,491
	103,747	LSR Group PJSC		1,229,615
	726,186	LSR Group PJSC GDR (Registered)		1,603,809
	406,795	LUKOIL PJSC Sponsored ADR		30,310,872
	382,337	M.Video PJSC		4,207,891
	28,630	Magnit PJSC		1,889,267
	215,198	Magnit PJSC Sponsored GDR (Registered)		2,929,371
	5,841,080	Magnitogorsk Iron & Steel Works PJSC		4,250,997
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		2,246,427
	1,545,956	MMC Norilsk Nickel PJSC ADR		48,717,639
	254,900	Mobile TeleSystems PJSC Sponsored ADR		2,095,278
	12,746,867	Moscow Exchange MICEX-RTS PJSC		29,530,577
	30,576	Novatek PJSC Sponsered GDR (Registered)		5,231,793
	1,174,620	Novolipetsk Steel PJSC		3,525,111
	933,670	Novolipetsk Steel PJSC GDR		27,639,726
	2,104,067	Polymetal International Plc		41,592,898
	55,839	Polyus PJSC		10,516,582
	198,536	Polyus PJSC GDR (Registered)		18,551,777
	422,715	QIWI Plc Sponsored ADR		4,518,823
	328,580	Raspadskaya OJSC		798,678
	3,368	Ros Agro Plc GDR (Registered)		40,890
	1,649,000	ROSSETI PJSC		37,637
	56,474,000	RusHydro PJSC		592,713
	82,660	Safmar Financial Investment *		538,563
	3,393,099	Sberbank of Russia PJSC Sponsored ADR		49,376,170
	218,705	Severstal PJSC		3,961,285
	495,349	Severstal PJSC GDR (Registered)		8,852,006
	25,259,100	Surgutneftegas PJSC		11,025,172
	4,762,114	Surgutneftegas PJSC Sponsored ADR		20,362,123
	566,690	Tatneft PJSC Sponsored ADR		23,715,157
	118,515	TCS Group Holding Plc GDR (Registered)		6,198,138
	54,484,000	Unipro PJSC		2,055,240
	250,576	X5 Retail Group NV GDR (Registered) (d)		8,160,015
	163,199	X5 Retail Group NV GDR (Registered) (d)		5,378,460
	75,400	Yandex NV – Class A *		4,824,469
		Total Russia		445,287,478

See accompanying notes to the financial statements. 23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Saudi Arabia — 0.3%
	328,983	Al Rajhi Bank		7,933,980
		South Africa — 1.6%
	5,168	Astral Foods Ltd		46,177
	35,216	AVI Ltd		164,760
	696,472	Investec Ltd		1,823,450
	44,073	Kumba Iron Ore Ltd		1,887,867
	647,220	Lewis Group Ltd		1,103,846
	399,187	Mr Price Group Ltd		4,597,899
	9,105,984	Old Mutual Ltd		8,091,189
	15,666,339	RMB Holdings Ltd *		1,547,527
	4,603,100	Sanlam Ltd		18,494,874
	1,531,296	Truworths International Ltd		4,899,800
	377,683	Vodacom Group Ltd		3,110,423
	384,517	Wilson Bayly Holmes-Ovcon Ltd *		2,450,040
		Total South Africa		48,217,852
		South Korea — 1.4%
	290,034	BNK Financial Group Inc		1,519,372
	5,320	Daou Data Corp *		62,577
	119,069	DB Insurance Co Ltd		4,381,583
	1,141,277	Dongwon Development Co Ltd		5,224,551
	4,876	GS Home Shopping Inc		588,851
	11,356	HDC Hyundai Development Co-Engineering & Construction		270,188
	118,806	Korea Asset In Trust Co Ltd		409,875
	8,449	KT Skylife Co Ltd		64,199
	1,062	NCSoft Corp		882,055
	15,971	NHN KCP Corp *		658,924
	191,969	Samsung Electronics Co Ltd		14,068,569
	7,195	Samsung Electronics Co Ltd GDR		13,315,702
		Total South Korea		41,446,446
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		678,007
		Taiwan — 24.0%
	196,000	Accton Technology Corp		1,845,762
	71,532	Acter Group Corp Ltd		510,644
	1,206,035	Advantech Co Ltd		15,683,756
	34,000	Airtac International Group		1,183,259
	938,000	Alchip Technologies Ltd		29,745,761
	542,689	Asustek Computer Inc		5,918,155
	437,000	Aten International Co Ltd		1,378,963
	129,200	Aurora Corp		404,111
	7,316,000	Catcher Technology Co Ltd		50,366,159
	7,680,153	Cathay Financial Holding Co Ltd		11,558,439
	3,144,865	Chailease Holding Co Ltd		19,423,481
	199,000	Chicony Electronics Co Ltd		669,528
	5,305,000	China Development Financial Holding Corp		1,770,922

Shares		Description	Value ($)
		Taiwan — continued
	623,000	China Life Insurance Co Ltd		507,293
	746,000	Chong Hong Construction Co Ltd		2,193,471
	3,599,400	Coretronic Corp		6,201,780
	39,824,720	CTBC Financial Holding Co Ltd		28,591,668
	441,000	Delta Electronics Inc		4,438,762
	654,000	Elan Microelectronics Corp		4,034,176
	1,583,000	Elite Material Co Ltd		9,593,819
	2,794,000	Evergreen Marine Corp Taiwan Ltd *		3,805,232
	1,610,000	Farglory Land Development Co Ltd		3,097,163
	17,000	Feng Hsin Steel Co Ltd		43,137
	5,037,000	FLEXium Interconnect Inc		22,763,750
	2,054,075	Foxconn Technology Co Ltd		5,157,411
	16,626,000	Fubon Financial Holding Co Ltd		29,774,756
	65,000	Gold Circuit Electronics Ltd *		126,395
	1,747,000	Grand Pacific Petrochemical *		1,494,575
	19,350,532	Hon Hai Precision Industry Co Ltd		77,735,853
	1,782,000	Huaku Development Co Ltd		5,636,700
	1,379,806	IEI Integration Corp		2,594,154
	104,900	Innodisk Corp		615,478
	666,000	International Games System Co Ltd		19,786,614
	284,000	Kung Long Batteries Industrial Co Ltd		1,452,140
	2,842,000	Lite-On Technology Corp		6,057,089
	112,000	Lotes Co Ltd		2,084,012
	7,000	MediaTek Inc		224,676
	437,000	Merry Electronics Co Ltd		2,147,496
	2,016,000	Micro-Star International Co Ltd		10,782,656
	83,000	Nan Liu Enterprise Co Ltd		507,355
	244,000	Nantex Industry Co Ltd		562,964
	976,810	Novatek Microelectronics Corp		16,632,379
	259,000	Pegatron Corp		693,201
	404,000	Quanta Computer Inc		1,232,284
	10,518,870	Radiant Opto-Electronics Corp		45,089,933
	304,000	Shin Kong Financial Holding Co Ltd		90,282
	800,000	Shinkong Insurance Co Ltd		1,098,866
	484,468	Simplo Technology Co Ltd		6,507,756
	1,900,250	Syncmold Enterprise Corp		5,693,016
	98,300	Tah Hsin Industrial Corp		258,515
	1,621,000	Taiwan Cement Corp		2,442,600
	8,687,000	Taiwan Semiconductor Manufacturing Co Ltd		189,785,116
	10	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		1,259
	48,000	TCI Co Ltd		364,588
	272,000	Test Research Inc		568,811
	1,104,000	Transcend Information Inc		2,590,693
	1,149,160	Tripod Technology Corp		5,712,014
	643,224	United Integrated Services Co Ltd		5,465,383
	20,879,000	United Microelectronics Corp		40,709,120
	987,000	Universal Inc		2,917,392
	45,000	Vanguard International Semiconductor Corp		187,183
	148,000	Yulon Nissan Motor Co Ltd		1,359,581

24 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — continued
	323,000	Zeng Hsing Industrial Co Ltd		1,740,206
		Total Taiwan		723,609,693
		Thailand — 1.1%
	373,500	AP Thailand Pcl NVDR		89,856
	851,800	Bangkok Bank Pcl (Foreign Registered)		3,400,666
	657,300	Carabao Group Pcl NVDR		2,979,553
	329,900	Carabao Group Pcl – Class F		1,495,444
	464,900	Dynasty Ceramic Pcl NVDR		36,535
	1,160,800	Kasikornbank Pcl (Foreign Registered)		5,334,690
	997,400	KCE Electronics Pcl (Foreign Registered)		1,762,934
	175,700	KCE Electronics Pcl NVDR		310,555
	136,300	Origin Property Pcl NVDR		31,187
	3,658,500	Pruksa Holding Pcl (Foreign Registered)		1,542,003
	65,700	PTT Exploration & Production Pcl NVDR		245,197
	1,708,392	Quality Houses Pcl (Foreign Registered)		132,381
	300,700	Quality Houses Pcl NVDR		23,301
	173,900	Siam Cement Pcl (The) (Foreign Registered)		2,093,205
	206,600	Siam Cement Pcl (The) NVDR		2,486,809
	1,649,100	Siam Commercial Bank Pcl (The) (Foreign Registered)		5,533,041
	124,000	Siam Commercial Bank Pcl NVDR (The)		416,043
	695,500	SPCG Pcl		453,203
	68,400	SPCG Pcl NVDR		44,571
	806,300	Sri Trang Agro-Industry Pcl NVDR		1,416,206
	2,890,875	Supalai Pcl (Foreign Registered)		1,911,318
	49,140,200	TMB Bank Pcl (Foreign Registered)		1,813,538
	773,300	TTW Pcl (Foreign Registered)		304,337
	31,200	TTW Pcl NVDR		12,279
		Total Thailand		33,868,852
		Turkey — 0.3%
	46,211	Arcelik AS *		206,769
	5	Aselsan Elektronik Sanayi Ve Ticaret AS		12
	15,124,693	Dogan Sirketler Grubu Holding AS		6,462,300
	11,064,699	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		3,352,149
		Total Turkey		10,021,230
		United Arab Emirates — 0.4%
	280,127	Abu Dhabi Islamic Bank PJSC		376,495
	4,562,734	Aldar Properties PJSC		4,444,282
	1,619,662	Dubai Islamic Bank PJSC		2,056,553
	523,814	Emaar Malls PJSC *		235,481
	215,015	Emirates NBD Bank PJSC		646,243
	941,768	First Abu Dhabi Bank PJSC		3,704,904
		Total United Arab Emirates		11,463,958
		United Kingdom — 0.7%
	386,665	Unilever Plc		20,155,826

Shares		Description	Value ($)
		Vietnam — 0.3%
	2,598,900	Hoa Phat Group JSC		5,140,845
	239,000	PetroVietnam Gas JSC		928,602
	30,000	PetroVietnam Nhon Trach 2 Power JSC		29,231
	1,872,200	PetroVietnam Technical Services Corp		1,827,411
	244,400	Pha Lai Thermal Power JSC		293,937
	90,800	Vietnam Dairy Products JSC		413,161
	380,800	Vinh Hoan Corp		656,710
		Total Vietnam		9,289,897
		TOTAL COMMON STOCKS (COST $2,547,700,949)		2,822,029,390
		PREFERRED STOCKS (e) — 3.2%
		Brazil — 0.0%
	17,600	Cia de Transmissao de Energia Eletrica Paulista		75,058
	19,700	Cia Energetica de Minas Gerais Sponsored ADR		41,567
		Total Brazil		116,625
		Colombia — 0.1%
	37,863	Banco Davivienda SA		326,928
	4,610,742	Grupo Aval Acciones y Valores SA		1,501,936
		Total Colombia		1,828,864
		Russia — 1.8%
	247,039	Bashneft PJSC		3,815,177
	232,210	Nizhnekamskneftekhim PJSC		247,593
	92,692,100	Surgutneftegas PJSC		48,865,995
	745	Transneft PJSC		1,431,774
		Total Russia		54,360,539
		South Korea — 1.2%
	596,573	Samsung Electronics Co Ltd		38,587,442
		Taiwan — 0.1%
	287,798	Chailease Holding Co Ltd *		1,027,757
	605,412	CTBC Financial Holding Co Ltd		1,386,441
		Total Taiwan		2,414,198
		TOTAL PREFERRED STOCKS (COST $83,591,925)		97,307,668
		INVESTMENT FUNDS — 0.7%
		United States — 0.7%
	339,625	iShares Core MSCI Emerging Markets ETF		21,983,926
		TOTAL INVESTMENT FUNDS (COST $23,437,606)		21,983,926

See accompanying notes to the financial statements. 25

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.6%
		United States — 0.6%
	17,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.18%, due 01/31/22 (f)		17,512,148
		TOTAL DEBT OBLIGATIONS (COST $17,511,147)		17,512,148
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.3%
	8,199,147	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g)		8,199,147
		U.S. Government — 0.2%
	5,000,000	U.S. Treasury Bill, 0.05%, due 07/22/21 (f) (h)		4,999,032
		TOTAL SHORT-TERM INVESTMENTS (COST $13,197,450)		13,198,179
		TOTAL INVESTMENTS — 98.7% (Cost $2,685,439,077)		2,972,031,311
		Other Assets and Liabilities (net) — 1.3%		40,509,040
		TOTAL NET ASSETS — 100.0%		$3,012,540,351

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 3,997	Mini MSCI Emerging Markets	March 2021	$	267,419,285	$	6,256,645
Sales 1,157	SGX Nifty 50	March 2021	$	33,655,332	$	377,116

+ 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 8.50%)

Appreciation on Total Return on CSI 500 Index

GS

USD

39,869,643

12/07/2021

At Maturity

$

—

$

225,326

$

225,326

As of February 28, 2021, 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.

26 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) Affiliated company (Note 10).

(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 February 28, 2021.

(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 78.

See accompanying notes to the financial statements. 27

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class II shares of GMO International Equity Fund returned +21.58% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the MSCI EAFE Index.

The environment continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 12.0% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the fiscal year ended February 28, 2021. While valuation-oriented models faced headwinds, growth-oriented models and signals, which captured sentiment from other asset classes, helped performance.

Areas of notable positive stock selection included Australia, Materials, France, and Utilities. Top contributors included overweight positioning in Fortescue Metals (Australia Materials), Rio Tinto (Australia Materials), Dialog Semiconductor (Germany Information Technology), L’Oréal (France Consumer Staples), and Volvo (Sweden Industrials). Underweight positioning toward Real Estate, Financials, and Energy also added value.

Challenging areas for stock selection included the Netherlands, Japan, the U.K., Health Care, Consumer Discretionary, and Industrials. Top detractors included overweight positioning in International Consolidated Airlines (U.K. Industrials), WH Group (Hong Kong Consumer Staples), British American Tobacco (U.K. Consumer Staples), and GlaxoSmithKline (U.K. Health Care).

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

28

GMO International Equity Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class II, III and IV the gross expense ratio of 0.76%, 0.69% and 0.63%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.73%, 0.66% and 0.60% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

29

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		3.9
Preferred Stocks		1.0
Futures Contracts		0.0	^
Other		(1.8	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.8	%
United Kingdom		17.0
Netherlands		8.4
France		7.6
Germany		7.3
Australia		5.8
Switzerland		5.7
Spain		5.6
Singapore		4.2
Italy		3.2
Portugal		3.0
Hong Kong		3.0
Norway		2.4
Sweden		1.9
Belgium		1.2
Other Developed		1.1	‡
Euro Region		0.8	§
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		12.4	%
Pharmaceuticals, Biotechnology & Life Sciences		10.8
Materials		10.4
Capital Goods		9.7
Food, Beverage & Tobacco		7.7
Utilities		6.1
Automobiles & Components		5.8
Retailing		5.5
Consumer Durables & Apparel		5.3
Telecommunication Services		4.9
Semiconductors & Semiconductor Equipment		3.7
Technology Hardware & Equipment		3.2
Diversified Financials		3.1
Food & Staples Retailing		2.8
Insurance		2.0
Software & Services		1.8
Commercial & Professional Services		1.6
Energy		1.2
Transportation		1.0
Media & Entertainment		0.6
Consumer Services		0.2
Health Care Equipment & Services		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.

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

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

^ Rounds to 0.0%.

30

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Australia — 5.7%
	149,196	BHP Group Ltd		5,639,677
	2,947,929	Fortescue Metals Group Ltd		54,442,814
	89,611	Pact Group Holdings Ltd		225,692
	631,614	Rio Tinto Ltd		61,973,956
	677,187	Sandfire Resources Ltd		3,165,160
		Total Australia		125,447,299
		Belgium — 1.2%
	57,116	Ageas SA/NV		3,201,451
	203,332	AGFA-Gevaert NV *		911,169
	50,435	bpost SA *		546,289
	11,779	Orange Belgium SA		323,558
	206,386	UCB SA		20,464,534
		Total Belgium		25,447,001
		Denmark — 0.0%
	9,627	Per Aarsleff Holding A/S		430,434
	6,540	Schouw & Co A/S		660,508
		Total Denmark		1,090,942
		Finland — 0.2%
	160,422	Kesko Oyj – B Shares		4,081,799
		France — 7.5%
	94,812	ArcelorMittal SA *		2,213,985
	875,254	BNP Paribas SA *		52,031,601
	9,833	Christian Dior SE		5,461,405
	308,624	Cie de Saint-Gobain *		16,596,670
	915,161	Credit Agricole SA *		12,822,758
	7,932	Fnac Darty SA *		481,229
	13,087	IPSOS		506,893
	93,934	Metropole Television SA *		1,873,984
	101	Renault SA * (a)		4,537
	140,283	Renault SA * (a)		6,299,552
	277,376	Sanofi		25,454,987
	56,015	Schneider Electric SE		8,283,181
	198,456	Societe Generale SA *		4,911,064
	455,601	STMicroelectronics NV – NY Shares		17,704,655
	68,982	Television Francaise 1 *		600,723
	170,063	TOTAL SE (a)		7,930,058
	14,586	TOTAL SE (a)		676,913
		Total France		163,854,195
		Germany — 6.2%
	96,171	ADVA Optical Networking SE *		1,059,517
	38,483	Bayerische Motoren Werke AG		3,325,274
	39,992	Brenntag AG		3,098,856
	818,494	CECONOMY AG *		5,102,812

Shares		Description	Value ($)
		Germany — continued
	670,042	Daimler AG (Registered)		53,714,122
	122,487	Deutsche Pfandbriefbank AG *		1,335,841
	371,095	Dialog Semiconductor Plc *		28,846,305
	27,689	DWS Group GmbH & Co KGaA		1,153,843
	74,255	HeidelbergCement AG		5,873,058
	40,908	Hornbach Holding AG & Co KGaA		3,860,797
	5,326	Indus Holding AG		214,302
	67,134	Siemens AG (Registered)		10,389,746
	12,233	Software AG		543,568
	42,705	Traton SE		1,189,583
	67,422	Volkswagen AG		15,780,029
		Total Germany		135,487,653
		Hong Kong — 2.9%
	243,285	BOC Hong Kong Holdings Ltd		808,316
	1,380,487	Champion (REIT)		808,265
	444,312	Chow Tai Fook Jewellery Group Ltd		609,355
	1,295,600	Dah Sing Banking Group Ltd		1,420,726
	357,269	Dah Sing Financial Holdings Ltd		1,154,854
	3,995,207	Esprit Holdings Ltd *		474,063
	5,141,585	IGG Inc		7,670,185
	754,401	Johnson Electric Holdings Ltd		2,177,048
	297,640	Kerry Logistics Network Ltd		866,689
	696,326	Luk Fook Holdings International Ltd		1,765,932
	1,181,877	Man Wah Holdings Ltd		2,583,593
	1,232,331	Pacific Textiles Holdings Ltd		789,093
	1,301,023	Shun Tak Holdings Ltd		440,787
	1,160,026	SmarTone Telecommunications Holdings Ltd		733,760
	331,288	Television Broadcasts Ltd		389,710
	524,000	VSTECS Holdings Ltd		469,885
	60,100	VTech Holdings Ltd		503,625
	45,619,015	WH Group Ltd		40,916,124
		Total Hong Kong		64,582,010
		Ireland — 0.8%
	61,868	CRH Plc *		2,685,765
	232,852	CRH Plc Sponsored ADR		10,089,477
	43,198	Glanbia Plc		558,020
	32,499	Kingspan Group Plc *		2,357,236
	46,669	Smurfit Kappa Group Plc		2,218,206
		Total Ireland		17,908,704
		Italy — 3.2%
	697,920	Anima Holding SPA		3,343,349
	129,516	CNH Industrial NV *		1,911,749
	63,487	De’ Longhi SPA		2,345,920
	2,461,526	Enel SPA		23,209,482
	373,808	EXOR NV		29,964,012
	2,610,733	Intesa Sanpaolo SPA *		6,712,280

See accompanying notes to the financial statements. 31

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Italy — continued
	36,633	La Doria SPA		621,057
	33,476	Unieuro SPA *		633,311
	113,549	Unipol Gruppo SPA *		588,676
		Total Italy		69,329,836
		Japan — 21.5%
	63,520	AOKI Holdings Inc		409,607
	1,862,615	Asahi Kasei Corp		20,206,811
	2,579,684	Astellas Pharma Inc		40,787,820
	490,996	Brother Industries Ltd		9,728,991
	39,484	Cawachi Ltd		1,060,874
	75,238	Daiwabo Holdings Co Ltd		5,628,734
	296,204	DCM Holdings Co Ltd		2,928,475
	70,474	Dexerials Corp		1,027,593
	53,548	Doutor Nichires Holdings Co Ltd		816,377
	25,688	Fuji Corp		607,392
	209,243	Fuji Electric Co Ltd		8,751,057
	8,154	FUJIFILM Holdings Corp		466,248
	52,252	Fujitsu General Ltd		1,417,323
	243,732	Fujitsu Ltd		35,360,214
	20,506	Fuyo General Lease Co Ltd		1,365,181
	90,136	Geo Holdings Corp		1,014,207
	17,653	Gunze Ltd		604,709
	719,104	Hitachi Ltd		33,167,032
	1,578,354	ITOCHU Corp		47,142,282
	296,160	Japan Post Insurance Co Ltd		6,089,683
	244,204	Japan Tobacco Inc		4,421,681
	126,158	K’s Holdings Corp		1,692,262
	35,100	Kajima Corp		450,464
	127,044	Kanematsu Corp		1,621,830
	1,687,196	KDDI Corp		52,595,756
	36,181	Kohnan Shoji Co Ltd		986,813
	41,893	Komeri Co Ltd		1,129,361
	102,200	Marubeni Corp		765,676
	110,457	MCJ Co Ltd		945,326
	1,489,378	Mitsubishi Chemical Holdings Corp		10,415,096
	87,250	Mitsubishi Gas Chemical Co Inc		2,043,638
	5,462,918	Mitsubishi UFJ Financial Group Inc		28,733,283
	159,438	Mitsui & Co Ltd		3,414,241
	32,701	Mixi Inc		824,223
	219,351	Mizuho Financial Group Inc		3,228,495
	39,584	Modec Inc		645,574
	7,800	Murata Manufacturing Co Ltd		668,653
	145,533	NEC Networks & System Integration Corp		2,418,188
	96,926	Nichias Corp		2,274,286
	96,445	Nippo Corp		2,524,599
	59,031	Nippon Signal Co Ltd		515,185
	1,982,395	Nippon Telegraph & Telephone Corp		51,354,031
	30,422	Nitto Denko Corp		2,611,338
	244,726	Obayashi Corp		2,112,667

Shares		Description	Value ($)
		Japan — continued
	84,866	Okinawa Electric Power Co (The)		1,136,044
	128,086	Panasonic Corp		1,655,914
	82,324	Press Kogyo Co Ltd		248,411
	63,119	Prima Meat Packers Ltd		1,848,467
	440,210	Renesas Electronics Corp *		4,842,607
	29,683	San-A Co Ltd		1,157,917
	86,695	Seiko Holdings Corp		1,448,459
	419,112	Sekisui Chemical Co Ltd		7,510,950
	2,358	Shinko Electric Industries Co Ltd		63,665
	1,673,609	Sojitz Corp		4,427,342
	56,963	Sony Corp		6,015,358
	4,732,441	Sumitomo Chemical Co Ltd		23,039,021
	56,638	T-Gaia Corp		973,530
	5,700	TDK Corp		820,878
	22,642	Tokyo Electron Ltd		9,442,098
	37,577	Tokyo Seimitsu Co Ltd		1,646,925
	130,975	Tokyu Construction Co Ltd		655,727
	61,028	Towa Pharmaceutical Co Ltd		1,205,794
	36,955	Toyota Tsusho Corp		1,558,815
	24,269	TPR Co Ltd		337,422
	99,477	TS Tech Co Ltd		2,784,522
	66,471	TSI Holdings Co Ltd *		164,117
	93,469	Valor Holdings Co Ltd		1,979,599
	20,256	Warabeya Nichiyo Holdings Co Ltd		299,785
	21,608	Yahagi Construction Co Ltd		167,566
		Total Japan		472,404,209
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (b)		—
		Netherlands — 8.3%
	53,939	ASM International NV		14,548,643
	444,315	ASR Nederland NV		18,563,669
	71,018	Heineken Holding NV		6,114,549
	1,525,730	ING Groep NV		16,710,877
	1,629,157	Koninklijke Ahold Delhaize NV		43,017,471
	1,165,404	PostNL NV *		4,954,301
	355,826	Randstad NV *		23,796,983
	602,491	Signify NV *		26,253,445
	1,198,594	Stellantis NV *		19,413,310
	104,501	Wolters Kluwer NV		8,283,721
		Total Netherlands		181,656,969
		Norway — 2.3%
	291,780	Aker Solutions ASA *		443,487
	474,381	BW LPG Ltd		2,816,568
	1,602,673	DNB ASA		31,135,751
	152,387	Europris ASA		891,091
	245,707	Norsk Hydro ASA		1,360,296
	68,548	Norwegian Finans Holding ASA *		604,021

32 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Norway — continued
	1,521,313	Orkla ASA		14,012,235
	9,515	SpareBank 1 Nord Norge		84,317
		Total Norway		51,347,766
		Portugal — 3.0%
	112,698	Altri SGPS SA		818,166
	7,348,159	Banco Comercial Portugues SA – Class R *		1,034,973
	251,742	CTT-Correios de Portugal SA *		757,970
	336,778	EDP Renovaveis SA		7,346,938
	7,187,563	EDP – Energias de Portugal SA		41,196,993
	453,744	Galp Energia SGPS SA		5,072,150
	527,116	Jeronimo Martins SGPS SA		8,158,450
	554,313	REN – Redes Energeticas Nacionais SGPS SA		1,518,471
		Total Portugal		65,904,111
		Singapore — 4.2%
	1,000,728	AEM Holdings Ltd		2,991,176
	2,608,325	DBS Group Holdings Ltd		51,682,900
	108,887	Jardine Cycle & Carriage Ltd		1,710,680
	114,848	Oversea-Chinese Banking Corp Ltd		939,556
	359,400	Sembcorp Industries Ltd		463,825
	220,453	United Overseas Bank Ltd		4,048,403
	622,875	Venture Corp Ltd		8,888,356
	3,184,239	Wilmar International Ltd		12,536,693
	11,237,022	Yangzijiang Shipbuilding Holdings Ltd		8,972,131
		Total Singapore		92,233,720
		Spain — 5.5%
	210,951	Acerinox SA		2,445,230
	262,824	ACS Actividades de Construccion y Servicios SA		8,030,436
	2,603,283	Banco Bilbao Vizcaya Argentaria SA		14,476,537
	1,979,200	Banco de Sabadell SA		987,622
	6,235,430	Banco Santander SA *		21,681,178
	123,811	Bankinter SA		816,035
	2,244,418	CaixaBank SA		6,500,357
	208,037	Cia de Distribucion Integral Logista Holdings SA		4,003,132
	82,904	Ebro Foods SA		1,787,766
	326,082	Endesa SA		8,057,588
	3,910,699	Iberdrola SA		49,008,543
	100,889	Mediaset Espana Comunicacion SA *		603,245
	1,194,135	Unicaja Banco SA *		1,040,225
	19,752	Viscofan SA		1,388,154
		Total Spain		120,826,048
		Sweden — 1.9%
	348,864	Betsson AB *		2,848,681
	178,725	Swedish Match AB		12,827,755

Shares		Description	Value ($)
		Sweden — continued
	1,022,960	Volvo AB – B Shares *		26,188,182
		Total Sweden		41,864,618
		Switzerland — 5.7%
	83,465	ABB Ltd (Registered)		2,402,914
	24,662	Adecco Group AG (Registered)		1,552,147
	44,650	Ascom Holding AG (Registered) *		706,368
	1,472	Kardex Holding AG (Registered)		312,069
	14,669	Logitech International SA (Registered)		1,559,530
	9,414	Nestle SA (Registered)		982,526
	449,658	Novartis AG (Registered)		38,727,432
	20,002	Roche Holding AG		6,688,918
	197,510	Roche Holding AG – Genusschein		64,794,891
	107,199	UBS Group AG (Registered)		1,667,839
	63,547	Wizz Air Holdings Plc *		4,713,625
	3,995	Zehnder Group AG – Class RG		303,665
		Total Switzerland		124,411,924
		United Kingdom — 16.8%
	1,015,354	3i Group Plc		15,762,345
	131,351	Anglo American Plc		5,096,548
	58,262	Antofagasta Plc		1,454,096
	31,544	Ashtead Group Plc		1,713,834
	195,982	Aviva Plc		992,923
	505,443	Barclays Plc		1,128,012
	3,143,674	Barratt Developments Plc *		29,215,243
	161,614	Bellway Plc		6,334,625
	226,705	Berkeley Group Holdings Plc (The)		12,844,432
	125,281	BP Plc Sponsored ADR		3,058,109
	1,054,824	British American Tobacco Plc		36,628,926
	408,758	British American Tobacco Plc Sponsored ADR		14,331,056
	285,118	BT Group Plc *		493,516
	150,331	Coca-Cola HBC AG		4,714,156
	10,580	Cranswick Plc		503,764
	211,889	Dunelm Group Plc *		3,722,070
	408,973	Electrocomponents Plc		5,548,377
	188,144	Ferguson Plc		22,259,514
	955,030	Ferrexpo Plc		4,478,880
	2,327,043	Firstgroup Plc *		2,924,722
	31,913	Fresnillo Plc		403,036
	231,969	Galliford Try Holdings Plc *		442,125
	2,052,715	GlaxoSmithKline Plc		34,251,129
	62,999	Grafton Group Plc		871,430
	102,673	Halfords Group Plc *		413,427
	175,254	HSBC Holdings Plc *		1,049,810
	623,966	IG Group Holdings Plc		6,805,753
	603,422	Inchcape Plc *		5,984,501
	1,173,046	JD Sports Fashion Plc *		13,634,312
	3,400,835	Kingfisher Plc *		12,605,020

See accompanying notes to the financial statements. 33

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Kingdom — continued
	3,512,539	Legal & General Group Plc		12,772,272
	309,064	National Express Group Plc *		1,287,263
	299,994	Next Plc *		31,776,775
	1,002,863	Persimmon Plc		36,339,104
	619,350	Pets at Home Group Plc		3,414,766
	344,457	Plus500 Ltd		6,598,307
	872,951	QinetiQ Group Plc		3,635,114
	206,318	Royal Dutch Shell Plc – A Shares		4,257,897
	42,520	Royal Dutch Shell Plc – Class B Sponsored ADR		1,653,178
	129,261	Royal Mail Plc *		819,393
	53,539	Savills Plc *		864,132
	850,876	Spirent Communications Plc		2,795,205
	1,145,628	Tate & Lyle Plc		11,631,566
	252,690	Vesuvius Plc		1,843,240
	24,532	Vistry Group Plc *		288,500
		Total United Kingdom		369,642,403
		TOTAL COMMON STOCKS (COST $1,969,875,945)		2,127,521,207
		PREFERRED STOCKS (c) — 1.0%
		Germany — 1.0%
	26,876	Bayerische Motoren Werke AG		1,820,049
	22,630	Draegerwerk AG & Co KGaA		1,725,527

Par Value†/ Shares		Description	Value ($)
		Germay — continued
	87,841	Volkswagen AG		18,378,075
		Total Germany		21,923,651
		TOTAL PREFERRED STOCKS (COST $19,599,884)		21,923,651
		SHORT-TERM INVESTMENTS — 3.9%
		Money Market Funds — 0.4%
	8,354,174	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		8,354,174
		U.S. Government — 3.5%
	5,000,000	U.S. Treasury Bill, 0.05%, due 10/07/21 (e) (f)		4,998,472
	42,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (e)		41,978,023
	30,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (e)		29,979,942
		Total U.S. Government		76,956,437
		TOTAL SHORT-TERM INVESTMENTS (COST $85,310,097)		85,310,611
		TOTAL INVESTMENTS — 101.8% (Cost $2,074,785,926)		2,234,755,469
		Other Assets and Liabilities (net) — (1.8%)		(40,191,794	)
		TOTAL NET ASSETS — 100.0%		$2,194,563,675

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
155	MSCI EAFE	March 2021	$	16,771,000	$	(370,276	)

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

As of February 28, 2021, 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.

34 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

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

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

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 78.

See accompanying notes to the financial statements. 35

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Tokyo Stock Price Index (TR) is included for comparative purposes.

Class VI shares of GMO-Usonian Japan Value Creation Fund launched on September 14, 2020 and returned +18.82% (net) for the partial fiscal year ended February 28, 2021, as compared with +12.97% for the Tokyo Stock Price Index (TR).

During this period, equities rallied in Japan following the sharp decline driven by COVID-19 early in 2020. Expectations of a cyclical recovery and optimism surrounding reforms under Japan’s new Prime Minister Yoshihide Suga lifted the Japan equity markets to post-bubble highs. Also, for the first time after several periods, value outperformed growth in the Japanese stock market. Small cap stocks which the Fund favors, however, lagged as the Tokyo Stock Price Small Cap Index trailed the Tokyo Stock Price Index (TR) by 7.8%. By focusing on quality companies trading at attractive valuations with high liquidity, the Fund outperformed the MSCI Japan Value Index by 3.1%.

Relative to the Tokyo Stock Price Index (TR), security selection within sectors contributed to returns this period. Selection results in Financials and Real Estate made the largest positive impact while Consumer Discretionary and Materials detracted. Sector allocation also contributed to returns. An underweight in Health Care and overweight in Information Technology contributed to the returns, while an underweight in Communication Services and the portfolio’s cash position detracted. Stock selection mattered more than sector allocation.

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

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

36

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

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

GMO-Usonian Japan Value Creation Fund Class VI Shares and the Tokyo Stock Price Index (TR)

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

For Class VI the gross expense ratio of 0.74% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated October 25, 2020. For the Class listed above, the net expense ratio of 0.57% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least November 2, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

37

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.1	%
Short-Term Investments		1.8
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		19.2	%
Technology Hardware & Equipment		12.1
Materials		10.6
Diversified Financials		9.8
Consumer Durables & Apparel		7.3
Food, Beverage & Tobacco		6.9
Commercial & Professional Services		5.7
Semiconductors & Semiconductor Equipment		4.6
Banks		4.4
Telecommunication Services		2.9
Real Estate		2.8
Pharmaceuticals, Biotechnology & Life Sciences		2.8
Automobiles & Components		2.7
Insurance		2.5
Media & Entertainment		2.3
Retailing		1.9
Transportation		1.5
		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).

# 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.

38

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 98.1%
		Automobiles & Components — 2.6%
	49,900	Toyota Industries Corp		4,287,279
		Banks — 4.3%
	1,063,900	Mitsubishi UFJ Financial Group Inc		5,595,790
	42,400	Sumitomo Mitsui Trust Holdings Inc		1,399,940
		Total Banks		6,995,730
		Capital Goods — 18.9%
	434,900	Amada Co Ltd		5,313,613
	143,500	Ebara Corp		5,407,260
	184,300	Fuji Corp		4,357,771
	364,800	Hazama Ando Corp		2,740,320
	149,500	Kyowa Exeo Corp		3,831,243
	121,400	Kyudenko Corp		4,017,478
	418,800	Penta-Ocean Construction Co Ltd		3,130,068
	109,400	Takuma Co Ltd		2,152,057
		Total Capital Goods		30,949,810
		Commercial & Professional Services — 5.6%
	47,300	Secom Co Ltd		4,118,648
	318,800	Toppan Printing Co Ltd		5,036,914
		Total Commercial & Professional Services		9,155,562
		Consumer Durables & Apparel — 7.2%
	223,400	Asics Corp		3,683,056
	310,600	Haseko Corp		3,863,040
	236,600	Sumitomo Forestry Co Ltd		4,264,624
		Total Consumer Durables & Apparel		11,810,720
		Diversified Financials — 9.7%
	99,700	JAFCO Group Co Ltd		6,115,290
	340,500	ORIX Corp		5,809,853
	84,200	Zenkoku Hosho Co Ltd		3,887,352
		Total Diversified Financials		15,812,495
		Food, Beverage & Tobacco — 6.8%
	44,200	Morinaga & Co Ltd		1,596,384
	93,900	NH Foods Ltd		3,972,724
	413,800	Takara Holdings Inc		5,571,027
		Total Food, Beverage & Tobacco		11,140,135
		Insurance — 2.5%
	143,800	MS&AD Insurance Group Holdings Inc		4,081,725
		Materials — 10.4%
	122,900	Denka Co Ltd		4,644,561
	130,200	Maruichi Steel Tube Ltd		2,987,245
	271,200	Teijin Ltd		4,678,773

Shares		Description	Value ($)
		Materials — continued
	254,400	Tosoh Corp		4,676,602
		Total Materials		16,987,181
		Media & Entertainment — 2.2%
	100,100	Kadokawa Corp		3,685,200
		Pharmaceuticals, Biotechnology & Life Sciences — 2.7%
	140,700	Tsumura & Co		4,428,675
		Real Estate — 2.8%
	270,700	Aeon Mall Co Ltd		4,581,185
		Retailing — 1.8%
	224,300	K’s Holdings Corp		3,008,722
		Semiconductors & Semiconductor Equipment — 4.5%
	30,400	Rohm Co Ltd		3,010,241
	100,100	Tokyo Seimitsu Co Ltd		4,387,183
		Total Semiconductors & Semiconductor Equipment		7,397,424
		Technology Hardware & Equipment — 11.9%
	129,400	Amano Corp		2,917,121
	52,800	Daiwabo Holdings Co Ltd		3,950,094
	109,900	Hitachi Ltd		5,068,887
	71,700	Horiba Ltd		4,306,024
	169,800	Yokogawa Electric Corp		3,247,461
		Total Technology Hardware & Equipment		19,489,587
		Telecommunication Services — 2.8%
	148,500	KDDI Corp		4,629,261
		Transportation — 1.4%
	56,300	Sankyu Inc		2,358,552
		TOTAL COMMON STOCKS (COST $140,386,697)		160,799,243
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 1.8%
	2,975,074	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		2,975,074
		TOTAL SHORT-TERM INVESTMENTS (COST $2,975,074)		2,975,074
		TOTAL INVESTMENTS — 99.9% (Cost $143,361,771)		163,774,317
		Other Assets and Liabilities (net) — 0.1%		97,703
		TOTAL NET ASSETS — 100.0%		$163,872,020

See accompanying notes to the financial statements. 39

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

40 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Quality Fund returned +30.83% (net) for the fiscal year ended February 28, 2021, as compared with +31.29% for the S&P 500 Index.

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

The Fund’s security selection results within sector detracted from relative returns. Selection results in Communication Services made the largest positive impact, while selection within Consumer Discretionary and Consumer Staples reduced returns. Sector allocation was largely offset by stock selection.

The allocation to non-U.S. stocks generated incremental returns.

Taiwan Semiconductor Manufacturing, Lam Research and Texas Instruments made a positive contribution while Coca-Cola, Amazon (underweight) and Wells Fargo had a negative impact.

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

42

GMO Quality Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, VI, R6 and I the gross expense ratio of 0.50%, 0.46%, 0.41%, 0.50% and 0.60%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.48%, 0.44%, 0.39%, 0.48% and 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

43

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Short-Term Investments		1.9
Mutual Funds		0.1
Other		(0.2	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		81.8	%
United Kingdom		4.4
Taiwan		4.0
France		3.5
Germany		3.2
Switzerland		3.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		21.8	%
Health Care Equipment & Services		13.7
Semiconductors & Semiconductor Equipment		10.8
Pharmaceuticals, Biotechnology & Life Sciences		9.4
Media & Entertainment		7.4
Banks		7.3
Capital Goods		6.9
Food, Beverage & Tobacco		4.7
Technology Hardware & Equipment		4.4
Diversified Financials		3.8
Retailing		2.8
Consumer Services		2.2
Household & Personal Products		2.2
Transportation		1.6
Consumer Durables & Apparel		1.0
		100.0	%

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

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

# 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.

44

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Banks — 7.1%
	5,676,732	US Bancorp		283,836,600
	6,704,275	Wells Fargo & Co.		242,493,627
		Total Banks		526,330,227
		Capital Goods — 6.7%
	985,440	3M Co.		172,511,126
	534,705	Knorr-Bremse AG		68,095,933
	1,250,944	Otis Worldwide Corp.		79,697,642
	1,293,224	Safran SA *		176,282,659
		Total Capital Goods		496,587,360
		Consumer Durables & Apparel — 1.0%
	120,049	LVMH Moet Hennessy Louis Vuitton SE		76,065,323
		Consumer Services — 2.2%
	8,031,860	Compass Group Plc *		163,102,668
		Diversified Financials — 3.7%
	1,226,624	American Express Co.		165,913,162
	1,768,465	Charles Schwab Corp. (The)		109,149,660
		Total Diversified Financials		275,062,822
		Food, Beverage & Tobacco — 4.6%
	5,741,890	Coca-Cola Co. (The)		281,295,191
	541,621	Nestle SA (Registered)		56,528,236
		Total Food, Beverage & Tobacco		337,823,427
		Health Care Equipment & Services — 13.5%
	1,083,757	Abbott Laboratories		129,812,413
	655,713	Anthem, Inc.		198,805,625
	1,894,908	Medtronic Plc		221,647,389
	978,332	Quest Diagnostics, Inc.		113,085,396
	989,979	UnitedHealth Group, Inc.		328,890,823
		Total Health Care Equipment & Services		992,241,646
		Household & Personal Products — 2.2%
	2,829,591	Unilever Plc (a)		147,499,111
	209,571	Unilever Plc (a)		10,886,802
		Total Household & Personal Products		158,385,913
		Media & Entertainment — 7.3%
	107,460	Alphabet, Inc. – Class A *		217,274,449
	69,741	Alphabet, Inc. – Class C *		142,052,653
	681,688	Facebook, Inc. – Class A *		175,616,462
		Total Media & Entertainment		534,943,564

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 9.2%
	687,547	Eli Lilly & Co.		140,871,505
	1,481,316	Johnson & Johnson		234,729,333
	1,881,769	Merck & Co., Inc.		136,654,065
	512,607	Roche Holding AG – Genusschein		168,165,230
		Total Pharmaceuticals, Biotechnology & Life Sciences		680,420,133
		Retailing — 2.8%
	3,123,135	TJX Cos, Inc. (The)		206,095,679
		Semiconductors & Semiconductor Equipment — 10.6%
	142,925	KLA Corp.		44,482,548
	419,078	Lam Research Corp.		237,696,851
	13,258,790	Taiwan Semiconductor Manufacturing Co Ltd		289,665,132
	1,210,349	Texas Instruments, Inc.		208,506,822
		Total Semiconductors & Semiconductor Equipment		780,351,353
		Software & Services — 21.4%
	1,085,595	Accenture Plc – Class A		272,375,785
	199,510	Adobe, Inc. *		91,708,762
	3,608,942	Cisco Systems, Inc.		161,933,228
	1,828,851	Microsoft Corp.		424,988,395
	3,916,903	Oracle Corp.		252,679,413
	469,776	salesforce.com, Inc. *		101,706,504
	1,326,911	SAP SE		164,121,220
	510,734	Visa, Inc. – Class A		108,474,794
		Total Software & Services		1,577,988,101
		Technology Hardware & Equipment — 4.3%
	2,627,448	Apple, Inc.		318,604,345
		Transportation — 1.6%
	2,068,369	Lyft, Inc. – Class A *		115,208,153
		TOTAL COMMON STOCKS (COST $4,316,080,190)		7,239,210,714
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,950,587	GMO U.S. Treasury Fund		9,830,961
		TOTAL MUTUAL FUNDS (COST $9,752,901)		9,830,961
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 0.1%
	5,016,314	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		5,016,314

See accompanying notes to the financial statements. 45

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		U.S. Government — 1.8%
	50,000,000	U.S. Treasury Bill, 0.07%, due 12/02/21 (c)		49,973,837
	65,000,000	U.S. Treasury Bill, 0.08%, due 12/30/21 (c)		64,959,016
	15,000,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (c)		14,989,971
		Total U.S. Government		129,922,824
		TOTAL SHORT-TERM INVESTMENTS (COST $134,915,909)		134,939,138
		TOTAL INVESTMENTS — 100.2% (Cost $4,460,749,000)		7,383,980,813
		Other Assets and Liabilities (net) — (0.2%)		(15,075,715	)
		TOTAL NET ASSETS — 100.0%		$7,368,905,098

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) The rate disclosed is the 7 day net yield as of February 28, 2021.

(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 78.

46 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Resources Fund returned +59.36% (net) for the fiscal year ended February 28, 2021, as compared with +24.02% for the MSCI ACWI Commodity Producers Index.

The different segments of the Resources sector had extremely divergent performance throughout the year, and we followed our value discipline to take profits from winning positions and redeploy capital to segments that had become more attractive.

The Fund’s positioning in Energy had a positive impact. Both the overweight to clean energy and underweight to fossil fuels contributed to performance. Stock selection was also strong in this sector. Canadian Solar, Kosmos Energy, and Renewable Energy Group Inc. were among the largest contributors.

The Fund’s overweight to industrial metals provided positive allocation and selection impacts. In particular, the copper exposure contributed, and Freeport-McMoRan Inc. was among the largest contributors.

The Fund’s overweight to agriculture provided positive allocation and selection impacts. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor to performance.

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

48

GMO Resources Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, R6 and I the gross expense ratio of 0.73%, 0.68%, 0.73% and 0.81%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.73%, 0.68%, 0.73% and 0.81% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

49

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.7	%
Preferred Stocks		8.8
Short-Term Investments		0.4
Rights/Warrants		0.0	^
Other		0.1
		100.0	%
Country/Region Summary¤	% of Equity Investments
United States		22.0	%
United Kingdom		13.9
Russia		13.0
Brazil		6.6
Canada		5.5
Other Emerging		5.3	†
Australia		4.8
China		4.5
India		2.9
Mexico		2.8
Norway		2.8
France		2.6
Japan		2.3
Finland		2.0
Other Developed		1.9	‡
Chile		1.8
Austria		1.5
South Africa		1.5
Spain		1.3
Israel		1.0
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		53.4	%
Industrial Metals		33.8
Agriculture		11.3
Water		1.5
Cash/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).

¤ 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%.

50

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 90.7%
		Argentina — 1.0%
	1,195,954	Adecoagro SA *		9,866,620
		Australia — 4.8%
	3,941,938	Beach Energy Ltd (a)		4,978,132
	14,700,000	Clean TeQ Holdings Ltd *		3,300,761
	595,155	Fortescue Metals Group Ltd		10,991,416
	4,770,582	Jupiter Mines Ltd (a)		1,313,675
	464,939	Mineral Resources Ltd		13,547,623
	1,705,962	Perenti Global Ltd		1,502,738
	2,072,077	Sandfire Resources NL Ltd		9,684,850
	379,161	Tassal Group Ltd		988,693
	964,540	Western Areas Ltd (a)		1,910,190
		Total Australia		48,218,078
		Austria — 1.5%
	316,787	OMV AG		15,262,527
		Brazil — 1.2%
	871,700	Enauta Participacoes SA		2,020,517
	385,300	Petroleo Brasileiro SA		1,522,857
	1,343,357	Sao Martinho SA		7,483,603
	138,000	SLC Agricola SA		1,009,107
		Total Brazil		12,036,084
		Canada — 5.5%
	205,700	Canadian Solar Inc * (a)		9,653,501
	273,400	Enerflex Ltd		1,877,665
	439,500	Enerplus Corp		2,127,180
	283,100	Frontera Energy Corp		1,405,934
	1,286,100	Greenlane Renewables Inc * (a)		2,304,187
	3,787,300	Ivanhoe Mines Ltd – Class A * (a)		23,361,861
	10,084,500	Largo Resources Ltd * (a)		14,026,061
		Total Canada		54,756,389
		China — 4.4%
	5,674,000	China High Speed Transmission Equipment Group Co Ltd		5,514,167
	3,696,000	China Water Affairs Group Ltd		2,912,952
	22,662,000	CNOOC Ltd		27,184,530
	259,512	Sungrow Power Supply Co Ltd – Class A		3,474,844
	2,469,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		5,281,472
		Total China		44,367,965
		Denmark — 0.5%
	24,677	Vestas Wind Systems A/S		4,627,553
		Finland — 2.0%
	58,725	Kemira Oyj		949,855

Shares		Description	Value ($)
		Finland — continued
	293,730	Neste Oyj		19,400,896
		Total Finland		20,350,751
		France — 2.6%
	86,063	Suez		1,788,922
	360,756	TOTAL SE		16,822,095
	116,179	Veolia Environnement SA		3,115,498
	58,741	Vilmorin & Cie SA		3,759,047
		Total France		25,485,562
		Germany — 0.7%
	623,011	K+S AG (Registered)		6,970,379
		Hungary — 0.9%
	1,205,803	MOL Hungarian Oil & Gas Plc *		8,662,853
		India — 2.9%
	7,364,086	Oil & Natural Gas Corp Ltd		11,160,105
	1,819,861	Oil India Ltd		3,115,690
	5,366,100	Vedanta Ltd		14,940,128
		Total India		29,215,923
		Israel — 1.0%
	63,085	Equital Ltd *		1,481,068
	457,358	ICL Group Ltd		2,631,042
	25,715	Israel Corp Ltd (The) *		5,766,286
	94,114	Naphtha Israel Petroleum Corp Ltd *		421,573
		Total Israel		10,299,969
		Italy — 0.2%
	673,609	Saipem SPA		1,884,350
		Japan — 2.3%
	160,800	Ebara Corp		6,059,146
	1,260,500	Inpex Corp		9,372,559
	49,200	Japan Petroleum Exploration Co Ltd		1,035,872
	116,000	Mitsubishi Materials Corp		2,748,090
	53,600	Nittetsu Mining Co Ltd		3,378,922
		Total Japan		22,594,589
		Mexico — 2.8%
	5,911,740	Grupo Mexico SAB de CV – Series B		28,025,734
		Norway — 2.8%
	1,057,391	Austevoll Seafood ASA		12,114,837
	3,286,527	DNO ASA *		3,080,928
	510,554	Equinor ASA		9,682,342
	180,507	TGS NOPEC Geophysical Co ASA		2,837,270
		Total Norway		27,715,377

See accompanying notes to the financial statements. 51

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Pakistan — 0.6%
	3,324,222	Fauji Fertilizer Co Ltd		2,328,039
	4,174,147	Oil & Gas Development Co Ltd		2,762,754
	457,975	Pakistan Oilfields Ltd		1,158,295
		Total Pakistan		6,249,088
		Poland — 0.8%
	5,600,374	Polskie Gornictwo Naftowe i Gazownictwo SA		8,335,353
		Russia — 11.2%
	1,423,010	Gazprom Neft PJSC		6,489,950
	391,915	LUKOIL PJSC Sponsored ADR		29,202,142
	676,875	MMC Norilsk Nickel PJSC ADR		21,330,330
	142,646	Novatek PJSC Sponsered GDR (Registered)		24,407,849
	978,051	PhosAgro PJSC GDR (Registered)		17,145,956
	575,419	Ros Agro Plc GDR (Registered)		6,985,964
	826,739	Tatneft PJSC		5,829,745
		Total Russia		111,391,936
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (b)		—
		South Africa — 1.5%
	258,042	African Rainbow Minerals Ltd		5,013,977
	468,300	Sasol Ltd *		5,789,057
	887,040	Sibanye Stillwater Ltd		4,078,445
		Total South Africa		14,881,479
		South Korea — 0.4%
	7,361	Korea Zinc Co Ltd		2,635,568
	2,326	Young Poong Corp *		1,281,560
		Total South Korea		3,917,128
		Spain — 1.3%
	1,054,283	Repsol SA		13,271,104
		Switzerland — 0.5%
	1,962	Gurit Holding AG		4,956,935
		Thailand — 0.6%
	1,638,064	PTT Exploration & Production Pcl (Foreign Registered)		6,113,369
		Turkey — 0.4%
	1,846,744	Koza Anadolu Metal Madencilik Isletmeleri AS *		4,275,790
		Ukraine — 0.6%
	388,867	Kernel Holding SA		5,668,871
		United Kingdom — 13.8%
	261,834	Anglo American Plc		10,159,417
	695,673	BHP Group Plc		22,094,933

Shares		Description	Value ($)
		United Kingdom — continued
	1,054,467	BP Plc		4,318,594
	1,173,251	Central Asia Metals Plc		3,941,862
	1,840,873	Ferrexpo Plc		8,633,288
	8,117,986	Glencore Plc *		33,036,934
	1,193,830	John Wood Group Plc *		5,018,535
	837,458	Petrofac Ltd * (a)		1,524,345
	2,393,549	Royal Dutch Shell Plc – A Shares		48,958,800
		Total United Kingdom		137,686,708
		United States — 21.9%
	104,600	AGCO Corp.		13,543,608
	36,000	Ameresco, Inc. – Class A *		2,056,320
	207,900	Baker Hughes Co.		5,089,392
	134,000	Clean Energy Fuels Corp. *		1,747,360
	417,800	Darling Ingredients, Inc. *		26,338,112
	15,800	Deere & Co.		5,516,096
	25,100	Enphase Energy, Inc. *		4,419,106
	53,200	First Solar, Inc. *		4,310,264
	626,582	Freeport-McMoRan, Inc. *		21,247,395
	111,700	FutureFuel Corp.		1,639,756
	1,021,924	GrafTech International Ltd.		12,089,361
	17,065,100	Kosmos Energy Ltd.		52,560,508
	153,100	Liberty Oilfield Services, Inc. – Class A		1,789,739
	225,600	Livent Corp. *(a)		4,200,672
	187,800	Montauk Renewables, Inc. *		2,403,840
	359,707	Mosaic Co. (The)		10,575,386
	364,100	NexTier Oilfield Solutions, Inc. *		1,693,065
	391,700	ProPetro Holding Corp. *		4,492,799
	237,030	Renewable Energy Group, Inc. *		18,433,823
	61,255	SolarEdge Technologies, Inc. *		18,272,979
	64,400	Sunrun, Inc. *		4,030,152
	191,300	Talos Energy, Inc. *		2,025,867
		Total United States		218,475,600
		TOTAL COMMON STOCKS (COST $662,847,580)		905,564,064
		PREFERRED STOCKS (c) — 8.8%
		Brazil — 5.3%
	4,295,460	Bradespar SA		48,180,404
	1,255,300	Petroleo Brasileiro SA		4,981,598
		Total Brazil		53,162,002
		Chile — 1.7%
	326,512	Sociedad Quimica y Minera de Chile SA Sponsored ADR		17,501,043
		Russia — 1.8%
	74,885	Bashneft PJSC		1,156,496
	5,747,484	Surgutneftegas PJSC		3,029,994

52 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Russia — continued
	2,048,820	Tatneft PJSC		13,547,229
		Total Russia		17,733,719
		TOTAL PREFERRED STOCKS (COST $64,175,877)		88,396,764
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd Expires * (a) (b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.0%
	202,205	State Street Institutional Treasury Money Market Fund – Premier Class,0.01% (d)		202,205
		Total Money Market Funds		202,205
		U.S. Government — 0.4%
	3,800,000	U.S. Treasury Bill, 0.07%, due 01/27/22 (e)		3,797,459
		Total U.S. Government		3,797,459
		TOTAL SHORT-TERM INVESTMENTS (COST $4,000,453)		3,999,664
		TOTAL INVESTMENTS — 99.9% (Cost $731,023,910)		997,960,492
		Other Assets and Liabilities (net) — 0.1%		855,766
		TOTAL NET ASSETS — 100.0%		$998,816,258

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

(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 78.

See accompanying notes to the financial statements. 53

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO Tax-Managed International Equities Fund returned +20.53% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the MSCI EAFE Index.

The environment continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 12.0% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the fiscal year ended February 28, 2021. While valuation-oriented models faced headwinds, growth-oriented models and signals, which captured sentiment from other asset classes, helped performance.

Areas of notable positive stock selection included Australia, Materials, and Utilities. Top contributors included overweight positioning in Fortescue Metals (Australia Materials), Tokyo Electron (Japan Information Technology), Kia Motors (Korea Consumer Discretionary), Rio Tinto (Australia Materials), and Dialog Semiconductor (Germany Information Technology). Underweight positioning toward Financials, Real Estate, and Energy also added value.

Challenging areas for stock selection included Emerging Markets, the Netherlands, the U.K., Consumer Discretionary, Health Care, and Industrials. Top detractors included overweight positioning in Banco do Brasil (Brazil Financials), International Consolidated Airlines (U.K. Industrials), Barratt Developments (U.K. Consumer Discretionary), and British American Tobacco (U.K. Consumer Staples).

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

54

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

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

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

the MSCI EAFE Index (After Tax)

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

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

For Class III the gross expense ratio of 1.34% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.80% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

55

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Short-Term Investments		2.0
Preferred Stocks		1.0
Futures Contracts		0.0	^
Mutual Funds		0.0	^
Other		(0.1	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		21.4	%
United Kingdom		13.8
Netherlands		8.2
France		7.4
Germany		7.2
Australia		5.6
Switzerland		5.4
Spain		4.9
Singapore		4.1
Portugal		2.8
Other Developed		2.5	‡
Italy		2.3
China		2.3
South Korea		2.2
Ireland		2.1
Other Emerging		2.0	†
Hong Kong		1.7
Turkey		1.6
Russia		1.4
Euro Region		1.1	§
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		12.1	%
Materials		10.5
Capital Goods		10.5
Pharmaceuticals, Biotechnology & Life Sciences		9.7
Food, Beverage & Tobacco		6.6
Consumer Durables & Apparel		6.4
Utilities		5.6
Retailing		5.4
Automobiles & Components		5.3
Semiconductors & Semiconductor Equipment		5.3
Telecommunication Services		4.6
Diversified Financials		3.1
Technology Hardware & Equipment		3.1
Food & Staples Retailing		2.4
Software & Services		2.0
Insurance		1.9
Energy		1.4
Commercial & Professional Services		1.3
Transportation		0.9
Household & Personal Products		0.7
Health Care Equipment & Services		0.5
Media & Entertainment		0.4
Consumer Services		0.2
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.

† “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.

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

^ Rounds to 0.0%.

56

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Australia — 5.6%
	6,116	Accent Group Ltd		10,217
	633	Australian Pharmaceutical Industries Ltd		542
	52,571	Fortescue Metals Group Ltd		970,889
	3,342	JB Hi-Fi Ltd		112,125
	10,953	Rio Tinto Ltd		1,074,708
		Total Australia		2,168,481
		Belgium — 0.9%
	197	Ageas SA/NV		11,042
	39	Sofina SA		12,891
	3,394	UCB SA		336,537
		Total Belgium		360,470
		Brazil — 0.4%
	24,800	Banco do Brasil SA *		124,128
	2,000	Cia de Saneamento do Parana *		7,063
	5,200	Marfrig Global Foods SA *		12,897
	3,600	Qualicorp Consultoria e Corretora de Seguros SA		20,293
		Total Brazil		164,381
		China — 2.3%
	149,000	Bank of Communications Co Ltd – Class H		84,107
	95,000	China Everbright Bank Co Ltd – Class H		41,113
	94,000	China Hongqiao Group Ltd		116,527
	90,000	China Lesso Group Holdings Ltd		166,200
	54,000	China Medical System Holdings Ltd		84,353
	34,000	China National Building Material Co Ltd – Class H		51,438
	216,000	China Railway Group Ltd – Class H		114,067
	24,000	China Resources Pharmaceutical Group Ltd		15,301
	3,000	China SCE Group Holdings Ltd		1,241
	12,000	Chongqing Rural Commercial Bank Co Ltd – Class H		5,289
	11,000	PAX Global Technology Ltd		10,110
	80,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		147,104
	24,000	TCL Electronics Holdings Ltd *		19,534
	10,000	Tianneng Power International Ltd		19,321
		Total China		875,705
		Denmark — 0.1%
	2,720	Scandinavian Tobacco Group A/S		50,491
		Finland — 0.1%
	826	Kesko Oyj – B Shares		21,017
		France — 7.3%
	630	APERAM SA		26,406
	600	ArcelorMittal SA *		14,011
	12,818	BNP Paribas SA *		761,997
	87	Christian Dior SE		48,321

Shares		Description	Value ($)
		France — continued
	5,303	Cie de Saint-Gobain *		285,176
	14,397	Credit Agricole SA *		201,723
	1,112	Eiffage SA *		114,297
	30	Faurecia SE *		1,552
	246	Fnac Darty SA *		14,925
	432	Kaufman & Broad SA		19,078
	293	L’Oreal SA		106,930
	309	La Francaise des Jeux SAEM		13,948
	196	Legrand SA		17,040
	555	Nexans SA *		43,132
	1,207	Quadient SA		27,487
	1,066	Renault SA *		47,870
	770	Rexel SA *		14,423
	3,579	Sanofi		328,447
	2,562	Schneider Electric SE		378,854
	410	SEB SA		73,651
	10,266	Societe Generale SA *		254,046
	1,220	Television Francaise 1 *		10,624
	769	TOTAL SE		35,859
	361	Valeo SA		12,758
		Total France		2,852,555
		Germany — 6.3%
	276	AIXTRON SE *		6,271
	362	BASF SE		29,616
	889	Bayerische Motoren Werke AG		76,817
	383	Bechtle AG		72,121
	470	Brenntag SE		36,419
	10,099	Daimler AG (Registered)		809,589
	6,091	Dialog Semiconductor Plc *		473,471
	316	DWS Group GmbH & Co KGaA		13,168
	356	Elmos Semiconductor SE		14,245
	2,493	HeidelbergCement AG		197,179
	476	Henkel AG & Co KGaA		42,159
	295	Hornbach Holding AG & Co KGaA		27,841
	959	Merck KGaA		155,903
	2,095	Siemens AG (Registered)		324,225
	13	Software AG		578
	401	Traton SE		11,170
	631	Volkswagen AG		147,685
		Total Germany		2,438,457
		Hong Kong — 1.7%
	11,200	Dah Sing Banking Group Ltd		12,282
	88,000	IGG Inc		131,278
	6,000	Johnson Electric Holdings Ltd		17,315
	12,000	Kerry Logistics Network Ltd		34,942
	1,200	VTech Holdings Ltd		10,056
	507,000	WH Group Ltd		454,733
		Total Hong Kong		660,606

See accompanying notes to the financial statements. 57

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Hungary — 0.2%
	3,883	Magyar Telekom Telecommunications Plc		5,264
	2,515	Richter Gedeon Nyrt		71,547
		Total Hungary		76,811
		India — 0.4%
	22,451	Power Finance Corp Ltd *		37,942
	1,169	Rajesh Exports Ltd		8,099
	56,184	REC Ltd		103,448
		Total India		149,489
		Ireland — 2.1%
	6,765	CRH Plc		293,784
	4,060	CRH Plc Sponsored ADR		175,920
	432	Kerry Group Plc – Class A		51,979
	110	Kingspan Group Plc *		7,979
	5,872	Smurfit Kappa Group Plc (a)		276,772
	521	Smurfit Kappa Group Plc (a)		24,763
		Total Ireland		831,197
		Italy — 2.3%
	3,466	Arnoldo Mondadori Editore SPA *		6,535
	1,103	De’ Longhi SPA		40,757
	23,773	Enel SPA		224,153
	6,372	EXOR NV		510,772
	28,096	Intesa Sanpaolo SPA *		72,236
	5,940	Unipol Gruppo SPA *		30,795
		Total Italy		885,248
		Japan — 21.2%
	1,100	Asahi Kasei Corp		11,934
	42,100	Astellas Pharma Inc		665,650
	2,000	Bandai Namco Holdings Inc		152,984
	6,100	Brother Industries Ltd		120,870
	4,300	Chugai Pharmaceutical Co Ltd		193,049
	1,100	Daiwabo Holdings Co Ltd		82,294
	600	Dip Corp		16,474
	700	Fuji Corp		16,552
	2,800	FUJIFILM Holdings Corp		160,105
	2,700	Fujitsu General Ltd		73,237
	4,000	Fujitsu Ltd		580,313
	6,600	Haseko Corp		82,087
	6,900	Hitachi Ltd		318,247
	29,900	ITOCHU Corp		893,053
	4,200	Japan Post Insurance Co Ltd		86,361
	5,200	Japan Tobacco Inc		94,154
	4,300	K’s Holdings Corp		57,679
	1,000	Kajima Corp		12,834
	29,100	KDDI Corp		907,148
	1,400	Kohnan Shoji Co Ltd		38,184
	800	Komeri Co Ltd		21,567

Shares		Description	Value ($)
		Japan — continued
	2,100	Marubeni Corp		15,733
	1,000	MCJ Co Ltd		8,558
	2,300	Mitsubishi Chemical Holdings Corp		16,084
	2,500	Mitsubishi Gas Chemical Co Inc		58,557
	87,200	Mitsubishi UFJ Financial Group Inc		458,645
	1,700	Mitsui & Co Ltd		36,404
	500	Mitsui Chemicals Inc		15,489
	100	Murata Manufacturing Co Ltd		8,572
	3,900	NEC Networks & System Integration Corp		64,803
	1,000	Nichias Corp		23,464
	33,200	Nippon Telegraph & Telephone Corp		860,048
	700	Nitto Denko Corp		60,086
	4,800	Obayashi Corp		41,437
	900	Panasonic Corp		11,635
	1,100	Sekisui Chemical Co Ltd		19,713
	100	Shimamura Co Ltd		9,993
	400	Shinko Electric Industries Co Ltd		10,800
	18,800	Sojitz Corp		49,733
	5,500	Sony Corp		580,806
	2,600	Sumitomo Mitsui Financial Group Inc		91,794
	400	Sushiro Global Holdings Ltd		15,001
	600	TDK Corp		86,408
	2,200	Tokyo Electron Ltd		917,437
	8,800	Tosoh Corp		161,769
	100	Toyo Suisan Kaisha Ltd		4,257
	700	Toyota Tsusho Corp		29,527
	2,000	Ushio Inc		25,036
	1,300	Wacom Co Ltd		9,446
		Total Japan		8,276,011
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (b)		—
		Netherlands — 8.1%
	715	Aalberts NV		33,389
	839	ABN AMRO Bank NV CVA *		9,647
	1,600	ASM International NV		431,559
	2,399	ASR Nederland NV		100,231
	639	Heineken Holding NV		55,017
	29,245	ING Groep NV		320,312
	28,564	Koninklijke Ahold Delhaize NV		754,225
	1,242	NN Group NV		57,348
	23,795	PostNL NV *		101,156
	5,902	Randstad NV *		394,715
	10,654	Signify NV *		464,246
	19,444	Stellantis NV *		314,929
	2,754	TomTom NV *		25,847
	1,177	Wolters Kluwer NV		93,300
		Total Netherlands		3,155,921

58 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Norway — 0.7%
	10,797	Aker Solutions ASA *		16,411
	3,525	BW LPG Ltd		20,929
	5,880	Norsk Hydro ASA		32,553
	19,143	Orkla ASA		176,319
	1,503	SpareBank 1 Nord Norge		13,319
	2,652	SpareBank 1 SR-Bank ASA *		30,543
		Total Norway		290,074
		Poland — 0.1%
	233	Asseco Poland SA		4,135
	1,891	Polski Koncern Naftowy ORLEN SA		29,664
	15,098	Polskie Gornictwo Naftowe i Gazownictwo SA		22,471
		Total Poland		56,270
		Portugal — 2.8%
	71,703	Banco Comercial Portugues SA – Class R *		10,099
	6,605	EDP Renovaveis SA		144,090
	135,560	EDP – Energias de Portugal SA		776,990
	9,000	Jeronimo Martins SGPS SA		139,298
		Total Portugal		1,070,477
		Russia — 1.4%
	23,152	Gazprom PJSC Sponsored ADR		133,917
	705,000	Inter RAO UES PJSC		48,447
	1,529	LUKOIL PJSC		114,587
	1,819	LUKOIL PJSC Sponsored ADR		135,536
	399,000	ROSSETI PJSC		9,107
	5,368	Sberbank of Russia PJSC Sponsored ADR		78,115
	9,800	Surgutneftegas PJSC		4,278
		Total Russia		523,987
		Singapore — 4.1%
	17,700	AEM Holdings Ltd		52,905
	2,800	CapitaLand Ltd		6,629
	36,899	DBS Group Holdings Ltd		731,139
	6,000	Jardine Cycle & Carriage Ltd		94,264
	200	Mapletree Industrial Trust (REIT)		397
	20,500	Oversea-Chinese Banking Corp Ltd		167,708
	7,900	Sembcorp Industries Ltd		10,195
	11,700	Venture Corp Ltd		166,958
	55,500	Wilmar International Ltd		218,509
	155,600	Yangzijiang Shipbuilding Holdings Ltd		124,238
	16,000	Yanlord Land Group Ltd		13,737
		Total Singapore		1,586,679
		South Africa — 0.1%
	2,613	Aspen Pharmacare Holdings Ltd *		24,569
	11,423	Netcare Ltd *		10,329
		Total South Africa		34,898

Shares		Description	Value ($)
		South Korea — 2.2%
	419	DoubleUGames Co Ltd		20,580
	10,612	Hana Financial Group Inc		348,568
	5,380	Kia Motors Corp		379,334
	293	Sebang Global Battery Co Ltd		23,484
	2,117	Shinhan Financial Group Co Ltd *		61,620
	575	Yuhan Corp		31,686
		Total South Korea		865,272
		Spain — 4.8%
	2,262	Acerinox SA		26,220
	1,460	ACS Actividades de Construccion y Servicios SA		44,609
	1,056	Aena SME SA *		179,103
	22,204	Banco Bilbao Vizcaya Argentaria SA		123,474
	22,481	Banco de Sabadell SA		11,218
	41,145	Banco Santander SA *		143,065
	1,900	Bankinter SA		12,523
	7,463	Endesa SA		184,413
	55,854	Iberdrola SA		699,957
	13,370	Industria de Diseno Textil SA		440,852
	9	Red Electrica Corp SA		150
	229	Viscofan SA		16,094
		Total Spain		1,881,678
		Sweden — 0.6%
	1,355	Betsson AB *		11,064
	911	Mycronic AB		22,881
	1,530	Skanska AB – B Shares		37,022
	1,541	Swedish Match AB		110,603
	2,393	Volvo AB – A Shares *		61,470
	4	Volvo AB – B Shares *		103
		Total Sweden		243,143
		Switzerland — 5.4%
	3,412	ABB Ltd (Registered)		98,230
	160	ALSO Holding AG (Registered) *		43,432
	363	Logitech International SA (Registered)		38,592
	176	Nestle SA (Registered)		18,369
	6,501	Novartis AG (Registered)		559,908
	207	Roche Holding AG		69,223
	3,622	Roche Holding AG – Genusschein		1,188,229
	3,380	UBS Group AG (Registered)		52,587
	165	Vetropack Holding AG (Registered) *		10,364
	155	Wizz Air Holdings Plc *		11,497
		Total Switzerland		2,090,431
		Taiwan — 0.6%
	10,000	Hon Hai Precision Industry Co Ltd		40,173
	77,000	Pou Chen Corp		83,443
	27,000	Radiant Opto-Electronics Corp		115,738

See accompanying notes to the financial statements. 59

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — continued
	5,302	TOPBI International Holdings Ltd		2,545
		Total Taiwan		241,899
		Thailand — 0.0%
	52,700	AP Thailand Pcl NVDR		12,678
		Turkey — 1.6%
	61,796	Eregli Demir ve Celik Fabrikalari TAS		121,884
	27,934	Haci Omer Sabanci Holding AS		39,570
	5,612	Selcuk Ecza Deposu Ticaret ve Sanayi AS		8,613
	330	TAV Havalimanlari Holding AS		1,110
	1,488	Turk Telekomunikasyon AS		1,559
	199,920	Turkiye Garanti Bankasi AS *		241,144
	130,228	Turkiye Is Bankasi AS – Class C *		100,611
	52,733	Turkiye Sinai Kalkinma Bankasi AS *		11,730
	1,982	Turkiye Sise ve Cam Fabrikalari AS		1,908
	228,580	Yapi ve Kredi Bankasi AS *		81,679
		Total Turkey		609,808
		United Kingdom — 13.7%
	17,030	3i Group Plc		264,374
	2,609	Anglo American Plc		101,232
	2,775	Antofagasta Plc		69,258
	16,382	Aviva Plc		82,998
	7,071	B&M European Value Retail SA		54,090
	35,704	BAE Systems Plc		241,682
	45,185	Barratt Developments Plc *		419,920
	1,908	Bellway Plc		74,786
	3,984	Berkeley Group Holdings Plc (The)		225,722
	9,844	British American Tobacco Plc		341,834
	16,100	British American Tobacco Plc Sponsored ADR		564,466
	370	Bunzl Plc		11,552
	2,970	Coca-Cola HBC AG*		93,135
	1,089	Computacenter Plc		31,747
	443	Cranswick Plc		21,093
	4,124	Dunelm Group Plc *		72,443
	5,739	Electrocomponents Plc		77,859
	4,255	Ferguson Plc		503,413
	16,208	Ferrexpo Plc		76,012
	735	Fresnillo Plc		9,282
	5,217	Howden Joinery Group Plc *		50,765
	5,642	IG Group Holdings Plc		61,539
	654	IMI Plc		11,994
	2,037	Imperial Brands Plc		37,955
	11,280	Inchcape Plc *		111,871
	7,940	JD Sports Fashion Plc *		92,287
	6,108	John Laing Group Plc		25,746
	58,182	Kingfisher Plc *		215,649
	95,214	Legal & General Group Plc		346,216
	610	Morgan Sindall Group Plc		14,092

Shares		Description	Value ($)
		United Kingdom — continued
	1,844	Next Plc *		195,325
	1,774	OSB Group Plc *		10,964
	13,118	Persimmon Plc		475,335
	81	Phoenix Group Holdings Plc		804
	4,503	Plus500 Ltd		86,258
	11,898	QinetiQ Group Plc		49,545
	6,954	Spirent Communications Plc		22,844
	19,783	Tate & Lyle Plc		200,857
		Total United Kingdom		5,346,944
		TOTAL COMMON STOCKS (COST $27,353,611)		37,821,078
		PREFERRED STOCKS (c) — 1.0%
		Brazil — 0.1%
	2,000	Cia Paranaense de Energia – Class B		20,906
		Germany — 0.8%
	458	Bayerische Motoren Werke AG		31,016
	186	Draegerwerk AG & Co KGaA		14,182
	1,305	Henkel AG & Co KGaA		128,520
	222	Jungheinrich AG		9,594
	689	Volkswagen AG		144,153
		Total Germany		327,465
		Russia — 0.1%
	43,100	Surgutneftegas PJSC		22,721
		TOTAL PREFERRED STOCKS (COST $316,512)		371,092
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	1,025	GMO U.S. Treasury Fund		5,165
		TOTAL MUTUAL FUNDS (COST $5,123)		5,165
		SHORT-TERM INVESTMENTS — 2.0%
		Money Market Funds — 2.0%
	791,693	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		791,693
		TOTAL SHORT-TERM INVESTMENTS (COST $791,693)		791,693
		TOTAL INVESTMENTS — 100.1% (Cost $28,466,939)		38,989,028
		Other Assets and Liabilities (net) — (0.1%)		(29,468	)
		TOTAL NET ASSETS — 100.0%		$38,959,560

60 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
4	MSCI EAFE		March 2021	$	432,800	$	7,519

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2021, 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) Securities are traded on separate exchanges for the same entity.

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

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 61

GMO U.S. Equity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the S&P Composite 1500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Fund returned +33.74% (net) for the fiscal year ended February 28, 2021, as compared with +32.19% for the S&P Composite 1500 Index. As of April 1, 2020, the Fund’s benchmark was changed from the Russell 3000 Index to the S&P Composite 1500 Index, which GMO believes to be a better representation of the Fund’s strategy. Over the year ended February 28, 2021 the Russell 3000 Index returned +35.33%.

The Fund outperformed the S&P Composite 1500 Index despite an environment which continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 18.8% underperformance of the S&P 1500 Composite Value Index when compared to the S&P 1500 Composite Growth Index for the year ended February 28, 2021. While valuation-oriented models posted modest outperformance, growth-oriented models were key to the Fund’s value added.

Stock selection detracted from relative performance, while sector allocation was additive over the period. These performance themes were broadly similar whether the Fund was compared to the S&P Composite 1500 Index or the Russell 3000 Index. However, stock selection was more challenging relative to the Russell 3000 Index. The largest difference was driven by Tesla, which was the largest detractor relative to the Russell 3000 Index after having been included in the index for the full fiscal year. In contrast, Tesla’s performance was relatively flat from the time of its S&P inclusion to the end of the fiscal year and had little impact on performance relative the S&P Composite 1500 Index.

Sector allocation added value from both overweight and underweight positioning. Underweights which added value included Utilities, Real Estate, Energy, and Financials. Overweights toward Information Technology and Consumer Discretionary also made positive contributions toward benchmark relative performance.

Top detractors included a mix of companies held underweight and overweight. Underweight positions among the top detractors included Apple (Information Technology), Amazon (Consumer Discretionary), and PayPal (Information Technology). Overweight positioning toward attractively valued names including PepsiCo (Consumer Staples) and Biogen (Health Care) also detracted from relative performance.

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

62

GMO U.S. Equity Fund

(A Series of GMO Trust)

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

GMO U.S. Equity Fund Class III Shares, the S&P Composite 1500 Index and the Russell 3000 Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

As of April 1, 2020, the U.S. Equity Fund changed its benchmark so that the Fund now seeks to generate high total return in excess of that of the S&P 1500 Index. The Fund formerly sought to outperform the Russell 3000 Index.

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

For Class III and VI the gross expense ratio of 0.49% and 0.40%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding Net Expense Ratio of 0.46% and 0.37% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

63

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.0	%
Mutual Funds		0.8
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		10.7	%
Retailing		10.7
Technology Hardware & Equipment		10.2
Capital Goods		9.8
Pharmaceuticals, Biotechnology & Life Sciences		7.1
Media & Entertainment		6.9
Banks		6.5
Semiconductors & Semiconductor Equipment		6.3
Materials		5.9
Diversified Financials		4.8
Consumer Durables & Apparel		4.5
Insurance		2.9
Health Care Equipment & Services		2.9
Food, Beverage & Tobacco		2.8
Energy		2.5
Commercial & Professional Services		1.4
Food & Staples Retailing		1.0
Automobiles & Components		1.0
Household & Personal Products		0.7
Telecommunication Services		0.7
Consumer Services		0.4
Real Estate		0.2
Transportation		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%.

64

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 99.0%
		Automobiles & Components — 0.9%
	4,463	Autoliv, Inc.		401,670
	24,882	BorgWarner, Inc.		1,119,690
	5,577	Cooper Tire & Rubber Co.		319,228
	13,214	Dana, Inc.		314,625
	5,921	Lear Corp.		983,419
	4,033	Standard Motor Products, Inc.		169,426
		Total Automobiles & Components		3,308,058
		Banks — 6.4%
	28,192	Associated Banc-Corp.		568,069
	45,341	Citizens Financial Group, Inc.		1,969,613
	3,518	Comerica, Inc.		239,576
	10,951	East West Bancorp, Inc.		790,224
	22,394	Eastern Bankshares, Inc. *		394,358
	52,348	Fifth Third Bancorp		1,815,952
	18,533	First Horizon Corp.		300,235
	5,749	Flagstar Bancorp, Inc.		249,449
	10,500	Fulton Financial Corp.		162,225
	11,498	Hilltop Holdings, Inc.		379,894
	48,735	Huntington Bancshares, Inc.		747,595
	35,339	JPMorgan Chase & Co.		5,200,841
	11,669	KeyCorp.		235,014
	4,760	M&T Bank Corp.		718,474
	29,172	MGIC Investment Corp.		355,315
	5,063	PennyMac Financial Services, Inc.		299,780
	11,412	PNC Financial Services Group, Inc. (The)		1,921,324
	3,776	Popular, Inc.		252,312
	52,596	Regions Financial Corp.		1,085,055
	2,231	Signature Bank/New York NY		487,117
	1,287	SVB Financial Group *		650,398
	4,800	Trustmark Corp.		144,768
	2,000	UMB Financial Corp.		168,740
	51,395	US Bancorp		2,569,750
	3,518	Walker & Dunlop, Inc.		350,604
	5,518	Wintrust Financial Corp.		406,456
		Total Banks		22,463,138
		Capital Goods — 9.7%
	1,974	3M Co.		345,568
	12,580	A O Smith Corp.		746,875
	9,353	AGCO Corp.		1,211,026
	11,240	Allison Transmission Holdings, Inc.		426,221
	13,042	API Group Corp. *		241,277
	5,047	Boise Cascade Co.		252,047
	22,459	Builders FirstSource, Inc. *		971,689
	1,802	Carlisle Cos, Inc.		261,741
	82,053	Carrier Global Corp.		2,997,396
	5,406	Crane Co.		453,347

Shares		Description	Value ($)
		Capital Goods — continued
	12,406	Cummins, Inc.		3,141,199
	5,835	Curtiss-Wright Corp.		644,709
	2,700	Deere & Co.		942,624
	18,962	Eaton Corp Plc		2,468,663
	8,050	EMCOR Group, Inc.		783,828
	3,020	Emerson Electric Co.		259,418
	8,404	Federal Signal Corp.		305,990
	13,643	Fortive Corp.		897,982
	3,947	Generac Holdings, Inc. *		1,300,773
	3,261	Gibraltar Industries, Inc. *		284,848
	11,583	Masco Corp.		616,447
	5,488	Moog, Inc. – Class A		426,198
	10,983	Mueller Industries, Inc.		446,349
	8,864	Oshkosh Corp.		939,584
	11,581	Owens Corning		938,293
	24,282	PACCAR, Inc.		2,209,419
	6,178	Parker-Hannifin Corp.		1,772,839
	10,039	Resideo Technologies, Inc. *		241,137
	5,063	Stanley Black & Decker, Inc.		885,215
	1,094	Teledyne Technologies, Inc. *		405,874
	29,917	Textron, Inc.		1,506,022
	7,361	Timken Co. (The)		576,734
	2,403	Toro Co. (The)		242,150
	11,048	Trane Technologies Plc		1,692,996
	31,836	UFP Industries, Inc.		1,941,996
	515	WW Grainger, Inc.		191,946
		Total Capital Goods		33,970,420
		Commercial & Professional Services — 1.4%
	9,095	Booz Allen Hamilton Holding Corp.		701,588
	10,304	Brady Corp. – Class A		540,033
	1,116	CACI International, Inc. – Class A *		247,015
	14,243	CBIZ, Inc. *		429,426
	2,746	Cimpress Plc *		272,074
	8,323	CoreLogic Inc/United States		704,625
	11,759	Herman Miller, Inc.		451,017
	16,128	HNI Corp.		573,996
	3,800	Kforce, Inc.		195,130
	6,607	ManpowerGroup, Inc.		623,965
	15,444	Steelcase, Inc. – Class A		215,289
		Total Commercial & Professional Services		4,954,158
		Consumer Durables & Apparel — 4.5%
	2,574	Deckers Outdoor Corp. *		839,407
	25,226	DR Horton, Inc.		1,939,123
	9,800	Ethan Allen Interiors, Inc.		251,076
	28,141	Garmin Ltd.		3,490,047
	1,802	Helen of Troy Ltd. *		390,674
	28,981	La-Z-Boy, Inc.		1,234,880
	4,634	Leggett & Platt, Inc.		200,513

See accompanying notes to the financial statements. 65

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	19,971	MDC Holdings, Inc.		1,129,759
	4,805	Mohawk Industries, Inc. *		840,827
	164	NVR, Inc. *		738,138
	9,095	Polaris, Inc.		1,071,027
	43,230	PulteGroup, Inc.		1,950,105
	1,819	Ralph Lauren Corp.		212,969
	16,817	Tempur Sealy International, Inc.		561,856
	51,052	TRI Pointe Group, Inc. *		969,988
		Total Consumer Durables & Apparel		15,820,389
		Consumer Services — 0.4%
	900	Graham Holdings Co. – Class B		540,747
	31,832	H&R Block, Inc.		612,130
	17,675	Perdoceo Education Corp. *		227,477
		Total Consumer Services		1,380,354
		Diversified Financials — 4.8%
	33,307	Ally Financial, Inc.		1,382,240
	7,637	American Express Co.		1,032,981
	4,046	Ameriprise Financial, Inc.		895,137
	6,693	Artisan Partners Asset Management, Inc. – Class A		317,917
	38,610	Bank of New York Mellon Corp. (The)		1,627,798
	6,350	Capital One Financial Corp.		763,206
	13,986	Discover Financial Services		1,315,663
	6,500	Donnelley Financial Solutions, Inc. *		168,935
	9,009	Eaton Vance Corp.		658,288
	27,443	Enova International, Inc. *		842,500
	32,511	Federated Hermes, Inc.		868,694
	2,660	Nasdaq, Inc.		367,851
	6,178	OneMain Holdings, Inc.		289,810
	3,347	PROG Holdings, Inc.		167,350
	14,480	Raymond James Financial, Inc.		1,690,395
	8,600	Santander Consumer USA Holdings, Inc.		215,000
	12,613	SEI Investments Co.		706,328
	44,187	SLM Corp.		697,713
	22,223	State Street Corp.		1,617,168
	30,803	Synchrony Financial		1,191,460
		Total Diversified Financials		16,816,434
		Energy — 2.4%
	70,316	CNX Resources Corp. *		886,685
	8,600	Denbury, Inc. *		367,650
	83,859	Exxon Mobil Corp.		4,559,414
	23,170	Phillips 66		1,924,268
	26,219	World Fuel Services Corp.		814,887
		Total Energy		8,552,904
		Food & Staples Retailing — 1.0%
	1,287	Costco Wholesale Corp.		425,997
	87,945	Kroger Co. (The)		2,832,709

Shares		Description	Value ($)
		Food & Staples Retailing — continued
	10,640	Sprouts Farmers Market, Inc. *		224,610
		Total Food & Staples Retailing		3,483,316
		Food, Beverage & Tobacco — 2.8%
	5,663	Archer-Daniels-Midland Co.		320,413
	28,229	General Mills, Inc.		1,552,877
	14,329	Mondelez International, Inc. – Class A		761,730
	52,253	PepsiCo, Inc.		6,750,565
	10,165	Universal Corp.		516,585
		Total Food, Beverage & Tobacco		9,902,170
		Health Care Equipment & Services — 2.9%
	12,441	AmerisourceBergen Corp.		1,259,278
	19,198	Cardinal Health, Inc.		989,081
	15,273	Edwards Lifesciences Corp. *		1,269,186
	8,237	HCA Healthcare, Inc.		1,417,011
	1,888	Laboratory Corp. of America Holdings *		452,950
	15,481	McKesson Corp.		2,624,339
	14,157	Medtronic Plc		1,655,944
	5,835	Owens & Minor, Inc.		198,449
	1,716	Quest Diagnostics, Inc.		198,353
		Total Health Care Equipment & Services		10,064,591
		Household & Personal Products — 0.7%
	5,234	Clorox Co. (The)		947,616
	18,018	Colgate-Palmolive Co.		1,354,953
	4,548	Nu Skin Enterprises, Inc. – Class A		232,767
		Total Household & Personal Products		2,535,336
		Insurance — 2.9%
	37,996	Aflac, Inc.		1,819,628
	26,686	Allstate Corp. (The)		2,844,728
	4,700	CNA Financial Corp.		199,938
	28,222	Fidelity National Financial, Inc.		1,080,338
	13,715	First American Financial Corp.		720,586
	3,347	Hanover Insurance Group, Inc. (The)		386,077
	10,125	Old Republic International Corp.		195,716
	8,409	Principal Financial Group, Inc.		475,781
	22,744	Progressive Corp. (The)		1,954,847
	9,163	Stewart Information Services Corp.		432,494
		Total Insurance		10,110,133
		Materials — 5.8%
	60,404	Amcor Plc		660,820
	2,359	AptarGroup, Inc.		306,835
	12,853	Arconic Corp. *		281,738
	2,574	Ashland Global Holdings, Inc.		216,525
	7,893	Avery Dennison Corp.		1,382,932
	11,669	Avient Corp.		504,334
	9,953	Berry Global Group, Inc. *		551,396

66 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Materials — continued
	7,894	Commercial Metals Co.		198,534
	11,326	Corteva, Inc.		511,369
	6,607	Crown Holdings, Inc. *		631,365
	7,000	Domtar Corp.		259,350
	14,072	Eastman Chemical Co.		1,537,507
	11,093	FMC Corp.		1,128,047
	4,033	HB Fuller Co.		226,130
	6,864	International Paper Co.		340,798
	17,657	LyondellBasell Industries NV – Class A		1,820,260
	1,373	NewMarket Corp.		520,339
	20,759	Nucor Corp.		1,241,803
	19,556	Pactiv Evergreen, Inc.		273,393
	9,696	Reliance Steel & Aluminum Co.		1,281,811
	3,932	Scotts Miracle-Gro Co. (The)		838,106
	10,983	Sealed Air Corp.		460,188
	3,175	Sensient Technologies Corp.		247,174
	2,145	Sherwin-Williams Co. (The)		1,459,329
	28,348	Silgan Holdings, Inc.		1,064,751
	16,646	Steel Dynamics, Inc.		692,141
	2,574	Stepan Co.		310,656
	32,261	Valvoline, Inc.		805,235
	14,501	Westrock Co.		632,099
		Total Materials		20,384,965
		Media & Entertainment — 6.8%
	54,827	Activision Blizzard, Inc.		5,242,009
	400	Alphabet, Inc. – Class A *		808,764
	1,373	Alphabet, Inc. – Class C *		2,796,609
	75,333	Comcast Corp. – Class A		3,971,556
	32,442	Electronic Arts, Inc.		4,346,255
	8,400	Facebook, Inc. – Class A *		2,164,008
	10,900	Fox Corp. – Class A		363,079
	44,694	Interpublic Group of Cos., Inc. (The)		1,167,407
	16,722	Omnicom Group, Inc.		1,149,303
	30,618	TEGNA, Inc.		558,166
	123,467	Zynga Inc. – Class A *		1,376,657
		Total Media & Entertainment		23,943,813
		Pharmaceuticals, Biotechnology & Life Sciences — 7.0%
	54,741	Bristol-Myers Squibb Co.		3,357,266
	47,276	Eli Lilly & Co.		9,686,380
	90,850	Merck & Co., Inc.		6,597,527
	114,576	Pfizer, Inc.		3,837,150
	10,995	Prestige Consumer Healthcare, Inc. *		458,601
	3,861	United Therapeutics Corp. *		645,482
		Total Pharmaceuticals, Biotechnology & Life Sciences		24,582,406
		Real Estate — 0.2%
	51,720	Realogy Holdings Corp. *		779,937

Shares		Description	Value ($)
		Retailing — 10.6%
	25,468	Abercrombie & Fitch Co. – Class A		697,059
	2,074	Amazon.com, Inc. *		6,414,737
	6,348	Asbury Automotive Group, Inc. *		1,075,669
	22,566	AutoNation, Inc. *		1,692,901
	429	AutoZone, Inc. *		497,606
	21,056	Best Buy Co., Inc.		2,112,970
	20,163	Big Lots, Inc.		1,281,157
	21,289	Core-Mark Holding Co., Inc.		693,596
	30,717	Designer Brands, Inc. – Class A		383,655
	9,867	Dick’s Sporting Goods, Inc.		704,208
	9,867	Dollar General Corp.		1,864,764
	7,894	Foot Locker, Inc.		379,622
	22,756	Gap Inc. (The) *		567,762
	9,524	Genuine Parts Co.		1,003,353
	7,354	Group 1 Automotive, Inc.		1,121,044
	32,039	L Brands, Inc.		1,751,252
	858	Lithia Motors, Inc. – Class A		320,849
	14,415	Lowe’s Cos., Inc.		2,302,796
	7,877	MarineMax, Inc. *		351,708
	11,567	Murphy U.S.A., Inc.		1,441,826
	13,096	Penske Automotive Group, Inc.		890,266
	49,078	Qurate Retail, Inc. – Series A		609,549
	7,379	Rent-A-Center, Inc.		426,211
	4,977	Sleep Number Corp. *		682,496
	35,404	Target Corp.		6,494,510
	5,600	Urban Outfitters, Inc. *		189,840
	9,610	Williams-Sonoma, Inc.		1,261,697
		Total Retailing		37,213,103
		Semiconductors & Semiconductor Equipment — 6.3%
	77,580	Applied Materials, Inc.		9,169,180
	5,492	Cirrus Logic, Inc. *		449,136
	10,554	Entegris, Inc.		1,110,386
	127,943	Intel Corp.		7,776,376
	932	KLA Corp.		290,066
	9,267	Maxim Integrated Products, Inc.		863,407
	2,660	Skyworks Solutions, Inc.		473,001
	1,703	Synaptics, Inc. *		228,253
	12,184	Teradyne, Inc.		1,566,984
		Total Semiconductors & Semiconductor Equipment		21,926,789
		Software & Services — 10.6%
	3,175	Akamai Technologies, Inc. *		300,038
	19,047	Amdocs Ltd.		1,443,953
	28,922	Cadence Design Systems, Inc. *		4,080,605
	109,052	Cisco Systems, Inc.		4,893,163
	5,944	Citrix Systems, Inc.		794,000
	1,716	Concentrix Corp. *		211,943
	10,121	Intuit, Inc.		3,948,607
	56,219	Microsoft Corp.		13,064,171

See accompanying notes to the financial statements. 67

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Software & Services — continued
	16,646	NortonLifeLock, Inc.		324,763
	52,253	Oracle Corp.		3,370,841
	6,391	Progress Software Corp.		271,873
	12,175	Sykes Enterprises, Inc. *		497,470
	14,774	Synopsys, Inc. *		3,622,733
	21,794	Western Union Co. (The)		506,057
		Total Software & Services		37,330,217
		Technology Hardware & Equipment — 10.1%
	106,924	Apple, Inc.		12,965,604
	10,237	Arrow Electronics, Inc. *		1,026,362
	7,722	Avnet, Inc.		293,976
	12,956	Corning, Inc.		495,437
	3,947	F5 Networks, Inc. *		749,851
	12,270	Flex Ltd. *		223,191
	157,385	Hewlett Packard Enterprise Co.		2,291,526
	178,044	HP, Inc.		5,157,935
	4,393	Insight Enterprises, Inc. *		367,211
	35,350	Juniper Networks, Inc.		822,948
	5,841	Motorola Solutions, Inc.		1,024,979
	6,521	National Instruments Corp.		289,532
	16,474	NetApp, Inc.		1,031,272
	9,133	NETGEAR, Inc. *		365,320
	11,498	Sanmina Corp. *		409,559
	28,486	Seagate Technology Plc		2,086,030
	4,634	Sensata Technologies Holding Plc *		265,482
	6,100	Super Micro Computer, Inc. *		199,043
	4,290	SYNNEX Corp.		382,496
	32,519	TE Connectivity Ltd.		4,228,446
	29,895	Xerox Holdings Corp.		761,725
		Total Technology Hardware & Equipment		35,437,925
		Telecommunication Services — 0.7%
	91,858	Telephone & Data Systems, Inc.		1,643,340
	5,000	United States Cellular Corp. *		147,150
	10,640	Verizon Communications, Inc.		588,392
		Total Telecommunication Services		2,378,882

Shares		Description	Value ($)
		Transportation — 0.1%
	5,492	Werner Enterprises, Inc.		235,717
		TOTAL COMMON STOCKS (COST $281,344,377)		347,575,155
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	565,535	GMO U.S. Treasury Fund		2,850,296
		TOTAL MUTUAL FUNDS (COST $2,850,296)		2,850,296
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	318,707	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		318,707
		TOTAL SHORT-TERM INVESTMENTS (COST $318,707)		318,707
		TOTAL INVESTMENTS — 99.9% (Cost $284,513,380)		350,744,158
		Other Assets and Liabilities (net) — 0.1%		458,265
		TOTAL NET ASSETS — 100.0%		$351,202,423

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	S&P 500 E-Mini	March 2021	$	1,523,680	$	6,984

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

68 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO U.S. Small Cap Value Fund returned +40.64% (net) for the fiscal year ended February 28, 2021, as compared with +43.76% for the S&P SmallCap 600 Value Index. As of April 1, 2020, the Fund’s benchmark was changed from the Russell 2000 Value Index to the S&P SmallCap 600 Value Index, which GMO believes to be a better representation of the Fund’s strategy. Over the year ended February 28, 2021 the Russell 2000 Value Index returned +41.06%.

Stock selection detracted from relative performance, while sector allocation was additive over the period. These performance themes were broadly similar whether the Fund was compared to the S&P SmallCap 600 Value Index or the Russell 2000 Value Index. However, sector allocation added less value relative to the S&P SmallCap 600 Value Index. For example, the Fund’s overweight positioning toward the Consumer Discretionary sector added 2.3% less to relative performance against the S&P SmallCap 600 Value Index than it would have added if compared to the Russell 2000 Value Index.

Top detractors included a mix of companies held overweight and underweight. Overweight positioning toward attractively valued names including CoreCivic (Industrials), GEO Group (Real Estate), and TEGNA (Communication Services) detracted from relative performance. Underweight positions among the top detractors included GameStop (Consumer Discretionary).

Sector allocation added value from both overweight and underweight positioning. Underweights which added value included Real Estate, Utilities, and Financials. Overweights toward Consumer Discretionary and Information Technology also made positive contributions toward benchmark relative performance.

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

.

70

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

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

GMO U.S. Small Cap Value Fund Class VI Shares, the S&P SmallCap 600 Value Index and

the Russell 2000 Value Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

As of April 1, 2020, the U.S. Small Cap Value Fund changed its benchmark so that the Fund now seeks to generate total return in excess of that of the S&P SmallCap 600 Value Index. The Fund formerly sought to outperform the Russell 2000 Value Index.

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

For Class VI the gross expense ratio of 0.44% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.44% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

71

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.6	%
Short-Term Investments		0.8
Mutual Funds		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Other		0.6
		100.0	%
Industry Group Summary	% of Equity Investments#
Banks		18.9	%
Retailing		11.2
Capital Goods		10.4
Technology Hardware & Equipment		8.7
Commercial & Professional Services		7.0
Diversified Financials		6.7
Real Estate		6.3
Consumer Durables & Apparel		6.2
Materials		5.8
Media & Entertainment		4.2
Energy		4.0
Pharmaceuticals, Biotechnology & Life Sciences		1.8
Health Care Equipment & Services		1.6
Telecommunication Services		1.5
Automobiles & Components		1.4
Consumer Services		1.0
Food, Beverage & Tobacco		0.9
Semiconductors & Semiconductor Equipment		0.6
Insurance		0.6
Food & Staples Retailing		0.5
Software & Services		0.5
Transportation		0.2
Household & Personal Products		0.0	^
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%.

72

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Automobiles & Components — 1.4%
	39,724	Cooper Tire & Rubber Co.		2,273,802
	3,382	Cooper-Standard Holding, Inc. *		121,143
	13,768	Patrick Industries, Inc.		1,086,708
	55,955	Stoneridge, Inc. *		1,715,581
		Total Automobiles & Components		5,197,234
		Banks — 18.7%
	10,306	1st Source Corp.		457,277
	19,725	Amalgamated Bank – Class A		346,371
	2,571	Arrow Financial Corp.		81,912
	180,699	Associated Banc-Corp.		3,641,085
	11,178	Axos Financial, Inc. *		517,206
	16,891	Bancorp, Inc. (The) *		342,381
	16,651	BankUnited, Inc.		669,204
	9,265	Banner Corp.		479,742
	3,704	Bar Harbor Bankshares		103,675
	14,376	BOK Financial Corp.		1,237,198
	64,570	Boston Private Financial Holdings, Inc.		888,483
	52,691	Brookline Bancorp, Inc.		749,793
	51,076	Cathay General Bancorp		1,922,501
	2,335	Century Bancorp, Inc. – Class A		211,668
	4,670	Civista Bancshares, Inc.		89,804
	4,267	CNB Financial Corp.		99,037
	8,996	Community Trust Bancorp, Inc.		367,576
	18,790	Customers Bancorp, Inc. *		503,196
	42,107	Dime Community Bancshares, Inc.		1,238,367
	7,100	East West Bancorp, Inc.		512,336
	8,404	Enterprise Financial Services Corp.		361,372
	2,335	Federal Agricultural Mortgage Corp. – Class C		201,394
	13,204	Financial Institutions, Inc.		361,525
	107,935	First BanCorp/Puerto Rico		1,132,238
	15,729	First Busey Corp.		360,037
	57,068	First Commonwealth Financial Corp.		765,282
	6,905	First Community Bankshares, Inc.		177,182
	33,598	First Financial Bancorp		753,603
	14,653	First Foundation, Inc.		334,821
	8,300	First Hawaiian, Inc.		231,487
	5,500	First Midwest Bancorp Inc/IL		108,790
	147,012	Flagstar Bancorp, Inc.		6,378,851
	20,853	Flushing Financial Corp.		432,700
	78,531	FNB Corp./PA		929,022
	62,766	Fulton Financial Corp.		969,735
	4,912	Great Southern Bancorp, Inc.		259,304
	9,000	Great Western Bancorp, Inc.		241,470
	11,575	Hancock Whitney Corp.		436,956
	22,689	Hanmi Financial Corp.		388,436
	4,900	Heartland Financial USA, Inc.		229,026
	6,280	Heritage Financial Corp.		162,589
	174,224	Hilltop Holdings, Inc.		5,756,361

Shares		Description	Value ($)
		Banks — continued
	3,400	HomeTrust Bancshares, Inc.		78,676
	27,600	Hope Bancorp, Inc.		363,216
	11,191	Independent Bank Corp.		231,318
	67,951	International Bancshares Corp.		2,961,305
	320,752	Investors Bancorp, Inc.		4,278,832
	17,713	Lakeland Financial Corp.		1,221,311
	5,636	Mercantile Bank Corp.		164,797
	4,348	Merchants Bancorp		147,962
	20,128	Meridian Bancorp, Inc.		337,144
	34,938	MGIC Investment Corp.		425,545
	12,126	NBT Bancorp, Inc.		439,325
	28,984	Northfield Bancorp, Inc.		396,791
	30,776	Northwest Bancshares, Inc.		434,557
	104,180	OFG Bancorp		2,011,716
	44,785	Old National Bancorp		811,952
	2,496	Origin Bancorp, Inc.		85,513
	41,941	PacWest Bancorp		1,519,942
	43,028	Premier Financial Corp.		1,319,238
	42,011	Provident Financial Services, Inc.		849,882
	2,100	QCR Holdings, Inc.		86,940
	5,395	RBB Bancorp		101,426
	2,013	Republic Bancorp, Inc. – Class A		84,626
	4,590	Sierra Bancorp		109,471
	2,416	Territorial Bancorp, Inc.		59,385
	23,329	Texas Capital Bancshares, Inc. *		1,777,670
	27,696	Towne Bank/Portsmouth VA		798,753
	19,886	TriCo Bancshares		856,490
	63,603	TrustCo Bank Corp.		437,589
	39,343	Trustmark Corp.		1,186,585
	8,226	UMB Financial Corp.		694,028
	7,200	United Community Banks, Inc.		238,032
	9,029	Univest Financial Corp.		227,079
	62,306	Walker & Dunlop, Inc.		6,209,416
	6,100	Washington Federal, Inc.		184,342
	4,899	Washington Trust Bancorp, Inc.		232,947
	38,567	Waterstone Financial, Inc.		749,357
	26,289	Wintrust Financial Corp.		1,936,448
		Total Banks		69,480,599
		Capital Goods — 10.3%
	7,166	Allied Motion Technologies, Inc.		347,838
	14,498	Apogee Enterprises, Inc.		542,225
	7,971	Applied Industrial Technologies, Inc.		680,484
	3,348	AZZ, Inc.		171,049
	2,818	Boise Cascade Co.		140,731
	360	Comfort Systems USA, Inc.		22,298
	80,994	Cornerstone Building Brands, Inc. *		922,522
	19,081	Ducommun, Inc. *		1,038,006
	5,221	EMCOR Group, Inc.		508,369
	7,293	Federal Signal Corp.		265,538
	21,919	Gorman-Rupp Co. (The)		701,189

See accompanying notes to the financial statements. 73

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Capital Goods — continued
	86,871	Griffon Corp.		2,137,027
	4,348	Hurco Cos, Inc.		136,658
	20,370	Hyster-Yale Materials Handling, Inc.		1,742,654
	10,547	Insteel Industries, Inc.		325,691
	57,221	Meritor, Inc. *		1,737,802
	7,568	Miller Industries, Inc.		298,709
	59,819	Moog, Inc. – Class A		4,645,544
	55,955	Mueller Industries, Inc.		2,274,011
	1,772	MYR Group, Inc. *		104,459
	11,352	Park-Ohio Holdings Corp.		367,010
	2,496	Preformed Line Products Co.		183,107
	29,595	Primoris Services Corp.		990,545
	179,135	Resideo Technologies, Inc. *		4,302,823
	17,713	Systemax, Inc.		639,439
	6,361	Tennant Co.		484,708
	63,925	Terex Corp.		2,632,431
	29,226	Tutor Perini Corp. *		429,622
	100,719	UFP Industries, Inc.		6,143,859
	39,048	Vectrus, Inc. *		2,132,021
	18,035	Veritiv Corp. *		428,872
	9,018	WESCO International, Inc. *		723,965
		Total Capital Goods		38,201,206
		Commercial & Professional Services — 6.9%
	240,749	ACCO Brands Corp.		1,950,067
	90,735	Brady Corp. – Class A		4,755,421
	43,073	CBIZ, Inc. *		1,298,651
	156,516	CoreCivic, Inc.		1,123,785
	12,480	CRA International, Inc.		688,522
	35,179	Deluxe Corp.		1,390,626
	17,471	Heidrick & Struggles International, Inc.		627,034
	150,635	Herman Miller, Inc.		5,777,606
	33,734	HNI Corp.		1,200,593
	47,018	Interface, Inc.		583,964
	44,200	Kelly Services, Inc. – Class A		920,244
	18,518	Kforce, Inc.		950,899
	77,773	Kimball International, Inc. – Class B		1,006,383
	8,460	Matthews International Corp.		302,022
	48,790	Resources Connection, Inc.		622,560
	159,893	Steelcase, Inc. – Class A		2,228,908
	8,293	TrueBlue, Inc. *		172,743
		Total Commercial & Professional Services		25,600,028
		Consumer Durables & Apparel — 6.1%
	4,852	Clarus Corp.		84,231
	109,977	Ethan Allen Interiors, Inc.		2,817,611
	15,700	Fossil Group, Inc. *		237,698
	99,833	G-III Apparel Group Ltd. *		2,874,192
	13,446	Hooker Furniture Corp.		454,609
	16,022	Johnson Outdoors, Inc. – Class A		1,933,535

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	72,791	La-Z-Boy, Inc.		3,101,625
	62,635	MDC Holdings, Inc.		3,543,262
	46,535	Movado Group, Inc.		1,060,998
	14,492	Rocky Brands, Inc.		631,706
	227,792	TRI Pointe Group, Inc. *		4,328,048
	10,869	Universal Electronics, Inc. *		632,467
	96,451	Vera Bradley, Inc. *		915,320
		Total Consumer Durables & Apparel		22,615,302
		Consumer Services — 1.0%
	27,901	Adtalem Global Education, Inc. *		1,096,509
	6,200	American Public Education, Inc. *		182,528
	7,926	Carriage Services, Inc.		261,241
	1,252	Graham Holdings Co. – Class B		752,239
	97,015	Perdoceo Education Corp. *		1,248,583
		Total Consumer Services		3,541,100
		Diversified Financials — 6.6%
	83,811	Brightsphere Investment Group, Inc.		1,516,979
	89,371	Curo Group Holdings Corp.		1,293,198
	1,208	Diamond Hill Investment Group, Inc.		171,355
	92,104	Donnelley Financial Solutions, Inc. *		2,393,783
	19,344	Encore Capital Group, Inc. *		646,477
	147,509	Enova International, Inc. *		4,528,526
	105,802	Federated Hermes, Inc.		2,827,029
	16,421	Oppenheimer Holdings, Inc. – Class A		622,356
	321,789	SLM Corp.		5,081,048
	20,604	StoneX Group, Inc. *		1,188,645
	163,033	Waddell & Reed Financial, Inc. – Class A		4,090,498
	14,814	Westwood Holdings Group, Inc.		255,542
		Total Diversified Financials		24,615,436
		Energy — 4.0%
	20,100	Antero Resources Corp. *		180,900
	20,668	Bonanza Creek Energy, Inc. *		659,929
	31,400	Centennial Resource Development Inc./DE – Class A *		124,344
	47,260	Evolution Petroleum Corp.		167,773
	20,531	Geospace Technologies Corp. *		202,230
	49,869	Penn Virginia Corp. *		730,082
	43,154	Plains GP Holdings LP – Class A *		371,987
	360,524	QEP Resources, Inc.		1,240,203
	3,382	REX American Resources Corp. *		318,145
	209,792	SM Energy Co.		2,907,717
	548,795	Southwestern Energy Co. *		2,222,620
	182,597	World Fuel Services Corp.		5,675,115
		Total Energy		14,801,045
		Food & Staples Retailing — 0.5%
	9,501	Ingles Markets, Inc. – Class A		493,672

74 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Food & Staples Retailing — continued
	73,909	SpartanNash Co.		1,347,361
	3,585	Village Super Market, Inc. – Class A		82,634
		Total Food & Staples Retailing		1,923,667
		Food, Beverage & Tobacco — 0.9%
	4,844	Seneca Foods Corp. – Class A *		263,804
	62,959	Universal Corp.		3,199,577
		Total Food, Beverage & Tobacco		3,463,381
		Health Care Equipment & Services — 1.6%
	19,343	Computer Programs & Systems, Inc.		608,337
	12,319	FONAR Corp. *		238,866
	10,459	LENSAR, Inc. *		94,549
	58,817	Meridian Bioscience, Inc. *		1,239,862
	98,984	Owens & Minor, Inc.		3,366,446
	13,285	Surgalign Holdings, Inc. *		32,415
	3,256	Surmodics, Inc. *		169,801
	5,314	Triple-S Management Corp. – Class B *		134,444
		Total Health Care Equipment & Services		5,884,720
		Household & Personal Products — 0.0%
	13,043	Lifevantage Corp. *		114,126
		Insurance — 0.6%
	1,400	American National Group, Inc.		126,028
	13,848	Employers Holdings, Inc.		461,000
	37,490	Stewart Information Services Corp.		1,769,528
		Total Insurance		2,356,556
		Materials — 5.7%
	4,348	AdvanSix, Inc. *		120,874
	16,908	American Vanguard Corp.		330,044
	1,318	Cabot Corp.		64,885
	37,048	Domtar Corp.		1,372,628
	24,556	FutureFuel Corp.		360,482
	51,463	Greif, Inc. – Class A		2,485,663
	3,623	Hawkins, Inc.		226,800
	13,470	HB Fuller Co.		755,263
	21,819	Koppers Holdings, Inc. *		728,973
	4,751	Kronos Worldwide, Inc.		68,652
	47,814	Materion Corp.		3,274,303
	6,280	Mercer International, Inc.		96,524
	18,759	Neenah, Inc.		1,037,748
	2,813	O-I Glass, Inc.		32,856
	85,824	Schweitzer-Mauduit International, Inc.		4,007,981
	32,550	Silgan Holdings, Inc.		1,222,578
	4,878	Stepan Co.		588,726
	49,353	Tredegar Corp.		752,140
	3,543	Trinseo SA		229,267
	129,361	Valvoline, Inc.		3,228,850

Shares		Description	Value ($)
		Materials — continued
	26,810	Verso Corp. – Class A		335,125
		Total Materials		21,320,362
		Media & Entertainment — 4.1%
	36,552	AMC Networks, Inc. – Class A *		2,397,446
	121,651	Cars.com, Inc. *		1,419,667
	60,383	DHI Group, Inc. *		187,791
	304,489	Liberty TripAdvisor Holdings, Inc. – Class A *		1,714,273
	30,290	Scholastic Corp.		872,352
	107,644	Sciplay Corp. – Class A *		1,953,739
	328,190	TEGNA, Inc.		5,982,904
	53,137	Tribune Publishing Co.		902,266
		Total Media & Entertainment		15,430,438
		Pharmaceuticals, Biotechnology & Life Sciences — 1.7%
	124,786	Endo International Plc *		989,553
	75,519	Kezar Life Sciences, Inc. *		413,844
	107,320	Prestige Consumer Healthcare, Inc. *		4,476,317
	71,288	Surface Oncology, Inc. *		604,523
		Total Pharmaceuticals, Biotechnology & Life Sciences		6,484,237
		Real Estate — 6.2%
	64	Apple Hospitality REIT, Inc.		912
	14,975	Chatham Lodging Trust (REIT)		208,602
	84,309	CorePoint Lodging, Inc. (REIT)		768,055
	11,795	Cushman & Wakefield Plc *		182,587
	77,290	DiamondRock Hospitality Co. (REIT) *		782,175
	19,081	Five Point Holdings LLC-Class A *		125,171
	14,170	Forestar Group, Inc. *		301,679
	348,885	GEO Group, Inc. (The) (REIT)		2,511,972
	18,437	Hersha Hospitality Trust (REIT)		205,019
	374,614	Newmark Group, Inc. – Class A		3,753,632
	259,082	Realogy Holdings Corp. *		3,906,957
	29,475	RPT Realty (REIT)		323,341
	42,751	Service Properties Trust		548,923
	171,889	Summit Hotel Properties, Inc. (REIT)		1,779,051
	173,513	Sunstone Hotel Investors, Inc. (REIT)		2,292,107
	94,841	Urban Edge Properties (REIT)		1,564,876
	3,925	Weingarten Realty Investors (REIT)		99,656
	180,423	Xenia Hotels & Resorts, Inc. (REIT)		3,603,047
		Total Real Estate		22,957,762
		Retailing — 11.0%
	29,200	Abercrombie & Fitch Co. – Class A		799,204
	8,431	Asbury Automotive Group, Inc. *		1,428,633
	30,472	AutoNation, Inc. *		2,286,009
	82,651	Big Lots, Inc.		5,251,645
	18,920	Cato Corp. (The) – Class A		233,473
	61,671	Core-Mark Holding Co., Inc.		2,009,241

See accompanying notes to the financial statements. 75

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Retailing — continued
	23,992	Designer Brands, Inc. – Class A		299,660
	38,887	Genesco, Inc. *		1,747,582
	59,994	Group 1 Automotive, Inc.		9,145,485
	63,694	Haverty Furniture Cos, Inc.		2,303,812
	2,577	MarineMax, Inc. *		115,063
	145,604	Michaels Cos., Inc. (The) *		2,184,060
	47,913	Penske Automotive Group, Inc.		3,257,126
	35,921	Sally Beauty Holdings, Inc. *		578,328
	48,548	Shoe Carnival, Inc.		2,376,910
	19,834	Sleep Number Corp. *		2,719,836
	46,899	Sonic Automotive, Inc. – Class A		2,162,513
	2,094	Weyco Group, Inc.		36,750
	47,501	Zumiez, Inc. *		2,141,345
		Total Retailing		41,076,675
		Semiconductors & Semiconductor Equipment — 0.6%
	28,662	Alpha & Omega Semiconductor Ltd. *		1,008,616
	31,560	Amkor Technology, Inc.		753,968
	40,168	DSP Group, Inc. *		625,416
		Total Semiconductors & Semiconductor Equipment		2,388,000
		Software & Services — 0.5%
	738	BM Technologies, Inc. *		9,299
	43,234	Sykes Enterprises, Inc. *		1,766,541
		Total Software & Services		1,775,840
		Technology Hardware & Equipment — 8.6%
	84,090	ADTRAN, Inc.		1,416,076
	121,919	Arlo Technologies, Inc. *		848,556
	11,800	Avid Technology, Inc. *		228,802
	107,613	Avnet, Inc.		4,096,827
	85,019	Benchmark Electronics, Inc.		2,414,540
	13,342	Cambium Networks Corp. *		564,233
	57,718	Comtech Telecommunications Corp.		1,551,460
	34,861	CTS Corp.		1,121,478
	55,552	Insight Enterprises, Inc. *		4,643,592
	24,878	Kimball Electronics, Inc. *		584,135
	29,709	Methode Electronics, Inc.		1,156,571
	180,745	Sanmina Corp. *		6,438,137
	5,153	ScanSource, Inc. *		146,551
	36,344	Super Micro Computer, Inc. *		1,185,905
	7,700	Vishay Intertechnology, Inc.		183,799
	211,122	Xerox Holdings Corp.		5,379,389
		Total Technology Hardware & Equipment		31,960,051
		Telecommunication Services — 1.4%
	41,866	IDT Corp. – Class B *		751,495
	103,521	Spok Holdings, Inc.		1,109,745
	150,232	Telephone & Data Systems, Inc.		2,687,651

Shares		Description	Value ($)
		Telecommunication Services — continued
	27,052	United States Cellular Corp. *		796,140
		Total Telecommunication Services		5,345,031
		Transportation — 0.2%
	9,947	ArcBest Corp.		586,773
		Utilities — 0.0%
	7,649	Genie Energy Ltd. – Class B		57,750
		TOTAL COMMON STOCKS (COST $311,378,459)		367,177,319
		MUTUAL FUNDS — 0.0%
		Affiliated Issuers — 0.0%
	20,059	GMO U.S. Treasury Fund		101,097
		TOTAL MUTUAL FUNDS (COST $101,097)		101,097
		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 — 0.8%
		Money Market Funds — 0.8%
	3,066,956	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		3,066,956
		TOTAL SHORT-TERM INVESTMENTS (COST $3,066,956)		3,066,956
		TOTAL INVESTMENTS — 99.4% (Cost $314,579,954)		370,381,722
		Other Assets and Liabilities (net) — 0.6%		2,115,918
		TOTAL NET ASSETS — 100.0%		$372,497,640

76 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 20	E-mini Russell 2000 Index	March 2021	$	2,199,200	$	(109,220	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2021, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 78.

See accompanying notes to the financial statements. 77

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2021

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 February 28, 2021, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

GS - Goldman Sachs International

Currency Abbreviations:

USD - United States Dollar

78 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021

	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)	$	18,563,731	$	528,000	$	—	$	6,974,406
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		340,746,218		141,899,481		1,018,957,936		2,965,056,905
Foreign currency, at value (Note 2)(d)		211,086		68,389		4,637,707		37,344,500
Cash		15,315		—		—		—
Receivable for investments sold		—		—		10,976,183		176,758,761
Receivable for Fund shares sold		3,286,323		—		141,985		117,107
Dividends and interest receivable		156,540		154,441		1,722,937		2,046,605
Dividend withholding tax receivable		42,669		28,312		217,924		117,004
Foreign capital gains tax refund receivable (Note 2)		—		—		5,527,162		3,858,618
Due from broker (Note 2)		—		—		47		1,559,975
Receivable for variation margin on open futures contracts (Note 4)		—		—		—		1,516,827
Receivable for open OTC swap contracts (Note 4)		—		—		—		225,326
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		43,029		45,687		13,423		104,391
Total assets		363,064,911		142,724,310		1,042,195,304		3,195,680,425
Liabilities:
Due to broker (Note 2)		—		—		—		45,639
Payable for cash collateral from securities loaned (Note 2)		3,377,753		—		—		—
Payable for investments purchased		7,458,946		—		2,570,844		120,844,752
Payable for Fund shares repurchased		—		650,000		9,783,962		53,295,232
Accrued foreign capital gains tax payable (Note 2)		26,624		—		2,387,140		1,089,327
Payable to affiliate for (Note 5):
Management fee		169,158		36,705		677,838		1,691,162
Shareholder service fee		42,290		6,118		116,373		246,299
Payable to agents unaffiliated with GMO		200		32		677		1,969
Payable for variation margin on open futures contracts (Note 4)		—		—		—		3,777,165
Payable to Trustees and related expenses		587		590		3,973		13,470
Accrued expenses		107,887		42,068		347,924		1,240,999
Miscellaneous payable		—		—		—		894,060
Total liabilities		11,183,445		735,513		15,888,731		183,140,074
Net assets	$	351,881,466	$	141,988,797	$	1,026,306,573	$	3,012,540,351
(a)  Cost of investments – affiliated issuers:	$	18,563,731	$	528,000	$	—	$	13,358,337
(b)  Cost of investments – unaffiliated issuers:	$	268,348,256	$	105,788,153	$	868,209,222	$	2,672,080,740
(c)  Includes securities on loan at value (Note 2):	$	19,593,447	$	—	$	—	$	3,874,183
(d)  Cost of foreign currency:	$	211,948	$	68,380	$	4,702,218	$	37,543,679

See accompanying notes to the financial statements. 79

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Climate Change Fund		Cyclical Focus Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund
Net assets consist of:
Paid-in capital	$	261,235,190	$	93,626,955	$	885,940,798	$	3,951,346,722
Distributable earnings (accumulated loss)		90,646,276		48,361,842		140,365,775		(938,806,371	)
	$	351,881,466	$	141,988,797	$	1,026,306,573	$	3,012,540,351
Net assets attributable to:
Class II	$	—	$	—	$	309,965,742	$	291,832,789
Class III	$	178,223,408	$	—	$	—	$	501,906,749
Class V	$	—	$	—	$	697,864,392	$	307,705,173
Class VI	$	—	$	141,988,797	$	—	$	1,787,607,384
Class R6	$	74,960,768	$	—	$	—	$	43,664,430
Class I	$	98,697,290	$	—	$	18,476,439	$	79,823,826
Shares outstanding:
Class II		—		—		11,200,053		7,951,415
Class III		5,181,774		—		—		13,634,786
Class V		—		—		25,227,149		8,449,876
Class VI		—		4,886,002		—		49,092,130
Class R6		2,183,227		—		—		1,190,706
Class I		2,874,779		—		667,631		2,177,499
Net asset value per share:
Class II	$	—	$	—	$	27.68	$	36.70
Class III	$	34.39	$	—	$	—	$	36.81
Class V	$	—	$	—	$	27.66	$	36.42
Class VI	$	—	$	29.06	$	—	$	36.41
Class R6	$	34.33	$	—	$	—	$	36.67
Class I	$	34.33	$	—	$	27.67	$	36.66

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	International Equity Fund		Japan Value Creation Fund		Quality Fund		Resources Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	—	$	9,830,961	$	—
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		2,234,755,469		163,774,317		7,374,149,852		997,960,492
Foreign currency, at value (Note 2)(d)		1,490,865		—		17		1,236,963
Cash		—		—		—		117,302
Receivable for investments sold		3,382		3,246,599		—		—
Receivable for Fund shares sold		—		—		6,678,582		839,871
Dividends and interest receivable		2,338,300		276,351		8,180,570		1,391,525
Dividend withholding tax receivable		2,040,058		77,155		3,216,795		231,422
EU tax reclaims receivable (Note 2)		6,462,109		—		—		—
Due from broker (Note 2)		4,354		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		30,175		33,989		142,711		—
Total assets		2,247,124,712		167,408,411		7,402,199,488		1,001,777,575
Liabilities:
Payable for investments purchased		—		2,630,048		24,109,712		210,576
Payable for Fund shares repurchased		2,243,332		760,000		5,795,171		201,332
Accrued foreign capital gains tax payable (Note 2)		—		—		—		1,825,030
Payable for IRS closing agreement fees (Note 2)		48,226,154		—		—		—
Payable to affiliate for (Note 5):
Management fee		920,836		69,567		2,025,704		409,161
Shareholder service fee		188,117		7,652		687,412		100,537
Payable to agents unaffiliated with GMO		1,570		30		4,612		559
Payable for variation margin on open futures contracts (Note 4)		366,982		—		—		—
Payable to Trustees and related expenses		12,870		1,049		36,036		2,263
Accrued expenses		601,176		68,045		635,743		211,859
Total liabilities		52,561,037		3,536,391		33,294,390		2,961,317
Net assets	$	2,194,563,675	$	163,872,020	$	7,368,905,098	$	998,816,258
(a)  Cost of investments – affiliated issuers:	$	—	$	—	$	9,752,901	$	—
(b)  Cost of investments – unaffiliated issuers:	$	2,074,785,926	$	143,361,771	$	4,450,996,099	$	731,023,910
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	23,419,309
(d)  Cost of foreign currency:	$	1,505,333	$	—	$	16	$	1,250,600

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	International Equity Fund			Japan Value Creation Fund		Quality Fund		Resources Fund
Net assets consist of:
Paid-in capital	$	3,076,826,531		$	138,021,194	$	4,296,618,891	$	713,641,523
Distributable earnings (accumulated loss)		(882,262,856	)		25,850,826		3,072,286,207		285,174,735
	$	2,194,563,675		$	163,872,020	$	7,368,905,098	$	998,816,258
Net assets attributable to:
Class II	$	5,545,767		$	—	$	—	$	—
Class III	$	423,332,215		$	—	$	3,519,472,514	$	96,091,404
Class IV	$	1,765,685,693		$	—	$	750,632,176	$	531,005,766
Class VI	$	—		$	163,872,020	$	2,465,066,275	$	—
Class R6	$	—		$	—	$	330,287,355	$	2,617,339
Class I	$	—		$	—	$	303,446,778	$	369,101,749
Shares outstanding:
Class II		240,745			—		—		—
Class III		18,149,762			—		135,492,652		3,454,733
Class IV		75,833,692			—		28,830,584		19,146,610
Class VI		—			6,982,586		94,887,767		—
Class R6		—			—		12,725,368		94,092
Class I		—			—		11,702,531		13,270,280
Net asset value per share:
Class II	$	23.04		$	—	$	—	$	—
Class III	$	23.32		$	—	$	25.98	$	27.81
Class IV	$	23.28		$	—	$	26.04	$	27.73
Class VI	$	—		$	23.47	$	25.98	$	—
Class R6	$	—		$	—	$	25.96	$	27.82
Class I	$	—		$	—	$	25.93	$	27.81

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (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)	$	5,165	$	2,850,296	$	101,097
Investments in unaffiliated issuers, at value (Note 2)(b)		38,983,863		347,893,862		370,280,625
Foreign currency, at value (Note 2)(c)		20,454		—		—
Receivable for investments sold		369		—		6,799,336
Dividends and interest receivable		32,562		541,710		346,946
Dividend withholding tax receivable		24,891		—		—
Foreign capital gains tax refund receivable (Note 2)		2,185		—		—
Due from broker (Note 2)		36,167		107,000		140,000
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		16,186		8,627		55
Total assets		39,121,842		351,401,495		377,668,059
Liabilities:
Due to broker (Note 2)		38		35		3
Payable for Fund shares repurchased		1,712		—		4,980,000
Accrued foreign capital gains tax payable (Note 2)		1,274		—		—
Payable to affiliate for (Note 5):
Management fee		16,233		90,018		96,554
Shareholder service fee		4,870		24,301		17,130
Payable to agents unaffiliated with GMO		26		239		264
Payable for variation margin on open futures contracts (Note 4)		5,980		7,520		800
Payable to Trustees and related expenses		175		1,968		1,634
Accrued expenses		131,974		74,991		74,034
Total liabilities		162,282		199,072		5,170,419
Net assets	$	38,959,560	$	351,202,423	$	372,497,640
(a)  Cost of investments – affiliated issuers:	$	5,123	$	2,850,296	$	101,097
(b)  Cost of investments – unaffiliated issuers:	$	28,461,816	$	281,663,084	$	314,478,857
(c)  Cost of foreign currency:	$	20,412	$	—	$	—

See accompanying notes to the financial statements. 83

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	30,981,578	$	263,735,219	$	299,237,773
Distributable earnings (accumulated loss)		7,977,982		87,467,204		73,259,867
	$	38,959,560	$	351,202,423	$	372,497,640
Net assets attributable to:
Class III	$	38,959,560	$	105,655,604	$	—
Class VI	$	—	$	245,546,819	$	372,497,640
Shares outstanding:
Class III		2,438,115		7,340,746		—
Class VI		—		17,228,021		14,907,520
Net asset value per share:
Class III	$	15.98	$	14.39	$	—
Class VI	$	—	$	14.25	$	24.99

84 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021

	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)	$	3,326,160		$	2,391,909		$	16,155,586		$	100,830,699
Dividends from affiliated issuers (Note 10)		8,787			907			38,293			—
Interest		—			—			236,589			765,955
Non-cash paid in-kind dividends from unaffiliated issuers		354,384			—			—			—
Securities lending income from affiliated issuers (net)		16,320			—			—			—
Securities lending income (net)		53,840			1,118			—			120,828
Total investment income		3,759,491			2,393,934			16,430,468			101,717,482
Expenses:
Management fee (Note 5)		1,109,945			341,126			7,012,210			20,037,654
Shareholder service fee – Class II (Note 5)		—			—			648,162			762,255
Shareholder service fee – Class III (Note 5)		199,543			—			31,006	**		611,045
Shareholder service fee – Class V (Note 5)		—			—			525,234			133,221
Shareholder service fee – Class VI (Note 5)		—			56,854			—			1,088,631
Shareholder service fee – Class R6 (Note 5)		46,275			—			—			50,225	****
Shareholder service fee – Class I (Note 5)		31,668			—			3,847	***		57,814
Organizational expenses		—			103,449			—			—
Audit and tax fees		87,211			47,572			96,009			283,535
Custodian, fund accounting agent and transfer agent fees		124,427			31,267			568,878			2,054,909
Legal fees		13,636			14,990			37,213			94,042
Registration fees		29,977			—			9,198			55,205
Trustees’ fees and related expenses (Note 5)		5,913			3,970			33,510			107,227
Miscellaneous		27,145			13,055			34,970			65,932
Total expenses		1,675,740			612,283			9,000,237			25,401,695
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(223,718	)		(203,082	)		(178,739	)		(2,159,119	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(6,315	)		(541	)		(15,864	)		—
Net expenses		1,445,707			408,660			8,805,634			23,242,576
Net investment income (loss)		2,313,784			1,985,274			7,624,834			78,474,906
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		33,243,536			17,729,524			94,688,330			101,569,186
Investments in affiliated issuers		25,397			—			(4,710,709	)		(3,453,524	)
Realized gain distributions from affiliated issuers (Note 10)		1,155			286			16			—
Futures contracts		—			—			1,405,623			30,465,630
Swap contracts		—			—			3,304,683			12,228,051
Forward currency contracts		—			—			(474,612	)		—
Foreign currency and foreign currency related transactions		6,679			49,725			(1,319,594	)		383,466
Net realized gain (loss)		33,276,767			17,779,535			92,893,737			141,192,809
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		71,682,555			36,111,328			145,547,745			394,242,703
Investments in affiliated issuers		(14,867	)		—			8,537,548			6,039,978
Futures contracts		—			—			(1,227,126	)		13,670,985
Swap contracts		—			—			(618,942	)		(600,792	)
Forward currency contracts		—			—			405,915			—
Foreign currency and foreign currency related transactions		(27,342	)		1,557			(94,043	)		(179,143	)
Net change in unrealized appreciation (depreciation)		71,640,346			36,112,885			152,551,097			413,173,731
Net realized and unrealized gain (loss)		104,917,113			53,892,420			245,444,834			554,366,540
Net increase (decrease) in net assets resulting from operations	$	107,230,897		$	55,877,694		$	253,069,668		$	632,841,446
(a)   Withholding tax:	$	319,398		$	117,001		$	2,458,082		$	12,816,026
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	37,452		$	(18,925	)
(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	26,624		$	—		$	1,940,756		$	1,342,841
*    Period from May 12, 2020 (commencement of operations) through February 28, 2021.
**   Class III liquidated on January 22, 2021.
***   Period from January 22, 2021 (commencement of operations) through February 28, 2021.
****  Period from March 31, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 85

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (Continued)

	International Equity Fund			Japan Value Creation Fund*			Quality Fund			Resources Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	78,785,363		$	1,597,002		$	121,755,518		$	18,641,426
Dividends from affiliated issuers (Note 10)		—			—			31,838			—
Interest		—			—			377,535			31,403
Securities lending income (net)		—			—			—			157,172
Other income (Note 2)		82,471,149			—			—			—
Less: IRS closing agreement fees (Note 2)		(48,226,154	)		—			—			—
Total investment income		113,030,358			1,597,002			122,164,891			18,830,001
Expenses:
Management fee (Note 5)		12,843,108			356,181			22,351,636			3,159,526
Shareholder service fee – Class II (Note 5)		12,737			—			—			—
Shareholder service fee – Class III (Note 5)		663,626			—			4,992,462			376,869
Shareholder service fee – Class IV (Note 5)		1,908,373			—			921,166			344,436
Shareholder service fee – Class VI (Note 5)		—			39,180			1,263,933			—
Shareholder service fee – Class R6 (Note 5)		—			—			170,431			331	**
Shareholder service fee – Class I (Note 5)		—			—			233,900			54,003	**
Organizational expenses		—			60,000			—			—
Audit and tax fees		223,921			54,142			89,999			80,441
Custodian, fund accounting agent and transfer agent fees		641,699			17,702			1,076,242			298,221
Legal fees		77,432			26,175			197,924			24,113
Registration fees		22,584			—			60,106			3,164
Trustees’ fees and related expenses (Note 5)		96,625			3,001			252,876			21,118
Miscellaneous		77,008			8,016			60,773			28,418
Total expenses		16,567,113			564,397			31,671,448			4,390,640
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(872,692	)		(164,031	)		(1,251,835	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(10,965	)		(89	)
Net expenses		15,694,421			400,366			30,408,648			4,390,551
Net investment income (loss)		97,335,937			1,196,636			91,756,243			14,439,450
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		64,901,691			6,346,967			799,297,454			61,533,622
Investments in affiliated issuers		—			—			47,619			10,764
Realized gain distributions from affiliated issuers (Note 10)		—			—			975			—
Futures contracts		(14,279,213	)		—			—			—
Foreign currency and foreign currency related transactions		(50,825	)		(28,876	)		101,284			(346,587	)
Net realized gain (loss)		50,571,653	***		6,318,091			799,447,332	***		61,197,799
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		309,569,937			20,412,546			949,880,576			277,820,668
Investments in affiliated issuers		—			—			15,202			(7,302	)
Futures contracts		8,280,402			—			—			—
Foreign currency and foreign currency related transactions		729,809			(5,548	)		84,190			62,072
Net change in unrealized appreciation (depreciation)		318,580,148			20,406,998			949,979,968			277,875,438
Net realized and unrealized gain (loss)		369,151,801			26,725,089			1,749,427,300			339,073,237
Net increase (decrease) in net assets resulting from operations	$	466,487,738		$	27,921,725		$	1,841,183,543		$	353,512,687
(a)  Withholding tax:	$	7,256,695		$	177,464		$	3,249,096		$	1,959,962
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	146,546
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	1,825,030
*   Period from September 14, 2020 (commencement of operations) through February 28, 2021.
**   Period from January 22, 2021 (commencement of operations) through February 28, 2021.
***  For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,258,694		$	7,282,047		$	8,389,873
Dividends from affiliated issuers (Note 10)		768			7,941			4,990
Interest		27			—			136,095
Total investment income		1,259,489			7,289,988			8,530,958
Expenses:
Management fee (Note 5)		196,544			1,172,422			1,272,073
Shareholder service fee – Class III (Note 5)		58,963			137,032			—
Shareholder service fee – Class VI (Note 5)		—			157,765			225,690
Audit and tax fees		102,761			56,443			53,700
Custodian, fund accounting agent and transfer agent fees		97,519			67,793			73,383
Legal fees		6,078			15,707			19,405
Registration fees		1,117			22,275			1,088
Trustees’ fees and related expenses (Note 5)		1,454			14,199			14,442
Miscellaneous		33,131	*		9,303			7,892
Total expenses		497,567			1,652,939			1,667,673
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(210,047	)		(162,339	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(261	)		(2,976	)		(1,730	)
Net expenses		287,259			1,487,624			1,665,943
Net investment income (loss)		972,230			5,802,364			6,865,015
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,795,516			40,780,932			43,009,069
Investments in affiliated issuers		2,326			13,242			28,629
Realized gain distributions from affiliated issuers (Note 10)		26			213			343
Futures contracts		50,395			(209,606	)		(2,130,022	)
Foreign currency and foreign currency related transactions		(4,546	)		—			—
Net realized gain (loss)		2,843,717			40,584,781	**		40,908,019	**
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		5,023,967			58,474,407			101,844,018
Investments in affiliated issuers		(857	)		(2,929	)		(15,999	)
Futures contracts		5,679			78,400			681,150
Foreign currency and foreign currency related transactions		19,942			—			—
Net change in unrealized appreciation (depreciation)		5,048,731			58,549,878			102,509,169
Net realized and unrealized gain (loss)		7,892,448			99,134,659			143,417,188
Net increase (decrease) in net assets resulting from operations	$	8,864,678		$	104,937,023		$	150,282,203
(a)  Withholding tax:	$	115,298		$	176		$	4,945
(b)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	1,274		$	—		$	—
*   Includes $25,706 of pricing related fees.
**   For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund(a)						Cyclical Focus Fund
	Year Ended February 28/29						Period from May 12, 2020 (commencement of operations) through February 28, 2021
	2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,313,784		$	2,172,426		$	1,985,274
Net realized gain (loss)		33,276,767			1,027,040			17,779,535
Change in net unrealized appreciation (depreciation)		71,640,346			2,837,109			36,112,885
Net increase (decrease) in net assets from operations		107,230,897			6,036,575			55,877,694
Distributions to shareholders:
Class III		(9,171,238	)		(4,994,590	)		—
Class VI		—			—			(7,515,852	)
Class R6		(2,822,175	)		—	*		—
Class I		(1,789,912	)		—	**		—
Total distributions		(13,783,325	)		(4,994,590	)		(7,515,852	)
Net share transactions (Note 9):
Class III		(6,186,295	)		6,871,328			—
Class VI		—			—			93,626,955
Class R6		54,335,435			1,239,895	*		—
Class I		87,130,973			1,000,842	**		—
Increase (decrease) in net assets resulting from net share transactions		135,280,113			9,112,065			93,626,955
Total increase (decrease) in net assets		228,727,685			10,154,050			141,988,797
Net assets:
Beginning of period		123,153,781			112,999,731			—
End of period	$	351,881,466		$	123,153,781		$	141,988,797
(a)  See Note 11 for discussion of reorganization.
*   Period from January 16, 2020 (commencement of operations) through February 29, 2020.
**   Period from February 25, 2020 (commencement of operations) through February 29, 2020.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Domestic Opportunities Fund(a)						Emerging Markets Fund(a)
	Year Ended February 28/29						Year Ended February 28/29
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,624,834		$	23,082,264		$	78,474,906		$	122,975,774
Net realized gain (loss)		92,893,737			67,107,061			141,192,809			175,446,783
Change in net unrealized appreciation (depreciation)		152,551,097			(54,844,542	)		413,173,731			(297,047,770	)
Net increase (decrease) in net assets from operations		253,069,668			35,344,783			632,841,446			1,374,787
Distributions to shareholders:
Class II		(1,859,130	)		(16,547,112	)		(12,199,534	)		(24,874,314	)
Class III		(84,526	)*		(7,732,788	)		(17,045,072	)		(12,473,933	)
Class V		(5,157,641	)		(27,277,084	)		(5,655,265	)		—	*****
Class VI		—			—			(76,765,259	)		(121,480,286	)
Class R6		—			—			(936,435	)****		—
Class I		—	**		—			(1,295,377	)		—	******
Total distributions		(7,101,297	)		(51,556,984	)		(113,896,942	)		(158,828,533	)
Net share transactions (Note 9):
Class II		(60,686,694	)		(170,009,264	)		(168,183,437	)		(35,761,782	)
Class III		(97,209,926	)*		(71,925,343	)		89,373,406			73,786,338
Class IV		—			(114,489,235	)***		—			—
Class V		(42,006,078	)		(179,544,003	)		80,614,160			210,170,738	*****
Class VI		—			—			(740,332,831	)		(390,152,634	)
Class R6		—			—			36,659,585	****		—
Class I		19,375,366	**		—			60,222,895			17,404,620	******
Increase (decrease) in net assets resulting from net share transactions		(180,527,332	)		(535,967,845	)		(641,646,222	)		(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		(180,527,332	)		(533,656,573	)		(641,646,222	)		(122,646,246	)
Total increase (decrease) in net assets		65,441,039			(549,868,774	)		(122,701,718	)		(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	$	1,026,306,573		$	960,865,534		$	3,012,540,351		$	3,135,242,069
(a)    See Note 11 for discussion of reorganization.
*     Class III liquidated on January 22, 2021.
**    Period from January 22, 2021 (commencement of operations) through February 28, 2021.
***    For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.
****   Period from March 31, 2020 (commencement of operations) through February 28, 2021.
*****   Period from February 26, 2020 through February 29, 2020.
******  Period from January 14, 2020 (commencement of operations) through February 29, 2020.

See accompanying notes to the financial statements. 89

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Fund						Japan Value Creation Fund
	Year Ended February 28/29						Period from September 14, 2020 (commencement of operations) through February 28, 2021
	2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	97,335,937		$	122,498,085		$	1,196,636
Net realized gain (loss)		50,571,653			30,579,072			6,318,091
Change in net unrealized appreciation (depreciation)		318,580,148			(53,383,001	)		20,406,998
Net increase (decrease) in net assets from operations		466,487,738			99,694,156			27,921,725
Distributions to shareholders:
Class II		(236,321	)		(508,765	)		—
Class III		(20,929,248	)		(19,312,559	)		—
Class IV		(91,693,467	)		(102,795,751	)		—
Class VI		—			—			(2,070,899	)
Total distributions		(112,859,036	)		(122,617,075	)		(2,070,899	)
Net share transactions (Note 9):
Class II		(5,323,954	)		(7,576,940	)		—
Class III		(100,462,179	)		(53,558,079	)		—
Class IV		(1,100,892,967	)		(550,484,729	)		—
Class VI		—			—			138,021,194
Increase (decrease) in net assets resulting from net share transactions		(1,206,679,100	)		(611,619,748	)		138,021,194
Total increase (decrease) in net assets		(853,050,398	)		(634,542,667	)		163,872,020
Net assets:
Beginning of period		3,047,614,073			3,682,156,740			—
End of period	$	2,194,563,675		$	3,047,614,073		$	163,872,020

90 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Fund(a)						Resources Fund(a)
	Year Ended February 28/29						Year Ended February 28/29
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	91,756,243		$	98,660,852		$	14,439,450		$	17,591,932
Net realized gain (loss)		799,447,332			659,320,060			61,197,799			20,005,066
Change in net unrealized appreciation (depreciation)		949,979,968			(90,253,069	)		277,875,438			(82,446,836	)
Net increase (decrease) in net assets from operations		1,841,183,543			667,727,843			353,512,687			(44,849,838	)
Distributions to shareholders:
Class III		(448,796,803	)		(264,047,724	)		(13,864,334	)		(6,468,905	)
Class IV		(123,440,372	)		(78,540,885	)		(17,483,890	)		(10,675,296	)
Class VI		(317,805,859	)		(181,579,983	)		—			—
Class R6		(13,858,740	)		(5,847,564	)*		—	***		—
Class I		(21,984,988	)		(1,788,658	)**		—	***		—
Total distributions		(925,886,762	)		(531,804,814	)		(31,348,224	)		(17,144,201	)
Net share transactions (Note 9):
Class III		(122,543,739	)		66,851,883			(255,982,659	)		55,398,679
Class IV		(221,988,939	)		(315,166,090	)		52,674,305			12,711,805
Class VI		70,585,435			(209,718,124	)		—			—
Class R6		242,131,286			85,664,922	*		2,547,139	***		—
Class I		202,555,586			87,540,552	**		364,577,456	***		—
Increase (decrease) in net assets resulting from net share transactions		170,739,629			(284,826,857	)		163,816,241			68,110,484
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 resulting from net share transactions, purchase premiums and redemption fees		170,739,629			(284,826,857	)		163,816,241			68,352,158
Total increase (decrease) in net assets		1,086,036,410			(148,903,828	)		485,980,704			6,358,119
Net assets:
Beginning of period		6,282,868,688			6,431,772,516			512,835,554			506,477,435
End of period	$	7,368,905,098		$	6,282,868,688		$	998,816,258		$	512,835,554
(a)  See Note 11 for discussion of reorganization.
*   Period from November 12, 2019 (commencement of operations) through February 29, 2020.
**   Period from September 26, 2019 (commencement of operations) through February 29, 2020.
***  Period from January 22, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 91

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Tax-Managed International Equities Fund						U.S. Equity Fund
	Year Ended February 28/29						Year Ended February 28/29
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	972,230		$	1,439,752		$	5,802,364		$	11,845,955
Net realized gain (loss)		2,843,717			2,870,514			40,584,781			67,825,076
Change in net unrealized appreciation (depreciation)		5,048,731			(2,964,684	)		58,549,878			(43,567,966	)
Net increase (decrease) in net assets from operations		8,864,678			1,345,582			104,937,023			36,103,065
Distributions to shareholders:
Class III		(882,340	)		(1,766,064	)		(8,735,355	)		(12,516,573	)
Class VI		—			—			(26,985,388	)		(55,465,712	)
Total distributions		(882,340	)		(1,766,064	)		(35,720,743	)		(67,982,285	)
Net share transactions (Note 9):
Class III		(5,250,369	)		(12,091,123	)		2,522,212			(39,804,661	)
Class VI		—			—			(169,966,891	)		(368,797,179	)
Increase (decrease) in net assets resulting from net share transactions		(5,250,369	)		(12,091,123	)		(167,444,679	)		(408,601,840	)
Total increase (decrease) in net assets		2,731,969			(12,511,605	)		(98,228,399	)		(440,481,060	)
Net assets:
Beginning of period		36,227,591			48,739,196			449,430,822			889,911,882
End of period	$	38,959,560		$	36,227,591		$	351,202,423		$	449,430,822

92 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Small Cap Value Fund
	Year Ended February 28, 2021			Period from July 2, 2019 (commencement of operations) through February 29, 2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,865,015		$	4,523,917
Net realized gain (loss)		40,908,019			(2,586,408	)
Change in net unrealized appreciation (depreciation)		102,509,169			(46,816,621	)
Net increase (decrease) in net assets from operations		150,282,203			(44,879,112	)
Distributions to shareholders:
Class VI		(6,891,863	)		(3,801,218	)
Total distributions		(6,891,863	)		(3,801,218	)
Net share transactions (Note 9):
Class VI		(186,401,008	)		464,188,638
Increase (decrease) in net assets resulting from net share transactions		(186,401,008	)		464,188,638
Total increase (decrease) in net assets		(43,010,668	)		415,508,308
Net assets:
Beginning of period		415,508,308			—
End of period	$	372,497,640		$	415,508,308

See accompanying notes to the financial statements. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares																Class R6 Shares
	Year Ended February 28/29,												Period from April 5, 2017 (commencement of operations) through February 28, 2018				Year Ended February 28, 2021				Period from January 16, 2020 (commencement of operations) through February 29, 2020
	2021				2020				2019
Net asset value, beginning of period		$	22.36			$	22.04			$	23.81			$	20.00			$	22.36			$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.41				0.36				0.23				0.31				0.01
Net realized and unrealized gain (loss)			13.43				0.87				(1.61	)			4.41				13.43				(2.20	)
Total from investment operations			13.78				1.28				(1.25	)			4.64				13.74				(2.19	)
Less distributions to shareholders:
From net investment income			(0.30	)			(0.45	)			(0.26	)			(0.22	)			(0.32	)			—
From net realized gains			(1.45	)			(0.51	)			(0.26	)			(0.61	)			(1.45	)			—
Total distributions			(1.75	)			(0.96	)			(0.52	)			(0.83	)			(1.77	)			—
Net asset value, end of period		$	34.39			$	22.36			$	22.04			$	23.81			$	34.33			$	22.36
Total Return(b)			63.84	%			5.66	%			(5.22	)%			23.28	%**			63.71	%			(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	178,223			$	121,062			$	113,000			$	26,694			$	74,961			$	1,129
Net expenses to average daily net assets(c)			0.77	%			0.77	%			0.75	%			0.78	%*			0.77	%			0.77	%*
Net investment income (loss) to average daily net assets(a)			1.39	%			1.84	%			1.61	%			1.09	%*			1.04	%			0.40	%*
Portfolio turnover rate(d)			84	%			62	%			29	%			44	%**			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%(e)			0.16	%(e)			0.26	%			0.73	%*			0.11	%(e)			0.23	%(e)*

	Class I Shares
	Year Ended February 28, 2021				Period from February 25, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	22.36			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.01
Net realized and unrealized gain (loss)			13.53				(1.02	)
Total from investment operations			13.74				(1.01	)
Less distributions to shareholders:
From net investment income			(0.32	)			—
From net realized gains			(1.45	)			—
Total distributions			(1.77	)			—
Net asset value, end of period		$	34.33			$	22.36
Total Return(b)			63.67	%			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	98,697			$	962
Net expenses to average daily net assets(c)			0.87	%			0.87	%*
Net investment income (loss) to average daily net assets(a)			0.66	%			1.93	%*
Portfolio turnover rate(d)			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%(e)			0.43	%(e)*

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 145%, 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.

94 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

CYCLICAL FOCUS FUND

	Class VI Shares
	Period from May 12, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.38
Net realized and unrealized gain (loss)			10.23
Total from investment operations			10.61
Less distributions to shareholders:
From net investment income			(0.60	)
From net realized gains			(0.95	)
Total distributions			(1.55	)
Net asset value, end of period		$	29.06
Total Return(b)			53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	141,989
Net expenses to average daily net assets(c)			0.40	% *
Net investment income (loss) to average daily net assets(a)			1.92	% *
Portfolio turnover rate (d)			65	% **
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.20	%(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 year ended February 28, 2021, including transactions in USTF was 70% 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. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																				Class V Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	21.14			$	21.61			$	28.86			$	22.64			$	19.36			$	21.12			$	21.60			$	28.85			$	22.62			$	19.35
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17				0.40				0.24				0.25				0.25				0.20				0.43				0.28				0.29				0.23
Net realized and unrealized gain (loss)			6.53				0.18				(4.58	)			6.33				3.68				6.53				0.17				(4.60	)			6.33				3.73
Total from investment operations			6.70				0.58				(4.34	)			6.58				3.93				6.73				0.60				(4.32	)			6.62				3.96
Less distributions to shareholders:
From net investment income			(0.16	)			(1.05	)			(0.17	)			(0.36	)			(0.65	)			(0.19	)			(1.08	)			(0.19	)			(0.39	)			(0.69	)
From net realized gains			—				—				(2.74	)			—				—				—				—				(2.74	)			—				—
Total distributions			(0.16	)			(1.05	)			(2.91	)			(0.36	)			(0.65	)			(0.19	)			(1.08	)			(2.93	)			(0.39	)			(0.69	)
Net asset value, end of period		$	27.68			$	21.14			$	21.61			$	28.86			$	22.64			$	27.66			$	21.12			$	21.60			$	28.85			$	22.62
Total Return(b)			31.76	%			2.39	%			(15.48	)%			29.10	%			20.62	%			31.95	%			2.50	%			(15.37	)%			29.31	%			20.78	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	309,966			$	292,418			$	467,336			$	700,211			$	603,565			$	697,864			$	565,384			$	755,613			$	1,280,851			$	948,052
Net expenses to average daily net assets(c)			1.03	%			1.03	%			1.04	%			1.06	%			1.06	%			0.90	%			0.89	%			0.90	%			0.92	%			0.93	%
Net investment income (loss) to average daily net assets(a)			0.73	%			1.81	%			1.00	%			0.96	%			1.12	%			0.87	%			1.94	%			1.19	%			1.09	%			1.04	%
Portfolio turnover rate			216	%(d)			186	%(d)			238	%(d)			201	%(d)			227	%(d)			216	%(d)			186	%(d)			238	%(d)			201	%(d)			227	%(d)
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	%			0.02	%(e)			0.02	%(e)			0.01	%			0.02	%			0.05	%
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			$	0.03			$	0.03

	Class I Shares
	Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.02
Net realized and unrealized gain (loss)			(1.23	)
Total from investment operations			(1.21	)
Less distributions to shareholders:
From net investment income			—
From net realized gains			—
Total distributions			—
Net asset value, end of period		$	27.67
Total Return(b)			(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	18,476
Net expenses to average daily net assets(c)			1.04	%*
Net investment income (loss) to average daily net assets(a)			0.82	%*
Portfolio turnover rate			216	%(d)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%(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, 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 years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 236%, 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.

96 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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017(a)				2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	30.75			$	32.23			$	36.42			$	29.98			$	22.80			$	30.84			$	32.32			$	36.51			$	30.05			$	22.83
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.86				1.13				1.01				0.75				0.57				0.76				1.21				1.01				0.72				0.57
Net realized and unrealized gain (loss)			6.36				(1.02	)			(4.22	)			6.58				7.22				6.51				(1.09	)			(4.21	)			6.64				7.27
Total from investment operations			7.22				0.11				(3.21	)			7.33				7.79				7.27				0.12				(3.20	)			7.36				7.84
Less distributions to shareholders:
From net investment income			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)
Total distributions			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)
Net asset value, end of period		$	36.70			$	30.75			$	32.23			$	36.42			$	29.98			$	36.81			$	30.84			$	32.32			$	36.51			$	30.05
Total Return(c)			23.89	%			(0.11	)%			(8.57	)%			24.66	%			34.47	%			23.99	%			(0.08	)%			(8.51	)%			24.71	%			34.67	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	291,833			$	397,798			$	451,720			$	479,640			$	498,564			$	501,907			$	333,779			$	277,824			$	390,827			$	301,786
Net expenses to average daily net assets(d)			0.93	%			0.93	%			0.93	%			0.96	%			1.07	%			0.88	%			0.88	%			0.88	%			0.91	%			1.01	%
Net investment income (loss) to average daily net assets(b)			2.73	%			3.44	%			3.09	%			2.25	%			2.08	%			2.36	%			3.68	%			3.08	%			2.14	%			2.07	%
Portfolio turnover rate			102	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)			102	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%(f)			0.13	%(f)			0.13	%			0.13	%			0.04	%			0.04	%(f)			0.11	%(f)			0.11	%			0.11	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.02			$	0.08			$	0.11			$	0.09	(a)		$	—			$	0.02			$	0.08			$	0.11			$	0.09	(a)

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

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

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

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

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

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

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class V Shares
	Year Ended February 28, 2021				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)
Net asset value, beginning of period		$	30.52			$	31.35			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.78				0.00	(d)			1.40				0.77				0.61				0.72				0.87
Net realized and unrealized gain (loss)			6.45				(0.83	)			(4.14	)			6.53				7.15				(7.50	)			0.00	(d)
Total from investment operations			7.23				(0.83	)			(2.74	)			7.30				7.76				(6.78	)			0.87
Less distributions to shareholders:
From net investment income			(1.33	)			—				(0.99	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)
Total distributions			(1.33	)			—				(0.99	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)
Net asset value, end of period		$	36.42			$	30.52			$	32.34			$	36.07			$	29.70			$	22.59			$	30.24
Total Return(e)			24.12	%			(2.65	)%**			(7.31	)%**			24.83	%			34.67	%			(22.67	)%			2.93	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	307,705			$	204,615			$	27,261			$	170,962			$	110,257			$	269,570			$	170,125
Net expenses to average daily net assets(f)			0.78	%			0.74	%*			0.78	%*			0.81	%			0.91	%			0.94	%			0.92	%
Net investment income (loss) to average daily net assets(c)			2.50	%			0.00	%(g)*			4.27	%*			2.29	%			2.24	%			2.69	%			2.77	%
Portfolio turnover rate			102	%			100	%(h)**			98	%(h)**			87	%(h)			62	%(h)			104	%			94	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%(i)			0.15	%(i)*			0.14	%*			0.14	%			0.06	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts:†		$	—			$	—			$	0.09			$	0.11			$	0.08	(b)		$	0.10	(b)		$	0.10	(b)

	Class VI Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017(b)
Net asset value, beginning of period		$	30.52			$	32.00			$	36.16			$	29.77			$	22.62
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.87				1.23				1.06				0.78				0.63
Net realized and unrealized gain (loss)			6.36				(1.07	)			(4.19	)			6.56				7.17
Total from investment operations			7.23				0.16				(3.13	)			7.34				7.80
Less distributions to shareholders:
From net investment income			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)
Total distributions			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)
Net asset value, end of period		$	36.41			$	30.52			$	32.00			$	36.16			$	29.77
Total Return(e)			24.11	%			0.05	%			(8.39	)%			24.90	%			34.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,787,607			$	2,182,893			$	2,685,798			$	3,575,505			$	3,524,022
Net expenses to average daily net assets(f)			0.75	%			0.75	%			0.75	%			0.78	%			0.89	%
Net investment income (loss) to average daily net assets(c)			2.75	%			3.76	%			3.25	%			2.36	%			2.32	%
Portfolio turnover rate			102	%			100	%(h)			98	%(h)			87	%(h)			62	%(h)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%(i)			0.15	%(i)			0.14	%			0.14	%			0.06	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.02			$	0.08			$	0.11			$	0.08	(a)

^(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)  Rounds to less than 0.01%.

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

98 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class R6 Shares				Class I Shares
	Period from March 31, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28, 2021				Period from January 14, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	26.05			$	30.75			$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.72				0.52				0.00	(b)
Net realized and unrealized gain (loss)			11.20				6.68				(4.54	)
Total from investment operations			11.92				7.20				(4.54	)
Less distributions to shareholders:
From net investment income			(1.30	)			(1.29	)			—
Total distributions			(1.30	)			(1.29	)			—
Net asset value, end of period		$	36.67			$	36.66			$	30.75
Total Return(c)			46.24	%**			23.83	%			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	43,664			$	79,824			$	16,158
Net expenses to average daily net assets(d)			0.93	%*			0.98	%			0.94	%*
Net investment income (loss) to average daily net assets(a)			2.39	%*			1.55	%			(0.05	)%*
Portfolio turnover rate			102	%**			102	%			100	%(e)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(f)*			0.10	%(f)			0.19	%(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)  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 Institutional Fund and underlying funds, if any (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 29, 2020, including transactions in USTF, was 123%, 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. 99

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	19.83			$	20.08			$	23.63			$	20.18			$	18.17			$	20.09			$	20.33			$	23.92			$	20.41			$	18.38
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.75	(b)			0.72				0.57				0.41				0.70				0.75	(b)			0.70				0.57				0.61				0.63
Net realized and unrealized gain (loss)			3.46				(0.22	)			(3.45	)			3.78				2.07				3.51				(0.17	)			(3.47	)			3.64				2.19
Total from investment operations			4.21				0.50				(2.88	)			4.19				2.77				4.26				0.53				(2.90	)			4.25				2.82
Less distributions to shareholders:
From net investment income			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)
Total distributions			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)
Net asset value, end of period		$	23.04			$	19.83			$	20.08			$	23.63			$	20.18			$	23.32			$	20.09			$	20.33			$	23.92			$	20.41
Total Return(c)			21.58	%(d)			2.19	%			(12.07	)%			20.85	%			15.45	%			21.60	%(d)			2.29	%			(12.02	)%			20.96	%			15.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,546			$	10,802			$	18,202			$	23,736			$	10,302			$	423,332			$	452,165			$	507,195			$	485,782			$	731,060
Net expenses to average daily net assets(e)			0.73	%			0.73	%			0.73	%			0.72	%			0.72	%			0.66	%			0.66	%			0.66	%			0.65	%			0.65	%
Net investment income (loss) to average daily net assets(a)			3.82	%(b)			3.52	%			2.64	%			1.77	%			3.62	%			3.70	%(b)			3.36	%			2.64	%			2.68	%			3.16	%
Portfolio turnover rate			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.03	%(g)			0.02	%			0.04	%			0.04	%			0.03	%			0.03	%(g)			0.02	%			0.04	%			0.04	%

	Class IV Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	20.05			$	20.29			$	23.87			$	20.38			$	18.36
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.77	(b)			0.74				0.63				0.56				0.63
Net realized and unrealized gain (loss)			3.50				(0.20	)			(3.51	)			3.69				2.19
Total from investment operations			4.27				0.54				(2.88	)			4.25				2.82
Less distributions to shareholders:
From net investment income			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)
Total distributions			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)
Net asset value, end of period		$	23.28			$	20.05			$	20.29			$	23.87			$	20.38
Total Return(c)			21.71	%(d)			2.34	%			(11.95	)%			20.98	%			15.57	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,765,686			$	2,584,648			$	3,156,760			$	4,558,167			$	5,072,024
Net expenses to average daily net assets(e)			0.60	%			0.60	%			0.60	%			0.59	%			0.59	%
Net investment income (loss) to average daily net assets(a)			3.81	%(b)			3.53	%			2.89	%			2.45	%			3.19	%
Portfolio turnover rate			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.03	%(g)			0.02	%			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)  Net investment income per share includes approximately $69,807, $6,194,610 and $27,980,578 in Class II, III and IV, respectively, related to income received for EU reclaims, net of IRS closing agreement fees, in connection with certain Fund holdings. Excluding this amount, the net investment income to average daily net assets ratio would have been 2.62% , 2.30%, and 2.49% in Class II, III and IV, respectively (See Note 2).

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the 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.

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

† Calculated using average shares outstanding throughout the period.

100 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

JAPAN VALUE CREATION FUND

	Class VI Shares
	Period from September 14, 2020 (commencement of operations) through February 28, 2021
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)		3.59
Total from investment operations		3.76
Less distributions to shareholders:
From net investment income		(0.28	)
From net realized gains		(0.01	)
Total distributions		(0.29	)
Net asset value, end of period	$	23.47
Total Return(b)		18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	163,872
Net expenses to average daily net assets		0.56	%*
Net investment income (loss) to average daily net assets(a)		1.68	%*
Portfolio turnover rate		28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.23	%*

^(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.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 101

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.82			$	22.32			$	25.17			$	22.08			$	19.01
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.32				0.35				0.35				0.36				0.35				0.34				0.37				0.36				0.37				0.36
Net realized and unrealized gain (loss)			6.37				2.15				1.21				4.70				3.44				6.37				2.14				1.22				4.70				3.45
Total from investment operations			6.69				2.50				1.56				5.06				3.79				6.71				2.51				1.58				5.07				3.81
Less distributions to shareholders:
From net investment income			(0.35	)			(0.36	)			(0.39	)			(0.41	)			(0.35	)			(0.36	)			(0.36	)			(0.41	)			(0.41	)			(0.36	)
From net realized gains			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)
Total distributions			(3.48	)			(2.01	)			(4.41	)			(1.98	)			(0.73	)			(3.49	)			(2.01	)			(4.43	)			(1.98	)			(0.74	)
Net asset value, end of period		$	25.98			$	22.77			$	22.28			$	25.13			$	22.05			$	26.04			$	22.82			$	22.32			$	25.17			$	22.08
Total Return(b)			30.83	%			10.64	%			6.86	%			23.32	%			20.25	%			30.86	%			10.70	%			6.91	%			23.37	%			20.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,519,473			$	3,195,240			$	3,065,461			$	3,524,103			$	3,587,627			$	750,632			$	852,866			$	1,139,024			$	957,900			$	1,222,874
Net expenses to average daily net assets(c)			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.33	%			1.44	%			1.42	%			1.48	%			1.72	%			1.37	%			1.52	%			1.46	%			1.53	%			1.76	%
Portfolio turnover rate(d)			28	%			17	%			18	%			10	%			29	%			28	%			17	%			18	%			10	%			29	%
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	%(e)			0.02	%(e)			0.02	%			0.02	%			0.02	%

	Class VI Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28, 2021				Period from November 12, 2019 (commencement of operations) through February 29, 2020
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	22.77			$	22.28			$	25.13			$	22.05			$	18.99			$	22.76			$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.37				0.38				0.38				0.36				0.30				0.10
Net realized and unrealized gain (loss)			6.37				2.15				1.21				4.70				3.46				6.39				(0.83	)
Total from investment operations			6.72				2.52				1.59				5.08				3.82				6.69				(0.73	)
Less distributions to shareholders:
From net investment income			(0.38	)			(0.38	)			(0.42	)			(0.43	)			(0.38	)			(0.36	)			(0.32	)
From net realized gains			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)			(3.13	)			(1.40	)
Total distributions			(3.51	)			(2.03	)			(4.44	)			(2.00	)			(0.76	)			(3.49	)			(1.72	)
Net asset value, end of period		$	25.98			$	22.77			$	22.28			$	25.13			$	22.05			$	25.96			$	22.76
Total Return(b)			30.95	%			10.73	%			6.96	%			23.43	%			20.39	%			30.81	%			(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,465,066			$	2,077,277			$	2,227,287			$	3,561,976			$	3,359,025			$	330,287			$	77,375
Net expenses to average daily net assets(c)			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%			0.48	%			0.49	%*
Net investment income (loss) to average daily net assets(a)			1.41	%			1.55	%			1.54	%			1.57	%			1.73	%			1.22	%			1.31	%*
Portfolio turnover rate(d)			28	%			17	%			18	%			10	%			29	%			28	%			17	%**
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	%(e)			0.02	%(e)*

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 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.

102 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
	Year Ended February 28, 2021				Period from September 26, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	22.75			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28				0.12
Net realized and unrealized gain (loss)			6.37				0.39
Total from investment operations			6.65				0.51
Less distributions to shareholders:
From net investment income			(0.34	)			(0.31	)
From net realized gains			(3.13	)			(1.40	)
Total distributions			(3.47	)			(1.71	)
Net asset value, end of period		$	25.93			$	22.75
Total Return(b)			30.66	%			1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	303,447			$	80,110
Net expenses to average daily net assets(c)			0.58	%			0.57	%*
Net investment income (loss) to average daily net assets(a)			1.12	%			1.13	%*
Portfolio turnover rate(d)			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)			0.02	%(e)*

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021 and February 29, 2020 including transactions in USTF, was 28% 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.

See accompanying notes to the financial statements. 103

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	18.11			$	20.31			$	20.88			$	17.31			$	11.74			$	18.06			$	20.24			$	20.81			$	17.25			$	11.71
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.48				0.65				0.54				0.33				0.30				0.47				0.68				0.62				0.38				0.34
Net realized and unrealized gain (loss)			10.13				(2.22	)			(0.37	)			4.02				5.75				10.12				(2.22	)			(0.46	)			3.97				5.68
Total from investment operations			10.61				(1.57	)			0.17				4.35				6.05				10.59				(1.54	)			0.16				4.35				6.02
Less distributions to shareholders:
From net investment income			(0.47	)			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.48	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)
From net realized gains			(0.44	)			—				—				—				—				(0.44	)			—				—				—				—
Total distributions			(0.91	)			(0.63	)			(0.74	)			(0.78	)			(0.48	)			(0.92	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)
Net asset value, end of period		$	27.81			$	18.11			$	20.31			$	20.88			$	17.31			$	27.73			$	18.06			$	20.24			$	20.81			$	17.25
Total Return(b)			59.36	%			(8.14	)%			0.99	%			26.00	%			51.75	%			59.42	%			(8.03	)%			0.98	%			26.12	%			51.72	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	96,091			$	201,320			$	169,523			$	54,037			$	22,562			$	531,006			$	311,515			$	336,954			$	296,196			$	190,260
Net expenses to average daily net assets(c)			0.72	%			0.73	%			0.74	%(d)			0.76	%(d)			0.77	%			0.67	%			0.68	%			0.70	%(d)			0.71	%(d)			0.72	%
Net investment income (loss) to average daily net assets(a)			2.44	%			3.24	%			2.68	%			1.77	%			1.99	%			2.33	%			3.40	%			3.06	%			2.04	%			2.26	%
Portfolio turnover rate(e)			86	%			37	%			35	%			48	%			29	%			86	%			37	%			35	%			48	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%			0.10	%			0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%			0.10	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	0.01			$	0.02			$	0.05			$	0.02			$	—			$	0.01			$	0.02			$	0.04			$	0.02

	Class R6 Shares				Class I Shares
	Period from January 22, 2021 (commencement of operations) through February 28, 2021				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	27.44			$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.02
Net realized and unrealized gain (loss)			0.35				0.35
Total from investment operations			0.38				0.37
Less distributions to shareholders:
From net investment income			—				—
From net realized gains			—				—
Total distributions			—				—
Net asset value, end of period		$	27.82			$	27.81
Total Return(b)			1.38	%**			1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,617			$	369,102
Net expenses to average daily net assets(c)			0.71	%*			0.81	%*
Net investment income (loss) to average daily net assets(a)			0.98	%*			0.74	%*
Portfolio turnover rate(e)			86	%**			86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—

^(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 underlying funds, if any (Note 5).

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 89%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

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

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

104 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
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	13.57			$	13.82			$	17.00			$	14.28			$	12.92
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.34				0.46				0.37				0.38				0.41
Net realized and unrealized gain (loss)			2.42				(0.10	)			(2.63	)			2.84				1.50
Total from investment operations			2.76				0.36				(2.26	)			3.22				1.91
Less distributions to shareholders:
From net investment income			(0.35	)			(0.61	)			(0.39	)			(0.50	)			(0.55	)
From net realized gains			—				—				(0.53	)			—				—
Total distributions			(0.35	)			(0.61	)			(0.92	)			(0.50	)			(0.55	)
Net asset value, end of period		$	15.98			$	13.57			$	13.82			$	17.00			$	14.28
Total Return(b)			20.53	%			2.31	%			(13.50	)%			22.70	%			15.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	38,960			$	36,228			$	48,739			$	68,782			$	115,733
Net expenses to average daily net assets(c)			0.73	%			0.80	%			0.79	%			0.70	%			0.68	%
Net investment income (loss) to average daily net assets(a)			2.47	%			3.28	%			2.47	%			2.35	%			2.95	%
Portfolio turnover rate			75	%(d)			52	%(d)			63	%(d)			43	%(d)			47	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.54	%(e)			0.54	%(e)			0.54	%			0.34	%			0.23	%

^(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 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 77%, 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.

See accompanying notes to the financial statements. 105

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	11.89			$	13.07			$	15.41			$	15.14			$	13.79			$	11.78			$	12.97			$	15.31			$	15.06			$	13.73
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.22				0.23				0.27				0.27				0.19				0.23				0.24				0.29				0.27
Net realized and unrealized gain (loss)			3.56				0.21				(0.04	)(b)			1.73				2.89				3.53				0.20				(0.04	)(b)			1.71				2.89
Total from investment operations			3.74				0.43				0.19				2.00				3.16				3.72				0.43				0.20				2.00				3.16
Less distributions to shareholders:
From net investment income			(0.21	)			(0.32	)			(0.26	)			(0.28	)			(0.34	)			(0.22	)			(0.33	)			(0.27	)			(0.30	)			(0.36	)
From net realized gains			(1.03	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)			(1.03	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)
Total distributions			(1.24	)			(1.61	)			(2.53	)			(1.73	)			(1.81	)			(1.25	)			(1.62	)			(2.54	)			(1.75	)			(1.83	)
Net asset value, end of period		$	14.39			$	11.89			$	13.07			$	15.41			$	15.14			$	14.25			$	11.78			$	12.97			$	15.31			$	15.06
Total Return(c)			33.74	%			2.51	%			1.94	%			13.76	%			23.59	%			33.92	%			2.53	%			2.05	%			13.84	%			23.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	105,656			$	83,738			$	131,198			$	77,297			$	109,726			$	245,547			$	365,693			$	758,714			$	1,200,008			$	1,469,935
Net expenses to average daily net assets(d)			0.47	%			0.46	%			0.46	%			0.46	%			0.46	%			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.47	%			1.64	%			1.62	%			1.78	%			1.80	%			1.56	%			1.75	%			1.68	%			1.88	%			1.87	%
Portfolio turnover rate			66	%(e)			72	%(e)			89	%(e)			79	%(e)			66	%(e)			66	%(e)			72	%(e)			89	%(e)			79	%(e)			66	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(f)			0.03	%(f)			0.03	%			0.02	%			0.02	%			0.04	%(f)			0.03	%(f)			0.03	%			0.02	%			0.02	%

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 81%, 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.

106 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
	Year Ended February 28, 2021				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)†			0.30				0.23
Net realized and unrealized gain (loss)			6.96				(1.99	)
Total from investment operations			7.26				(1.76	)
Less distributions to shareholders:
From net investment income			(0.33	)			(0.18	)
Total distributions			(0.33	)			(0.18	)
Net asset value, end of period		$	24.99			$	18.06
Total Return(b)			40.64	%			(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	372,498			$	415,508
Net expenses to average daily net assets(c)			0.41	%			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.67	%			1.69	%*
Portfolio turnover rate(d)			86	%			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 years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 98% 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. 107

GMO Trust Funds

Notes to Financial Statements

February 28, 2021

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, Japan Value Creation Fund (commenced operations on September 14, 2020), Quality Fund, Resources 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
Japan Value Creation Fund	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resources 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

International Equity Fund and Tax-Managed International Equities 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 have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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 year ended February 28, 2021, 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.

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2021:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	3,155,749	$	—	$	—	$	3,155,749
Australia		—		7,866,219		—		7,866,219
Brazil		—		4,338,809		—		4,338,809
Canada		22,617,381		—		—		22,617,381
China		2,073,762		22,528,962		—		24,602,724
Denmark		—		3,036,605		—		3,036,605
Finland		—		10,396,789		—		10,396,789
France		—		19,036,949		—		19,036,949
Germany		—		12,917,862		—		12,917,862
India		—		1,042,959		—		1,042,959
Israel		—		845,198		—		845,198
Italy		—		10,525,193		—		10,525,193
Japan		—		31,580,962		—		31,580,962
Mexico		9,261,211		—		—		9,261,211
Netherlands		—		3,826,298		—		3,826,298
Norway		—		7,096,694		—		7,096,694
Pakistan		—		795,098		—		795,098
Philippines		—		555,241		—		555,241
Portugal		—		4,273,863		—		4,273,863
Russia		—		14,230,373		—		14,230,373
South Korea		—		1,885,433		—		1,885,433
Spain		—		10,120,297		—		10,120,297
Switzerland		—		3,116,074		—		3,116,074
Taiwan		—		1,580,239		—		1,580,239
Thailand		—		795,304		—		795,304
Ukraine		—		2,096,771		—		2,096,771
United Kingdom		1,785,810		8,368,602		—		10,154,412
United States		112,168,880		—		—		112,168,880
TOTAL COMMON STOCKS		151,062,793		182,856,794		—		333,919,587
Preferred Stocks
Chile		6,320,030		—		—		6,320,030
TOTAL PREFERRED STOCKS		6,320,030		—		—		6,320,030

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	18,563,731	$	—	$	—	$	18,563,731
TOTAL MUTUAL FUNDS		18,563,731		—		—		18,563,731
Short-Term Investments		506,601		—		—		506,601
Total Investments		176,453,155		182,856,794		—		359,309,949
Total	$	176,453,155	$	182,856,794	$	—	$	359,309,949
Cyclical Focus Fund
Asset Valuation Inputs
Common Stocks
Canada	$	6,646,512	$	—	$	—	$	6,646,512
Finland		—		4,503,230		—		4,503,230
France		—		10,973,112		—		10,973,112
Ireland		—		4,061,581		—		4,061,581
Mexico		9,012,768		—		—		9,012,768
Russia		—		6,238,877		—		6,238,877
Spain		—		6,922,151		—		6,922,151
United Kingdom		—		17,214,034		—		17,214,034
United States		71,741,954		—		—		71,741,954
TOTAL COMMON STOCKS		87,401,234		49,912,985		—		137,314,219
Preferred Stocks
Brazil		—		4,286,979		—		4,286,979
TOTAL PREFERRED STOCKS		—		4,286,979		—		4,286,979
Mutual Funds
United States		528,000		—		—		528,000
TOTAL MUTUAL FUNDS		528,000		—		—		528,000
Short-Term Investments		298,283		—		—		298,283
Total Investments		88,227,517		54,199,964		—		142,427,481
Total	$	88,227,517	$	54,199,964	$	—	$	142,427,481
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	2,293,354	$	35,441,077	$	—	$	37,734,431
Chile		—		3,227,041		—		3,227,041
China		115,691,000		268,767,346		—		384,458,346
Germany		930,510		—		—		930,510
Hong Kong		—		15,612,946		—		15,612,946
Hungary		—		2,959,701		—		2,959,701
India		2,466,585		118,808,550		265,151		121,540,286
Indonesia		—		7,993,218		—		7,993,218
Mexico		7,500,315		—		—		7,500,315
Philippines		—		6,515,069		—		6,515,069
Poland		—		5,642,295		—		5,642,295
Russia		10,116,029		18,465,654		—		28,581,683
Singapore		2,569,021		—		—		2,569,021
South Africa		—		1,921,726		—		1,921,726

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1		Level 2		Level 3			Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Korea	$	—	$	125,549,054	$	—		$	125,549,054
Taiwan		—		175,322,741		—			175,322,741
Thailand		—		7,354,651		—			7,354,651
Turkey		—		4,162,147		—			4,162,147
United Arab Emirates		—		5,524,485		—			5,524,485
Vietnam		—		15,929,142		—			15,929,142
TOTAL COMMON STOCKS		141,566,814		819,196,843		265,151			961,028,808
Preferred Stocks
Brazil		—		7,984,774		—			7,984,774
TOTAL PREFERRED STOCKS		—		7,984,774		—			7,984,774
Investment Funds
Brazil		3,725,920		—		—			3,725,920
Russia		15,332,902		—		—			15,332,902
South Africa		10,443,250		—		—			10,443,250
TOTAL INVESTMENT FUNDS		29,502,072		—		—			29,502,072
Short-Term Investments		20,442,282		—		—			20,442,282
Total Investments		191,511,168		827,181,617		265,151			1,018,957,936
Total	$	191,511,168	$	827,181,617	$	265,151		$	1,018,957,936
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	12,936,292	$	—	$	—		$	12,936,292
Brazil		—		14,106,796		—			14,106,796
Chile		—		336,954		—			336,954
China		220,718,290		834,498,095		0	§		1,055,216,385
Czech Republic		—		5,918,353		—			5,918,353
Egypt		—		597,344		—			597,344
India		8,155,968		98,077,930		—			106,233,898
Indonesia		—		73,628,856		—			73,628,856
Kuwait		—		57,365,532		—			57,365,532
Mexico		80,680,751		—		—			80,680,751
Pakistan		—		15,069,224		—			15,069,224
Philippines		—		8,351,863		—			8,351,863
Poland		—		22,011,850		—			22,011,850
Qatar		—		17,602,073		—			17,602,073
Russia		11,438,570		433,848,908		—			445,287,478
Saudi Arabia		—		7,933,980		—			7,933,980
South Africa		—		48,217,852		—			48,217,852
South Korea		—		41,446,446		—			41,446,446
Sri Lanka		—		678,007		—			678,007
Taiwan		1,259		723,608,434		—			723,609,693
Thailand		—		33,868,852		—			33,868,852
Turkey		—		10,021,230		—			10,021,230
United Arab Emirates		—		11,463,958		—			11,463,958
United Kingdom		—		20,155,826		—			20,155,826
Vietnam		—		9,289,897		—			9,289,897
TOTAL COMMON STOCKS		333,931,130		2,488,098,260		0	§		2,822,029,390

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1		Level 2		Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	41,567	$	75,058	$	—		$	116,625
Colombia		1,828,864		—		—			1,828,864
Russia		—		54,360,539		—			54,360,539
South Korea		—		38,587,442		—			38,587,442
Taiwan		—		2,414,198		—			2,414,198
TOTAL PREFERRED STOCKS		1,870,431		95,437,237		—			97,307,668
Investment Funds
United States		21,983,926		—		—			21,983,926
TOTAL INVESTMENT FUNDS		21,983,926		—		—			21,983,926
Debt Obligations
United States		17,512,148		—		—			17,512,148
TOTAL DEBT OBLIGATIONS		17,512,148		—		—			17,512,148
Short-Term Investments		13,198,179		—		—			13,198,179
Total Investments		388,495,814		2,583,535,497		0	§		2,972,031,311
Derivatives^
Futures Contracts
Equity Risk	$	6,256,645	$	377,116	$	—		$	6,633,761
Swap Contracts
Equity Risk		—		225,326		—			225,326
Total	$	394,752,459	$	2,584,137,939	$	0	§	$	2,978,890,398
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	125,447,299	$	—		$	125,447,299
Belgium		—		25,447,001		—			25,447,001
Denmark		—		1,090,942		—			1,090,942
Finland		—		4,081,799		—			4,081,799
France		17,704,655		146,149,540		—			163,854,195
Germany		—		135,487,653		—			135,487,653
Hong Kong		—		64,582,010		—			64,582,010
Ireland		10,089,477		7,819,227		—			17,908,704
Italy		—		69,329,836		—			69,329,836
Japan		—		472,404,209		—			472,404,209
Malta		—		—		0	§		0	§
Netherlands		—		181,656,969		—			181,656,969
Norway		—		51,347,766		—			51,347,766
Portugal		—		65,904,111		—			65,904,111
Singapore		—		92,233,720		—			92,233,720
Spain		—		120,826,048		—			120,826,048
Sweden		—		41,864,618		—			41,864,618
Switzerland		—		124,411,924		—			124,411,924
United Kingdom		19,042,343		350,600,060		—			369,642,403
TOTAL COMMON STOCKS		46,836,475		2,080,684,732		0	§		2,127,521,207
Preferred Stocks
Germany		—		21,923,651		—			21,923,651
TOTAL PREFERRED STOCKS		—		21,923,651		—			21,923,651

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February 28, 2021

Description	Level 1			Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	85,310,611		$	—	$	—		$	85,310,611
Total Investments		132,147,086			2,102,608,383		0	§		2,234,755,469
Total	$	132,147,086		$	2,102,608,383	$	0	§	$	2,234,755,469
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(370,276	)	$	—	$	—		$	(370,276	)
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—		$	160,799,243	$	—		$	160,799,243
Short-Term Investments		2,975,074			—		—			2,975,074
Total Investments		2,975,074			160,799,243		—			163,774,317
Total	$	2,975,074		$	160,799,243	$	—		$	163,774,317
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	252,347,982	$	—		$	252,347,982
Germany		—			232,217,153		—			232,217,153
Switzerland		—			224,693,466		—			224,693,466
Taiwan		—			289,665,132		—			289,665,132
United Kingdom		—			321,488,581		—			321,488,581
United States		5,918,798,400			—		—			5,918,798,400
TOTAL COMMON STOCKS		5,918,798,400			1,320,412,314		—			7,239,210,714
Mutual Funds
United States		9,830,961			—		—			9,830,961
TOTAL MUTUAL FUNDS		9,830,961			—		—			9,830,961
Short-Term Investments		134,939,138			—		—			134,939,138
Total Investments		6,063,568,499			1,320,412,314		—			7,383,980,813
Total	$	6,063,568,499		$	1,320,412,314	$	—		$	7,383,980,813
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	9,866,620		$	—	$	—		$	9,866,620
Australia		—			48,218,078		—			48,218,078
Austria		—			15,262,527		—			15,262,527
Brazil		—			12,036,084		—			12,036,084
Canada		54,756,389			—		—			54,756,389
China		—			44,367,965		—			44,367,965
Denmark		—			4,627,553		—			4,627,553
Finland		—			20,350,751		—			20,350,751
France		—			25,485,562		—			25,485,562
Germany		—			6,970,379		—			6,970,379
Hungary		—			8,662,853		—			8,662,853
India		—			29,215,923		—			29,215,923

114

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February 28, 2021

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Israel	$	—	$	10,299,969	$	—		$	10,299,969
Italy		—		1,884,350		—			1,884,350
Japan		—		22,594,589		—			22,594,589
Mexico		28,025,734		—		—			28,025,734
Norway		—		27,715,377		—			27,715,377
Pakistan		—		6,249,088		—			6,249,088
Poland		—		8,335,353		—			8,335,353
Russia		—		111,391,936		—			111,391,936
Singapore		—		—		0	§		0	§
South Africa		—		14,881,479		—			14,881,479
South Korea		—		3,917,128		—			3,917,128
Spain		—		13,271,104		—			13,271,104
Switzerland		—		4,956,935		—			4,956,935
Thailand		—		6,113,369		—			6,113,369
Turkey		—		4,275,790		—			4,275,790
Ukraine		—		5,668,871		—			5,668,871
United Kingdom		—		137,686,708		—			137,686,708
United States		218,475,600		—		—			218,475,600
TOTAL COMMON STOCKS		311,124,343		594,439,721		0	§		905,564,064
Preferred Stocks
Brazil		—		53,162,002		—			53,162,002
Chile		17,501,043		—		—			17,501,043
Russia		—		17,733,719		—			17,733,719
TOTAL PREFERRED STOCKS		17,501,043		70,895,721		—			88,396,764
Rights/Warrants
Singapore		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§
Short-Term Investments		3,999,664		—		—			3,999,664
Total Investments		332,625,050		665,335,442		—			997,960,492
Total	$	332,625,050	$	665,335,442	$	0	§	$	997,960,492
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,168,481	$	—		$	2,168,481
Belgium		—		360,470		—			360,470
Brazil		—		164,381		—			164,381
China		—		875,705		—			875,705
Denmark		—		50,491		—			50,491
Finland		—		21,017		—			21,017
France		—		2,852,555		—			2,852,555
Germany		—		2,438,457		—			2,438,457
Hong Kong		—		660,606		—			660,606
Hungary		—		76,811		—			76,811
India		—		149,489		—			149,489
Ireland		175,920		655,277		—			831,197
Italy		—		885,248		—			885,248
Japan		—		8,276,011		—			8,276,011

115

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February 28, 2021

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Malta	$	—	$	—	$	0	§	$	0	§
Netherlands		—		3,155,921		—			3,155,921
Norway		—		290,074		—			290,074
Poland		—		56,270		—			56,270
Portugal		—		1,070,477		—			1,070,477
Russia		—		523,987		—			523,987
Singapore		—		1,586,679		—			1,586,679
South Africa		—		34,898		—			34,898
South Korea		—		865,272		—			865,272
Spain		—		1,881,678		—			1,881,678
Sweden		—		243,143		—			243,143
Switzerland		—		2,090,431		—			2,090,431
Taiwan		—		241,899		—			241,899
Thailand		—		12,678		—			12,678
Turkey		—		609,808		—			609,808
United Kingdom		564,466		4,782,478		—			5,346,944
TOTAL COMMON STOCKS		740,386		37,080,692		0	§		37,821,078
Preferred Stocks
Brazil		—		20,906		—			20,906
Germany		—		327,465		—			327,465
Russia		—		22,721		—			22,721
TOTAL PREFERRED STOCKS		—		371,092		—			371,092
Mutual Funds
United States		5,165		—		—			5,165
TOTAL MUTUAL FUNDS		5,165		—		—			5,165
Short-Term Investments		791,693		—		—			791,693
Total Investments		1,537,244		37,451,784		0	§		38,989,028
Derivatives^
Futures Contracts
Equity Risk		7,519		—		—			7,519
Total	$	1,544,763	$	37,451,784	$	0	§	$	38,996,547
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	347,575,155	$	—	$	—		$	347,575,155
Mutual Funds		2,850,296		—		—			2,850,296
Short-Term Investments		318,707		—		—			318,707
Total Investments	$	350,744,158	$	—	$	—		$	350,744,158
Derivatives^
Futures Contracts
Equity Risk	$	6,984	$	—	$	—		$	6,984
Total	$	350,751,142	$	—	$	—		$	350,751,142

116

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February 28, 2021

Description	Level 1			Level 2		Level 3		Total
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	367,177,319		$	—	$	—	$	367,177,319
Mutual Funds		101,097			—		—		101,097
Rights/Warrants		—			—		36,350		36,350
Short-Term Investments		3,066,956			—		—		3,066,956
Total Investments		370,345,372			—		36,350		370,381,722
Total	$	370,345,372		$	—	$	36,350	$	370,381,722
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(109,220	)	$	—	$	—	$	(109,220	)

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). Excludes purchased options and fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). At February 28, 2021, there were no material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

Cash

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

Due to/from broker

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

Foreign currency translation

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

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

117

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February 28, 2021

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

Securities lending

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

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

At February 28, 2021, 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		19,593,447		3,377,753		17,297,746		20,675,499
Emerging Markets Fund		3,874,183		—		4,204,133		4,204,133
Resources Fund		23,419,309		—		24,261,132		24,261,132

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

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

Taxes and distributions

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

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

118

GMO Trust Funds

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February 28, 2021

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund’s closing agreement liability are presented as a reduction of Other income in the Statements of Operations and its estimated closing agreement liability is presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2021, 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.

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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

Differences related to:	Climate Change Fund	Cyclical Focus Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	International Equity Fund	Japan Value Creation Fund	Quality Fund	Resources Fund	Tax-Managed International Equities Fund	U.S. Equity Fund	U.S. Small Cap Value Fund
Capital loss carry forwards	X		X	X	X			X	X		X
Derivative contract transactions			X	X							X
Dividend income and withholding tax reclaim reserves				X	X			X	X
EU tax reclaims, associated interest entitlements and IRS closing agreement matters					X
Foreign currency transactions			X
Late-year ordinary losses			X					X	X
Losses on wash sale transactions	X	X	X	X	X		X	X	X	X	X
Partnership interest tax allocations				X
Passive foreign investment company transactions	X	X	X	X	X	X		X	X
Redemption in-kind transactions					X		X			X	X

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

	Tax year ended February 28, 2021						Tax year ended February 29, 2020
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		6,683,492		7,099,833		13,783,325		3,590,555		1,404,035		4,994,590
Cyclical Focus Fund		7,515,852		—		7,515,852		N/A		N/A		N/A
Emerging Domestic Opportunities Fund		7,101,297		—		7,101,297		51,556,984		—		51,556,984
Emerging Markets Fund		113,896,942		—		113,896,942		158,828,533		—		158,828,533
International Equity Fund		112,859,036		—		112,859,036		122,617,075		—		122,617,075
Japan Value Creation Fund		2,070,899		—		2,070,899		N/A		N/A		N/A
Quality Fund		151,652,451		774,234,311		925,886,762		132,495,166		399,309,648		531,804,814
Resources Fund		20,325,831		11,022,393		31,348,224		17,144,201		—		17,144,201
Tax-Managed International Equities Fund		882,340		—		882,340		1,766,064		—		1,766,064
U.S. Equity Fund		15,615,633		20,105,110		35,720,743		13,879,421		54,102,864		67,982,285
U.S. Small Cap Value Fund		6,891,863		—		6,891,863		3,801,218		—		3,801,218

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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

As of February 28, 2021, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Loss Deferral ($)
Climate Change Fund		20,718,714		9,724,265		—		(4,384,481)		—
Cyclical Focus Fund		14,240,390		—		—		—		—
Emerging Domestic Opportunities Fund		2,377,796		—		—		(2,759,936)		—
Emerging Markets Fund		7,435,951		—		—		(1,198,190,505)		—
International Equity Fund		33,770,181		—		—		(1,021,402,908)		—
Japan Value Creation Fund		11,064,275		—		—		—		—
Quality Fund		92,589,957		62,691,067		—		—		—
Resources Fund		52,074,968		4,564,120		—		—		—
Tax-Managed International Equities Fund		157,079		554,028		—		(2,732,322)		—
U.S. Equity Fund		870,861		21,990,970		—		—		—
U.S. Small Cap Value Fund		17,754,941		—		—		—		—

As of February 28, 2021, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2021, 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)		(2,710,425)
Cyclical Focus Fund		—		—
Emerging Domestic Opportunities Fund		(2,759,936)		—
Emerging Markets Fund		(84,953,319)		(1,113,237,186)
International Equity Fund		(769,130,239)		(252,272,669)
Japan Value Creation Fund		—		—
Quality Fund		—		—
Resources Fund		—		—
Tax-Managed International Equities Fund		(2,732,322)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

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As of February 28, 2021, 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		294,572,809		67,829,480		(3,092,340)		64,737,140		—
Cyclical Focus Fund		108,278,459		34,448,700		(299,678)		34,149,022		—
Emerging Domestic Opportunities Fund		874,941,701		170,209,171		(26,192,936)		144,016,235		—
Emerging Markets Fund		2,714,531,364		429,099,418		(171,599,471)		257,499,947		377,116
International Equity Fund		2,079,851,442		287,659,440		(132,755,413)		154,904,027		—
Japan Value Creation Fund		148,982,218		16,172,570		(1,380,471)		14,792,099		—
Quality Fund		4,465,585,299		3,005,329,310		(86,933,796)		2,918,395,514		—
Resources Fund		767,288,967		240,812,952		(10,141,427)		230,671,525		—
Tax-Managed International Equities Fund		28,707,562		10,453,589		(172,123)		10,281,466		—
U.S. Equity Fund		286,138,785		69,425,629		(4,820,256)		64,605,373		—
U.S. Small Cap Value Fund		314,876,796		69,998,347		(14,493,421)		55,504,926		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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. As of February 28, 2021, each Fund has determined that no tax liability is required in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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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February 28, 2021

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, Cyclical Focus Fund, Japan Value Creation Fund, Quality Fund and U.S. Equity 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 GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of February 28, 2021, 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.

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Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.12% of the Fund’s total net assets as of February 28, 2021, 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.

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	Japan Value Creation Fund	Quality Fund	Resources 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
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	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
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

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February 28, 2021

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

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

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

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

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

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

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

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Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under 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.

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.

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

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt 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 2021 or 2022. 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) 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.

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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), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio.

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

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

Investments in exchange-traded funds (“ETFs”) involve the risk that an ETF’s performance will not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed in “Derivatives and Short Sales Risk.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs bears a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could result in higher expenses and lower returns than if the Fund were to invest directly in the securities underlying the ETF.

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

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.

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

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

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

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

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

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disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future changes in tax legislation and regulation.

For many Funds, GMO uses quantitative models as part of its investment process. 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,

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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”). An agreement between the United Kingdom and the European Union governing their future trade relationship became effective January 1, 2021. 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

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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:

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.

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.

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The extent to which the market price of a fixed income investment changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because its fixed rate is locked in for a longer period of time. Floating-rate or variable-rate investments, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e. nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

When interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management 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

• Japan Value Creation Fund

• Quality Fund

• Resources 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.

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

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

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

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

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

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

For Funds that held derivatives during the year ended February 28, 2021, 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

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

Swap contracts

Substitute for direct equity investment

X

X

Achieve returns comparable to holding and lending a direct equity position

X

X

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of

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the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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

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

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.

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

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

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

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

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss 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.

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2021 and the Statements of Operations for the year ended February 28, 2021^:

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.

	Equity Contracts			Foreign Currency Contracts			Total
Emerging Domestic Opportunities Fund
Net Realized Gain (Loss) on
Futures Contracts	$	1,405,623		$	—		$	1,405,623
Swap Contracts		3,304,683			—			3,304,683
Forward Currency Contracts		—			(474,612	)		(474,612	)
Total	$	4,710,306		$	(474,612	)	$	4,235,694
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(1,227,126	)	$	—		$	(1,227,126	)
Swap Contracts		(618,942	)		—			(618,942	)
Forward Currency Contracts		—			405,915			405,915
Total	$	(1,846,068	)	$	405,915		$	(1,440,153	)

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	Equity Contracts			Foreign Currency Contracts		Total
Emerging Markets Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	6,633,761		$	—	$	6,633,761
Swap Contracts, at value¤		225,326			—		225,326
Total	$	6,859,087		$	—	$	6,859,087
Net Realized Gain (Loss) on
Futures Contracts	$	30,465,630		$	—	$	30,465,630
Swap Contracts		12,228,051			—		12,228,051
Total	$	42,693,681		$	—	$	42,693,681
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	13,670,985		$	—	$	13,670,985
Swap Contracts		(600,792	)		—		(600,792	)
Total	$	13,070,193		$	—	$	13,070,193
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(370,276	)	$	—	$	(370,276	)
Total	$	(370,276	)	$	—	$	(370,276	)
Net Realized Gain (Loss) on
Futures Contracts	$	(14,279,213	)	$	—	$	(14,279,213	)
Total	$	(14,279,213	)	$	—	$	(14,279,213	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	8,280,402		$	—	$	8,280,402
Total	$	8,280,402		$	—	$	8,280,402
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	7,519		$	—	$	7,519
Total	$	7,519		$	—	$	7,519
Net Realized Gain (Loss) on
Futures Contracts	$	50,395		$	—	$	50,395
Total	$	50,395		$	—	$	50,395
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	5,679		$	—	$	5,679
Total	$	5,679		$	—	$	5,679
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	6,984		$	—	$	6,984
Total	$	6,984		$	—	$	6,984
Net Realized Gain (Loss) on
Futures Contracts	$	(209,606	)	$	—	$	(209,606	)
Total	$	(209,606	)	$	—	$	(209,606	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	78,400		$	—	$	78,400
Total	$	78,400		$	—	$	78,400

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	Equity Contracts			Foreign Currency Contracts		Total
U.S. Small Cap Value Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(109,220	)	$	—	$	(109,220	)
Total	$	(109,220	)	$	—	$	(109,220	)
Net Realized Gain (Loss) on
Futures Contracts	$	(2,130,022	)	$	—	$	(2,130,022	)
Total	$	(2,130,022	)	$	—	$	(2,130,022	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	681,150		$	—	$	681,150
Total	$	681,150		$	—	$	681,150

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 28, 2021, if any.

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The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2021:

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	$	225,326	$	(225,326	)	$	—	$	—	*
Total	$	225,326	$	(225,326	)	$	—	$	—

* 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), based on absolute values, at each month-end, was as follows for the year ended February 28, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		88,033,269		23,269,654		3,804,078
Emerging Markets Fund		—		194,472,624		36,521,837
International Equity Fund		—		21,586,453		—
Tax-Managed International Equities Fund		—		283,744		—
U.S. Equity Fund		—		2,941,698		—
U.S. Small Cap Value Fund		—		3,436,181		—

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

Japan Value Creation Fund

Quality Fund

Resources 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%

0.50%

0.33%

0.50%

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%.

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February 28, 2021

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%*

0.105%*

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%*

Japan Value Creation Fund

0.15%*

0.10%*

0.085%*

0.055%

0.15%*

0.15%*

Quality Fund

0.15%

0.105%

0.085%*

0.055%

0.15%

0.15%

Resources Fund

0.15%

0.10%

0.085%*

0.055%*

0.15%

0.15%

Tax-Managed International Equities Fund

0.15%

0.15%*

0.15%*

U.S. Equity Fund

0.15%

0.10%*

0.085%*

0.055%

0.15%*

0.15%*

U.S. Small Cap Value Fund

0.15%*

0.10%*

0.085%*

0.055%

0.15%*

0.15%*

* Class is offered but has no shareholders as of February 28, 2021.

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

For the period starting September 25, 2018, GMO has contractually agreed to waive its fees and/or reimburse GMO Climate Change Fund (the “Fund”) to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses),

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February 28, 2021

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 year ended February 28, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.

As of February 28, 2021, there were no waivers and/or reimbursements subject to possible future recoupment.

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

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

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

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

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February 28, 2021

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2021 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		5,913		567
Cyclical Focus Fund		3,970		310
Emerging Domestic Opportunities Fund		33,510		3,566
Emerging Markets Fund		107,227		11,385
International Equity Fund		96,625		10,540
Japan Value Creation Fund		3,001		167
Quality Fund		252,876		25,108
Resources Fund		21,118		2,168
Tax-Managed International Equities Fund		1,454		120
U.S. Equity Fund		14,199		1,562
U.S. Small Cap Value Fund		14,442		1,571

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2021, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2021, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2021 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		—		397,016,110		—		272,851,635
Cyclical Focus Fund		—		175,824,209		—		87,535,863
Emerging Domestic Opportunities Fund		—		2,133,615,082		10,000,166		2,302,874,620
Emerging Markets Fund		34,991,797		2,886,676,311		42,507,063		3,511,742,851
International Equity Fund		—		1,208,697,216		—		2,344,781,253
Japan Value Creation Fund		—		172,953,423		—		38,913,694
Quality Fund		20,392,560		1,843,194,770		103,656,921		2,512,705,985
Resources Fund		34,266,210		661,692,273		34,182,697		513,986,978
Tax-Managed International Equities Fund		—		29,945,432		—		35,453,564
U.S. Equity Fund		—		305,006,195		—		498,135,310
U.S. Small Cap Value Fund		—		394,859,894		—		575,953,861

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Notes to Financial Statements — (Continued)

February 28, 2021

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2021. 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 ($)
International Equity Fund		—		293,635,824		51,053,730
Quality Fund		26,431,152		88,710,926		44,892,883
U.S. Equity Fund		—		51,936,295		14,072,869
U.S. Small Cap Value Fund		—		83,728,845		22,272,788

7. Guarantees

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

8. Principal shareholders and related parties as of February 28, 2021

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		31.42%		5.63	%		—
Cyclical Focus Fund		3#		86.84%		1.31	%		87.66%
Emerging Domestic Opportunities Fund*		1		53.51%		1.30	%		—
Emerging Markets Fund*		3#		36.87%		0.42	%		64.61%
International Equity Fund		4#		72.13%		0.00	%**		84.88%
Japan Value Creation Fund		3§		83.17%		—			99.95%
Quality Fund		—		—		0.27	%		4.25%
Resources Fund		3		76.61%		1.55	%		—
Tax-Managed International Equities Fund		1		83.59%		—			—
U.S. Equity Fund		2#		50.81%		—			91.21%
U.S. Small Cap Value Fund		3§		74.40%		0.00	%**		99.99%

* The Fund’s outstanding shares were owned by more than 10 shareholders as of February 28, 2021.

** Rounds to 0.00%.

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

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

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February 28, 2021

9. Share transactions

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

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		814,512		$	23,807,446			1,335,895		$	29,627,307
Shares issued to shareholders in reinvestment of distributions		333,433			9,073,794			208,829			4,878,287
Shares repurchased		(688,426	)		(14,748,239	)		(1,258,218	)		(27,634,266	)
Shares repurchased in connection with reorganization(a)		(691,250	)		(24,319,296	)		—			—
Net increase (decrease)		(231,731	)	$	(6,186,295	)		286,506		$	6,871,328
Class R6:(b)
Shares sold		2,115,846		$	53,282,325			50,513		$	1,239,895
Shares issued to shareholders in reinvestment of distributions		96,807			2,822,175			—			—
Shares repurchased		(79,939	)		(1,769,065	)		—			—
Net increase (decrease)		2,132,714		$	54,335,435			50,513		$	1,239,895
Class I:(c)
Shares sold		2,287,524			67,483,965			43,031			1,000,842
Shares issued to shareholders in reinvestment of distributions		59,254			1,739,936			—			—
Shares issued to shareholders in connection with reorganization(a)		696,975			24,478,649			—			—
Shares repurchased		(212,005	)		(6,571,577	)		—			—
Net increase (decrease)		2,831,748		$	87,130,973			43,031		$	1,000,842
Cyclical Focus Fund
Class VI:(d)
Shares sold		6,591,975		$	138,002,053
Shares issued to shareholders in reinvestment of distributions		272,615			7,428,754
Shares repurchased		(1,978,588	)		(51,803,852	)
Net increase (decrease)		4,886,002		$	93,626,955
Emerging Domestic Opportunities Fund
Class II :
Shares sold		2,559,887		$	63,321,505			289,248		$	6,614,135
Shares issued to shareholders in reinvestment of distributions		66,747			1,732,754			664,068			15,015,951
Shares repurchased		(5,260,674	)		(125,740,953	)		(8,745,485	)		(191,639,350	)
Purchase premiums		—			—			—			4,323
Redemption fees		—			—			—			847,788
Net increase (decrease)		(2,634,040	)	$	(60,686,694	)		(7,792,169	)	$	(169,157,153	)
Class III:(e)
Shares sold		317,759		$	6,587,104			77,711		$	1,718,594
Shares issued to shareholders in reinvestment of distributions		3,255			84,526			227,211			5,137,598
Shares repurchased		(4,653,377	)		(88,118,115	)		(3,609,060	)		(78,781,535	)
Shares repurchased in connection with reorganization(a)		(545,433	)		(15,763,441	)		—			—
Purchase premiums		—			—			—			1,876
Redemption fees		—			—			—			350,461
Net increase (decrease)		(4,877,796	)	$	(97,209,926	)		(3,304,138	)	$	(71,573,006	)

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Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class IV:(f)
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		138,555		$	3,005,148			4,069,005		$	94,765,020
Shares issued to shareholders in reinvestment of distributions		198,807			5,157,051			1,207,239			27,262,953
Shares repurchased		(1,874,733	)		(50,168,277	)		(13,489,760	)		(301,571,976	)
Purchase premiums		—			—			—			6,412
Redemption fees		—			—			—			1,090,567
Net increase (decrease)		(1,537,371	)	$	(42,006,078	)		(8,213,516	)	$	(178,447,024	)
Class I: (g)
Shares sold		116,224		$	3,449,122
Shares issued to shareholders in connection with reorganization(a)		551,407			15,926,244
Net increase (decrease)		667,631		$	19,375,366
Emerging Markets Fund
Class II :
Shares sold		1,648,844		$	53,161,685			2,591,221		$	84,009,094
Shares issued to shareholders in reinvestment of distributions		284,900			9,549,283			645,799			21,903,810
Shares repurchased		(6,920,252	)		(230,894,405	)		(4,313,640	)		(141,674,686	)
Purchase premiums		—			—			—			51,363
Redemption fees		—			—			—			223,821
Net increase (decrease)		(4,986,508	)	$	(168,183,437	)		(1,076,620	)	$	(35,486,598	)
Class III:
Shares sold		4,370,676		$	146,164,042			3,289,119		$	107,742,551
Shares issued to shareholders in reinvestment of distributions		298,873			10,087,950			138,763			4,718,700
Shares repurchased		(812,877	)		(27,463,504	)		(1,201,886	)		(38,674,913	)
Shares repurchased in connection with reorganization(a)		(1,043,359	)		(39,415,082	)		—			—
Purchase premiums		—			—			—			29,976
Redemption fees		—			—			—			127,453
Net increase (decrease)		2,813,313		$	89,373,406			2,225,996		$	73,943,767
Class V:(h)
Shares sold		5,421,878		$	199,958,895			6,704,011		$	210,170,738
Shares issued to shareholders in reinvestment of distributions		169,700			5,655,265			—			—
Shares repurchased		(3,845,713	)		(125,000,000	)		—			—
Purchase premiums		—			—			—			—
Redemption fees		—			—			—			—
Net increase (decrease)		1,745,865		$	80,614,160			6,704,011		$	210,170,738

151

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class VI:
Shares sold		8,650,691		$	256,039,952			7,402,013		$	246,827,168
Shares issued to shareholders in reinvestment of distributions		2,248,634			74,845,061			3,573,268			120,190,006
Shares repurchased		(33,325,115	)		(1,071,217,844	)		(23,395,592	)		(757,169,808	)
Purchase premiums		—			—			—			277,115
Redemption fees		—			—			—			1,196,746
Net increase (decrease)		(22,425,790	)	$	(740,332,831	)		(12,420,311	)	$	(388,678,773	)
Class R6:(i)
Shares sold		813,354		$	22,128,535
Shares issued to shareholders in reinvestment of distributions		27,888			936,435
Shares issued to shareholders in connection with reorganization(a)		439,317			16,534,284
Shares repurchased		(89,853	)		(2,939,669	)
Net increase (decrease)		1,190,706		$	36,659,585
Class I:(j)
Shares sold		1,160,474		$	41,034,616			525,691		$	17,411,530
Shares issued to shareholders in reinvestment of distributions		28,672			965,150			—			—
Shares issued to shareholders in connection with reorganization(a)		614,858			23,134,094			—			—
Shares repurchased		(151,985	)		(4,910,965	)		(211	)		(6,910	)
Net increase (decrease)		1,652,019		$	60,222,895			525,480		$	17,404,620
International Equity Fund
Class II:
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		4,663			100,614			13,808			300,245
Shares repurchased		(308,564	)		(5,424,568	)		(375,731	)		(7,877,185	)
Net increase (decrease)		(303,901	)	$	(5,323,954	)		(361,923	)	$	(7,576,940	)
Class III:
Shares sold		3,720,329		$	66,916,245			2,042,255		$	42,764,756
Shares issued to shareholders in reinvestment of distributions		960,872			20,929,248			876,701			19,307,608
Shares repurchased		(9,040,551	)		(188,307,672	)		(5,358,133	)		(115,630,443	)
Net increase (decrease)		(4,359,350	)	$	(100,462,179	)		(2,439,177	)	$	(53,558,079	)
Class IV:
Shares sold		12,892,796		$	240,379,292			11,741,908		$	249,651,330
Shares issued to shareholders in reinvestment of distributions		4,223,138			91,652,733			4,679,297			102,794,963
Shares repurchased		(70,171,356	)(k)		(1,432,924,992	)(k)		(43,099,517	)		(902,931,022	)
Net increase (decrease)		(53,055,422	)	$	(1,100,892,967	)		(26,678,312	)	$	(550,484,729	)
Japan Value Creation Fund
Class VI:(l)
Shares sold		8,189,635		$	164,396,732
Shares issued to shareholders in reinvestment of distributions		90,304			2,043,576
Shares repurchased		(1,297,353	)		(28,419,114	)
Net increase (decrease)		6,982,586		$	138,021,194

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		32,026,815	(m)	$	786,417,726	(m)		24,208,061	(n)	$	587,758,048	(n)
Shares issued to shareholders in reinvestment of distributions		16,255,824			396,418,267			9,288,097			227,503,802
Shares repurchased		(42,127,119	)		(1,019,341,255	)		(30,748,307	)		(748,409,967	)
Shares repurchased in connection with reorganization(a)		(10,985,195	)		(286,038,477	)		—			—
Net increase (decrease)		(4,829,675	)	$	(122,543,739	)		2,747,851		$	66,851,883
Class IV:
Shares sold		6,158,990		$	150,155,647			5,393,298		$	137,744,836
Shares issued to shareholders in reinvestment of distributions		5,043,483			123,440,372			3,200,998			78,540,885
Shares repurchased		(19,751,036	)		(495,584,958	)		(22,245,865	)(o)		(531,451,811	)(o)
Net increase (decrease)		(8,548,563	)	$	(221,988,939	)		(13,651,569	)	$	(315,166,090	)
Class VI:
Shares sold		9,304,601		$	207,464,992			5,679,207		$	137,503,394
Shares issued to shareholders in reinvestment of distributions		12,982,294			316,855,443			7,389,652			180,990,035
Shares repurchased		(18,610,905	)(p)		(453,735,000	)(p)		(21,809,752	)		(528,211,553	)
Net increase (decrease)		3,675,990		$	70,585,435			(8,740,893	)	$	(209,718,124	)
Class R6:(q)
Shares sold		2,926,477		$	76,021,273			3,486,855		$	87,903,607
Shares issued to shareholders in reinvestment of distributions		99,528			2,458,364			—			—
Shares issued to shareholders in connection with reorganization(a)		6,739,160			175,346,775			—			—
Shares repurchased		(439,543	)		(11,695,126	)		(87,109	)		(2,238,685	)
Net increase (decrease)		9,325,622		$	242,131,286			3,399,746		$	85,664,922
Class I: (r)
Shares sold		4,848,696		$	115,110,578			3,566,561		$	88,681,940
Shares issued to shareholders in reinvestment of distributions		869,086			21,195,796			71,643			1,757,400
Shares issued to shareholders in connection with reorganization(a)		4,273,468			111,094,880			—			—
Shares repurchased		(1,810,113	)		(44,845,668	)		(116,810	)		(2,898,788	)
Net increase (decrease)		8,181,137		$	202,555,586			3,521,394		$	87,540,552
Resources Fund
Class III:
Shares sold		5,566,651		$	104,471,696			2,761,934		$	55,016,482
Shares issued to shareholders in reinvestment of distributions		567,771			13,774,201			306,986			6,449,418
Shares repurchased		(1,016,432	)		(23,560,174	)		(302,137	)		(6,067,221	)
Shares repurchased in connection with reorganization(a)		(12,778,315	)		(350,668,382	)		—			—
Purchase premiums		—			—			—			87,946
Redemption fees		—			—			—			2,400
Net increase (decrease)		(7,660,325	)	$	(255,982,659	)		2,766,783		$	55,489,025
Class IV:
Shares sold		4,555,504		$	107,109,178			382,045		$	7,856,670
Shares issued to shareholders in reinvestment of distributions		704,295			17,024,643			509,639			10,674,039
Shares repurchased		(3,363,546	)		(71,459,516	)		(285,769	)		(5,818,904	)
Purchase premiums		—			—			—			147,126
Redemption fees		—			—			—			4,202
Net increase (decrease)		1,896,253		$	52,674,305			605,915		$	12,863,133

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class R6:(s)
Shares sold		40,259		$	1,068,906
Shares issued to shareholders in connection with reorganization(a)		54,721			1,501,686
Shares repurchased		(888	)		(23,453	)
Net increase (decrease)		94,092		$	2,547,139
Class I:(s)
Shares sold		695,863		$	19,518,024
Shares issued to shareholders in connection with reorganization(a)		12,718,172			349,017,891
Shares repurchased		(143,755	)		(3,958,459	)
Net increase (decrease)		13,270,280		$	364,577,456
Tax-Managed International Equities Fund
Class III:
Shares sold		1,805,115		$	20,617,208			722		$	10,001
Shares issued to shareholders in reinvestment of distributions		9,074			135,500			61,454			905,073
Shares repurchased		(2,045,534	)		(26,003,077	)		(918,834	)		(13,006,197	)
Net increase (decrease)		(231,345	)	$	(5,250,369	)		(856,658	)	$	(12,091,123	)
U.S. Equity Fund
Class III:
Shares sold		390,012		$	4,296,146			280,647		$	3,693,248
Shares issued to shareholders in reinvestment of distributions		721,214			8,728,187			959,250			12,501,419
Shares repurchased		(815,138	)		(10,502,121	)		(4,232,533	)		(55,999,328	)
Net increase (decrease)		296,088		$	2,522,212			(2,992,636	)	$	(39,804,661	)
Class VI:
Shares sold		3,501,114		$	44,086,437			765,484		$	9,757,003
Shares issued to shareholders in reinvestment of distributions		2,251,552			26,876,326			4,277,949			55,400,367
Shares repurchased		(19,564,469	)(t)		(240,929,654	)(t)		(32,517,831	)		(433,954,549	)
Net increase (decrease)		(13,811,803	)	$	(169,966,891	)		(27,474,398	)	$	(368,797,179	)
U.S. Small Cap Value Fund
Class VI:(u)
Shares sold		4,758,720		$	67,971,759			26,882,418	(w)	$	541,929,344	(w)
Shares issued to shareholders in reinvestment of distributions		337,635			6,843,929			177,333			3,801,218
Shares repurchased		(13,194,884	)(v)		(261,216,696	)(v)		(4,053,702	)		(81,541,924	)
Net increase (decrease)		(8,098,529	)	$	(186,401,008	)		23,006,049		$	464,188,638

^(a)  See Note 11 for discussion of reorganization.

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

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

^(d)  The period under the heading “Year Ended February 28, 2021” represents the period from May 12, 2020 (commencement of operations) through February 28, 2021.

^(e)  Class III liquidated on January 22, 2021.

^(f)  For the period June 25, 2019 to February 29, 2020, Class IV had no shareholders.

154

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

^(g)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(h)  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.

⁽ⁱ⁾  The period under the heading “Year Ended February 28, 2021” represents the period from March 31, 2020 (commencement of operations) through February 28, 2021.

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

^(k)  13,244,102 shares and $293,635,824 were redeemed in-kind.

^(l)  The period under the heading “Year Ended February 28, 2021” represents the period from September 14, 2020 (commencement of operations) through February 28, 2021.

^(m)  1,161,256 shares and $26,431,152 were purchased in-kind.

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

^(o)  3,733,580 shares and $88,710,926 were redeemed in-kind.

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

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

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

^(s)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(t)  3,849,646 shares and $51,936,295 were redeemed in-kind.

^(u)  The period under the heading “Year Ended February 29, 2020” represents the period from July 2, 2019 (commencement of operations) through February 29, 2020. February 29, 2020” represents the period from February 26, 2020 through February 29, 2020.

^(v)  3,680,987 shares and $83,728,845 were redeemed in-kind.

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

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2021 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
Climate Change Fund
GMO U.S. Treasury Fund	$	8,545,006	$	131,650,051	$	121,641,856	$	8,787	*	$	1,155	$	25,397		$	(14,867	)	$	18,563,731
Cyclical Focus Fund
GMO U.S. Treasury Fund	$	—	$	7,528,000	$	7,000,000	$	907		$	286	$	—		$	—		$	528,000
Emerging Domestic Opportunities Fund
CMI Ltd	$	325,809	$	—	$	326,512	$	—		$	—	$	(3,310,713	)	$	3,311,416		$	—	#
Gayatri Projects Ltd		3,380,455		—		1,436,828		—			—		(1,485,323	)		1,667,267			—	#
GMO U.S. Treasury Fund		18,615,329		226,543,803		245,227,370		38,293			16		85,327			(17,089	)		—
Totals	$	22,321,593	$	226,543,803	$	246,990,710	$	38,293		$	16	$	(4,710,709	)	$	4,961,594		$	—

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	485,306	$	—	$	—	$	—	$	—	$	—		$	192,701		$	678,007
Gayatri Highways Ltd		49,629		—		53,333		—		—		(1,353,564	)		1,357,268			—	#
Gayatri Projects Ltd		5,130,069		—		1,223,719		—		—		(2,099,960	)		4,490,009			6,296,399
Totals	$	5,665,004	$	—	$	1,277,052	$	—	$	—	$	(3,453,524	)	$	6,039,978		$	6,974,406
Quality Fund
GMO U.S. Treasury Fund	$	15,768,140	$	—	$	6,000,000	$	31,838	$	975	$	47,619		$	15,202		$	9,830,961
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	$	1,055,000	$	1,420,000	$	768	$	26	$	2,326		$	(857	)	$	5,165
U.S. Equity Fund
GMO U.S. Treasury Fund	$	1,469,983	$	57,600,000	$	56,230,000	$	7,941		213	$	13,242		$	(2,929	)	$	2,850,296
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	6,280,467	$	50,000,000	$	56,192,000	$	4,990	$	343	$	28,629		$	(15,999	)	$	101,097

* 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 $16,320 in Climate Change Fund during the year.

# Security is no longer an affiliate at year end.

11. Reorganization

Under a plan of reorganization completed at the close of business on January 22, 2021, GMO Climate Change Series Fund, GMO Emerging Domestic Opportunities Series Fund, GMO Emerging Markets Series Fund, GMO Quality Series Fund and GMO Resources Series Fund (each, a “Selling Fund”) transferred all of their assets and liabilities to GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO Quality Fund and GMO Resources Fund (each, an “Acquiring Fund”), respectively, in a reorganization that was approved by the shareholders and that was tax-free from a U.S. federal tax perspective. Prior to the reorganization, each Selling Fund invested all or substantially all of its assets in the corresponding Acquiring Fund and thus had the same investment program as the Acquiring Fund. The purpose of the reorganization was to provide exposure to a more efficient portfolio with substantially similar investment strategies.

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

The following is a summary of net assets and shares outstanding of the Acquiring Funds immediately before and after the reorganization.

	Before Reorganization		After Reorganization
GMO Climate Change Fund
Net assets		$325,591,865		$325,751,217
Shares outstanding
Class III		5,584,858		4,893,608
Class I		1,511,080		2,208,055
Net asset value per share
Class III		$35.18		$35.18
Class I		$35.12		$35.12
GMO Emerging Domestic Opportunities Fund
Net assets		$1,113,606,556		$1,113,769,359
Shares outstanding
Class III		545,433		0
Class I		0		551,407
Net asset value per share
Class III		$28.90		$0.00
Class I		$0.00		$28.88
GMO Emerging Markets Fund
Net assets		$3,194,894,095		$3,195,147,391
Shares outstanding
Class III		13,574,730		12,531,371
Class R6		755,101		1,194,418
Class I		1,369,821		1,984,679
Net asset value per share
Class III		$37.78		$37.78
Class R6		$37.64		$37.64
Class I		$37.63		$37.63
GMO Quality Fund
Net assets		$7,482,218,495		$7,482,542,613
Shares outstanding
Class III		137,986,811		127,001,617
Class R6		4,319,678		11,058,838
Class I		7,373,888		11,647,356
Net asset value per share
Class III		$26.04		$26.04
Class R6		$26.02		$26.02
Class I		$26.00		$26.00
GMO Resources Fund
Net assets		$982,068,220		$982,041,482
Shares outstanding
Class III		16,202,336		3,424,021
Class R6		0		54,721
Class I		0		12,718,172
Net asset value per share
Class III		$27.44		$27.44
Class R6		$0.00		$27.44
Class I		$0.00		$27.44

Because each Selling Fund was invested in the corresponding Acquiring Fund and no investments were transferred to the Acquiring Fund as part of the reorganization, the Acquiring Funds’ market value of investments, cost of investments and net unrealized appreciation/(depreciation) were unchanged as a result of the reorganization. Since the reorganization did not result in transfers of investments, its impact to the Statement of Operations were not material to the Acquiring Funds. Therefore, pro forma financial statements showing the effect of the reorganization are not presented.

157

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Climate Change Fund, GMO Cyclical Focus Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Cyclical Focus Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund, and GMO U.S. Small Cap Value Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2021, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund	Statements of operations for the year ended February 28, 2021 and the statements of changes in net assets for each of the two years in the period ended February 28, 2021
GMO Cyclical Focus Fund	Statements of operations and changes in net assets for the period May 12, 2020 (commencement of operations) through February 28, 2021
GMO-Usonian Japan Value Creation Fund	Statements of operations and changes in net assets for the period September 14, 2020 (commencement of operations) through February 28, 2021
GMO U.S. Small Cap Value Fund	Statement of operations for the year ended February 28, 2021 and statement of changes in net assets for the year ended February 28, 2021 and for the period July 2, 2019 (commencement of operations) through February 29, 2020

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, MA

April 27, 2021

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

158

GMO Trust Funds

Board Review of Investment Management Agreement

February 28, 2021 (Unaudited)

GMO-Usonian Japan Value Creation Fund

Approval of initial management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on July 30, 2020, the Trustees of GMO Trust (the “Trust”) approved for an initial two-year term commencing August 11, 2020 the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At a meeting on July 30, 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 the senior member of the investment team 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 other funds and accounts advised by the investment team that would advise the Fund, noting that this performance was achieved by the investment team while its members were employed by a different investment advisory firm.

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 other funds 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 fees of other funds and accounts pursuing similar investment strategies that are advised by the investment team that would advise the Fund, as well as 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, 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.

159

GMO Trust Funds

Fund Expenses

February 28, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2021.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2020 through February 28, 2021.

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. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$1,427.00		$4.63		$1,000.00		$1,020.98		$3.86		0.77%
Class R6		$1,000.00		$1,427.30		$4.63		$1,000.00		$1,020.98		$3.86		0.77%
Class I		$1,000.00		$1,426.60		$5.23		$1,000.00		$1,020.48		$4.36		0.87%
Cyclical Focus Fund
Class VI		$1,000.00		$1,290.40		$2.27		$1,000.00		$1,022.81		$2.01		0.40%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,163.50		$5.47		$1,000.00		$1,019.74		$5.11		1.02%
Class V		$1,000.00		$1,164.10		$4.78		$1,000.00		$1,020.38		$4.46		0.89%
Class I(a)		$1,000.00		$958.10		$1.03		$1,000.00		$1,019.64		$5.21		1.04%
Emerging Markets Fund
Class II		$1,000.00		$1,178.30		$4.97		$1,000.00		$1,020.23		$4.61		0.92%
Class III		$1,000.00		$1,178.70		$4.70		$1,000.00		$1,020.48		$4.36		0.87%
Class V		$1,000.00		$1,179.60		$4.16		$1,000.00		$1,020.98		$3.86		0.77%
Class VI		$1,000.00		$1,179.50		$4.00		$1,000.00		$1,021.13		$3.71		0.74%
Class R6		$1,000.00		$1,178.40		$5.02		$1,000.00		$1,020.18		$4.66		0.93%
Class I		$1,000.00		$1,178.40		$5.29		$1,000.00		$1,019.94		$4.91		0.98%
International Equity Fund
Class II		$1,000.00		$1,166.70		$3.92		$1,000.00		$1,021.18		$3.66		0.73%
Class III		$1,000.00		$1,166.90		$3.55		$1,000.00		$1,021.52		$3.31		0.66%
Class IV		$1,000.00		$1,167.00		$3.22		$1,000.00		$1,021.82		$3.01		0.60%
Japan Value Creation Fund(b)
Class VI		$1,000.00		$1,188.20		$2.80		$1,000.00		$1,022.02		$2.81		0.56%

160

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2021 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Quality Fund
Class III		$1,000.00		$1,117.20		$2.52		$1,000.00		$1,022.41		$2.41		0.48%
Class IV		$1,000.00		$1,117.20		$2.31		$1,000.00		$1,022.61		$2.21		0.44%
Class VI		$1,000.00		$1,117.40		$2.05		$1,000.00		$1,022.86		$1.96		0.39%
Class R6		$1,000.00		$1,116.90		$2.57		$1,000.00		$1,022.36		$2.46		0.49%
Class I		$1,000.00		$1,116.00		$3.10		$1,000.00		$1,021.87		$2.96		0.59%
Resources Fund
Class III		$1,000.00		$1,459.50		$4.33		$1,000.00		$1,021.27		$3.56		0.71%
Class IV		$1,000.00		$1,459.50		$4.02		$1,000.00		$1,021.52		$3.31		0.66%
Class R6(a)		$1,000.00		$1,013.80		$0.72		$1,000.00		$1,021.27		$3.56		0.71%
Class I(a)		$1,000.00		$1,013.50		$0.83		$1,000.00		$1,020.78		$4.06		0.81%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,158.70		$3.53		$1,000.00		$1,021.52		$3.31		0.66%
U.S. Equity Fund
Class III		$1,000.00		$1,169.20		$2.47		$1,000.00		$1,022.51		$2.31		0.46%
Class VI		$1,000.00		$1,169.80		$1.99		$1,000.00		$1,022.96		$1.86		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$1,414.20		$2.39		$1,000.00		$1,022.81		$2.01		0.40%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2021, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(a)  For the period January 22, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 37 days in the period, divided by 365 days in the year.

^(b)  For the period September 14, 2020 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 2021, multiplied by the average account value over the period, multiplied by 167 days in the period, divided by 365 days in the year.

161

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2021 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2021:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)		Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income ($)(3)		Short- Term Capital Gain Dividends ($)(3)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)(4)		Foreign Source Income ($)(4)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Climate Change Fund		5.68%		45.57%		—		46,887		4,114,087		7,099,833		246,026		3,652,523		—
Cyclical Focus Fund		11.70%		24.76%		—		—		4,615,397		—		—		—		—
Emerging Domestic Opportunities Fund		2.44%		98.00%		1.70%		—		—		—		2,616,234		9,717,530		—
Emerging Markets Fund		—		56.81%		—		1,284,255		—		—		12,026,066		114,520,393		—
International Equity Fund		—		67.22%		—		778,997		—		—		—		—		—
Japan Value Creation Fund		—		65.02%		—		—		55,555		—		177,464		1,774,638		—
Quality Fund		63.42%		80.95%		—		2,263,699		56,143,661		774,234,311		—		—		—
Resources Fund		3.20%		79.82%		—		—		4,072,900		11,022,393		1,839,991		20,141,393		—
Tax-Managed International Equities Fund		—		100.00%		—		—		—		—		94,790		977,130		—
U.S. Equity Fund		44.83%		48.38%		—		168,067		9,483,285		20,105,110		—		—		617
U.S. Small Cap Value Fund		100.00%		100.00%		—		70,317		—		—		—		—		640,630

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

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

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

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

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

In early 2022, the Funds will notify applicable shareholders of amounts for use in preparing 2021 U.S. federal income tax forms.

162

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2021. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		29	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		29	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		29	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).
Interested Trustee and Officer
Jonathan Feigelson1 YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017-2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006-2016)		29	None.

¹  Mr. Feigelson is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above.

163

Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA-CREF (2006 – 2016).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President – Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti-Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present; Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

164

AR-022821-EQ

GMO Trust

Annual Report

February 28, 2021

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

Strategic Opportunities Allocation Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

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

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

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

TABLE OF CONTENTS

Alternative Allocation Fund
Management Discussion and Analysis of Fund Performance	2
Performance Graph	3
Investment Concentration Summary	4
Schedule of Investments	5
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance	18
Performance Graph	19
Investment Concentration Summary	20
Schedule of Investments	21
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance	22
Performance Graph	23
Investment Concentration Summary	24
Schedule of Investments	25
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance	48
Performance Graph	49
Investment Concentration Summary	50
Schedule of Investments	51
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	52
Performance Graph	53
Investment Concentration Summary	54
Schedule of Investments	55
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	56
Performance Graph	57
Investment Concentration Summary	58
Schedule of Investments	59
Implementation Fund
Management Discussion and Analysis of Fund Performance	60
Performance Graph	61
Investment Concentration Summary	62
Schedule of Investments	63
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	90
Performance Graph	91
Investment Concentration Summary	92
Schedule of Investments	93
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance	94
Performance Graph	95
Investment Concentration Summary	96
Schedule of Investments	97
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance	98
Performance Graph	99
Investment Concentration Summary	100
Schedule of Investments	101
Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance	104
Performance Graph	105
Investment Concentration Summary	106
Schedule of Investments	107

Portfolio, Counterparty and Currency Abbreviations	118
Fund Financial Statements:
Statements of Assets and Liabilities	119
Statements of Operations	125
Statements of Changes in Net Assets	128
Statement of Cash Flows	134
Financial Highlights	135
Notes to Financial Statements	147
Report of Independent Registered Public Accounting Firm	213
Fund Expenses	214
Tax Information	216
Trustees and Officers	217

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class VI shares of GMO Alternative Allocation Fund returned +0.01% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

One of the underlying strategies, Systematic Global Macro had a solid positive return and, as a sizeable allocation, was the biggest contributor to total Fund returns with a 2.0% contribution. Event-Driven and High Yield also made decent contributions of 0.5% and 0.4%, respectively, as Event-Driven had a modest positive return but a sizeable allocation, while High Yield enjoyed a larger return on a smaller allocation. The Equity Dislocation Strategy, which is broadly 100% long cheap global Value and 100% short expensive global Growth, was added towards the end of 2020, and got off to a great start adding almost 0.5% to the total Fund return. The holdings in cash and equivalents, which are needed to collateralize the underlying exposures, generated a modest positive return as did the Asset Allocation Long/Short strategy and the Relative Value Credit strategy, while the Put Selling strategy had negligible impact. Unfortunately, the Fixed Income Absolute Return Strategy, which had a substantial exposure, suffered a very challenging year, and largely offset the positive contributions from the other strategies.

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

2

GMO Alternative Allocation Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

For Class VI, R6 and I the gross expense ratio of 1.43%, 1.59% and 1.69%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 1.16%, 1.32% and 1.42% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		55.5	%
Debt Obligations		29.4
Investment Funds		10.4
Short-Term Investments		5.1
Preferred Stocks		0.3
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options		(0.2	)
Futures Contracts		(0.2	)
Swap Contracts		(0.5	)
Securities Sold Short		(36.4	)
Other		36.6
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		2.2	%
Other Emerging		0.0	^†
		2.2	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		21.7	%
China		2.6
Other Emerging		1.8	†
Taiwan		1.4
Australia		1.1
United Kingdom		1.0
Other Developed		(0.3	)‡
		29.3	%

(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. 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 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.

^ Rounds to 0.0%.

4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 50.1%
		Australia — 1.4%
	5,363	BHP Group Ltd		202,724
	18,210	BlueScope Steel Ltd		232,563
	494,300	Coca-Cola Amatil Ltd		5,103,500
	4,352	Computershare Ltd (a)		44,528
	34,096	Dexus (REIT)		233,893
	9,537	Fortescue Metals Group Ltd		176,131
	85,845	GPT Group (The) (REIT)		281,964
	68,980	Mirvac Group (REIT)		118,894
	2,625	Rio Tinto Ltd		257,565
	150,531	Scentre Group (REIT)		333,326
	8,570	Stockland (REIT)		27,383
		Total Australia		7,012,471
		Belgium — 0.1%
	6,227	Ageas SA/NV (a)		349,034
	871	UCB SA (a)		86,366
		Total Belgium		435,400
		Canada — 0.3%
	2,900	Canadian Apartment Properties (REIT)		116,310
	200	Canadian Tire Corp Ltd – Class A		25,843
	6,800	Imperial Oil Ltd (a)		149,027
	1,300	Linamar Corp		72,641
	3,900	Magna International Inc		328,494
	300	Manulife Financial Corp (a)		5,981
	10,400	Power Corp of Canada (a)		250,724
	6,100	RioCan Real Estate Investment Trust		90,882
	15,600	TELUS Corp		312,588
		Total Canada		1,352,490
		China — 0.6%
	62,000	Agile Group Holdings Ltd		87,561
	394,000	Bank of Communications Co Ltd – Class H		222,403
	9,500	Beijing Enterprises Holdings Ltd		32,879
	168,000	China Communications Services Corp Ltd – Class H		79,464
	2,599,000	China Huarong Asset Management Co Ltd – Class H		307,863
	12,500	China Overseas Land & Investment Ltd		31,672
	712,000	China Railway Group Ltd – Class H		375,997
	334,400	China Zhongwang Holdings Ltd *		98,249
	105,000	Chongqing Rural Commercial Bank Co Ltd – Class H		46,280
	284,000	Dongfeng Motor Group Co Ltd – Class H		260,715
	37,500	Fosun International Ltd		56,257
	262,400	Guangzhou R&F Properties Co Ltd – Class H		350,207
	19,000	Kingboard Holdings Ltd		87,531
	42,900	Legend Holdings Corp – Class H		63,980
	18,000	Momo Inc Sponsored ADR (a)		285,120

Shares		Description	Value ($)
		China — continued
	34,000	Seazen Group Ltd *		41,057
	33,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		61,079
	69,000	Shimao Group Holdings Ltd		227,214
	66,000	Sinopharm Group Co Ltd – Class H		154,527
	256,000	Skyworth Group Ltd *		80,438
	232,000	Yuzhou Group Holdings Co Ltd		89,422
		Total China		3,039,915
		Denmark — 0.2%
	18,095	Danske Bank A/S		332,639
	7,746	Demant A/S * (a)		318,401
	2,943	Pandora A/S		285,722
		Total Denmark		936,762
		Finland — 0.0%
	52,470	Nokia Oyj *		209,047
		France — 0.3%
	3,747	Atos SE * (a)		292,863
	4,273	Publicis Groupe SA (a)		251,258
	7,510	Renault SA *		337,244
	13,744	Societe Generale SA *		340,114
	2,061	Unibail-Rodamco-Westfield (REIT) *		151,741
	5,230	Valeo SA		184,839
		Total France		1,558,059
		Germany — 0.3%
	26,199	Aroundtown SA		190,507
	4,566	Bayer AG (Registered) (a)		277,344
	630	Bayerische Motoren Werke AG		54,438
	4,840	Daimler AG (Registered)		388,000
	7,112	Deutsche Lufthansa AG (Registered) *		106,126
	603	Deutsche Wohnen SE		28,343
	1,790	Fresenius SE & Co KGaA		76,689
	2,069	SAP SE		255,908
		Total Germany		1,377,355
		Hong Kong — 0.2%
	43,000	CK Hutchison Holdings Ltd		324,494
	432,000	First Pacific Co Ltd		141,728
	50,300	Hongkong Land Holdings Ltd		241,652
	45,500	Kerry Properties Ltd		146,585
	534,000	PCCW Ltd		306,256
	6,500	Swire Pacific Ltd – Class A		47,640
		Total Hong Kong		1,208,355
		Israel — 0.1%
	1,000	Check Point Software Technologies Ltd *		110,240

See accompanying notes to the financial statements. 5

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Israel — continued
	30,600	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		329,256
		Total Israel		439,496
		Italy — 0.2%
	4,119	EXOR NV (a)		330,175
	14,546	Leonardo SPA		116,019
	319,892	Telecom Italia SPA		151,889
	479,429	Telecom Italia SPA – RSP		257,022
		Total Italy		855,105
		Japan — 1.1%
	33,100	Asahi Kasei Corp		359,089
	6,900	Astellas Pharma Inc (a)		109,097
	2,500	Central Japan Railway Co		411,936
	4,600	Daiwa House Industry Co Ltd		130,484
	3,300	Electric Power Development Co Ltd		53,970
	10,500	Honda Motor Co Ltd		290,233
	59,500	Inpex Corp (a)		442,417
	11,100	ITOCHU Corp		331,535
	10,300	KDDI Corp		321,087
	300	MEIJI Holdings Co Ltd		19,085
	12,800	Nippon Telegraph & Telephone Corp		331,585
	37,300	Obayashi Corp		322,003
	20,700	ORIX Corp (a)		353,198
	17,000	Sekisui House Ltd		320,766
	28,700	Shimizu Corp		218,022
	25,800	Sumitomo Chemical Co Ltd		125,603
	22,600	Sumitomo Dainippon Pharma Co Ltd (a)		359,231
	1,500	Suzuki Motor Corp		65,430
	6,400	Taisei Corp		226,950
	11,300	TIS Inc (a)		235,237
	104,700	Tokyo Electric Power Co Holdings Inc *		337,241
	4,600	Tosoh Corp		84,561
		Total Japan		5,448,760
		Netherlands — 0.3%
	7,623	ABN AMRO Bank NV CVA *		87,653
	58,511	Aegon NV (a)		280,427
	5,600	AerCap Holdings NV *		269,808
	33,946	ING Groep NV		371,801
	10,020	Koninklijke Ahold Delhaize NV		264,576
	2,955	NN Group NV (a)		136,443
	3,693	Randstad NV *		246,981
		Total Netherlands		1,657,689
		New Zealand — 0.1%
	54,568	Meridian Energy Ltd		224,642
		South Africa — 0.1%
	27,750	Bidvest Group Ltd (The)		307,740

Shares		Description	Value ($)
		South Africa — continued
	40,963	Old Mutual Ltd		36,398
		Total South Africa		344,138
		Spain — 0.1%
	58,170	Banco Bilbao Vizcaya Argentaria SA		323,476
	103,214	Banco Santander SA *		358,885
		Total Spain		682,361
		Sweden — 0.1%
	38,435	Nordea Bank Abp		348,099
		Switzerland — 0.1%
	5,031	Adecco Group AG (Registered)		316,635
	2,465	Banque Cantonale Vaudoise (Registered)		258,339
		Total Switzerland		574,974
		United Kingdom — 4.2%
	19,301	Aviva Plc (a)		97,787
	5,163	Berkeley Group Holdings Plc (The)		292,520
	178,933	BT Group Plc *		309,718
	3,877	Carnival Plc *		86,349
	8,068	Coca-Cola HBC AG *		253,000
	1,091	Ferguson Plc		129,077
	31,839	GW Pharmaceuticals Plc ADR * (a)		6,821,506
	50,071	Kingfisher Plc *		185,586
	107,848	M&G Plc (a)		277,777
	54,221	Micro Focus International Plc * (a)		318,323
	28	National Grid Plc		315
	199,297	Royal Dutch Shell Plc – Class B Sponsored ADR (a)		7,748,667
	417,200	RSA Insurance Group Plc (a)		3,938,761
	1,573	Smiths Group Plc		32,213
	56,314	Taylor Wimpey Plc *		124,251
	19,173	WPP Plc (a)		229,298
		Total United Kingdom		20,845,148
		United States — 40.3%
	150,035	Aerojet Rocketdyne Holdings, Inc. *		7,692,294
	1,500	Aflac, Inc. (a)		71,835
	51,733	Alexion Pharmaceuticals, Inc. * (a)		7,902,216
	4,200	Alliance Data Systems Corp. (a)		405,300
	800	Allstate Corp. (The) (a)		85,280
	5,200	Ally Financial, Inc. (a)		215,800
	1,400	American International Group, Inc. (a)		61,530
	800	Anthem, Inc. (a)		242,552
	600	Archer-Daniels-Midland Co.		33,948
	3,300	Arrow Electronics, Inc. *		330,858
	10,100	AT&T, Inc.		281,689
	6,900	Athene Holding Ltd. – Class A * (a)		314,571
	100	AutoZone, Inc. *		115,992
	1,500	Bank of New York Mellon Corp. (The) (a)		63,240

6 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	1,900	Bed Bath & Beyond, Inc. *		51,034
	300	Best Buy Co., Inc.		30,105
	1,000	Biogen, Inc. * (a)		272,880
	1,900	Booz Allen Hamilton Holding Corp. (a)		146,566
	3,500	BorgWarner, Inc.		157,500
	39,000	Bristol-Myers Squibb Co.		2,391,870
	69,300	Cantel Medical Corp. *		5,147,604
	3,400	Capital One Financial Corp. (a)		408,646
	300	Capri Holdings Ltd. *		14,001
	200	CarMax, Inc. *		23,902
	12,700	Carnival Corp. *		339,725
	7,000	Carrier Global Corp.		255,710
	5,000	CBRE Group, Inc. – Class A *		378,850
	4,000	Centene Corp. * (a)		234,160
	1,500	CenterPoint Energy, Inc.		29,160
	346,200	Change Healthcare, Inc. *		7,917,594
	1,700	Cigna Corp. (a)		356,830
	4,200	Cisco Systems, Inc.		188,454
	5,500	Citigroup, Inc.		362,340
	6,200	Citizens Financial Group, Inc.		269,328
	3,100	Cognizant Technology Solutions Corp. – Class A (a)		227,788
	6,500	Comcast Corp. – Class A (a)		342,680
	1,500	Consolidated Edison, Inc.		98,475
	8,000	Corteva, Inc.		361,200
	30,600	Coty Inc. – Class A *		234,702
	4,600	CVS Health Corp. (a)		313,398
	2,100	Discover Financial Services (a)		197,547
	204,071	Discovery, Inc. – Class C * (a)		9,183,195
	9,000	DISH Network Corp. – Class A * (a)		283,590
	4,000	DR Horton, Inc.		307,480
	1,100	Dropbox, Inc. – Class A * (a)		24,799
	3,100	Edwards Lifesciences Corp. * (a)		257,610
	500	Electronic Arts, Inc. (a)		66,985
	6,300	Exelon Corp.		243,180
	2,400	Expedia Group, Inc. *		386,400
	7,700	Exxon Mobil Corp. (a)		418,649
	1,200	Facebook, Inc. – Class A * (a)		309,144
	400	FedEx Corp.		101,800
	700	Fifth Third Bancorp		24,283
	1,000	FleetCor Technologies, Inc. * (a)		277,310
	166,796	FLIR Systems, Inc.		8,906,906
	34,600	Ford Motor Co. *		404,820
	4,800	Fox Corp. – Class A (a)		159,888
	8,400	Fox Corp. – Class B (a)		268,212
	7,300	General Motors Co. *		374,709
	800	General Mills, Inc.		44,008
	3,900	Gilead Sciences, Inc. (a)		239,460
	1,300	Goldman Sachs Group, Inc. (The) (a)		415,324
	21,777	Grubhub, Inc. *		1,395,252
	500	Hartford Financial Services Group, Inc. (The) (a)		25,345
	10,600	HP, Inc.		307,082

Shares		Description	Value ($)
		United States — continued
	124,892	IHS Markit Ltd.		11,260,263
	69,389	Inphi Corp. * (a)		11,420,736
	5,700	Intel Corp. (a)		346,446
	500	International Paper Co.		24,825
	2,800	International Business Machines Corp. (a)		333,004
	13,600	Invesco Ltd. (a)		304,912
	1,700	Jazz Pharmaceuticals Plc *		285,668
	22,200	Kinder Morgan, Inc. (a)		326,340
	4,500	Kohl’s Corp. *		248,625
	6,700	Kraft Heinz Co. (The)		243,746
	7,800	Kroger Co. (The)		251,238
	1,000	Laboratory Corp. of America Holdings * (a)		239,910
	2,100	Leidos Holdings, Inc. * (a)		185,745
	3,800	Lennar Corp. – Class A		315,286
	84,958	Liberty Broadband Corp. – Class C * (a)		12,702,071
	5,800	Lincoln National Corp. (a)		329,846
	3,000	LKQ Corp. *		118,170
	28,700	Lumen Technologies, Inc.		352,723
	3,500	LyondellBasell Industries NV – Class A		360,815
	175,917	Maxim Integrated Products, Inc. (a)		16,390,187
	7,300	MetLife, Inc. (a)		420,480
	4,600	Micron Technology, Inc. * (a)		421,038
	800	Mohawk Industries, Inc. *		139,992
	6,700	Molson Coors Brewing Co. – Class B *		297,815
	1,700	Morgan Stanley (a)		130,679
	5,900	Occidental Petroleum Corp. (a)		156,999
	4,800	Oracle Corp. (a)		309,648
	1,200	PACCAR, Inc.		109,188
	2,900	PG&E Corp. *		30,479
	5,000	Phillips 66 (a)		415,250
	186,105	PNM Resources, Inc.		8,934,901
	4,000	PPL Corp.		104,760
	17,897	PRA Health Sciences, Inc. *		2,638,197
	800	Principal Financial Group, Inc. (a)		45,264
	1,800	Progressive Corp. (The) (a)		154,710
	4,000	Prudential Financial, Inc. (a)		346,880
	500	Public Service Enterprise Group, Inc.		26,915
	4,800	PulteGroup, Inc.		216,528
	14,800	Qurate Retail, Inc. – Series A		183,816
	4,600	Raytheon Technologies Corp.		331,154
	600	Regeneron Pharmaceuticals, Inc. * (a)		270,342
	176,000	Slack Technologies, Inc. – Class A * (a)		7,203,680
	200	Snap-on, Inc.		40,622
	3,900	SS&C Technologies Holdings, Inc. (a)		258,492
	9,600	Synchrony Financial (a)		371,328
	21,075	Teladoc Health, Inc. *		4,659,472
	3,200	Textron, Inc.		161,088
	4,000	Tyson Foods, Inc. – Class A		270,680
	800	United Rentals, Inc. *		237,904
	2,300	Universal Health Services, Inc. – Class B * (a)		288,259
	71,607	Varian Medical Systems, Inc. * (a)		12,550,559

See accompanying notes to the financial statements. 7

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	4,600	Verizon Communications, Inc.		254,380
	7,500	ViacomCBS, Inc. – Class B (a)		483,675
	14,600	Viatris, Inc. * (a)		216,810
	800	VICI Properties, Inc. (REIT)		22,800
	1,700	VMware, Inc. – Class A * (a)		234,957
	4,800	Walgreens Boots Alliance, Inc.		230,064
	11,100	Wells Fargo & Co.		401,487
	10,900	Western Union Co. (The) (a)		253,098
	5,200	Western Digital Corp. *		356,356
	600	Whirlpool Corp.		114,048
	110,677	Willis Towers Watson Plc (a)		24,419,773
	104,700	Xilinx, Inc. (a)		13,642,410
		Total United States		201,392,118
		TOTAL COMMON STOCKS (COST $231,331,413)		249,942,384
		PREFERRED STOCKS (b) — 0.1%
		Germany — 0.1%
	4,986	Bayerische Motoren Werke AG		337,653
	391	Henkel AG & Co KGaA		38,507
		Total Germany		376,160
		TOTAL PREFERRED STOCKS (COST $346,244)		376,160
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	195,149	Bristol-Myers Squibb Co., Expires 03/31/21 * (c)		146,362
		TOTAL RIGHTS/WARRANTS (COST $270,780)		146,362
		INVESTMENT FUNDS — 10.4%
		United States — 10.4%
	734,100	Altaba, Inc. (c)		10,681,155
	107,500	iShares Core S&P 500 ETF		41,040,275
		Total United States		51,721,430
		TOTAL INVESTMENT FUNDS (COST $49,332,355)		51,721,430
		DEBT OBLIGATIONS — 29.3%
		United States — 28.6%
		Asset-Backed Securities — 12.6%
	7,435,777	Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.15%, due 07/18/27		7,437,688

Shares		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	9,433,694	Canyon CLO Ltd., Series 20-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.92%, 2.16%, due 07/15/28		9,469,444
	844,910	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.06%, due 01/27/28		845,114
	5,794,635	MP CLO VIII Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.91%, 1.13%, due 10/28/27		5,796,292
	8,063,879	Neuberger Berman CLO XIX Ltd., Series 15-19A, Class A1R2, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.04%, due 07/15/27		8,065,798
	3,403,632	Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.09%, due 10/20/27		3,404,527
	2,685,044	Ocean Trails CLO VI, Series 16-6A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.39%, due 07/15/28		2,687,041
	1,473,764	Octagon Investment Partners XXIII Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.09%, due 07/15/27		1,474,115
	1,871,893	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.09%, due 11/15/26		1,872,638
	4,092,659	Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 1.03%, due 08/20/27		4,094,350
	4,595,954	TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 1.06%, due 04/20/28		4,597,163
	8,460,531	Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 1.06%, due 04/15/27		8,462,544
	4,835,266	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.19%, due 04/15/29		4,801,782
		Total Asset-Backed Securities		63,008,496
		U.S. Government — 16.0%
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/22		1,000,117
	19,000,000	U.S. Treasury Note, 0.13%, due 08/31/22		19,000,742
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22 (a)		20,005,152
	20,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		19,999,219
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23 (a)		20,001,580
		Total U.S. Government		80,006,810
		Total United States		143,015,306

8 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States Virgin Islands — 0.7%
		Asset-Backed Securities — 0.7%
	3,376,282	Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.27%, due 10/26/27		3,377,266
		TOTAL DEBT OBLIGATIONS (COST $146,191,714)		146,392,572
		MUTUAL FUNDS — 5.8%
		United States — 5.8%
		Affiliated Issuers — 5.8%
	801,777	GMO Emerging Markets Fund, Class VI		29,192,704
		TOTAL MUTUAL FUNDS (COST $25,967,584)		29,192,704

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.1%
		Money Market Funds — 5.1%
	25,386,986	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		25,386,986
	156,168	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (e)		156,168
		TOTAL SHORT-TERM INVESTMENTS (COST $25,543,154)		25,543,154

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps — Calls — 0.0%

CDX.NA.IGS.35.V1-5Y

BOA

47.50

%

04/21/21

USD

24,450,000

Fixed Spread

Receive

8,015

TOTAL PURCHASED OPTIONS (COST $26,895)	8,015
TOTAL INVESTMENTS — 100.8% (Cost $479,010,139)	503,322,781

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (36.5)%
			Common Stocks — (36.4)%
			Australia — (0.3)%
	(3,326	)	Afterpay Ltd *		(303,811	)
	(46,005	)	APA Group		(330,227	)
	(1,441	)	ASX Ltd		(75,039	)
	(892	)	Cochlear Ltd		(145,536	)
	(159	)	Ramsay Health Care Ltd		(8,092	)
	(55,610	)	Sydney Airport *		(252,094	)
	(13,806	)	TPG Telecom Ltd *		(73,038	)
	(29,180	)	Transurban Group		(289,180	)
			Total Australia		(1,477,017	)
			Austria — (0.1)%
	(3,630	)	Verbund AG		(275,944	)
			Canada — (0.1)%
	(17,400	)	AltaGas Ltd		(263,748	)
			Denmark — (0.0)%
	(1,181	)	Ambu A/S – Class B		(54,425	)

Shares			Description	Value ($)
			Common Stocks — continued
			France — (0.4)%
	(5,804	)	Edenred		(321,669	)
	(18,729	)	Getlink SE *		(306,925	)
	(325	)	Hermes International		(362,063	)
	(601	)	Sartorius Stedim Biotech		(262,785	)
	(2,488	)	Ubisoft Entertainment SA *		(202,850	)
	(11,247	)	Vivendi SE		(389,283	)
	(2,821	)	Wendel SE		(321,830	)
			Total France		(2,167,405	)
			Germany — (0.4)%
	(2,038	)	Delivery Hero SE *		(260,415	)
	(3,079	)	Puma SE *		(327,864	)
	(1,873	)	QIAGEN NV *		(92,559	)
	(7,820	)	RWE AG		(295,360	)
	(3,316	)	Scout24 AG		(250,124	)
	(110,544	)	Telefonica Deutschland Holding AG		(296,010	)
	(9,469	)	Uniper SE		(330,967	)
	(2,926	)	Zalando SE *		(300,813	)
			Total Germany		(2,154,112	)

See accompanying notes to the financial statements. 9

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			Ireland — (0.3)%
	(7,389	)	ICON Plc *		(1,335,045	)
			Israel — (0.1)%
	(900	)	Wix.com Ltd *		(313,713	)
			Italy — (0.2)%
	(1,330	)	Amplifon SPA *		(52,904	)
	(2,607	)	Atlantia SPA *		(48,808	)
	(1,646	)	Ferrari NV		(320,320	)
	(21,720	)	FinecoBank Banca Fineco SPA *		(380,950	)
	(3,887	)	Infrastrutture Wireless Italiane SPA		(40,466	)
			Total Italy		(843,448	)
			Japan — (1.2)%
	(14,000	)	Acom Co Ltd		(62,736	)
	(9,200	)	Asahi Intecc Co Ltd		(264,205	)
	(64,600	)	ENEOS Holdings Inc		(285,660	)
	(300	)	Fast Retailing Co Ltd		(297,443	)
	(2,500	)	GMO Payment Gateway Inc		(330,887	)
	(5,200	)	Hitachi Metals Ltd		(82,845	)
	(500	)	Ibiden Co Ltd		(20,426	)
	(11,100	)	Idemitsu Kosan Co Ltd		(291,966	)
	(10,900	)	Isetan Mitsukoshi Holdings Ltd		(80,180	)
	(4,800	)	Japan Airport Terminal Co Ltd		(232,356	)
	(5,200	)	Japan Exchange Group Inc		(112,302	)
	(63	)	Japan Real Estate Investment Corp		(385,078	)
	(17,400	)	JGC Holding Corp		(225,928	)
	(18,100	)	Keikyu Corp		(287,916	)
	(500	)	Keio Corp		(37,514	)
	(1,200	)	Kintetsu Group Holdings Co Ltd		(50,481	)
	(16,800	)	Kyushu Electric Power Co Inc		(144,354	)
	(1,100	)	Lasertec Corp		(134,683	)
	(9,800	)	LIXIL Corp		(276,342	)
	(3,700	)	M3 Inc		(294,068	)
	(500	)	McDonald’s Holdings Co Japan Ltd		(24,844	)
	(2,400	)	Mercari Inc *		(115,473	)
	(1,100	)	Mitsubishi Materials Corp		(26,059	)
	(5,500	)	MonotaRO Co Ltd		(316,205	)
	(1,000	)	Nidec Corp		(127,515	)
	(4,200	)	Nihon M&A Center Inc		(229,216	)
	(2,700	)	Nippon Paint Holdings Co Ltd		(201,105	)
	(11,400	)	Nippon Yusen KK		(329,741	)
	(500	)	Nissin Foods Holdings Co Ltd		(37,784	)
	(5,600	)	Odakyu Electric Railway Co Ltd		(164,588	)
	(1,600	)	ORIENTAL LAND CO LTD		(269,413	)
	(2,000	)	Yaskawa Electric Corp		(100,625	)
			Total Japan		(5,839,938	)
			Netherlands — (0.4)%
	(166	)	Adyen NV *		(387,342	)

Shares			Description	Value ($)
			Common Stocks — continued
			Netherlands — continued
	(17,458	)	Just Eat Takeaway.com NV *		(1,679,925	)
			Total Netherlands		(2,067,267	)
			New Zealand — (0.0)%
	(2,628	)	Xero Ltd *		(240,512	)
			Norway — (0.0)%
	(896	)	Schibsted ASA – B Shares *		(30,725	)
			Peru — (0.1)%
	(4,800	)	Southern Copper Corp		(342,384	)
			Singapore — (0.1)%
	(46,900	)	Singapore Exchange Ltd		(349,181	)
			Spain — (0.2)%
	(5,781	)	Cellnex Telecom SA		(314,543	)
	(12,517	)	Endesa SA		(309,299	)
	(11,379	)	Ferrovial SA		(282,402	)
	(7,713	)	Siemens Gamesa Renewable Energy SA		(286,101	)
			Total Spain		(1,192,345	)
			Sweden — (0.1)%
	(2,398	)	Evolution Gaming Group AB		(299,018	)
			Switzerland — (0.2)%
	(219	)	Partners Group Holding AG		(262,202	)
	(268	)	Straumann Holding AG (Registered)		(323,654	)
	(3,632	)	Swiss Re AG		(341,219	)
			Total Switzerland		(927,075	)
			United Kingdom — (3.2)%
	(5,018	)	Admiral Group Plc		(217,150	)
	(8,841	)	Antofagasta Plc		(220,653	)
	(105,866	)	AstraZeneca Plc Sponsored ADR		(5,121,797	)
	(41,370	)	Auto Trader Group Plc *		(318,076	)
	(99,136	)	ConvaTec Group Plc		(260,236	)
	(17,349	)	Entain Plc *		(343,218	)
	(7,404	)	Experian Plc		(235,031	)
	(4,074	)	Halma Plc		(128,971	)
	(15,135	)	Hargreaves Lansdown Plc		(319,979	)
	(41,990	)	Informa Plc *		(322,130	)
	(3,588	)	Land Securities Group Plc (REIT)		(33,274	)
	(2,828	)	London Stock Exchange Group Plc		(380,023	)
	(8,387	)	Melrose Industries Plc *		(19,491	)
	(10,017	)	Ocado Group Plc *		(307,756	)
	(5,621	)	Prudential Plc		(111,972	)
	(189,150	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(7,760,825	)
	(649	)	Spirax-Sarco Engineering Plc		(97,265	)
			Total United Kingdom		(16,197,847	)

10 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			United States — (29.0)%
	(183,548	)	Advanced Micro Devices, Inc. *		(15,511,641	)
	(8,000	)	AES Corp. (The)		(212,480	)
	(600	)	Agilent Technologies, Inc.		(73,242	)
	(300	)	Align Technology, Inc. *		(170,133	)
	(1,500	)	American Tower Corp. (REIT)		(324,195	)
	(110,889	)	Analog Devices, Inc.		(17,278,724	)
	(119,691	)	Aon Plc – Class A		(27,254,838	)
	(2,900	)	Aramark		(107,648	)
	(2,300	)	Arthur J Gallagher & Co.		(275,540	)
	(1,200	)	Autodesk, Inc. *		(331,200	)
	(1,700	)	Avalara, Inc. *		(266,798	)
	(1,000	)	Axalta Coating Systems Ltd. *		(27,340	)
	(1,000	)	Ball Corp.		(85,390	)
	(100	)	Black Knight, Inc. *		(7,669	)
	(39,001	)	Bristol-Myers Squibb Co.		(2,391,931	)
	(200	)	Broadcom, Inc.		(93,974	)
	(1,300	)	Burlington Stores, Inc. *		(336,466	)
	(1,400	)	Cabot Oil & Gas Corp.		(25,914	)
	(900	)	Carvana Co. *		(255,150	)
	(1,400	)	Catalent, Inc. *		(159,194	)
	(1,500	)	Ceridian HCM Holding, Inc. *		(134,490	)
	(7,479	)	Charter Communications, Inc. – Class A *		(4,587,768	)
	(5,500	)	Cheniere Energy, Inc. *		(370,645	)
	(200	)	Chipotle Mexican Grill, Inc. *		(288,400	)
	(1,100	)	Cloudflare, Inc. – Class A *		(81,367	)
	(800	)	CME Group, Inc.		(159,760	)
	(2,900	)	Cognex Corp.		(239,511	)
	(200	)	CoStar Group, Inc. *		(164,752	)
	(1,000	)	Coupa Software, Inc. *		(346,260	)
	(1,700	)	Crowdstrike Holdings, Inc. – Class A *		(367,200	)
	(1,700	)	Crown Castle International Corp. (REIT)		(264,775	)
	(2,700	)	Datadog, Inc. – Class A *		(257,607	)
	(800	)	DexCom, Inc. *		(318,224	)
	(1,800	)	Digital Realty Trust, Inc. (REIT)		(242,514	)
	(183,398	)	Discovery, Inc. – Class A *		(9,725,596	)
	(1,400	)	DocuSign, Inc. *		(317,324	)
	(1,600	)	Enphase Energy, Inc. *		(281,696	)
	(1,500	)	Equifax, Inc.		(242,820	)
	(400	)	Equinix, Inc. (REIT)		(259,336	)
	(5,700	)	Equity LifeStyle Properties, Inc. (REIT)		(351,405	)
	(200	)	Erie Indemnity Co. – Class A		(48,420	)
	(800	)	Essential Utilities, Inc.		(33,648	)
	(200	)	Etsy, Inc. *		(44,054	)
	(2,500	)	Exact Sciences Corp. *		(340,300	)
	(1,900	)	Fastenal Co.		(88,103	)
	(2,600	)	Guidewire Software, Inc. *		(288,574	)
	(600	)	HubSpot, Inc. *		(309,000	)
	(600	)	IDEXX Laboratories, Inc. *		(312,102	)
	(200	)	Illumina, Inc. *		(87,882	)
	(3,400	)	Ingersoll Rand, Inc. *		(157,556	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,300	)	Insulet Corp. *		(336,830	)
	(1,900	)	IQVIA Holdings, Inc. *		(366,301	)
	(2,900	)	Iron Mountain, Inc. (REIT)		(100,891	)
	(2,679	)	Jazz Pharmaceuticals Plc *		(450,179	)
	(4,400	)	Lamb Weston Holdings, Inc.		(350,988	)
	(1,000	)	Liberty Broadband Corp. – Class A *		(145,360	)
	(56,940	)	Liberty Broadband Corp. – Class C *		(8,513,099	)
	(1,100	)	Liberty Global Plc – Class C *		(26,730	)
	(7,500	)	Liberty Media Corp-Liberty Formula One – Class C *		(329,250	)
	(1,100	)	Linde Plc		(268,697	)
	(4,700	)	Live Nation Entertainment, Inc. *		(417,642	)
	(300	)	Lululemon Athletica, Inc. *		(93,504	)
	(600	)	MarketAxess Holdings, Inc.		(333,564	)
	(161,198	)	Marvell Technology Group Ltd.		(7,782,639	)
	(1,000	)	MongoDB, Inc. *		(385,930	)
	(400	)	Monolithic Power Systems, Inc.		(149,808	)
	(800	)	MSCI, Inc.		(331,616	)
	(300	)	Neurocrine Biosciences, Inc. *		(32,853	)
	(2,100	)	NIKE Inc. – Class B		(283,038	)
	(1,600	)	Novocure Ltd. *		(238,560	)
	(600	)	NRG Energy, Inc.		(21,906	)
	(5,000	)	Nuance Communications, Inc. *		(223,000	)
	(300	)	NVIDIA Corp.		(164,574	)
	(1,400	)	Okta, Inc. *		(366,030	)
	(600	)	Paycom Software, Inc. *		(224,544	)
	(2,200	)	Philip Morris International, Inc.		(184,844	)
	(600	)	Pinterest, Inc. – Class A *		(48,348	)
	(600	)	Pioneer Natural Resources Co.		(89,142	)
	(800	)	Public Storage (REIT)		(187,152	)
	(900	)	RingCentral, Inc. – Class A *		(340,344	)
	(200	)	Rockwell Automation, Inc.		(48,656	)
	(900	)	Roku, Inc. *		(355,932	)
	(7,100	)	Rollins, Inc.		(235,507	)
	(35,950	)	S&P Global, Inc.		(11,840,492	)
	(13,661	)	salesforce.com, Inc. *		(2,957,607	)
	(900	)	SBA Communications Corp. (REIT)		(229,617	)
	(1,000	)	Seagen, Inc. *		(151,110	)
	(600	)	ServiceNow, Inc. *		(320,076	)
	(2,900	)	Simon Property Group, Inc. (REIT)		(327,468	)
	(7,000	)	Snap, Inc. – Class A *		(459,620	)
	(1,700	)	Splunk, Inc. *		(243,117	)
	(1,200	)	Square, Inc. – Class A *		(276,036	)
	(2,800	)	Starbucks Corp.		(302,484	)
	(23,418	)	STERIS Plc		(4,093,466	)
	(600	)	Sun Communities, Inc. (REIT)		(91,170	)
	(3,500	)	Sunrun, Inc. *		(219,030	)
	(300	)	Sysco Corp.		(23,889	)
	(200	)	Take-Two Interactive Software, Inc. *		(36,892	)
	(11,700	)	Targa Resources Corp.		(361,881	)
	(22,375	)	Teladoc Health, Inc. *		(4,946,889	)

See accompanying notes to the financial statements. 11

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(11,953	)	Teledyne Technologies, Inc. *		(4,434,563	)
	(500	)	Tesla, Inc. *		(337,750	)
	(100	)	TransDigm Group, Inc. *		(57,667	)
	(1,000	)	Twilio, Inc. – Class A *		(392,880	)
	(1,800	)	Twitter, Inc. *		(138,708	)
	(2,700	)	Uber Technologies, Inc. *		(139,725	)
	(8,000	)	UDR, Inc. (REIT)		(329,360	)
	(1,000	)	Vail Resorts, Inc.		(309,180	)
	(900	)	Wayfair, Inc. – Class A *		(260,082	)
	(600	)	West Pharmaceutical Services, Inc.		(168,390	)
	(12,100	)	Williams Cos, Inc. (The)		(276,364	)
	(3,100	)	Wynn Resorts Ltd. *		(408,363	)
	(400	)	XPO Logistics, Inc. *		(46,640	)
	(1,600	)	Zendesk, Inc. *		(233,824	)
	(2,688	)	Zillow Group, Inc. – Class C *		(433,655	)
	(700	)	Zoetis, Inc.		(108,668	)
	(700	)	Zoom Video Communications, Inc. – Class A *		(261,527	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,700	)	Zscaler, Inc. *		(348,551	)
			Total United States		(144,894,755	)
			TOTAL COMMON STOCKS (PROCEEDS $163,805,759)		(181,265,904	)
			PREFERRED STOCKS (b) — (0.1)%
			Germany — (0.1)%
	(720	)	Sartorius AG		(369,809	)
			TOTAL PREFERRED STOCKS (PROCEEDS $318,960)		(369,809	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $164,124,719)		(181,635,713	)
			Other Assets and Liabilities (net) — 35.7%		177,649,939
			TOTAL NET ASSETS — 100.0%		$499,337,007

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/31/2021	BOA		AUD	5,353,882		USD	4,240,607		120,578
03/31/2021	SSB		AUD	987,987		USD	767,879		7,583
04/16/2021	GS		AUD	2,218,662		USD	1,721,999		14,565
04/16/2021	MSCI		AUD	1,045,271		USD	822,011		17,593
04/16/2021	UBSA		AUD	17,456,685		USD	13,510,008		75,722
05/10/2021	MSCI		AUD	64,719,000		USD	49,327,851		(480,826	)
04/05/2021	GS		BRL	4,160,079		USD	770,000		28,552
04/05/2021	JPM		BRL	8,659,139		USD	1,606,579		63,267
04/05/2021	MSCI		BRL	5,128,670		USD	950,000		35,921
05/03/2021	BCLY		CAD	5,141,138		USD	4,040,000		(187	)
05/03/2021	JPM		CAD	4,919,551		USD	3,885,264		19,213
04/13/2021	JPM		CHF	8,513,624		USD	9,490,000		119,736
04/13/2021	MSCI		CHF	52,661,944		USD	59,287,967		1,327,184
05/24/2021	JPM		CLP	662,465,000		USD	940,000		23,896
05/24/2021	MSCI		CLP	359,930,500		USD	508,211		10,474
03/15/2021	DB		EUR	895,918		USD	1,085,302		4,013
03/15/2021	JPM		EUR	1,922,493		USD	2,319,003		(1,267	)
03/19/2021	BOA		EUR	859,736		USD	1,035,935		(1,786	)
03/31/2021	BCLY		EUR	3,050,000		USD	3,698,904		16,411
03/19/2021	MSCI		GBP	2,489,290		USD	3,447,968		(20,451	)
03/19/2021	SSB		GBP	368,530		USD	519,861		6,375
04/13/2021	BCLY		GBP	3,140,000		USD	4,340,777		(34,923	)
04/13/2021	JPM		GBP	8,280,000		USD	11,281,031		(257,439	)
04/13/2021	BCLY		HUF	1,509,723,002		USD	5,078,011		55,663
04/13/2021	JPM		HUF	402,006,821		USD	1,350,000		12,657
04/30/2021	GS		ILS	2,927,913		USD	900,000		14,554
04/19/2021	JPM		INR	57,722,930		USD	790,000		14,691
03/09/2021	BCLY		JPY	109,200,000		USD	1,040,000		15,499
03/09/2021	JPM		JPY	415,048,229		USD	3,940,000		46,069

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/19/2021	SSB		JPY	336,367,200		USD	3,169,300		13,140
04/21/2021	DB		MXN	12,702,437		USD	640,000		36,039
04/19/2021	JPM		NOK	41,475,717		USD	4,880,000		96,813
04/16/2021	UBSA		NZD	3,220,426		USD	2,326,793		(66	)
05/05/2021	JPM		NZD	5,160,000		USD	3,763,412		35,339
05/05/2021	MSCI		NZD	26,300,000		USD	18,949,676		(51,937	)
04/21/2021	JPM		PHP	146,445,145		USD	3,042,269		65,560
05/28/2021	BCLY		RON	15,110,866		USD	3,745,793		21,137
05/05/2021	JPM		SEK	17,448,894		USD	2,110,000		42,136
04/15/2021	MSCI		SGD	3,635,043		USD	2,743,946		18,167
04/16/2021	BOA		THB	24,191,107		USD	803,054		419
05/03/2021	BCLY		TWD	4,035,249		USD	145,714		(97	)
05/03/2021	JPM		TWD	16,028,880		USD	580,000		807
05/10/2021	JPM		USD	710,901		AUD	900,000		(18,248	)
04/05/2021	JPM		USD	630,000		BRL	3,401,408		(23,770	)
03/31/2021	MSCI		USD	3,569,011		CAD	4,579,456		29,795
05/03/2021	BCLY		USD	5,140,000		CAD	6,483,940		(44,566	)
05/03/2021	MSCI		USD	56,377,545		CAD	72,354,265		482,388
04/13/2021	MSCI		USD	2,510,000		CHF	2,227,600		(58,259	)
04/30/2021	MSCI		USD	2,612,904		COP	9,362,212,200		(50,926	)
05/17/2021	MSCI		USD	2,115,878		CZK	44,985,685		(41,562	)
03/15/2021	BCLY		USD	1,468,522		EUR	1,209,710		(8,515	)
03/15/2021	DB		USD	5,465,175		EUR	4,514,802		(16,233	)
03/15/2021	SSB		USD	20,374,678		EUR	16,697,339		(222,555	)
03/19/2021	BOA		USD	2,654		EUR	2,203		5
03/31/2021	MSCI		USD	47,687,334		EUR	39,290,000		(249,578	)
04/16/2021	UBSA		USD	19,944,945		EUR	16,430,847		(99,668	)
05/17/2021	BCLY		USD	20,643,729		EUR	17,000,000		(97,374	)
04/13/2021	MSCI		USD	18,678,996		GBP	13,856,000		629,825

12 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/13/2021	CITI		USD	500,000		HUF	147,124,650		(10,565	)
05/11/2021	JPM		USD	800,000		IDR	11,360,800,000		(19,048	)
05/11/2021	MSCI		USD	2,832,249		IDR	39,963,040,000		(85,151	)
04/19/2021	CITI		USD	700,000		INR	51,728,880		(5,200	)
04/19/2021	JPM		USD	3,708,826		INR	274,390,783		(23,329	)
03/09/2021	MSCI		USD	50,371,458		JPY	5,309,967,694		(554,004	)
04/12/2021	BOA		USD	20,652,021		JPY	2,177,530,473		(214,128	)
05/10/2021	BCLY		USD	1,963,676		JPY	205,045,640		(38,560	)
05/10/2021	JPM		USD	1,836,174		JPY	193,946,269		(15,267	)
05/10/2021	MSCI		USD	18,977,385		JPY	2,000,000,000		(199,941	)
05/10/2021	UBSA		USD	4,329,682		JPY	458,273,247		(27,082	)
04/19/2021	MSCI		USD	1,452,421		KRW	1,604,736,810		(28,394	)
04/21/2021	JPM		USD	3,480,487		MXN	69,169,459		(191,695	)
04/19/2021	BCLY		USD	2,870,000		NOK	24,472,777		(47,677	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/19/2021	JPM		USD	1,984,642		NOK	17,002,940		(23,778	)
05/05/2021	BOA		USD	981,082		NZD	1,365,252		5,306
05/05/2021	JPM		USD	17,948,481		NZD	24,934,748		66,745
05/24/2021	MSCI		USD	1,406,369		PEN	5,136,480		1,467
05/17/2021	CITI		USD	3,615,165		PLN	13,400,331		(37,156	)
05/12/2021	MSCI		USD	4,510,523		RUB	335,346,126		(55,780	)
05/05/2021	BCLY		USD	26,557,740		SEK	223,254,985		(99,845	)
05/05/2021	JPM		USD	18,700,000		SEK	156,748,834		(123,733	)
04/15/2021	DB		USD	1,210,000		SGD	1,599,829		(10,349	)
04/15/2021	GS		USD	1,150,000		SGD	1,524,701		(6,686	)
04/16/2021	MSCI		USD	805,457		THB	24,191,107		(2,823	)
05/17/2021	BCLY		USD	4,102,847		TRY	30,035,714		(195,058	)
04/30/2021	MSCI		USD	5,747,358		ZAR	88,482,659		57,523
								$	(142,655	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
205	Australian Government Bond 10 Yr.	March 2021		21,621,180		(1,203,935	)
164	CAC40 10 Euro	March 2021		11,288,660		(126,492	)
115	Canadian Government Bond 10 Yr.	June 2021		12,631,384		(233,237	)
2	DAX Index	March 2021		831,505		(7,657	)
75	Hang Seng Index	March 2021		14,042,585		(697,616	)
564	Mini MSCI Emerging Markets	March 2021		37,734,420		1,991,221
110	MSCI Singapore	March 2021		2,773,309		41,912
3	S&P/TSX 60	March 2021		505,328		15,558
30	TOPIX Index	March 2021		5,311,280		(84,432	)
168	U.S. Treasury Note 10 Yr. (CBT)	June 2021		22,296,750		(237,285	)
			$	129,036,401	$	(541,963	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
129	E-mini Russell 2000 Index	March 2021		14,184,840		(876,007	)
113	Euro Bund	March 2021		23,641,394		435,260
38	FTSE Taiwan Index	March 2021		2,106,853		64,069
89	FTSE/JSE TOP 40	March 2021		3,550,717		(317,394	)
232	S&P 500 E-Mini	March 2021		44,186,720		50,369
18	SPI 200	March 2021		2,297,693		(11,152	)
			$	89,968,217	$	(654,855	)

+ 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 ($)
Index Options — Puts
FTSE 100 Index	6,775.00		03/05/21		(37	)		GBP	(2,398,869	)		(83,349	)
FTSE 100 Index	6,475.00		03/19/21		(29	)		GBP	(1,880,195	)		(59,392	)
FTSE 100 Index	6,575.00		03/19/21		(19	)		GBP	(1,231,852	)		(47,484	)
S&P 500 Index	3,935.00		03/05/21		(13	)		USD	(4,954,495	)		(180,700	)
S&P 500 Index	3,905.00		03/12/21		(18	)		USD	(6,860,070	)		(223,740	)
S&P 500 Index	3,820.00		03/19/21		(16	)		USD	(6,097,840	)		(133,440	)
			Total Index Options — Puts									(728,105)

See accompanying notes to the financial statements. 13

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

Written Options — continued

Equity Options — continued

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Option on Credit Default Swaps — Call

CDX.NA.HYS.35.V1-5Y

JPM

109.50%

03/17/21

USD

(8,890,000)

Fixed Spread

Receive

(12,160

)

Written Options on Credit Default Swaps — Puts

CDX.NA.HYS.35.V1-5Y

JPM

109.00%

03/17/21

USD

(8,890,000)

Fixed Spread

Pay

(112,433

)

CDX.NA.IGS.35.V1-5Y

BOA

70.00%

04/21/21

USD

(24,450,000)

Fixed Spread

Pay

(31,513

)

Total Written Options on Credit Default Swaps — Puts

(143,946

)

TOTAL WRITTEN OPTIONS

(Premiums $677,642)

$

(884,211

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-NA.HYS.35.V1-5Y	USD	8,890,000		5.00%		3.11%		N/A		12/20/2025		Quarterly		(822,325	)		(729,549	)		92,776
CDX-NA.IGS.35.V1-5Y	USD	24,450,000		1.00%		0.56%		N/A		12/20/2025		Quarterly		(591,772	)		(506,849	)		84,923
ITRAXX.EUROPES.34.V1-5Y	EUR	9,968,000		1.00%		0.51%		N/A		12/20/2025		Quarterly		(313,377	)		(284,148	)		29,229
													$	(1,727,474	)	$	(1,520,546	)	$	206,928

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-NA.HYS.31.V14-5Y	CITI		USD	1,631,000		5.00%		5.21%		N/A		12/20/2023		Quarterly		(6,361	)		9,398			15,759
ITRAXX.EUROPES.32.V1-5Y	JPM		EUR	9,600,000		1.00%		1.64%		N/A		12/20/2024		Quarterly		572,808			282,731			(290,077	)
CMBX.NA.BBB-.9	CITI		USD	1,110,000		3.00%		5.79%		N/A		09/17/2058		Monthly		128,808			124,864			(3,944	)
CMBX.NA.BBB-.9	CITI		USD	666,000		3.00%		5.79%		N/A		09/17/2058		Monthly		77,753			74,919			(2,834	)
Sell Protection^:
CDX-NA.HYS.31.V14-5Y	CITI		USD	1,187,000		5.00%		1.41%		1,187,000 USD		12/20/2023		Quarterly		121,668			119,599			(2,069	)
CDX-NA.HYS.31.V14-5Y	CITI		USD	1,928,000		5.00%		1.41%		1,928,000 USD		12/20/2023		Quarterly		203,886			194,260			(9,626	)
CDX-NA.HYS.33.V12-5Y	CITI		USD	4,450,000		5.00%		0.47%		4,450,000 USD		12/20/2024		Quarterly		756,555			752,817			(3,738	)
ITRAXX.EUROPES.32.V1-5Y	JPM		EUR	20,000,000		1.00%		0.76%		20,000,000 EUR		12/20/2024		Quarterly		116,938			223,921			106,983
ITRAXX.EUROPES.34.V1-5Y	BOA		EUR	17,800,000		1.00%		0.23%		17,800,000 EUR		12/20/2025		Quarterly		857,391			811,997			(45,394	)
CMBX.NA.A.9	CITI		USD	1,112,500		2.00%		2.51%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(24,864	)		8,232
CMBX.NA.A.9	CITI		USD	1,780,000		2.00%		2.51%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(39,782	)		4,820
															$	2,751,748		$	2,529,860		$	(221,888	)

^ 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.

14 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

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

⁽¹⁾  As of February 28, 2021, 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) ($)
0.49%	3 Month CAD LIBOR	CAD	276,250,000		03/13/2023	Semi-Annually		67,894			792,469			724,575
3 Month CAD LIBOR	0.52%	CAD	7,680,000		03/13/2023	Semi-Annually		—			(18,435	)		(18,435	)
6 Month EURIBOR	(0.55)%	EUR	57,960,000		03/15/2023	Semi-Annually		(24,479	)		(127,803	)		(103,324	)
6 Month GBP LIBOR	0.10%	GBP	241,470,000		03/15/2023	Semi-Annually		5,127			(1,184,067	)		(1,189,194	)
6 Month GBP LIBOR	0.10%	GBP	21,050,000		03/15/2023	Semi-Annually		—			(104,389	)		(104,389	)
6 Month GBP LIBOR	0.18%	GBP	39,640,000		03/15/2023	Semi-Annually		704			(105,256	)		(105,960	)
0.23%	3 Month USD LIBOR	USD	57,860,000		03/15/2023	Quarterly		2,128			22,969			20,841
0.21%	3 Month USD LIBOR	USD	31,230,000		03/15/2023	Quarterly		(10,972	)		26,708			37,680
0.21%	3 Month USD LIBOR	USD	96,810,000		03/15/2023	Quarterly		(10,084	)		77,006			87,090
0.09%	3 Month AUD BBSW	AUD	25,700,000		03/17/2023	Quarterly		—			48,326			48,326
0.12%	3 Month AUD BBSW	AUD	20,850,000		03/17/2023	Quarterly		—			28,791			28,791
0.07%	3 Month AUD BBSW	AUD	68,570,000		03/17/2023	Quarterly		836			143,695			142,859
3 Month AUD BBSW	0.10%	AUD	5,080,000		03/17/2023	Quarterly		(601	)		(8,381	)		(7,780	)
(0.72)%	6 Month CHF LIBOR	CHF	8,640,000		03/17/2023	Semi-Annually		(1,266	)		21,016			22,282
6 Month CHF LIBOR	(0.70)%	CHF	11,800,000		03/17/2023	Semi-Annually		—			(24,245	)		(24,245	)
0.39%	3 Month NZD Bank Bill Rate	NZD	257,200,000		03/17/2023	Quarterly		(58,630	)		391,300			449,930
3 Month SEK STIBOR	(0.03)%	SEK	1,494,770,000		03/17/2023	Quarterly		38,245			(191,309	)		(229,554	)
1.05%	6 Month AUD BBSW	AUD	1,070,000		03/17/2031	Semi-Annually		(502	)		61,355			61,857
6 Month AUD BBSW	1.01%	AUD	4,360,000		03/17/2031	Semi-Annually		—			(261,738	)		(261,738	)
6 Month AUD BBSW	0.99%	AUD	5,380,000		03/17/2031	Semi-Annually		—			(332,948	)		(332,948	)
6 Month AUD BBSW	1.95%	AUD	87,580,000		03/17/2031	Semi-Annually		597,381			710,702			113,321
6 Month AUD BBSW	1.26%	AUD	14,360,000		03/17/2031	Semi-Annually		8,188			(609,315	)		(617,503	)
3 Month CAD LIBOR	1.50%	CAD	123,780,000		03/17/2031	Semi-Annually		10,129			(3,496,297	)		(3,506,426	)
3 Month CAD LIBOR	1.51%	CAD	55,510,000		03/17/2031	Semi-Annually		(51,022	)		(1,527,071	)		(1,476,049	)
3 Month CAD LIBOR	1.61%	CAD	10,690,000		03/17/2031	Semi-Annually		—			(215,378	)		(215,378	)
3 Month CAD LIBOR	1.75%	CAD	94,540,000		03/17/2031	Semi-Annually		(115,875	)		(930,327	)		(814,452	)
(0.23)%	6 Month CHF LIBOR	CHF	7,520,000		03/17/2031	Semi-Annually		—			267,079			267,079
(0.25)%	6 Month CHF LIBOR	CHF	2,430,000		03/17/2031	Semi-Annually		—			90,364			90,364
6 Month CHF LIBOR	(0.25)%	CHF	34,330,000		03/17/2031	Semi-Annually		(16,559	)		(1,307,213	)		(1,290,654	)
6 Month CHF LIBOR	(0.27)%	CHF	1,730,000		03/17/2031	Semi-Annually		3,783			(69,151	)		(72,934	)
(0.21)%	6 Month CHF LIBOR	CHF	2,340,000		03/17/2031	Semi-Annually		—			77,372			77,372
(0.19)%	6 Month CHF LIBOR	CHF	3,110,000		03/17/2031	Semi-Annually		—			96,597			96,597
(0.12)%	6 Month CHF LIBOR	CHF	13,180,000		03/17/2031	Semi-Annually		(5,659	)		302,193			307,852
0.09%	6 Month CHF LIBOR	CHF	4,210,000		03/17/2031	Semi-Annually		—			623			623
3 Month NZD Bank Bill Rate	1.10%	NZD	46,850,000		03/17/2031	Quarterly		(127,042	)		(2,846,654	)		(2,719,612	)
3 Month NZD Bank Bill Rate	2.15%	NZD	65,460,000		03/17/2031	Quarterly		440,939			655,178			214,239
3 Month NZD Bank Bill Rate	1.45%	NZD	7,270,000		03/17/2031	Quarterly		—			(269,009	)		(269,009	)
3 Month NZD Bank Bill Rate	1.70%	NZD	102,880,000		03/17/2031	Quarterly		(362,259	)		(2,090,635	)		(1,728,376	)
0.41%	3 Month SEK STIBOR	SEK	219,840,000		03/17/2031	Quarterly		(813	)		1,047,020			1,047,833
0.54%	3 Month SEK STIBOR	SEK	87,700,000		03/17/2031	Quarterly		(2,559	)		287,397			289,956
0.82%	3 Month SEK STIBOR	SEK	40,000,000		03/17/2031	Quarterly		—			2,099			2,099
3 Month SEK STIBOR	0.49%	SEK	53,870,000		03/17/2031	Quarterly		13,083			(206,933	)		(220,016	)
3 Month SEK STIBOR	0.48%	SEK	6,300,000		03/17/2031	Quarterly		—			(24,745	)		(24,745	)
(0.25)%	6 Month EURIBOR	EUR	11,470,000		03/19/2031	Semi-Annually		11,138			426,926			415,788
(0.03)%	6 Month EURIBOR	EUR	4,570,000		03/19/2031	Semi-Annually		—			47,258			47,258
0.02%	6 Month EURIBOR	EUR	184,560,000		03/19/2031	Semi-Annually		(55,945	)		753,198			809,143

See accompanying notes to the financial statements. 15

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

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) ($)
0.05%	6 Month EURIBOR	EUR	3,350,000		03/19/2031	Semi-Annually		—			(514	)		(514	)
0.48%	6 Month GBP LIBOR	GBP	45,280,000		03/19/2031	Semi-Annually		32,805			3,249,879			3,217,074
0.54%	6 Month GBP LIBOR	GBP	7,630,000		03/19/2031	Semi-Annually		20,920			483,523			462,603
0.69%	6 Month GBP LIBOR	GBP	8,070,000		03/19/2031	Semi-Annually		1,873			350,651			348,778
0.92%	6 Month GBP LIBOR	GBP	83,040,000		03/19/2031	Semi-Annually		148,267			1,020,026			871,759
1.46%	3 Month USD LIBOR	USD	93,120,000		03/19/2031	Quarterly		(52,914	)		634,852			687,766
1.51%	3 Month USD LIBOR	USD	4,970,000		03/19/2031	Quarterly		—			9,472			9,472
1.52%	3 Month USD LIBOR	USD	4,990,000		03/19/2031	Quarterly		—			4,037			4,037
1.52%	3 Month USD LIBOR	USD	5,000,000		03/19/2031	Quarterly		—			5,953			5,953
3 Month USD LIBOR	1.45%	USD	37,860,000		03/19/2031	Quarterly		(14,783	)		(294,222	)		(279,439	)
							$	491,476		$	(4,110,001	)	$	(4,601,477	)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.24%	GS	USD	14,860,800		03/01/2021		At Maturity		—		(406,438	)		(406,438	)
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.21%	GS	USD	26,463,375		03/10/2021		At Maturity		—		697,787			697,787
1 Month FED Funds Rate plus 0.60%	Total Return on Equity Basket (f)	GS	USD	193,238		05/24/2022		Monthly		—		1,794			1,794
Total Return on Equity Basket (f)	1 Month FED Funds Rate minus 0.50%	GS	USD	40,720		05/24/2022		Monthly		—		1,416			1,416
Total Return on Equity Basket(f)	1 Month FED Funds Rate minus 0.75%	GS	USD	187,128		05/24/2022		Monthly		—		10,672			10,672
1 Month FED Funds Rate plus 0.95%	Total Return on Equity Basket(f)	MORD	USD	201,680		10/18/2022		Monthly		—		263			263
Total Return on Equity Basket (f)	1 Month FED Funds Rate minus 0.40%	MORD	USD	3,148,869		10/18/2022		Monthly		—		412,229			412,229
Total Return on Equity Basket (f)	1 Month FED Funds Rate plus 1.00%	MORD	USD	101,361		12/19/2022		Monthly		—		6,329			6,329
Total Return on Equity Basket (f)	1 Month FED Funds Rate minus 0.50%	MORD	USD	4,659		02/21/2023		Monthly		—		333			333
									$	—	$	724,385		$	724,385

As of February 28, 2021, 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) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(d) The rate disclosed is the 7 day net yield as of February 28, 2021.

(e) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(f) 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 118.

16 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Benchmark-Free Allocation Fund returned +5.60% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets, despite the Special Opportunities Strategy having a tremendous year.

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

18

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, IV, MF, R6 and I the gross expense ratio of 1.03%, 0.98%, 0.98%, 1.03% and 1.13%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.88%, 0.83%, 0.83%, 0.88% and 0.98% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

19

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		73.4	%
Debt Obligations		18.0
Short-Term Investments		5.6
Preferred Stocks		1.1
Investment Funds		1.1
Swap Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.6	)
Securities Sold Short		(21.8	)
Other		23.1
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		3.2	%
Other Emerging		2.4	†
Other Developed		0.2	‡
Euro Region		0.0	^#
		5.8	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		11.3	%
Japan		8.2
United States		6.1
Other Developed		5.4	‡
Taiwan		4.9
Other Emerging		4.0	†
Russia		3.3
South Korea		2.4
United Kingdom		2.1
India		1.9
South Africa		1.3
Canada		1.1
Hong Kong		1.1
Netherlands		1.1
		54.2	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is 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 attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

20

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	6,328,082	GMO Emerging Country Debt Fund, Class IV		161,366,088
	469,934,492	GMO Implementation Fund		5,968,168,051
	9,198,727	GMO Opportunistic Income Fund, Class VI		237,695,110
	5,507,128	GMO SGM Major Markets Fund, Class VI		176,393,296
		TOTAL MUTUAL FUNDS (COST $6,757,132,953)		6,543,622,545
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	6,316,225	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		6,316,225
		TOTAL SHORT-TERM INVESTMENTS (COST $6,316,225)		6,316,225
		TOTAL INVESTMENTS — 100.1% (Cost $6,763,449,178)		6,549,938,770
		Other Assets and Liabilities (net) — (0.1%)		(4,940,935	)
		TOTAL NET ASSETS — 100.0%		$6,544,997,835

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

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

Class III shares of GMO Benchmark-Free Fund returned +6.64% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets, despite the Special Opportunities Strategy having a tremendous year.

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

22

GMO Benchmark-Free Fund

(A Series of GMO Trust)

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

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

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

For Class III the gross expense ratio of 0.35% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.31% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		79.8	%
Debt Obligations		14.3
Short-Term Investments		3.5
Investment Funds		1.2
Preferred Stocks		1.2
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		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(0.8	)
Futures Contracts		(19.6	)
Other		20.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		2.9	†%
United States		1.8
Other Developed		0.0	^‡
Euro Region		0.0	^#
		4.7	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		13.9	%
Japan		9.9
Other Developed		6.5	‡
Taiwan		5.7
United States		4.8
Russia		4.0
Other Emerging		3.3	†
South Korea		2.9
United Kingdom		2.5
India		2.0
South Africa		1.6
Canada		1.3
Hong Kong		1.3
Netherlands		1.3
Mexico		1.1
		62.1	%

& 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. Duration is 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 attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

24

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 76.6%
		Argentina — 0.1%
	15,000	Banco BBVA Argentina SA ADR *		40,650
	4,200	Globant SA *		901,824
	22,800	Grupo Financiero Galicia SA ADR		169,860
		Total Argentina		1,112,334
		Australia — 1.6%
	77,283	Accent Group Ltd		129,101
	25,859	Adairs Ltd		75,639
	17,975	Ansell Ltd (a)		499,549
	72,623	Asaleo Care Ltd		79,297
	632	Austal Ltd		1,155
	183,456	Australian Pharmaceutical Industries Ltd		157,076
	30,888	Aventus Group (REIT)		66,745
	12,278	Bank of Queensland Ltd * (b)		83,116
	3,676	Bank of Queensland Ltd * (b)		20,789
	23,333	BHP Group Ltd		881,998
	190,214	BlueScope Steel Ltd		2,429,256
	19,756	Codan Ltd		226,977
	40,499	Computershare Ltd (a)		414,367
	362,619	Dexus (REIT)		2,487,503
	387,703	Fortescue Metals Group Ltd		7,160,160
	39,768	GDI Property Group (REIT)		31,687
	133,824	Genworth Mortgage Insurance Australia Ltd		266,150
	1,039,851	GPT Group (The) (REIT)		3,415,464
	30,806	JB Hi-Fi Ltd		1,033,546
	29,709	McMillan Shakespeare Ltd		284,835
	644,307	Mirvac Group (REIT)		1,110,534
	99,102	Mount Gibson Iron Ltd		67,522
	71,491	Rio Tinto Ltd		7,014,696
	136,209	Sandfire Resources Ltd		636,638
	1,675,012	Scentre Group (REIT) (c)		3,709,041
	342,240	Stockland (REIT)		1,093,521
	13,140	Virtus Health Ltd (c)		61,714
		Total Australia		33,438,076
		Austria — 0.0%
	2,199	Semperit AG Holding *		67,963
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		55,804
		Total Austria		123,767
		Belgium — 0.4%
	113,350	Ageas SA/NV		6,353,465
	27,203	bpost SA *		294,651
	29,901	UCB SA		2,964,881
		Total Belgium		9,612,997

Shares		Description	Value ($)
		Brazil — 0.6%
	347,700	Banco Bradesco SA *		1,277,460
	133,600	Banco do Brasil SA		668,691
	292,900	Camil Alimentos SA		545,117
	317,200	Cia de Saneamento do Parana		1,120,122
	4,000	Cia Paranaense de Energia		41,041
	7,800	CPFL Energia SA		40,168
	150,200	Dimed SA Distribuidora da Medicamentos		503,865
	69,700	Mahle-Metal Leve SA		220,385
	399,900	Marfrig Global Foods SA *		991,865
	615,540	Petrobras Distribuidora SA		2,187,923
	15,500	Petroleo Brasileiro SA Sponsored ADR		122,915
	47,600	Telefonica Brasil SA		373,720
	381,800	TIM SA		872,032
	82,300	Tupy SA *		312,065
	118,500	Vale SA Sponsored ADR		2,002,650
	125,100	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		770,128
	26,100	WEG SA		363,496
		Total Brazil		12,413,643
		Canada — 1.4%
	7,100	AGF Management Ltd – Class B (c)		38,663
	200	Bank of Montreal		16,341
	51,819	Brookfield Asset Management Inc – Class A		2,090,897
	6,537	BRP Inc Sub Voting		472,322
	13,400	Canaccord Genuity Group Inc		120,248
	25,600	Canadian Apartment Properties (REIT)		1,026,736
	8,800	Canadian Imperial Bank of Commerce		811,334
	3,600	Canadian Tire Corp Ltd – Class A		465,177
	4,700	Canfor Corp *		95,876
	1,400	Canfor Pulp Products Inc		11,221
	33,300	Cascades Inc		439,342
	59,000	Celestica Inc * (b)		489,117
	4,000	Celestica Inc * (b)		33,120
	5,600	Cogeco Inc (a)		410,913
	5,600	First Quantum Minerals Ltd		120,704
	10,659	iA Financial Corp Inc		547,691
	8,200	IGM Financial Inc (c)		223,718
	59,900	Imperial Oil Ltd (c)		1,312,754
	10,300	Intertape Polymer Group Inc		194,005
	15,100	Linamar Corp		843,754
	39,200	Magna International Inc		3,301,782
	6,700	Martinrea International Inc		78,341
	3,000	Morguard North American Residential Real Estate Investment Trust		35,219
	38,000	Nutrien Ltd		2,050,480
	89,100	Power Corp of Canada		2,148,034
	57,400	RioCan Real Estate Investment Trust		855,182
	48,100	Royal Bank of Canada		4,095,644
	13,200	Sun Life Financial Inc (c)		635,210

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Canada — continued
	3,100	Teekay Tankers Ltd – Class A *		39,029
	148,800	TELUS Corp		2,981,613
	6,700	TFI International Inc		467,989
	26,700	Toronto-Dominion Bank (The)		1,618,449
	69,300	Tourmaline Oil Corp		1,261,188
	33,900	Transcontinental Inc – Class A (c)		582,581
	5,500	Wajax Corp		89,074
	6,400	Westshore Terminals Investment Corp (c)		95,050
		Total Canada		30,098,798
		Chile — 0.0%
	5,354	Inversiones La Construccion SA		38,058
		China — 12.8%
	3,313,668	Agile Group Holdings Ltd		4,679,780
	19,448,800	Agricultural Bank of China Ltd – Class H		7,073,406
	16,600	Alibaba Group Holding Ltd *		498,816
	37,500	Alibaba Group Holding Ltd Sponsored ADR *		8,916,000
	1,303,584	Anhui Conch Cement Co Ltd – Class H		8,377,194
	32,500	Asia Cement China Holdings Corp		30,559
	1,200	Autohome Inc ADR (a)		136,848
	4,144,000	BAIC Motor Corp Ltd – Class H		1,482,369
	35,900	Baidu Inc Sponsored ADR * (a)		10,176,214
	27,639,000	Bank of China Ltd – Class H		9,691,622
	17,133,000	Bank of Communications Co Ltd – Class H		9,671,159
	83,000	Beijing Enterprises Holdings Ltd		287,254
	130,400	BYD Co Ltd – Class A		3,973,921
	179,500	BYD Electronic International Co Ltd (c)		998,332
	8,368,000	China Cinda Asset Management Co Ltd – Class H		1,660,195
	3,961,357	China Communications Services Corp Ltd – Class H		1,873,726
	13,106,000	China Construction Bank Corp – Class H		10,520,770
	460,000	China Dongxiang Group Co Ltd		51,532
	2,098,000	China Everbright Bank Co Ltd – Class H		907,949
	1,822,000	China Feihe Ltd		4,984,000
	1,058,000	China Greenfresh Group Co Ltd * (d)		11,049
	2,026,500	China Hongqiao Group Ltd		2,512,154
	24,182,000	China Huarong Asset Management Co Ltd – Class H		2,864,459
	3,191,000	China Lesso Group Holdings Ltd		5,892,697
	508,000	China Lilang Ltd		362,653
	1,688,000	China Machinery Engineering Corp – Class H		774,091
	3,340,645	China Medical System Holdings Ltd		5,218,370
	78,798	China Merchants Bank Co Ltd – Class A		622,839
	5,884,000	China National Building Material Co Ltd – Class H		8,901,872
	650,000	China Oriental Group Co Ltd		203,954
	375,000	China Overseas Grand Oceans Group Ltd		206,049
	187,000	China Overseas Land & Investment Ltd		473,816
	12,738	China Petroleum & Chemical Corp ADR		700,845

Shares		Description	Value ($)
		China — continued
	14,878,000	China Petroleum & Chemical Corp – Class H		8,286,446
	162,000	China Pioneer Pharma Holdings Ltd		20,680
	16,988,042	China Railway Group Ltd – Class H		8,971,146
	1,341,000	China Reinsurance Group Corp – Class H		148,560
	34,000	China Resources Gas Group Ltd		169,977
	530,000	China Resources Land Ltd		2,518,631
	3,857,500	China Resources Pharmaceutical Group Ltd		2,459,396
	93,000	China SCE Group Holdings Ltd		38,482
	261,979	China Shenhua Energy Co Ltd – Class H		498,380
	570,000	China Shineway Pharmaceutical Group Ltd		415,355
	1,156,000	China South City Holdings Ltd		137,117
	313,900	China Vanke Co Ltd – Class A		1,609,813
	330,125	China Vanke Co Ltd – Class H		1,399,505
	15,400	China Yuchai International Ltd		242,396
	3,110,000	China Zhongwang Holdings Ltd *		913,740
	18,000	Chinasoft International Ltd *		19,053
	3,130,604	Country Garden Holdings Co Ltd		3,896,809
	15,000	Country Garden Services Holdings Co Ltd		123,385
	3,494,000	Dongfeng Motor Group Co Ltd – Class H		3,207,534
	1,966,000	Dongyue Group Ltd		1,545,162
	13,400	ENN Energy Holdings Ltd		204,914
	119,800	Everbright Securities Co Ltd – Class H		102,686
	628,700	Fangda Special Steel Technology Co Ltd – Class A *		699,415
	1,015,500	Fantasia Holdings Group Co Ltd *		159,687
	1,491,500	Fosun International Ltd		2,237,542
	642,000	Geely Automobile Holdings Ltd		2,076,682
	894,500	Great Wall Motor Co Ltd – Class H		2,591,230
	157,000	Greenland Hong Kong Holdings Ltd		50,464
	646,000	Guangdong Investment Ltd		1,153,701
	99,100	Guangdong Tapai Group Co Ltd – Class A		192,707
	82,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		209,705
	2,443,200	Guangzhou R&F Properties Co Ltd – Class H		3,260,765
	58,400	Guotai Junan Securities Co Ltd – Class H		81,110
	28,000	Haitian International Holdings Ltd		96,050
	41,000	Hebei Construction Group Corp Ltd – Class H		17,022
	8,500	Hengan International Group Co Ltd		58,759
	475,887	Hisense Home Appliances Group Co Ltd – Class A		1,102,391
	248,000	Hisense Home Appliances Group Co Ltd – Class H		379,476
	18,800	Hollysys Automation Technologies Ltd		283,128
	464,000	Hopson Development Holdings Ltd		1,522,767
	991,000	Huabao International Holdings Ltd		1,083,306
	7,693,000	Industrial & Commercial Bank of China Ltd – Class H		5,032,916
	1,600	JOYY Inc ADR (a)		188,640
	233,500	Kingboard Holdings Ltd		1,075,713
	36,500	Kingboard Laminates Holdings Ltd		62,120
	200	Kuaishou Technology *		7,962

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		China — continued
	259,000	KWG Group Holdings Ltd		392,306
	391,800	Legend Holdings Corp – Class H		584,325
	278,000	Lenovo Group Ltd		351,403
	392,481	Livzon Pharmaceutical Group Inc – Class H		1,442,401
	226,000	Logan Group Co Ltd		351,837
	245,000	Longfor Group Holdings Ltd		1,452,174
	3,447,000	Lonking Holdings Ltd		1,274,724
	24,000	Lufax Holding Ltd ADR *		360,480
	1,704,000	Metallurgical Corp of China Ltd – Class H		502,370
	135,800	Momo Inc Sponsored ADR (a)		2,151,072
	86,900	NetEase Inc		1,896,929
	70,900	NetEase Inc ADR (a)		7,788,365
	41,500	New China Life Insurance Co Ltd – Class A		334,605
	48,300	New China Life Insurance Co Ltd – Class H		184,243
	630,000	Nexteer Automotive Group Ltd		830,569
	2,106,000	Nine Dragons Paper Holdings Ltd		3,390,973
	1,135,000	PAX Global Technology Ltd		1,043,160
	5,700	PetroChina Co Ltd ADR		203,832
	2,726,000	PetroChina Co Ltd – Class H		975,746
	5,910,000	PICC Property & Casualty Co Ltd – Class H		4,471,288
	765,000	Poly Property Group Co Ltd		235,021
	1,595,000	Postal Savings Bank of China Co Ltd – Class H		1,186,688
	1,964,000	Powerlong Real Estate Holdings Ltd		1,488,100
	144,000	Qingling Motors Co Ltd – Class H		31,169
	244,000	Road King Infrastructure Ltd		331,517
	332,000	Seazen Group Ltd *		400,907
	16,000	Shanghai Baosight Software Co Ltd – Class A		141,945
	298,000	Shanghai Jin Jiang Capital Co Ltd – Class H		60,271
	16,400	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		46,500
	2,457,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		4,507,386
	420,858	Shenzhen Investment Ltd		151,564
	10,500	Shenzhou International Group Holdings Ltd		217,733
	2,042,500	Shimao Group Holdings Ltd		6,725,848
	186,500	Sinopec Engineering Group Co Ltd – Class H		99,513
	2,991,600	Sinopharm Group Co Ltd – Class H		7,004,284
	1,544,500	Sinotruk Hong Kong Ltd		4,929,177
	2,374,000	Skyworth Group Ltd *		745,934
	1,816,000	TCL Electronics Holdings Ltd *		1,478,105
	141,600	Tencent Holdings Ltd		12,318,766
	35,000	Tencent Holdings Ltd ADR (a)		3,052,000
	610,000	Tianjin Port Development Holdings Ltd		51,862
	1,674,000	Tianneng Power International Ltd (c)		3,234,314
	51,597	Tsingtao Brewery Co Ltd – Class A		636,879
	28,000	Tsingtao Brewery Co Ltd – Class H		229,949
	115,800	Vipshop Holdings Ltd ADR *		4,321,656
	1,303,185	Weifu High-Technology Group Co Ltd – Class A		4,643,486
	3,890,000	West China Cement Ltd		641,118
	435,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		282,063

Shares		Description	Value ($)
		China — continued
	69,000	Xtep International Holdings Ltd		32,875
	700	Yixintang Pharmaceutical Group Co Ltd – Class A		4,547
	34,000	Yuexiu Property Co Ltd		7,543
	100	Yum China Holdings Inc		5,984
	2,837,000	Yuzhou Group Holdings Co Ltd		1,093,488
	144,099	Zhejiang Weixing New Building Materials Co Ltd – Class A		414,126
	623,999	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		1,433,564
	31,200	Zhengzhou Yutong Bus Co Ltd – Class A		73,323
	674,000	Zhongsheng Group Holdings Ltd		4,165,787
	1,573,198	Zhuzhou Kibing Group Co Ltd – Class A		3,588,419
	432,600	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		658,991
		Total China		275,944,123
		Czech Republic — 0.0%
	5,678	CEZ AS		138,585
	2,291	Komercni Banka AS *		71,509
	98,949	Moneta Money Bank AS *		360,738
	15	Philip Morris CR AS		10,640
		Total Czech Republic		581,472
		Denmark — 0.5%
	205,382	Danske Bank A/S		3,775,521
	72,475	Demant A/S * (a)		2,979,097
	7,316	Matas A/S *		96,694
	34,400	Pandora A/S		3,339,736
	24,338	Scandinavian Tobacco Group A/S		451,779
		Total Denmark		10,642,827
		Egypt — 0.0%
	13,380	Commercial International Bank Egypt SAE		52,707
	11,787	Eastern Co SAE		11,145
		Total Egypt		63,852
		Finland — 0.2%
	2,416	Aktia Bank Oyj		26,212
	16,599	Kesko Oyj – B Shares		422,347
	42,507	Neste Oyj		2,807,592
	490,849	Nokia Oyj *		1,955,600
	3,498	Tokmanni Group Corp		76,074
	3,774	Uponor Oyj		79,084
		Total Finland		5,366,909
		France — 1.7%
	1,553	AKWEL		54,888
	18,514	ALD SA		271,042
	27,305	APERAM SA		1,144,460

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		France — continued
	8,186	ArcelorMittal SA *		191,154
	603	Arkema SA		66,473
	902	Assystem SA		27,358
	35,104	Atos SE * (a)		2,743,708
	839	Axway Software SA * (a)		28,865
	71,972	BNP Paribas SA *		4,278,550
	721	Boiron SA		29,806
	680	Bonduelle SCA		16,220
	683	Christian Dior SE		379,349
	19,730	Cie de Saint-Gobain *		1,061,007
	78,491	Credit Agricole SA *		1,099,775
	45,243	Derichebourg SA *		359,744
	215	Eiffage SA *		22,099
	709	Fnac Darty SA *		43,014
	2,268	Gaztransport Et Technigaz SA		190,555
	1,371	GL Events *		17,750
	337	Groupe Crit *		24,319
	389	HEXAOM *		16,649
	17,181	IPSOS (a)		665,465
	2,685	Kaufman & Broad SA		118,576
	2,720	Kering SA		1,720,261
	3,811	LVMH Moet Hennessy Louis Vuitton SE		2,414,722
	21,950	Metropole Television SA * (a)		437,903
	61,087	Publicis Groupe SA (a)		3,591,994
	21,645	Quadient SA		492,912
	6	Renault SA * (b)		269
	98,314	Renault SA * (b)		4,414,891
	1,204	Rothschild & Co *		42,852
	19,858	Safran SA *		2,706,895
	9,493	Sanofi		871,179
	122,668	Societe Generale SA *		3,035,587
	2,897	STMicroelectronics NV – NY Shares		112,577
	695	Synergie SE *		24,984
	44,687	Television Francaise 1 * (a) (c)		389,153
	6,276	TOTAL SE		292,651
	10,959	Unibail-Rodamco-Westfield (REIT) *		806,857
	55,242	Valeo SA		1,952,364
	4,488	Vicat SA		215,547
	369	Vilmorin & Cie SA		23,614
		Total France		36,398,038
		Germany — 1.6%
	732	Amadeus Fire AG *		104,218
	211,422	Aroundtown SA		1,537,365
	3,936	Aurubis AG		343,356
	47,918	Bayer AG (Registered)		2,910,596
	9,225	Bayerische Motoren Werke AG		797,122
	327	bet-at-home.com AG		15,061
	5,808	Brenntag SE		450,044
	58,557	CECONOMY AG *		365,067

Shares		Description	Value ($)
		Germany — continued
	478	Cewe Stiftung & Co KGaA		62,674
	4,403	CropEnergies AG		59,657
	80,910	Daimler AG (Registered)		6,486,175
	123,928	Deutsche Lufthansa AG (Registered) *		1,849,276
	97,389	Deutsche Pfandbriefbank AG *		1,062,123
	7,683	Deutsche Wohnen SE		361,123
	15,417	Deutz AG *		113,009
	69,478	Dialog Semiconductor Plc *		5,400,729
	1,823	Draegerwerk AG & Co KGaA (a)		135,574
	845	DWS Group GmbH & Co KGaA		35,212
	2,334	Elmos Semiconductor SE		93,391
	32,148	Fresenius SE & Co KGaA (a)		1,377,317
	4,682	Hamburger Hafen und Logistik AG		119,182
	42,776	HeidelbergCement AG		3,383,287
	5,262	Hornbach Baumarkt AG		213,914
	8,290	Hornbach Holding AG & Co KGaA		782,390
	917	KWS Saat SE & Co KGaA		80,517
	19,942	SAP SE		2,466,560
	7,182	Siemens AG (Registered)		1,111,496
	12,311	Takkt AG *		173,364
	2,908	Traton SE		81,005
	17,163	VERBIO Vereinigte BioEnergie AG		686,243
	4,192	Volkswagen AG		981,132
		Total Germany		33,638,179
		Greece — 0.0%
	12,055	FF Group * (e)		—
	6,918	JUMBO SA		113,924
		Total Greece		113,924
		Hong Kong — 1.1%
	112,500	BOC Hong Kong Holdings Ltd		373,782
	28,700	Budweiser Brewing Co APAC Ltd		87,556
	158,400	Champion (REIT)		92,742
	142,000	Chow Sang Sang Holdings International Ltd		192,267
	67,800	Chow Tai Fook Jewellery Group Ltd		92,985
	1,108,000	CITIC Telecom International Holdings Ltd		358,617
	6,000	CK Asset Holdings Ltd		35,265
	504,000	CK Hutchison Holdings Ltd		3,803,369
	550,000	CSI Properties Ltd		17,381
	100,500	Dah Sing Banking Group Ltd		110,206
	133,200	Dah Sing Financial Holdings Ltd		430,562
	8,528,000	First Pacific Co Ltd		2,797,817
	730,000	Giordano International Ltd		145,761
	396,200	Hongkong Land Holdings Ltd		1,903,430
	396,000	IGG Inc		590,750
	369,500	Johnson Electric Holdings Ltd		1,066,302
	113,000	K Wah International Holdings Ltd		58,091
	85,500	Kerry Logistics Network Ltd		248,965
	488,500	Kerry Properties Ltd		1,573,781

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Hong Kong — continued
	36,800	Luk Fook Holdings International Ltd		93,327
	179,000	Pacific Textiles Holdings Ltd		114,618
	4,959,000	PCCW Ltd		2,844,050
	848,000	Shun Tak Holdings Ltd		287,303
	60,500	SmarTone Telecommunications Holdings Ltd		38,269
	130,000	Sun Hung Kai & Co Ltd		55,767
	3,000	Sun Hung Kai Properties Ltd		48,694
	180,000	Texwinca Holdings Ltd		39,422
	360,000	VSTECS Holdings Ltd		322,822
	256,700	VTech Holdings Ltd		2,151,091
	3,265,000	WH Group Ltd		2,928,409
	536,500	Yue Yuen Industrial Holdings Ltd		1,142,586
		Total Hong Kong		24,045,987
		Hungary — 0.0%
	75,431	Magyar Telekom Telecommunications Plc		102,258
	17,805	Richter Gedeon Nyrt		506,517
		Total Hungary		608,775
		India — 1.9%
	20,481	Asian Paints Ltd		636,136
	74,244	Aurobindo Pharma Ltd		857,965
	7,869	Bajaj Auto Ltd		405,069
	82,729	Balrampur Chini Mills Ltd		198,281
	9,635	Bombay Burmah Trading Co		152,283
	224,776	Cadila Healthcare Ltd		1,326,940
	6,868	Cochin Shipyard Ltd		34,609
	26,027	Dr Reddy’s Laboratories Ltd		1,574,390
	42,700	Dr Reddy’s Laboratories Ltd ADR		2,560,719
	21,677	Engineers India Ltd		23,432
	41,187	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		163,395
	622,742	HCL Technologies Ltd		7,715,493
	17,815	HDFC Bank Ltd *		374,415
	23,877	Hindalco Industries Ltd		110,342
	21,163	Hindustan Unilever Ltd		612,121
	3,955	Hindustan Zinc Ltd		15,896
	20,265	Housing Development Finance Corp Ltd		701,452
	107,289	ICICI Bank Ltd *		881,393
	536,537	Indiabulls Housing Finance Ltd *		1,594,626
	175,007	Indian Oil Corp Ltd		232,957
	139,900	Infosys Ltd Sponsored ADR (a)		2,395,088
	12,460	JSW Energy Ltd		12,169
	3,380	Just Dial Ltd *		33,178
	30,989	Kotak Mahindra Bank Ltd *		755,708
	4,989	Mindtree Ltd		108,231
	155,313	NBCC India Ltd		90,715
	20,817	NCC Ltd		25,318
	225,503	NTPC Ltd		328,443
	2,798,853	Oil & Natural Gas Corp Ltd		4,241,598

Shares		Description	Value ($)
		India — continued
	315	Oracle Financial Services Software Ltd		12,999
	1,724,845	Power Finance Corp Ltd *		2,914,943
	356,414	PTC India Ltd		355,568
	21,371	Rajesh Exports Ltd		148,060
	3,616,729	REC Ltd		6,659,281
	15,326	Tata Consultancy Services Ltd		605,671
	25,137	Titan Co Ltd		482,287
	280,002	TV18 Broadcast Ltd *		110,451
	124,503	Wipro Ltd		693,588
		Total India		40,145,210
		Indonesia — 0.3%
	441,900	Astra International Tbk PT		166,970
	1,031,100	Bank Central Asia Tbk PT		2,425,916
	1,466,100	Bank Mandiri Persero Tbk PT *		627,789
	1,396,600	Bank Negara Indonesia Persero Tbk PT		581,147
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		153,462
	7,581,000	Bank Rakyat Indonesia Persero Tbk PT *		2,497,217
	429,000	Bank Tabungan Negara Persero Tbk PT		62,092
	2,535,200	Bukit Asam Tbk PT		480,811
	55,900	Indah Kiat Pulp & Paper Corp Tbk PT		51,499
	243,500	Indo Tambangraya Megah Tbk PT		207,905
	445,600	Matahari Department Store Tbk PT *		39,320
	651,500	Pakuwon Jati Tbk PT *		25,123
	1,417,500	Panin Financial Tbk PT *		22,814
	1,911,200	Ramayana Lestari Sentosa Tbk PT		97,694
	43,600	United Tractors Tbk PT		68,881
		Total Indonesia		7,508,640
		Ireland — 0.4%
	170,930	AIB Group Plc * (c)		381,545
	212,253	Bank of Ireland Group Plc *		857,418
	3,941	CRH Plc *		171,084
	17,240	CRH Plc Sponsored ADR		747,009
	9,518	Glanbia Plc		122,951
	307,199	Hibernia REIT Plc		415,428
	53,468	Irish Residential Properties REIT Plc		96,296
	2,828	Kingspan Group Plc *		205,122
	54,941	Origin Enterprises Plc		232,159
	32,738	Permanent TSB Group Holdings Plc *		42,965
	126,930	Ryanair Holdings Plc *		2,532,229
	41,962	Smurfit Kappa Group Plc (b)		1,977,846
	4,844	Smurfit Kappa Group Plc (b)		230,238
	28,153	Total Produce Plc		70,626
		Total Ireland		8,082,916
		Israel — 0.2%
	5,200	Check Point Software Technologies Ltd *		573,248
	530	Fox Wizel Ltd		48,645
	28,569	Isracard Ltd		97,516

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Israel — continued
	458	Israel Corp Ltd (The) *		102,701
	477,592	Oil Refineries Ltd *		102,907
	288,100	Teva Pharmaceutical Industries Ltd Sponsored ADR *		3,099,956
		Total Israel		4,024,973
		Italy — 1.0%
	114,237	A2A SPA		191,635
	112,167	Anima Holding SPA		537,330
	42,629	Banca Popolare di Sondrio SCPA *		122,551
	5,369	Biesse SPA *		141,531
	81,336	Buzzi Unicem SPA		2,050,427
	15,485	Cementir Holding NV		148,395
	10,648	CNH Industrial NV *		157,172
	55,960	Cofide SPA *		33,150
	22,116	Credito Emiliano SPA *		125,914
	3,140	De’ Longhi SPA		116,027
	1,622	El.En. SPA * (a)		53,986
	115,094	Enel SPA		1,085,210
	107,294	EXOR NV		8,600,561
	16,451	Hera SPA		58,392
	180,650	Intesa Sanpaolo SPA *		464,457
	20,728	Iren SPA		51,207
	9,031	La Doria SPA		153,107
	169,091	Leonardo SPA		1,348,672
	543	MARR SPA *		12,354
	5,119	Mediobanca Banca di Credito Finanziario SPA *		53,155
	7,193	Poste Italiane SPA		81,493
	2,365	Saras SPA * (c)		1,840
	1,481	Sesa SPA *		201,009
	3,295,984	Telecom Italia SPA		1,564,979
	5,568,512	Telecom Italia SPA – RSP		2,985,283
	4,432	Unieuro SPA * (c)		83,846
	271,928	Unipol Gruppo SPA *		1,409,766
		Total Italy		21,833,449
		Japan — 12.8%
	7,500	ADEKA Corp		126,354
	8,700	Aeon Delight Co Ltd (c)		260,089
	224,100	Aeon Mall Co Ltd (c)		3,792,551
	6,100	Aichi Corp		48,895
	7,700	Aida Engineering Ltd		65,058
	2,200	Altech Corp		41,136
	405,000	Amada Co Ltd		4,948,294
	75,500	Amano Corp		1,702,030
	6,600	AOKI Holdings Inc		42,560
	3,500	Arata Corp		147,496
	21,800	Arcland Sakamoto Co Ltd		313,266
	61,000	Arcs Co Ltd (c)		1,261,709
	399,700	Asahi Kasei Corp		4,336,195

Shares		Description	Value ($)
		Japan — continued
	220,300	Asics Corp (c)		3,631,948
	241,200	Astellas Pharma Inc		3,813,654
	3,600	Bando Chemical Industries Ltd		24,146
	86,200	Brother Industries Ltd		1,708,036
	10,800	Bunka Shutter Co Ltd		101,333
	2,300	Canon Electronics Inc		35,127
	1,600	Cawachi Ltd		42,990
	3,400	Central Glass Co Ltd		70,782
	24,100	Central Japan Railway Co		3,971,060
	1,600	Chiyoda Integre Co Ltd		25,983
	138,700	Chugoku Marine Paints Ltd		1,180,486
	4,300	CONEXIO Corp		54,940
	5,400	Dai Nippon Toryo Co Ltd		45,857
	1,500	Dai-Dan Co Ltd		37,987
	38,400	Daihen Corp		1,639,149
	1,900	Daiichi Jitsugyo Co Ltd		73,662
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		41,190
	1,600	Daishi Hokuetsu Financial Group Inc		35,491
	47,000	Daiwa House Industry Co Ltd		1,333,203
	5,200	Daiwa Industries Ltd		49,537
	66,000	Daiwabo Holdings Co Ltd		4,937,618
	113,500	Denka Co Ltd		4,289,321
	21,800	Doshisha Co Ltd		362,476
	4,400	DTS Corp (a)		96,266
	121,200	Ebara Corp		4,566,968
	3,200	Ehime Bank Ltd (The)		29,226
	5,800	Elecom Co Ltd		256,031
	39,000	Electric Power Development Co Ltd		637,829
	8,500	FAN Communications Inc		31,164
	110,000	Fuji Corp		2,600,949
	3,700	Fuji Media Holdings Inc (a)		44,947
	3,700	Fujimi Inc		137,084
	1,500	Fujimori Kogyo Co Ltd		59,978
	15,500	Fujitsu Ltd (a)		2,248,713
	2,600	Furuno Electric Co Ltd		25,878
	3,000	G-7 Holdings Inc		67,252
	3,800	Geo Holdings Corp		42,757
	17,300	GungHo Online Entertainment Inc (a)		354,303
	11,600	Gunma Bank Ltd (The)		37,365
	3,600	Hakuto Co Ltd		41,953
	3,300	Hanwa Co Ltd		86,356
	337,200	Haseko Corp		4,193,874
	419,000	Hazama Ando Corp		3,147,462
	1,800	Heiwado Co Ltd		33,037
	10,200	Hisamitsu Pharmaceutical Co Inc (c)		639,226
	113,200	Hitachi Ltd		5,221,092
	45,100	Hogy Medical Co Ltd (a)		1,291,498
	3,800	Hokuhoku Financial Group Inc		34,418
	125,400	Honda Motor Co Ltd		3,466,218

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	74,400	Horiba Ltd		4,468,175
	4,200	Iida Group Holdings Co Ltd		95,550
	93,600	Inabata & Co Ltd		1,323,753
	606,200	Inpex Corp		4,507,454
	206,900	ITOCHU Corp (c)		6,179,690
	16,400	Itochu Enex Co Ltd		158,147
	600	Itochu-Shokuhin Co Ltd		29,463
	11,600	Itoki Corp		38,621
	6,800	Jaccs Co Ltd		130,977
	93,500	JAFCO Group Co Ltd		5,735,001
	72,874	Japan Post Insurance Co Ltd		1,498,445
	12,500	Japan Tobacco Inc		226,331
	4,400	Juroku Bank Ltd (The)		81,764
	159,300	JVCKenwood Corp		277,982
	278,100	K’s Holdings Corp		3,730,387
	122,900	Kadokawa Corp (a)		4,524,586
	52,100	Kajima Corp		668,637
	3,500	Kamei Corp		38,343
	47,700	Kanamoto Co Ltd		1,063,526
	156,500	Kanematsu Corp		1,997,862
	2,600	Kato Sangyo Co Ltd		87,478
	303,300	KDDI Corp		9,454,914
	6,200	Keiyo Bank Ltd (The)		25,087
	9,300	Kinden Corp		152,406
	10,701	Kohnan Shoji Co Ltd (c)		291,863
	18,501	Komeri Co Ltd		498,754
	115,074	Konica Minolta Inc (c)		587,947
	98,600	Konoike Transport Co Ltd		960,528
	2,000	Kureha Corp		132,588
	140,500	Kyowa Exeo Corp		3,600,600
	101,100	Kyudenko Corp		3,345,692
	108,000	Macromill Inc		865,614
	76,500	Mandom Corp		1,307,713
	4,500	Marubeni Corp		33,714
	130,700	Maruichi Steel Tube Ltd		2,998,717
	2,100	Maruzen Showa Unyu Co Ltd		60,467
	7,700	Marvelous Inc (a)		63,338
	2,000	Matsuda Sangyo Co Ltd		35,307
	127,500	Maxell Holdings Ltd *		1,671,248
	23,900	MCJ Co Ltd		204,544
	22,700	Mebuki Financial Group Inc		48,489
	16,400	Meidensha Corp		353,717
	1,000	Melco Holdings Inc		35,505
	74,100	Mitsubishi Gas Chemical Co Inc		1,735,629
	2,000	Mitsubishi Research Institute Inc (a)		75,743
	1,402,400	Mitsubishi UFJ Financial Group Inc		7,376,196
	4,400	Mitsuboshi Belting Ltd		68,236
	5,700	Mitsui & Co Ltd		122,061
	17,200	Mitsui Chemicals Inc		532,819
	6,200	Mitsui Sugar Co Ltd		109,652

Shares		Description	Value ($)
		Japan — continued
	30,200	Mixi Inc (a)		761,186
	7,500	Mizuho Financial Group Inc		110,388
	2,800	Mizuno Corp		57,249
	46,400	Morinaga & Co Ltd		1,675,842
	134,500	MS&AD Insurance Group Holdings Inc		3,817,747
	200	MTI Ltd		1,578
	21,200	NEC Networks & System Integration Corp (a)		352,261
	103,800	NH Foods Ltd		4,391,574
	4,700	Nichias Corp		110,282
	5,500	Nichiha Corp		155,345
	36,300	Nikkon Holdings Co Ltd		699,425
	3,000	Nippn Corp		44,852
	16,500	Nippo Corp		431,913
	13,800	Nippon Light Metal Holdings Co Ltd		273,761
	2,200	Nippon Soda Co Ltd		69,373
	271,400	Nippon Telegraph & Telephone Corp		7,030,629
	9,300	Nippon Television Holdings Inc (a)		123,824
	16,300	Nishi-Nippon Financial Holdings Inc		106,877
	1,500	Nishio Rent All Co Ltd		37,058
	1,500	Nissin Corp		19,087
	6,200	Nissin Electric Co Ltd		72,540
	2,300	Nitto Denko Corp		197,425
	9,000	Nojima Corp		236,480
	19,700	Nomura Real Estate Holdings Inc		446,660
	2,000	Obara Group Inc (c)		71,442
	590,800	Obayashi Corp		5,100,250
	11,900	Okamura Corp		124,197
	600	Okinawa Cellular Telephone Co		27,627
	553,300	ORIX Corp		9,440,799
	4,200	Osaka Soda Co Ltd		101,215
	111,000	Pacific Industrial Co Ltd		1,208,777
	250,000	Penta-Ocean Construction Co Ltd		1,868,474
	4,300	Prima Meat Packers Ltd		125,927
	5,700	Proto Corp		60,055
	66,800	Raiznext Corp (c)		718,134
	29,000	Renesas Electronics Corp *		319,020
	177,400	Resona Holdings Inc		716,826
	2,400	Rinnai Corp		243,392
	900	Rion Co Ltd		24,279
	18,900	Rohm Co Ltd		1,871,499
	2,900	Roland DG Corp		48,794
	1,300	Ryobi Ltd *		15,340
	23,500	San-A Co Ltd (c)		916,722
	9,200	San-Ai Oil Co Ltd		92,287
	11,200	San-In Godo Bank Ltd (The)		51,094
	15,300	Sanki Engineering Co Ltd		187,044
	35,700	Sankyu Inc		1,495,565
	8,300	Sanwa Holdings Corp		103,188
	42,800	Secom Co Ltd		3,726,811
	4,900	Seiko Holdings Corp		81,867

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	31,100	Sekisui Chemical Co Ltd		557,346
	171,400	Sekisui House Ltd		3,234,081
	4,300	Sekisui Jushi Corp		78,462
	900	Shimamura Co Ltd		89,934
	491,800	Shimizu Corp		3,735,999
	1,300	Shindengen Electric Manufacturing Co Ltd		37,749
	600	Shinko Electric Industries Co Ltd		16,200
	6,600	Shizuoka Gas Co Ltd		57,535
	800	Sinanen Holdings Co Ltd		23,095
	9,100	Sinko Industries Ltd		161,815
	7,400	Sintokogio Ltd		50,804
	348,700	SKY Perfect JSAT Holdings Inc (a)		1,478,825
	131,900	Sojitz Corp		348,926
	604,700	Sumitomo Chemical Co Ltd		2,943,871
	265,500	Sumitomo Dainippon Pharma Co Ltd (c)		4,220,166
	225,600	Sumitomo Forestry Co Ltd		4,066,353
	40,400	Sumitomo Mitsui Trust Holdings Inc		1,333,905
	2,300	Sumitomo Seika Chemicals Co Ltd		84,015
	5,500	Suzuki Motor Corp		239,910
	64,600	T Hasegawa Co Ltd		1,126,464
	4,000	T-Gaia Corp		68,755
	77,800	Tachi-S Co Ltd		777,037
	51,600	Taisei Corp		1,829,783
	233,100	Takara Holdings Inc (c)		3,138,247
	49,700	Takara Leben Co Ltd		161,235
	3,700	Takasago Thermal Engineering Co Ltd		54,946
	15,200	Takeuchi Manufacturing Co Ltd (c)		387,072
	112,400	Takuma Co Ltd		2,211,071
	9,000	Tamron Co Ltd		162,897
	257,000	Teijin Ltd (c)		4,433,793
	122,500	TIS Inc (a)		2,550,136
	92,100	Toho Holdings Co Ltd		1,599,107
	1,170,100	Tokyo Electric Power Co Holdings Inc *		3,768,921
	88,400	Tokyo Seimitsu Co Ltd		3,874,395
	20,500	Tokyu Construction Co Ltd		102,633
	9,100	TOMONY Holdings Inc		25,941
	6,200	Toppan Forms Co Ltd		59,410
	351,300	Toppan Printing Co Ltd		5,550,401
	106,500	Tosei Corp		1,004,748
	296,284	Tosoh Corp		5,446,550
	3,400	Totetsu Kogyo Co Ltd		82,212
	2,200	Towa Pharmaceutical Co Ltd (c)		43,468
	40,300	Toyo Construction Co Ltd		207,402
	26,700	Toyo Suisan Kaisha Ltd		1,136,651
	57,000	Toyota Industries Corp		4,897,293
	1,100	Toyota Tsusho Corp		46,400
	2,200	TPR Co Ltd		30,587
	7,000	TS Tech Co Ltd		195,941
	82,200	Tsumura & Co		2,587,328
	2,500	UKC Holdings Corp		46,827

Shares		Description	Value ($)
		Japan — continued
	900	Ulvac Inc		40,719
	5,300	Wacoal Holdings Corp		113,608
	16,500	YAMABIKO Corp		173,110
	19,700	Yamaguchi Financial Group Inc		121,887
	4,800	Yamazen Corp		42,877
	9,400	Yellow Hat Ltd		148,192
	190,800	Yokogawa Electric Corp		3,649,090
	5,500	Yuasa Trading Co Ltd		152,329
	90,800	Zenkoku Hosho Co Ltd		4,192,061
		Total Japan		276,559,209
		Kuwait — 0.2%
	61,657	Gulf Bank KSCP		43,881
	7,476	Gulf Cable & Electrical Industries Co KSCP		21,381
	12,800	Humansoft Holding Co KSC *		161,804
	887,500	Kuwait Finance House KSCP		2,107,990
	38,023	Kuwait Projects Co Holding KSCP		21,414
	152,743	Mobile Telecommunications Co KSCP		315,193
	550,173	National Bank of Kuwait SAKP		1,498,450
		Total Kuwait		4,170,113
		Malaysia — 0.0%
	661,200	DRB-Hicom Berhad		296,493
	85,000	Pharmaniaga Berhad		88,936
	87,300	Syarikat Takaful Malaysia Keluarga Berhad		99,048
	98,700	Westports Holdings Berhad		99,294
		Total Malaysia		583,771
		Mexico — 1.0%
	165,700	Arca Continental SAB de CV		753,614
	87,100	Banco del Bajio SA *		101,085
	206,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *		195,727
	83,100	Cemex SAB de CV Sponsored ADR *		549,291
	27,500	Corp Inmobiliaria Vesta SAB de CV		51,777
	122,700	Credito Real SAB de CV SOFOM ER *		66,860
	81,100	El Puerto de Liverpool SAB de CV – Class C1		245,382
	222,800	Fibra Uno Administracion SA de CV (REIT)		253,034
	259,800	Fomento Economico Mexicano SAB de CV		1,772,566
	421,300	Gentera SAB de CV *		211,043
	61,600	Grupo Aeroportuario del Centro Norte SAB de CV *		355,508
	49,600	Grupo Bimbo SAB de CV – Series A		92,842
	806,900	Grupo Financiero Banorte SAB de CV – Class O *		4,052,049
	80,800	Grupo Financiero Inbursa SAB de CV – Class O *		72,608
	56,242	Grupo Herdez SAB de CV – Series *		112,613
	1,623,000	Grupo Mexico SAB de CV – Series B		7,694,142
	10,400	Kimberly-Clark de Mexico SAB de CV – Class A		16,663
	199,000	Nemak SAB de CV		58,974

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Mexico — continued
	1,305	Promotora y Operadora de Infraestructura SAB de CV		9,627
	51,000	Qualitas Controladora SAB de CV		276,781
	29,400	Regional SAB de CV *		133,446
	24,649	Unifin Financiera SAB de CV SOFOM ENR *		29,184
	1,679,638	Wal-Mart de Mexico SAB de CV		4,780,156
		Total Mexico		21,884,972
		Netherlands — 1.7%
	50,592	ABN AMRO Bank NV CVA *		581,732
	557,367	Aegon NV		2,671,310
	73,300	AerCap Holdings NV *		3,531,594
	1,438	ASM International NV		387,863
	73,996	ASR Nederland NV		3,091,584
	11,846	ForFarmers NV		78,242
	3,410	Heineken Holding NV		293,596
	282	Hunter Douglas NV *		22,200
	423,119	ING Groep NV (c)		4,634,299
	202,699	Koninklijke Ahold Delhaize NV		5,352,215
	8,225	Koninklijke Vopak NV		392,458
	13,264	NN Group NV		612,448
	194,750	PostNL NV *		827,910
	89,462	Randstad NV *		5,983,053
	103,003	Signify NV *		4,488,339
	171,718	Stellantis NV *		2,781,271
		Total Netherlands		35,730,114
		New Zealand — 0.1%
	573,760	Meridian Energy Ltd		2,362,013
		Norway — 0.5%
	84,266	Aker Solutions ASA *		128,079
	25,363	Austevoll Seafood ASA		290,591
	10,158	Avance Gas Holding Ltd (c)		37,753
	685	Borregaard ASA		12,918
	161,368	BW LPG Ltd		958,099
	98,163	DNB ASA (c)		1,907,051
	199,376	Elkem ASA		701,054
	82,696	Europris ASA		483,569
	2,070	Nordic Semiconductor ASA *		39,031
	234,790	Norsk Hydro ASA		1,299,857
	73,828	Norwegian Finans Holding ASA *		650,546
	224,411	Orkla ASA *		2,066,964
	19,122	Sbanken ASA * (c)		182,802
	16,885	Selvaag Bolig ASA		109,197
	26,396	SpareBank 1 Nord Norge		233,907
	19,287	SpareBank 1 SMN		222,677
	58,396	SpareBank 1 SR-Bank ASA *		672,557
	26,879	Wallenius Wilhelmsen ASA *		73,680
		Total Norway		10,070,332

Shares		Description	Value ($)
		Pakistan — 0.1%
	34,810	Engro Corp Ltd		66,701
	488,454	Engro Fertilizers Ltd		201,345
	58,068	Fauji Fertilizer Co Ltd		40,667
	5,110	Lucky Cement Ltd *		28,589
	407,858	Oil & Gas Development Co Ltd		269,950
	54,623	Pakistan Oilfields Ltd		138,151
	277,068	Pakistan Petroleum Ltd		158,564
	23,700	Pakistan State Oil Co Ltd *		35,466
	47,700	Searle Co Ltd (The)		81,603
	67,270	United Bank Ltd		54,270
		Total Pakistan		1,075,306
		Philippines — 0.0%
	3,085	Globe Telecom Inc		128,908
	14,660	Manila Electric Co		81,777
	2,369,000	Megaworld Corp		176,988
	2,145,000	Metro Pacific Investments Corp		179,485
	15,810	Security Bank Corp		42,687
	135,050	Semirara Mining & Power Corp		35,501
		Total Philippines		645,346
		Poland — 0.4%
	20,978	Asseco Poland SA		372,313
	3,461	Budimex SA		319,584
	93,198	Cyfrowy Polsat SA		708,665
	247,657	Polski Koncern Naftowy ORLEN SA		3,884,930
	970,013	Polskie Gornictwo Naftowe i Gazownictwo SA		1,443,725
	198,317	Powszechny Zaklad Ubezpieczen SA *		1,545,766
		Total Poland		8,274,983
		Portugal — 0.4%
	97,323	Altri SGPS SA		706,547
	6,706,345	Banco Comercial Portugues SA – Class R * (c)		944,575
	113,256	CTT-Correios de Portugal SA * (c)		341,003
	32,269	EDP Renovaveis SA		703,960
	431,047	EDP – Energias de Portugal SA		2,470,634
	180,442	Galp Energia SGPS SA		2,017,060
	25,415	Jeronimo Martins SGPS SA		393,361
	118,662	Mota-Engil SGPS SA * (c)		209,104
	172,750	Navigator Co SA (The) *		584,264
	140,247	REN – Redes Energeticas Nacionais SGPS SA		384,189
	11,271	Semapa-Sociedade de Investimento e Gestao		161,309
	598,195	Sonae SGPS SA		488,263
		Total Portugal		9,404,269
		Qatar — 0.1%
	114,022	Doha Bank QPSC *		69,037
	46,534	Masraf Al Rayan QSC		55,266
	87,754	Ooredoo QPSC		184,915

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Qatar — continued
	16,323	Qatar Electricity & Water Co QSC		77,873
	32,266	Qatar Gas Transport Co Ltd		29,045
	31,879	Qatar Insurance Co SAQ		19,657
	187,330	Qatar National Bank QPSC		880,406
	45,376	Qatar National Cement Co QSC		50,698
		Total Qatar		1,366,897
		Russia — 3.4%
	2,336,120	Alrosa PJSC		3,118,875
	698,800	Credit Bank of Moscow PJSC *		62,617
	79,270	Detsky Mir PJSC		150,929
	117,090,000	Federal Grid Co Unified Energy System PJSC		337,194
	21,540	Gazprom Neft PJSC		98,238
	2,752	Gazprom Neft PJSC Sponsored ADR		62,388
	1,040,450	Gazprom PJSC		3,047,038
	29,818	Globaltrans Investment Plc Sponsored GDR (Registered)		198,586
	46,796,001	Inter RAO UES PJSC		3,215,779
	3,503	LSR Group PJSC		41,518
	70,889	LSR Group PJSC GDR (Registered)		156,561
	102,465	LUKOIL PJSC		7,678,984
	105,380	LUKOIL PJSC Sponsored ADR		7,852,013
	13,200	M.Video PJSC		145,275
	3,685	Magnit PJSC		243,170
	18,915	Magnit PJSC Sponsored GDR (Registered)		257,479
	354,180	Magnitogorsk Iron & Steel Works PJSC		257,764
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		322,836
	166,845	MMC Norilsk Nickel PJSC ADR		5,257,779
	79,200	Mobile TeleSystems PJSC Sponsored ADR		651,024
	1,014,040	Moscow Exchange MICEX-RTS PJSC		2,349,219
	15,129	Novatek PJSC Sponsered GDR (Registered)		2,588,691
	176,900	Novolipetsk Steel PJSC		530,888
	89,438	Novolipetsk Steel PJSC GDR		2,647,661
	10,741	PhosAgro PJSC GDR (Registered)		188,298
	202,189	Polymetal International Plc		3,996,843
	5,033	Polyus PJSC		947,903
	18,801	Polyus PJSC GDR (Registered)		1,756,820
	38,000	QIWI Plc Sponsored ADR		406,220
	35,200	Raspadskaya OJSC		85,560
	939	Ros Agro Plc GDR (Registered)		11,400
	10,621	Rosneft Oil Co PJSC GDR (Registered)		73,550
	35,627,000	ROSSETI PJSC		813,163
	5,455,000	RusHydro PJSC		57,252
	13,580	Safmar Financial Investment *		88,479
	1,346,650	Sberbank of Russia PJSC		4,885,021
	658,148	Sberbank of Russia PJSC Sponsored ADR		9,577,330
	15,715	Severstal PJSC		284,637
	51,905	Severstal PJSC GDR (Registered)		927,555
	3,325,100	Surgutneftegas PJSC		1,451,350

Shares		Description	Value ($)
		Russia — continued
	296,272	Surgutneftegas PJSC Sponsored ADR		1,266,817
	57,310	Tatneft PJSC Sponsored ADR		2,398,341
	10,652	TCS Group Holding Plc GDR (Registered)		557,082
	4,860,000	Unipro PJSC		183,328
	24,343	X5 Retail Group NV GDR (Registered) (b)		792,731
	16,423	X5 Retail Group NV GDR (Registered) (b)		541,244
	6,000	Yandex NV – Class A *		383,910
		Total Russia		72,947,340
		Saudi Arabia — 0.0%
	38,732	Al Rajhi Bank		934,087
		Singapore — 0.6%
	68,800	AEM Holdings Ltd		205,643
	243,500	Asian Pay Television Trust		19,878
	269,094	CapitaLand Ltd		637,082
	532,700	ComfortDelGro Corp Ltd		640,142
	178,235	DBS Group Holdings Ltd		3,531,654
	187,200	First Real Estate Investment Trust		28,674
	403,800	Golden Agri-Resources Ltd		57,910
	291,940	Japfa Ltd		196,074
	58,200	Jardine Cycle & Carriage Ltd		914,357
	78,000	Lendlease Global Commercial (REIT)		44,772
	56,500	Mapletree North Asia Commercial Trust (REIT)		40,573
	2,900	Oversea-Chinese Banking Corp Ltd		23,724
	187,200	Sasseur Real Estate Investment Trust		117,741
	254,100	Sembcorp Industries Ltd		327,930
	349,500	Silverlake Axis Ltd		62,400
	379,500	Singapore Airlines Ltd *		1,406,648
	700	Singapore Exchange Ltd		5,212
	78,900	Soilbuild Business Space REIT		31,249
	189,800	StarHub Ltd		180,641
	39,200	Venture Corp Ltd		559,379
	133,800	Wilmar International Ltd		526,785
	3,580,799	Yangzijiang Shipbuilding Holdings Ltd		2,859,067
	338,000	Yanlord Land Group Ltd		290,194
		Total Singapore		12,707,729
		South Africa — 1.6%
	683,123	Absa Group Ltd		5,466,824
	274	Anglo American Platinum Ltd		33,188
	90,540	Aspen Pharmacare Holdings Ltd *		851,317
	51,903	Astral Foods Ltd		463,761
	12,719	AVI Ltd		59,507
	145,031	Barloworld Ltd *		874,367
	262,333	Bidvest Group Ltd (The)		2,909,205
	357,441	Blue Label Telecoms Ltd *		112,809
	2,397	Clicks Group Ltd		38,790
	15,426	Discovery Ltd		144,431
	110,996	Imperial Logistics Ltd		309,339

34 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		South Africa — continued
	74,376	Investec Ltd		194,726
	77,369	Kumba Iron Ore Ltd		3,314,102
	57,204	Lewis Group Ltd		97,562
	31,586	Metair Investments Ltd *		37,772
	156,610	Motus Holdings Ltd *		813,334
	38,980	Mr Price Group Ltd		448,978
	49,210	Naspers Ltd – N Shares		11,612,450
	1,623,238	Old Mutual Ltd		1,442,340
	11,716	Rand Merchant Investment Holdings Ltd		23,607
	30,943	Raubex Group Ltd		46,633
	84,355	Reunert Ltd		254,790
	1,640,950	RMB Holdings Ltd *		162,094
	521,965	Sanlam Ltd		2,097,212
	118,057	Sappi Ltd *		345,940
	14,085	Shoprite Holdings Ltd		123,808
	517,142	Telkom SA SOC Ltd		1,401,773
	3,606	Tiger Brands Ltd		48,023
	133,272	Truworths International Ltd		426,440
	90,743	Tsogo Sun Gaming Ltd *		37,607
	48,949	Vodacom Group Ltd		403,121
	31,788	Wilson Bayly Holmes-Ovcon Ltd *		202,545
		Total South Africa		34,798,395
		South Korea — 2.5%
	15,200	Aekyung Petrochemical Co Ltd		147,862
	28,389	BNK Financial Group Inc		148,719
	1,131	Com2uSCorp		138,982
	5,533	Daou Data Corp *		65,082
	5,900	DB Insurance Co Ltd		217,112
	69,381	DGB Financial Group Inc		435,283
	34,093	Dongwon Development Co Ltd		156,071
	7,678	DoubleUGames Co Ltd		377,126
	7,088	GS Home Shopping Inc		855,984
	248,198	Hana Financial Group Inc		8,152,456
	24,210	Hankook Tire & Technology Co Ltd		1,024,067
	1,710	HDC Hyundai Development Co-Engineering & Construction		40,685
	9,888	Hyundai Home Shopping Network Corp		697,969
	5,819	Hyundai Mobis Co Ltd		1,565,530
	57,759	KB Financial Group Inc		2,235,601
	5,900	KB Financial Group Inc ADR *		226,088
	7,907	KC Co Ltd		194,960
	2,247	KCC Glass Corp		88,230
	172,211	Kia Motors Corp		12,142,286
	6,463	Korea Asset In Trust Co Ltd		22,297
	5,306	KT Skylife Co Ltd		40,317
	57,485	KT&G Corp		4,001,262
	33,545	LF Corp		460,578
	57,175	LG Electronics Inc		7,438,167
	502	LOTTE Fine Chemical Co Ltd		23,808

Shares		Description	Value ($)
		South Korea — continued
	3,520	LOTTE Himart Co Ltd		117,246
	21,590	Mirae Asset Life Insurance Co Ltd		76,740
	284	NCSoft Corp		235,879
	550	NHN KCP Corp *		22,692
	4,631	S&T Motiv Co Ltd		257,757
	20,033	Samjin Pharmaceutical Co Ltd		454,428
	9,603	Samsung Electronics Co Ltd		703,762
	4,899	Sebang Global Battery Co Ltd		392,651
	150,675	Shinhan Financial Group Co Ltd *		4,385,725
	2,632	Silicon Works Co Ltd		150,046
	999	SK Telecom Co Ltd		219,005
	67,300	SK Telecom Co Ltd Sponsored ADR		1,620,584
	6,106	SL Corp *		128,498
	9,409	Woori Financial Capital Co Ltd		87,008
	33,145	Woori Financial Group Inc *		282,265
	55,440	Yuhan Corp		3,055,061
		Total South Korea		53,085,869
		Spain — 1.2%
	16,249	Acerinox SA		188,350
	85,262	ACS Actividades de Construccion y Servicios SA		2,605,131
	30,966	Amadeus IT Group SA * (a)		2,161,962
	41,700	Atresmedia Corp de Medios de Comunicacion SA * (a)		173,291
	668,503	Banco Bilbao Vizcaya Argentaria SA		3,717,463
	265,325	Banco de Sabadell SA		132,397
	1,828,526	Banco Santander SA *		6,357,957
	44,150	Bankinter SA (c)		290,991
	161,679	CaixaBank SA		468,260
	46,250	Cia de Distribucion Integral Logista Holdings SA (c)		889,961
	14,467	Ebro Foods SA		311,971
	10,080	eDreams ODIGEO SA * (c)		60,448
	20,248	Endesa SA		500,334
	8,337	Grupo Catalana Occidente SA		311,204
	195,728	Iberdrola SA		2,452,847
	65,320	Industria de Diseno Textil SA		2,153,810
	293,102	Liberbank SA *		91,331
	202,017	Mapfre SA		382,522
	170,660	Mediaset Espana Comunicacion SA * (a)		1,020,427
	104,629	Red Electrica Corp SA		1,747,964
	7,729	Repsol SA		97,291
	675,348	Unicaja Banco SA *		588,303
	110	Viscofan SA		7,731
		Total Spain		26,711,946
		Sweden — 0.3%
	69,031	Betsson AB *		563,679
	1,725	Bufab AB *		42,934
	7,410	Humana AB *		58,607

See accompanying notes to the financial statements. 35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Sweden — continued
	3,014	Instalco Intressenter AB		110,307
	43,668	Inwido AB *		662,525
	1,701	KNOW IT AB * (a)		52,055
	11,243	Nobina AB *		86,870
	284,946	Nordea Bank Abp		2,580,706
	8,328	Volvo AB – A Shares *		213,925
	64,616	Volvo AB – B Shares *		1,654,195
		Total Sweden		6,025,803
		Switzerland — 0.5%
	48,561	Adecco Group AG (Registered)		3,056,273
	849	ALSO Holding AG (Registered) *		230,459
	23,011	Banque Cantonale Vaudoise (Registered)		2,411,620
	4,221	BKW AG		466,923
	1,108	Bobst Group SA (Registered)		74,744
	1,058	Huber + Suhner AG (Registered)		81,756
	433	Kardex Holding AG (Registered)		91,798
	1,049	Logitech International SA (Registered)		111,524
	2,853	Mobilezone Holding AG (Registered)		33,295
	15,348	Novartis AG (Registered)		1,321,868
	990	Roche Holding AG		331,068
	9,799	Roche Holding AG – Genusschein		3,214,648
	4,580	UBS Group AG (Registered)		71,257
	1,520	Vetropack Holding AG (Registered) *		95,479
	1,148	Wizz Air Holdings Plc *		85,153
	1,469	Zehnder Group AG – Class RG		111,661
		Total Switzerland		11,789,526
		Taiwan — 5.0%
	18,000	Accton Technology Corp		169,509
	5,207	Acter Group Corp Ltd		37,171
	4,000	Airtac International Group		139,207
	77,000	Alchip Technologies Ltd		2,441,816
	31,333	Amazing Microelectronic Corp		118,573
	723,035	Asustek Computer Inc		7,884,872
	19,000	Aten International Co Ltd		59,955
	8,400	Aurora Corp		26,274
	648,000	Catcher Technology Co Ltd		4,461,081
	1,194,399	Cathay Financial Holding Co Ltd		1,797,541
	169,430	Chailease Holding Co Ltd		1,046,443
	248,000	Chicony Electronics Co Ltd		834,387
	670,000	China Development Financial Holding Corp		223,660
	129,000	China Life Insurance Co Ltd		105,041
	106,000	China Motor Corp *		182,791
	29,000	Chong Hong Construction Co Ltd		85,269
	615,000	Coretronic Corp		1,059,647
	2,176,000	CTBC Financial Holding Co Ltd		1,562,232
	43,000	Delta Electronics Inc		432,804
	85,000	Elan Microelectronics Corp		524,320
	149,000	Elite Material Co Ltd		903,019

Shares		Description	Value ($)
		Taiwan — continued
	202,000	Evergreen Marine Corp Taiwan Ltd *		275,110
	91,000	Farglory Land Development Co Ltd		175,057
	432,000	FLEXium Interconnect Inc		1,952,341
	224,000	Foxconn Technology Co Ltd		562,424
	1,799,000	Fubon Financial Holding Co Ltd		3,221,748
	19,000	Fusheng Precision Co Ltd		137,366
	25,000	Getac Technology Corp		51,087
	345,000	Gigabyte Technology Co Ltd		1,077,032
	1,539,000	Grand Pacific Petrochemical *		1,316,629
	22,000	Holiday Entertainment Co Ltd		50,927
	5,329,318	Hon Hai Precision Industry Co Ltd		21,409,183
	78,000	Huaku Development Co Ltd		246,724
	62,820	IEI Integration Corp		118,107
	32,721	Innodisk Corp		191,983
	63,000	International Games System Co Ltd		1,871,707
	261,000	Lite-On Technology Corp		556,263
	12,000	Lotes Co Ltd		223,287
	19,300	Makalot Industrial Co Ltd		140,951
	67,000	Merry Electronics Co Ltd		329,250
	172,000	Micro-Star International Co Ltd		919,949
	1,158,817	Mitac Holdings Corp		1,286,116
	8,000	Nan Liu Enterprise Co Ltd		48,902
	37,000	Nantex Industry Co Ltd		85,367
	34,000	Nichidenbo Corp		64,526
	15,000	Nien Made Enterprise Co Ltd		209,967
	151,000	Novatek Microelectronics Corp		2,571,113
	1,166,000	Pegatron Corp		3,120,741
	2,933,000	Pou Chen Corp		3,178,425
	659,000	Qisda Corp		722,642
	370,000	Quanta Computer Inc		1,128,577
	1,234,000	Radiant Opto-Electronics Corp		5,289,635
	1,000	Realtek Semiconductor Corp		16,499
	468,000	Ruentex Development Co Ltd		700,910
	72,000	Sampo Corp		69,118
	66,000	Shin Kong Financial Holding Co Ltd		19,601
	87,000	Shinkong Insurance Co Ltd		119,502
	42,900	Simplo Technology Co Ltd		576,267
	25,945	Sinmag Equipment Corp		92,832
	19,000	Soft-World International Corp		65,247
	9,000	Standard Foods Corp		17,751
	128,500	Syncmold Enterprise Corp		384,977
	201,000	Taiwan Cement Corp		302,876
	219,000	Taiwan PCB Techvest Co Ltd		381,742
	67,000	Taiwan Sakura Corp		126,777
	937,000	Taiwan Semiconductor Manufacturing Co Ltd		20,470,664
	19,885	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		2,504,317
	7,000	TCI Co Ltd		53,169
	70,000	Teco Electric and Machinery Co Ltd		76,215
	23,000	Test Research Inc		48,098

36 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — continued
	175,681	TOPBI International Holdings Ltd		84,343
	49,000	Transcend Information Inc		114,985
	102,000	Tripod Technology Corp		507,001
	57,624	United Integrated Services Co Ltd		489,623
	1,602,000	United Microelectronics Corp		3,123,522
	93,000	Universal Inc		274,891
	7,000	Vanguard International Semiconductor Corp		29,117
	427,000	Wistron Corp		490,338
	6,000	Yulon Nissan Motor Co Ltd		55,118
	33,000	Zeng Hsing Industrial Co Ltd		177,792
		Total Taiwan		108,002,040
		Thailand — 0.3%
	1,351,700	AP Thailand Pcl NVDR		325,188
	186,700	Bangkok Bank Pcl NVDR		743,006
	109,400	Carabao Group Pcl NVDR		495,912
	117,300	Kasikornbank Pcl NVDR		540,236
	117,600	KCE Electronics Pcl NVDR		207,861
	101,100	Land & Houses Pcl NVDR		26,105
	193,900	Origin Property Pcl NVDR		44,367
	167,600	Pruksa Holding Pcl NVDR		70,641
	19,800	PTT Exploration & Production Pcl NVDR		73,895
	909,500	Quality Houses Pcl NVDR		70,476
	42,700	Siam Cement Pcl NVDR (The)		513,972
	267,800	Siam Commercial Bank Pcl NVDR (The)		898,519
	141,300	Somboon Advance Technology Pcl NVDR		86,028
	78,600	SPCG Pcl NVDR		51,217
	73,400	Sri Trang Agro-Industry Pcl NVDR		128,922
	74,250	Supalai Pcl (Foreign Registered)		49,091
	305,075	Supalai Pcl NVDR		201,702
	1,475,400	Thai Beverage Pcl (c)		812,736
	20,700	Thai Vegetable Oil Pcl NVDR		23,264
	5,118,300	TMB Bank Pcl NVDR		188,893
	106,000	TTW Pcl NVDR		41,717
		Total Thailand		5,593,748
		Turkey — 0.6%
	404,011	Aksa Akrilik Kimya Sanayii AS		863,820
	318,357	Arcelik AS *		1,424,473
	3	Aselsan Elektronik Sanayi Ve Ticaret AS		7
	2,423,244	Dogan Sirketler Grubu Holding AS		1,035,375
	81,284	Dogus Otomotiv Servis ve Ticaret AS *		340,216
	1,764,163	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		534,469
	458,051	Enerjisa Enerji AS		708,316
	530,867	Eregli Demir ve Celik Fabrikalari TAS		1,047,062
	288,243	Selcuk Ecza Deposu Ticaret ve Sanayi AS		442,355
	2,021,598	Turkiye Garanti Bankasi AS *		2,438,457
	4,357,441	Turkiye Is Bankasi AS – Class C *		3,366,454
	13,234	Vestel Beyaz Esya Sanayi ve Ticaret AS		92,927
		Total Turkey		12,293,931

Shares		Description	Value ($)
		United Arab Emirates — 0.1%
	10,313	Abu Dhabi Commercial Bank PJSC		17,390
	31,478	Abu Dhabi Islamic Bank PJSC		42,307
	453,868	Aldar Properties PJSC		442,085
	170,272	Dubai Islamic Bank PJSC		216,201
	75,698	Emaar Malls PJSC *		34,030
	1,967,777	Emaar Properties PJSC *		1,822,958
	14,015	Emirates NBD Bank PJSC		42,123
	98,498	First Abu Dhabi Bank PJSC		387,490
		Total United Arab Emirates		3,004,584
		United Kingdom — 4.0%
	71,690	3i Group Plc		1,112,915
	88,449	888 Holdings Plc		365,729
	12,235	Aggreko Plc		137,549
	33,417	Airtel Africa Plc		37,063
	14,571	Anglo American Plc		565,369
	4,815	Antofagasta Plc		120,172
	189,290	Aviva Plc		959,019
	8,004	B&M European Value Retail SA		61,227
	14,675	Bank of Georgia Group Plc *		203,227
	416,462	Barratt Developments Plc *		3,870,325
	39,532	Bellway Plc		1,549,497
	104,066	Berkeley Group Holdings Plc (The)		5,896,070
	14,800	BP Plc Sponsored ADR		361,268
	47,132	British American Tobacco Plc		1,636,666
	59,800	British American Tobacco Plc Sponsored ADR		2,096,588
	1,874,377	BT Group Plc *		3,244,394
	6,878	Bunzl Plc		214,736
	36,511	Carnival Plc *		813,176
	30,246	Central Asia Metals Plc		101,620
	11,654	CMC Markets Plc		66,180
	75,653	Coca-Cola HBC AG *		2,372,365
	148,427	Compass Group Plc *		3,014,101
	17,757	Computacenter Plc (a)		517,664
	1,540	Cranswick Plc		73,327
	6,278	Daily Mail & General Trust Plc – Class A (a)		79,219
	1,154	Dart Group Plc *		23,497
	10,760	Dunelm Group Plc *		189,012
	36,390	Electrocomponents Plc		493,689
	4,137	EMIS Group Plc (a)		61,251
	31,438	Evraz Plc		252,384
	40,778	Ferguson Plc		4,824,488
	318,739	Ferrexpo Plc		1,494,815
	80,475	Frasers Group Plc *		527,592
	3,369	Fresnillo Plc		42,548
	11,710	Galliford Try Holdings Plc *		22,319
	1,117	Games Workshop Group Plc		148,899
	19,604	Go-Ahead Group Plc (The) *		319,632
	66,636	Halfords Group Plc *		268,319
	107,200	HSBC Holdings Plc *		642,152

See accompanying notes to the financial statements. 37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Kingdom — continued
	160,310	IG Group Holdings Plc		1,748,541
	18,917	IMI Plc		346,929
	9,183	Inchcape Plc *		91,073
	127,082	Indivior Plc *		227,133
	32,655	International Personal Finance Plc *		36,692
	76,612	Investec Plc		208,941
	404,971	ITV Plc * (a)		622,205
	216,158	J Sainsbury Plc		684,141
	102,308	JD Sports Fashion Plc *		1,189,126
	23,985	John Laing Group Plc		101,102
	39,590	Jupiter Fund Management Plc		163,157
	111,133	Just Group Plc *		139,957
	1,164,830	Kingfisher Plc *		4,317,382
	462,468	Legal & General Group Plc		1,681,623
	1,471,714	M&G Plc		3,790,599
	686,739	Micro Focus International Plc * (a)		4,031,730
	44,152	Mitchells & Butlers Plc * (c)		186,414
	38,425	Morgan Advanced Materials Plc		166,460
	17,371	Morgan Sindall Group Plc		401,290
	74,584	National Express Group Plc *		310,645
	65,292	National Grid Plc		734,172
	2,057	Next Plc *		217,887
	20,574	Numis Corp Plc		95,139
	58,873	OSB Group Plc *		363,849
	69,279	Paragon Banking Group Plc		434,174
	197,658	Persimmon Plc		7,162,209
	79,698	Pets at Home Group Plc		439,412
	98,781	Phoenix Group Holdings Plc		980,353
	43,894	Playtech Plc *		289,859
	89,750	Plus500 Ltd		1,719,222
	216,530	Premier Foods Plc *		273,465
	143,614	QinetiQ Group Plc		598,033
	31,670	Redde Northgate Plc		121,469
	63,965	Royal Dutch Shell Plc – A Shares (c)		1,320,081
	188,788	Royal Dutch Shell Plc – B Shares		3,700,873
	2,700	Royal Dutch Shell Plc – Class B Sponsored ADR		104,976
	45,622	Royal Mail Plc *		289,200
	26,269	Smiths Group Plc		537,960
	1,283	Softcat Plc (a)		26,124
	126,119	Spirent Communications Plc		414,312
	57,445	Stock Spirits Group Plc		212,130
	289,620	Tate & Lyle Plc		2,940,513
	580,484	Taylor Wimpey Plc *		1,280,777
	12,980	Vesuvius Plc		94,682
	29,633	Vistry Group Plc *		348,489
	243,222	WPP Plc (a)		2,908,798
		Total United Kingdom		86,833,361
		United States — 13.4%
	20,200	Alexion Pharmaceuticals, Inc. *		3,085,550
	42,200	Alliance Data Systems Corp. (a)		4,072,300

Shares		Description	Value ($)
		United States — continued
	48,000	Ally Financial, Inc.		1,992,000
	20,262	American Express Co.		2,740,638
	2,200	Anthem, Inc. (a)		667,018
	32,000	Arrow Electronics, Inc. *		3,208,320
	91,800	AT&T, Inc.		2,560,302
	77,400	Athene Holding Ltd. – Class A *		3,528,666
	20,600	Bed Bath & Beyond, Inc. *		553,316
	9,900	Biogen, Inc. *		2,701,512
	1,000	Booking Holdings, Inc. *		2,328,510
	13,100	Booz Allen Hamilton Holding Corp. (a)		1,010,534
	93,000	BorgWarner, Inc.		4,185,000
	34,000	Capital One Financial Corp.		4,086,460
	4,800	Capri Holdings Ltd. *		224,016
	94,800	Carnival Corp. *		2,535,900
	67,000	Carrier Global Corp.		2,447,510
	54,800	CBRE Group, Inc. – Class A *		4,152,196
	40,800	Centene Corp. * (a)		2,388,432
	44,929	Charles Schwab Corp. (The)		2,773,018
	19,700	Chevron Corp.		1,970,000
	14,800	Cigna Corp. (a)		3,106,520
	16,800	Cisco Systems, Inc.		753,816
	57,800	Citigroup, Inc.		3,807,864
	46,600	Citizens Financial Group, Inc.		2,024,304
	33,315	Coca-Cola Co. (The)		1,632,102
	31,600	Cognizant Technology Solutions Corp. – Class A (a)		2,321,968
	61,100	Comcast Corp. – Class A (a)		3,221,192
	2,600	Consolidated Edison, Inc.		170,690
	74,500	Corteva, Inc.		3,363,675
	129,700	Coty Inc. – Class A *		994,799
	43,600	CVS Health Corp. (a)		2,970,468
	3,900	Discover Financial Services		366,873
	95,700	DISH Network Corp. – Class A * (a)		3,015,507
	37,800	DR Horton, Inc.		2,905,686
	13,600	Dropbox, Inc. – Class A * (a)		306,612
	30,200	Edwards Lifesciences Corp. * (a)		2,509,620
	44,657	EOG Resources, Inc.		2,883,056
	60,400	Exelon Corp.		2,331,440
	25,000	Expedia Group, Inc. *		4,025,000
	72,900	Exxon Mobil Corp.		3,963,573
	9,600	FleetCor Technologies, Inc. * (a)		2,662,176
	325,300	Ford Motor Co. *		3,806,010
	55,700	Fox Corp. – Class A (a)		1,855,367
	77,700	Fox Corp. – Class B (a)		2,480,961
	67,900	General Motors Co. *		3,485,307
	41,000	Gilead Sciences, Inc.		2,517,400
	13,000	Goldman Sachs Group, Inc. (The)		4,153,240
	19,300	Hasbro, Inc.		1,808,603
	18,028	Hilton Worldwide Holdings, Inc. *		2,229,703
	9,361	Honeywell International, Inc.		1,894,198

38 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	98,900	HP, Inc.		2,865,133
	57,900	Intel Corp.		3,519,162
	29,300	International Business Machines Corp. (a)		3,484,649
	134,000	Invesco Ltd.		3,004,280
	16,400	Jazz Pharmaceuticals Plc *		2,755,856
	249,600	Kinder Morgan, Inc.		3,669,120
	55,200	Kohl’s Corp. *		3,049,800
	67,000	Kraft Heinz Co. (The)		2,437,460
	67,300	Kroger Co. (The)		2,167,733
	10,700	Laboratory Corp. of America Holdings * (a)		2,567,037
	31,884	Las Vegas Sands Corp.		1,995,938
	19,300	Leidos Holdings, Inc. * (a)		1,707,085
	35,000	Lennar Corp. – Class A		2,903,950
	68,200	Lincoln National Corp.		3,878,534
	17,100	LKQ Corp. *		673,569
	302,800	Lumen Technologies, Inc.		3,721,412
	57,500	Lyft, Inc. – Class A *		3,202,750
	38,500	LyondellBasell Industries NV – Class A		3,968,965
	1,898	Markel Corp. *		2,066,542
	68,000	MetLife, Inc.		3,916,800
	48,100	Micron Technology, Inc. *		4,402,593
	8,100	Mohawk Industries, Inc. *		1,417,419
	72,200	Molson Coors Brewing Co. – Class B *		3,209,290
	86,000	Occidental Petroleum Corp.		2,288,460
	44,300	Oracle Corp. (a)		2,857,793
	6,000	PACCAR, Inc.		545,940
	45,900	Phillips 66		3,811,995
	7,500	PPL Corp.		196,425
	7,400	Principal Financial Group, Inc.		418,692
	44,300	Prudential Financial, Inc.		3,841,696
	49,700	PulteGroup, Inc.		2,241,967
	147,600	Qurate Retail, Inc. – Series A		1,833,192
	76,565	Raytheon Technologies Corp.		5,511,914
	5,300	Regeneron Pharmaceuticals, Inc. *		2,388,021
	56,560	Sensata Technologies Holding Plc *		3,240,323
	113,000	Southwestern Energy Co. *		457,650
	35,200	SS&C Technologies Holdings, Inc. (a)		2,333,056
	86,000	Stryker Corp. (a)		20,871,340
	97,300	Synchrony Financial		3,763,564
	28,600	Textron, Inc.		1,439,724
	37,600	Tyson Foods, Inc. – Class A		2,544,392
	7,400	United Rentals, Inc. *		2,200,612
	25,100	Universal Health Services, Inc. – Class B * (a)		3,145,783
	67,309	US Bancorp		3,365,450
	42,125	Verso Corp. – Class A		526,563
	29,949	VF Corp.		2,369,864
	69,400	ViacomCBS, Inc. – Class B (a)		4,475,606
	134,700	Viatris, Inc. *		2,000,295
	17,100	VMware, Inc. – Class A * (a)		2,363,391
	59,900	Walgreens Boots Alliance, Inc.		2,871,007

Shares		Description	Value ($)
		United States — continued
	162,456	Wells Fargo & Co.		5,876,034
	109,700	Western Union Co. (The) (a)		2,547,234
	62,100	Western Digital Corp. *		4,255,713
	1,000	Whirlpool Corp.		190,080
		Total United States		290,137,781
		Vietnam — 0.0%
	151,500	Hoa Phat Group JSC		299,680
	16,600	PetroVietnam Gas JSC		64,497
	142,000	PetroVietnam Technical Services Corp		138,603
	5,100	Vietnam Dairy Products JSC		23,206
	20,800	Vinh Hoan Corp		35,871
		Total Vietnam		561,857
		TOTAL COMMON STOCKS (COST $1,434,080,742)		1,653,392,269
		PREFERRED STOCKS (f) — 1.0%
		Brazil — 0.3%
	66,200	Banco Bradesco SA		271,689
	239,221	Bradespar SA		2,683,243
	148,000	Cia de Saneamento do Parana		104,579
	4,200	Cia de Transmissao de Energia Eletrica Paulista		17,911
	19,800	Cia Energetica de Minas Gerais Sponsored ADR		41,778
	115,700	Cia Paranaense de Energia – Class B		1,209,398
	333,700	Itau Unibanco Holding SA Sponsored ADR		1,511,661
		Total Brazil		5,840,259
		Colombia — 0.0%
	409,827	Grupo Aval Acciones y Valores SA		133,500
		Germany — 0.2%
	51,200	Bayerische Motoren Werke AG		3,467,275
	2,472	Draegerwerk AG & Co KGaA (a)		188,489
	4,591	Henkel AG & Co KGaA		452,136
	1,243	Sixt SE		92,919
	1,897	Villeroy & Boch AG		34,346
	11	Volkswagen AG		2,301
		Total Germany		4,237,466
		Russia — 0.2%
	30,990	Bashneft PJSC		478,598
	56,000	Nizhnekamskneftekhim PJSC		59,710
	7,770,900	Surgutneftegas PJSC		4,096,711
	79	Transneft PJSC		151,825
		Total Russia		4,786,844
		South Korea — 0.3%
	11,310	Hyundai Motor Co Ltd Prf		1,043,706
	8,563	Hyundai Motor Co Ltd-2nd Prf		775,262

See accompanying notes to the financial statements. 39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares / Par Value†		Description	Value ($)
		South Korea — continued
	17,594	LG Electronics Inc		1,114,443
	70,397	Samsung Electronics Co Ltd		4,553,408
	59	Samsung Electronics Co Ltd GDR (Registered)		96,476
		Total South Korea		7,583,295
		Taiwan — 0.0%
	13,589	Chailease Holding Co Ltd *		48,528
	20,463	CTBC Financial Holding Co Ltd		46,862
		Total Taiwan		95,390
		TOTAL PREFERRED STOCKS (COST $19,180,271)		22,676,754
		RIGHTS/WARRANTS — 0.0%
		United Kingdom — 0.0%
	17,170	Mitchells & Butlers Plc, Expires 03/10/21 *		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—
		INVESTMENT FUNDS — 1.2%
		United States — 1.2%
	12,670	iShares Core MSCI Emerging Markets ETF		820,129
	65,000	iShares Core S&P 500 ETF		24,815,050
		Total United States		25,635,179
		TOTAL INVESTMENT FUNDS (COST $25,834,393)		25,635,179
		DEBT OBLIGATIONS — 5.9%
		United States — 5.9%
		Asset-Backed Securities — 0.1%
	91,045	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 07/26/31		91,038
	6,962	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 04/25/26		6,964
	229,805	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 10/25/37		229,454
	93,465	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31		93,465
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3
	214,000	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 1.02%, due 10/25/31		213,070
	52,406	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.79%, due 05/16/31		52,278

Par Value† / Shares		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	56,791	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31		56,703
	308,678	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 06/25/37		306,773
	99,820	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30		99,683
	231,467	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28		231,443
	170,766	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30		170,017
	17,474	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 05/25/47		17,451
	10,123	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		10,127
		Total Asset-Backed Securities		1,578,469
		U.S. Government — 5.8%
	5,000,000	U.S. Treasury Note, 0.13%, due 08/31/22		5,000,195
	57,000,000	U.S. Treasury Note, 0.13%, due 10/31/22 (a)		57,000,000
	65,000,000	U.S. Treasury Note, 0.13%, due 11/30/22 (a)		65,000,000
		Total U.S. Government		127,000,195
		Total United States		128,578,664
		TOTAL DEBT OBLIGATIONS (COST $129,804,085)		128,578,664
		MUTUAL FUNDS — 14.2%
		United States — 14.2%
		Affiliated Issuers — 14.2%
	2,669,773	GMO Emerging Country Debt Fund, Class IV		68,079,210
	2,017,648	GMO Emerging Markets Fund, Class VI		73,462,563
	3,682,300	GMO Opportunistic Income Fund, Class VI		95,150,641
	1,663,312	GMO SGM Major Markets Fund, Class VI		53,275,871
	3,101,018	GMO U.S. Treasury Fund (g)		15,629,132
		TOTAL MUTUAL FUNDS (COST $299,444,887)		305,597,417

40 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			SHORT-TERM INVESTMENTS — 1.5%
			Money Market Funds — 1.5%
	31,962,856		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		31,962,856
			TOTAL SHORT-TERM INVESTMENTS (COST $31,962,856)		31,962,856
			TOTAL INVESTMENTS — 100.4% (Cost $1,940,307,234)		2,167,843,139
			SECURITIES SOLD SHORT — (19.6)%
			Common Stocks — (19.5)%
			Australia — (0.7)%
	(32,296	)	Afterpay Ltd *		(2,950,051	)
	(446,159	)	APA Group		(3,202,556	)
	(20,467	)	ASX Ltd		(1,065,798	)
	(7,635	)	Cochlear Ltd		(1,245,708	)
	(8,073	)	Ramsay Health Care Ltd		(410,835	)
	(539,287	)	Sydney Airport *		(2,444,724	)
	(111,084	)	TPG Telecom Ltd *		(587,671	)
	(329,513	)	Transurban Group		(3,265,546	)
			Total Australia		(15,172,889	)
			Austria — (0.1)%
	(35,242	)	Verbund AG		(2,679,013	)
			Canada — (0.1)%
	(169,400	)	AltaGas Ltd		(2,567,756	)
			Denmark — (0.0)%
	(8,029	)	Ambu A/S – Class B		(370,008	)
			France — (1.0)%
	(62,034	)	Edenred		(3,438,040	)
	(211,691	)	Getlink SE *		(3,469,127	)
	(3,429	)	Hermes International		(3,820,040	)
	(5,836	)	Sartorius Stedim Biotech		(2,551,768	)
	(25,384	)	Ubisoft Entertainment SA *		(2,069,590	)
	(109,230	)	Vivendi SE		(3,780,691	)
	(28,914	)	Wendel SE		(3,298,619	)
			Total France		(22,427,875	)
			Germany — (1.1)%
	(21,344	)	Delivery Hero SE *		(2,727,327	)
	(32,338	)	Puma SE *		(3,443,474	)
	(30,584	)	QIAGEN NV *		(1,511,387	)
	(75,036	)	RWE AG		(2,834,096	)
	(31,749	)	Scout24 AG		(2,394,806	)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — continued
	(1,210,405	)	Telefonica Deutschland Holding AG		(3,241,169	)
	(99,257	)	Uniper SE		(3,469,297	)
	(30,635	)	Zalando SE *		(3,149,496	)
			Total Germany		(22,771,052	)
			Israel — (0.1)%
	(5,300	)	Wix.com Ltd *		(1,847,421	)
			Italy — (0.4)%
	(8,218	)	Amplifon SPA *		(326,890	)
	(16,800	)	Atlantia SPA *		(314,525	)
	(16,008	)	Ferrari NV		(3,115,240	)
	(222,263	)	FinecoBank Banca Fineco SPA *		(3,898,304	)
	(51,104	)	Infrastrutture Wireless Italiane SPA		(532,023	)
			Total Italy		(8,186,982	)
			Japan — (2.6)%
	(140,500	)	Acom Co Ltd		(629,596	)
	(89,500	)	Asahi Intecc Co Ltd		(2,570,259	)
	(682,000	)	ENEOS Holdings Inc		(3,015,795	)
	(2,200	)	Fast Retailing Co Ltd		(2,181,252	)
	(24,000	)	GMO Payment Gateway Inc		(3,176,516	)
	(65,700	)	Hitachi Metals Ltd		(1,046,708	)
	(3,100	)	Ibiden Co Ltd		(126,641	)
	(109,700	)	Idemitsu Kosan Co Ltd		(2,885,466	)
	(180,500	)	Isetan Mitsukoshi Holdings Ltd		(1,327,759	)
	(47,900	)	Japan Airport Terminal Co Ltd		(2,318,718	)
	(50,500	)	Japan Exchange Group Inc		(1,090,629	)
	(583	)	Japan Real Estate Investment Corp		(3,563,497	)
	(181,600	)	JGC Holding Corp		(2,357,956	)
	(183,000	)	Keikyu Corp		(2,910,977	)
	(3,000	)	Keio Corp		(225,083	)
	(11,400	)	Kintetsu Group Holdings Co Ltd		(479,573	)
	(151,700	)	Kyushu Electric Power Co Inc		(1,303,479	)
	(8,100	)	Lasertec Corp		(991,757	)
	(101,500	)	LIXIL Corp		(2,862,110	)
	(38,500	)	M3 Inc		(3,059,898	)
	(3,700	)	McDonald’s Holdings Co Japan Ltd		(183,843	)
	(11,000	)	Mercari Inc *		(529,249	)
	(16,100	)	Mitsubishi Materials Corp		(381,416	)
	(60,800	)	MonotaRO Co Ltd		(3,495,507	)
	(3,800	)	Nidec Corp		(484,557	)
	(41,700	)	Nihon M&A Center Inc		(2,275,788	)
	(29,800	)	Nippon Paint Holdings Co Ltd		(2,219,600	)
	(119,100	)	Nippon Yusen KK		(3,444,928	)
	(3,200	)	Nissin Foods Holdings Co Ltd		(241,815	)
	(60,800	)	Odakyu Electric Railway Co Ltd		(1,786,955	)
	(15,200	)	ORIENTAL LAND CO LTD		(2,559,424	)
	(17,800	)	Yaskawa Electric Corp		(895,566	)
			Total Japan		(56,622,317	)

See accompanying notes to the financial statements. 41

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			Netherlands — (0.3)%
	(1,665	)	Adyen NV *		(3,885,085	)
	(27,945	)	Just Eat Takeaway.com NV *		(2,689,055	)
			Total Netherlands		(6,574,140	)
			New Zealand — (0.1)%
	(13,541	)	Xero Ltd *		(1,239,261	)
			Norway — (0.0)%
	(8,598	)	Schibsted ASA – B Shares *		(294,838	)
			Peru — (0.2)%
	(45,700	)	Southern Copper Corp		(3,259,781	)
			Russia — (0.0)%
	(26,941	)	Magnit PJSC Sponsored GDR (Registered)		(366,733	)
			Singapore — (0.2)%
	(491,200	)	Singapore Exchange Ltd		(3,657,098	)
			Spain — (0.6)%
	(56,127	)	Cellnex Telecom SA		(3,053,855	)
	(121,646	)	Endesa SA		(3,005,911	)
	(128,162	)	Ferrovial SA		(3,180,704	)
	(80,766	)	Siemens Gamesa Renewable Energy SA		(2,995,887	)
			Total Spain		(12,236,357	)
			Sweden — (0.2)%
	(31,883	)	Evolution Gaming Group AB		(3,975,639	)
			Switzerland — (0.5)%
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(176,765	)
	(2,029	)	Partners Group Holding AG		(2,429,258	)
	(3,020	)	Straumann Holding AG (Registered)		(3,647,142	)
	(37,544	)	Swiss Re AG		(3,527,185	)
			Total Switzerland		(9,780,350	)
			United Kingdom — (1.5)%
	(48,694	)	Admiral Group Plc		(2,107,197	)
	(81,058	)	Antofagasta Plc		(2,023,036	)
	(443,174	)	Auto Trader Group Plc *		(3,407,373	)
	(1,055,086	)	ConvaTec Group Plc		(2,769,640	)
	(181,366	)	Entain Plc *		(3,587,990	)
	(34,412	)	Experian Plc		(1,092,368	)
	(35,314	)	Halma Plc		(1,117,942	)
	(160,034	)	Hargreaves Lansdown Plc		(3,383,384	)
	(474,284	)	Informa Plc *		(3,638,512	)
	(71,563	)	Land Securities Group Plc (REIT)		(663,651	)
	(29,553	)	London Stock Exchange Group Plc		(3,971,293	)
	(92,648	)	Ocado Group Plc *		(2,846,463	)

Shares			Description	Value ($)
			Common Stocks — continued
			United Kingdom — continued
	(40,245	)	Prudential Plc		(801,692	)
	(6,077	)	Spirax-Sarco Engineering Plc		(910,753	)
			Total United Kingdom		(32,321,294	)
			United States — (9.9)%
	(31,400	)	Advanced Micro Devices, Inc. *		(2,653,614	)
	(77,900	)	AES Corp. (The)		(2,069,024	)
	(1,200	)	Align Technology, Inc. *		(680,532	)
	(15,000	)	American Tower Corp. (REIT)		(3,241,950	)
	(15,600	)	Aramark		(579,072	)
	(21,000	)	Arthur J Gallagher & Co.		(2,515,800	)
	(11,800	)	Autodesk, Inc. *		(3,256,800	)
	(15,700	)	Avalara, Inc. *		(2,463,958	)
	(13,400	)	Ball Corp.		(1,144,226	)
	(12,700	)	Burlington Stores, Inc. *		(3,287,014	)
	(8,600	)	Carvana Co. *		(2,438,100	)
	(10,800	)	Catalent, Inc. *		(1,228,068	)
	(54,800	)	Cheniere Energy, Inc. *		(3,692,972	)
	(2,400	)	Chipotle Mexican Grill, Inc. *		(3,460,800	)
	(29,700	)	Cognex Corp.		(2,452,923	)
	(1,400	)	CoStar Group, Inc. *		(1,153,264	)
	(9,200	)	Coupa Software, Inc. *		(3,185,592	)
	(16,600	)	Crowdstrike Holdings, Inc. – Class A *		(3,585,600	)
	(15,500	)	Crown Castle International Corp. (REIT)		(2,414,125	)
	(27,900	)	Datadog, Inc. – Class A *		(2,661,939	)
	(9,000	)	DexCom, Inc. *		(3,580,020	)
	(17,500	)	Digital Realty Trust, Inc. (REIT)		(2,357,775	)
	(15,400	)	DocuSign, Inc. *		(3,490,564	)
	(12,400	)	Enphase Energy, Inc. *		(2,183,144	)
	(14,300	)	Equifax, Inc.		(2,314,884	)
	(4,400	)	Equinix, Inc. (REIT)		(2,852,696	)
	(54,900	)	Equity LifeStyle Properties, Inc. (REIT)		(3,384,585	)
	(1,600	)	Erie Indemnity Co. – Class A		(387,360	)
	(25,700	)	Exact Sciences Corp. *		(3,498,284	)
	(3,300	)	Extra Space Storage, Inc. (REIT)		(414,810	)
	(9,500	)	Fastenal Co.		(440,515	)
	(28,200	)	Guidewire Software, Inc. *		(3,129,918	)
	(6,500	)	HubSpot, Inc. *		(3,347,500	)
	(4,300	)	IDEXX Laboratories, Inc. *		(2,236,731	)
	(33,700	)	Ingersoll Rand, Inc. *		(1,561,658	)
	(13,100	)	Insulet Corp. *		(3,394,210	)
	(17,300	)	IQVIA Holdings, Inc. *		(3,335,267	)
	(17,600	)	Iron Mountain, Inc. (REIT)		(612,304	)
	(42,900	)	Lamb Weston Holdings, Inc.		(3,422,133	)
	(9,900	)	Liberty Broadband Corp. – Class A *		(1,439,064	)
	(13,900	)	Liberty Broadband Corp. – Class C *		(2,078,189	)
	(81,100	)	Liberty Media Corp-Liberty Formula One – Class C *		(3,560,290	)
	(7,600	)	Linde Plc		(1,856,452	)
	(50,300	)	Live Nation Entertainment, Inc. *		(4,469,658	)

42 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,100	)	Lululemon Athletica, Inc. *		(654,528	)
	(6,200	)	MarketAxess Holdings, Inc.		(3,446,828	)
	(9,100	)	MongoDB, Inc. *		(3,511,963	)
	(3,100	)	Monolithic Power Systems, Inc.		(1,161,012	)
	(8,400	)	MSCI, Inc.		(3,481,968	)
	(2,000	)	Neurocrine Biosciences, Inc. *		(219,020	)
	(19,600	)	NIKE Inc. – Class B		(2,641,688	)
	(17,800	)	Novocure Ltd. *		(2,653,980	)
	(52,800	)	Nuance Communications, Inc. *		(2,354,880	)
	(13,100	)	Okta, Inc. *		(3,424,995	)
	(6,900	)	Paycom Software, Inc. *		(2,582,256	)
	(18,000	)	Pinterest, Inc. – Class A *		(1,450,440	)
	(10,600	)	Public Storage (REIT)		(2,479,764	)
	(9,200	)	RingCentral, Inc. – Class A *		(3,479,072	)
	(3,100	)	Rockwell Automation, Inc.		(754,168	)
	(8,600	)	Roku, Inc. *		(3,401,128	)
	(65,100	)	Rollins, Inc.		(2,159,367	)
	(9,300	)	SBA Communications Corp. (REIT)		(2,372,709	)
	(3,800	)	Seagen, Inc. *		(574,218	)
	(6,500	)	ServiceNow, Inc. *		(3,467,490	)
	(8,000	)	Simon Property Group, Inc. (REIT)		(903,360	)
	(61,900	)	Snap, Inc. – Class A *		(4,064,354	)
	(171,500	)	Southwestern Energy Co. *		(694,575	)
	(16,400	)	Splunk, Inc. *		(2,345,364	)
	(14,100	)	Square, Inc. – Class A *		(3,243,423	)
	(26,500	)	Starbucks Corp.		(2,862,795	)
	(7,100	)	Sun Communities, Inc. (REIT)		(1,078,845	)
	(21,900	)	Sunrun, Inc. *		(1,370,502	)
	(116,300	)	Targa Resources Corp.		(3,597,159	)
	(13,400	)	Teladoc Health, Inc. *		(2,962,606	)
	(4,800	)	Tesla, Inc. *		(3,242,400	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(9,400	)	Twilio, Inc. – Class A *		(3,693,072	)
	(88,800	)	UDR, Inc. (REIT)		(3,655,896	)
	(9,900	)	Vail Resorts, Inc.		(3,060,882	)
	(6,900	)	Wayfair, Inc. – Class A *		(1,993,962	)
	(3,900	)	West Pharmaceutical Services, Inc.		(1,094,535	)
	(121,300	)	Williams Cos, Inc. (The)		(2,770,491	)
	(32,800	)	Wynn Resorts Ltd. *		(4,320,743	)
	(2,000	)	XPO Logistics, Inc. *		(233,200	)
	(17,900	)	Zendesk, Inc. *		(2,615,905	)
	(25,556	)	Zillow Group, Inc. – Class C *		(4,122,948	)
	(1,800	)	Zoetis, Inc.		(279,431	)
	(6,600	)	Zoom Video Communications, Inc. – Class A *		(2,465,825	)
	(17,100	)	Zscaler, Inc. *		(3,506,012	)
			Total United States		(213,963,143	)
			TOTAL COMMON STOCKS (PROCEEDS $390,066,697)		(420,313,947	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(6,658	)	Sartorius AG		(3,419,708	)
			TOTAL PREFERRED STOCKS (PROCEEDS $2,914,054)		(3,419,708	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $392,980,751)		(423,733,655	)
			Other Assets and Liabilities (net) — 19.2%		414,386,558
			TOTAL NET ASSETS — 100.0%		$2,158,496,042

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
03/19/2021	MSCI	AUD	26,295,400		USD	20,371,467		137,107
05/10/2021	MSCI	AUD	19,960,000		USD	15,213,213		(148,291	)
04/05/2021	GS	BRL	1,080,540		USD	200,000		7,416
04/05/2021	JPM	BRL	2,934,450		USD	544,445		21,440
04/05/2021	MSCI	BRL	1,511,608		USD	280,000		10,587
05/03/2021	BCLY	CAD	2,506,941		USD	1,970,000		(91	)
05/03/2021	JPM	CAD	1,375,655		USD	1,086,862		5,798
04/13/2021	JPM	CHF	1,013,740		USD	1,130,000		14,257
04/13/2021	MSCI	CHF	18,211,234		USD	20,502,605		458,959
05/24/2021	JPM	CLP	197,330,000		USD	280,000		7,118
05/24/2021	MSCI	CLP	106,042,000		USD	149,728		3,086
03/19/2021	BOA	EUR	55,876,300		USD	67,327,896		(116,102	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
03/19/2021	MSCI	EUR	55,876,300		USD	67,340,887		(103,110	)
03/31/2021	BCLY	EUR	900,000		USD	1,091,480		4,843
03/19/2021	MSCI	GBP	26,498,600		USD	36,703,767		(217,699	)
04/13/2021	BCLY	GBP	990,000		USD	1,368,589		(11,011	)
04/13/2021	JPM	GBP	3,000,000		USD	4,088,128		(92,478	)
03/19/2021	JPM	HKD	97,522,500		USD	12,579,784		6,270
04/13/2021	BCLY	HUF	473,461,682		USD	1,592,939		17,889
04/13/2021	JPM	HUF	119,113,132		USD	400,000		3,750
04/30/2021	GS	ILS	878,374		USD	270,000		4,366
04/19/2021	JPM	INR	16,805,410		USD	230,000		4,277
03/09/2021	BCLY	JPY	98,700,000		USD	940,000		14,009
03/09/2021	JPM	JPY	123,250,362		USD	1,170,000		13,681

See accompanying notes to the financial statements. 43

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
03/19/2021	DB	JPY	2,418,280,434		USD	22,798,913		107,998
03/19/2021	SSB	JPY	4,836,560,866		USD	45,578,288		196,459
04/21/2021	DB	MXN	4,366,463		USD	220,000		12,388
04/19/2021	JPM	NOK	13,428,613		USD	1,580,000		31,345
05/05/2021	JPM	NZD	1,530,000		USD	1,115,895		10,478
05/05/2021	MSCI	NZD	8,110,000		USD	5,843,417		(16,016	)
04/21/2021	JPM	PHP	43,593,850		USD	905,247		19,139
05/28/2021	BCLY	RON	4,451,798		USD	1,103,545		6,227
05/05/2021	JPM	SEK	5,209,859		USD	630,000		12,581
04/15/2021	MSCI	SGD	1,235,940		USD	932,961		6,177
04/16/2021	BOA	THB	8,364,492		USD	277,670		145
05/03/2021	BCLY	TWD	1,352,411		USD	48,836		(33	)
05/03/2021	JPM	TWD	4,698,120		USD	170,000		237
05/10/2021	JPM	USD	868,879		AUD	1,100,000		(22,303	)
04/05/2021	JPM	USD	220,000		BRL	1,187,793		(8,300	)
05/03/2021	BCLY	USD	1,520,000		CAD	1,917,430		(13,179	)
05/03/2021	MSCI	USD	17,390,103		CAD	22,318,250		148,797
04/13/2021	JPM	USD	770,000		CHF	692,857		(7,428	)
04/13/2021	MSCI	USD	1,170,000		CHF	1,038,363		(27,157	)
04/30/2021	MSCI	USD	774,089		COP	2,774,810,600		(14,760	)
05/17/2021	MSCI	USD	681,706		CZK	14,493,742		(13,390	)
03/31/2021	MSCI	USD	14,109,576		EUR	11,625,000		(73,844	)
04/13/2021	MSCI	USD	6,356,197		GBP	4,715,000		214,321
04/13/2021	CITI	USD	240,000		HUF	70,619,832		(5,071	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
05/11/2021	JPM	USD	200,000		IDR	2,840,200,000		(4,762	)
05/11/2021	MSCI	USD	877,633		IDR	12,383,397,000		(26,386	)
04/19/2021	CITI	USD	240,000		INR	17,735,616		(1,783	)
04/19/2021	JPM	USD	1,063,949		INR	78,762,823		(6,042	)
03/09/2021	MSCI	USD	15,536,506		JPY	1,637,799,457		(170,876	)
04/19/2021	MSCI	USD	434,031		KRW	479,548,300		(8,485	)
04/21/2021	JPM	USD	1,184,283		MXN	23,535,858		(65,227	)
04/19/2021	BCLY	USD	980,000		NOK	8,356,558		(16,280	)
04/19/2021	JPM	USD	592,028		NOK	5,072,055		(7,093	)
05/05/2021	BOA	USD	302,531		NZD	420,996		1,636
05/05/2021	JPM	USD	5,534,684		NZD	7,689,004		20,582
05/24/2021	MSCI	USD	480,169		PEN	1,753,722		501
05/17/2021	CITI	USD	1,064,425		PLN	3,945,505		(10,940	)
05/12/2021	MSCI	USD	1,453,741		RUB	108,082,034		(17,978	)
05/05/2021	BCLY	USD	9,042,887		SEK	76,018,127		(33,997	)
05/05/2021	JPM	USD	4,350,000		SEK	36,454,773		(29,754	)
04/15/2021	DB	USD	360,000		SGD	475,982		(3,079	)
04/15/2021	GS	USD	460,000		SGD	609,930		(2,637	)
04/16/2021	MSCI	USD	278,501		THB	8,364,492		(976	)
05/17/2021	BCLY	USD	1,218,083		TRY	8,917,217		(57,910	)
04/30/2021	MSCI	USD	1,706,610		ZAR	26,349,208		22,022
							$	191,418

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
308	Mini MSCI Emerging Markets		March 2021	$	20,606,740	$	273,943
Sales
3,059	Euro STOXX 50		March 2021		134,159,672		(4,695,025	)
411	FTSE 100 Index		March 2021		37,074,487		116,501
69	Hang Seng Index		March 2021		12,919,178		484,316
1,100	S&P 500 E-Mini		March 2021		209,506,000		(7,498,661	)
76	SGX Nifty 50		March 2021		2,210,722		24,772
155	SPI 200		March 2021		19,785,684		(181,768	)
395	TOPIX Index		March 2021		69,931,858		(4,787,878	)
				$	485,587,601	$	(16,537,743	)

+ 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		(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.

44 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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) ($)
0.49%	3 Month CAD LIBOR	CAD	89,100,000		03/13/2023		Semi-Annually		21,707			255,598			233,891
3 Month CAD LIBOR	0.52%	CAD	6,200,000		03/13/2023		Semi-Annually		—			(14,883	)		(14,883	)
6 Month EURIBOR	(0.55)%	EUR	17,930,000		03/15/2023		Semi-Annually		(7,213	)		(39,536	)		(32,323	)
6 Month GBP LIBOR	0.10%	GBP	80,140,000		03/15/2023		Semi-Annually		6,810			(392,973	)		(399,783	)
6 Month GBP LIBOR	0.10%	GBP	6,650,000		03/15/2023		Semi-Annually		—			(32,978	)		(32,978	)
6 Month GBP LIBOR	0.18%	GBP	3,140,000		03/15/2023		Semi-Annually		55			(8,338	)		(8,393	)
0.21%	3 Month USD LIBOR	USD	7,010,000		03/15/2023		Quarterly		(3,064	)		5,995			9,059
0.23%	3 Month USD LIBOR	USD	19,990,000		03/15/2023		Quarterly		741			7,935			7,194
0.21%	3 Month USD LIBOR	USD	28,250,000		03/15/2023		Quarterly		(2,886	)		22,471			25,357
0.09%	3 Month AUD BBSW	AUD	8,600,000		03/17/2023		Quarterly		—			16,171			16,171
0.12%	3 Month AUD BBSW	AUD	7,800,000		03/17/2023		Quarterly		—			10,771			10,771
0.07%	3 Month AUD BBSW	AUD	18,460,000		03/17/2023		Quarterly		247			38,685			38,438
3 Month AUD BBSW	0.10%	AUD	2,260,000		03/17/2023		Quarterly		(268	)		(3,729	)		(3,461	)
(0.72)%	6 Month CHF LIBOR	CHF	2,980,000		03/17/2023		Semi-Annually		(436	)		7,249			7,685
6 Month CHF LIBOR	(0.70)%	CHF	4,030,000		03/17/2023		Semi-Annually		—			(8,280	)		(8,280	)
0.39%	3 Month NZD Bank Bill Rate	NZD	75,720,000		03/17/2023		Quarterly		(19,954	)		115,199			135,153
3 Month SEK STIBOR	(0.03)%	SEK	443,750,000		03/17/2023		Quarterly		11,974			(56,794	)		(68,768	)
1.05%	6 Month AUD BBSW	AUD	480,000		03/17/2031		Semi-Annually		(225	)		27,524			27,749
6 Month AUD BBSW	1.01%	AUD	1,630,000		03/17/2031		Semi-Annually		—			(97,852	)		(97,852	)
6 Month AUD BBSW	0.99%	AUD	1,800,000		03/17/2031		Semi-Annually		—			(111,395	)		(111,395	)
6 Month AUD BBSW	1.95%	AUD	25,910,000		03/17/2031		Semi-Annually		176,732			210,257			33,525
6 Month AUD BBSW	1.26%	AUD	3,870,000		03/17/2031		Semi-Annually		2,422			(164,209	)		(166,631	)
3 Month CAD LIBOR	1.50%	CAD	24,540,000		03/17/2031		Semi-Annually		500			(693,158	)		(693,658	)
3 Month CAD LIBOR	1.51%	CAD	17,120,000		03/17/2031		Semi-Annually		(15,735	)		(470,968	)		(455,233	)
3 Month CAD LIBOR	1.61%	CAD	3,120,000		03/17/2031		Semi-Annually		—			(62,861	)		(62,861	)
3 Month CAD LIBOR	1.75%	CAD	39,960,000		03/17/2031		Semi-Annually		(48,978	)		(393,229	)		(344,251	)
(0.23)%	6 Month CHF LIBOR	CHF	2,560,000		03/17/2031		Semi-Annually		—			90,920			90,920
(0.25)%	6 Month CHF LIBOR	CHF	1,290,000		03/17/2031		Semi-Annually		—			47,971			47,971
6 Month CHF LIBOR	(0.25)%	CHF	11,690,000		03/17/2031		Semi-Annually		(5,638	)		(445,130	)		(439,492	)
6 Month CHF LIBOR	(0.27)%	CHF	590,000		03/17/2031		Semi-Annually		1,291			(23,583	)		(24,874	)
(0.21)%	6 Month CHF LIBOR	CHF	800,000		03/17/2031		Semi-Annually		—			26,452			26,452
(0.19)%	6 Month CHF LIBOR	CHF	1,290,000		03/17/2031		Semi-Annually		—			40,067			40,067
(0.12)%	6 Month CHF LIBOR	CHF	4,150,000		03/17/2031		Semi-Annually		(1,668	)		95,152			96,820
0.09%	6 Month CHF LIBOR	CHF	1,250,000		03/17/2031		Semi-Annually		—			185			185
3 Month NZD Bank Bill Rate	1.10%	NZD	15,950,000		03/17/2031		Quarterly		(43,967	)		(969,138	)		(925,171	)
3 Month NZD Bank Bill Rate	2.15%	NZD	14,690,000		03/17/2031		Quarterly		98,952			147,030			48,078
3 Month NZD Bank Bill Rate	1.70%	NZD	35,220,000		03/17/2031		Quarterly		(124,016	)		(715,709	)		(591,693	)
0.41%	3 Month SEK STIBOR	SEK	74,860,000		03/17/2031		Quarterly		2,297			356,531			354,234
0.54%	3 Month SEK STIBOR	SEK	23,300,000		03/17/2031		Quarterly		(763	)		76,355			77,118
0.82%	3 Month SEK STIBOR	SEK	11,800,000		03/17/2031		Quarterly		—			619			619
3 Month SEK STIBOR	0.49%	SEK	18,360,000		03/17/2031		Quarterly		4,459			(70,527	)		(74,986	)
3 Month SEK STIBOR	0.48%	SEK	8,900,000		03/17/2031		Quarterly		—			(34,957	)		(34,957	)
(0.25)%	6 Month EURIBOR	EUR	3,550,000		03/19/2031		Semi-Annually		4,054			132,135			128,081
(0.03)%	6 Month EURIBOR	EUR	1,350,000		03/19/2031		Semi-Annually		—			13,960			13,960
0.02%	6 Month EURIBOR	EUR	54,630,000		03/19/2031		Semi-Annually		(16,560	)		222,948			239,508
0.05%	6 Month EURIBOR	EUR	990,000		03/19/2031		Semi-Annually		—			(152	)		(152	)
0.48%	6 Month GBP LIBOR	GBP	15,520,000		03/19/2031		Semi-Annually		1,626			1,113,916			1,112,290
0.54%	6 Month GBP LIBOR	GBP	1,970,000		03/19/2031		Semi-Annually		3,914			124,841			120,927
0.69%	6 Month GBP LIBOR	GBP	640,000		03/19/2031		Semi-Annually		149			27,809			27,660
0.92%	6 Month GBP LIBOR	GBP	24,580,000		03/19/2031		Semi-Annually		43,888			301,930			258,042
1.46%	3 Month USD LIBOR	USD	27,560,000		03/19/2031		Quarterly		(15,662	)		187,891			203,553
1.51%	3 Month USD LIBOR	USD	1,470,000		03/19/2031		Quarterly		—			2,802			2,802
1.52%	3 Month USD LIBOR	USD	1,470,000		03/19/2031		Quarterly		—			1,190			1,190
1.52%	3 Month USD LIBOR	USD	1,470,000		03/19/2031		Quarterly		—			1,751			1,751
3 Month USD LIBOR	1.45%	USD	11,220,000		03/19/2031		Quarterly		(4,382	)		(87,195	)		(82,813	)
								$	70,403		$	(1,167,264	)	$	(1,237,667	)

See accompanying notes to the financial statements. 45

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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 8.50%)	Appreciation of Total Return on CSI 500 Index	GS	USD	2,276,885		12/07/2021		Monthly		—		12,868			12,868
Total Return on Equity Basket (i)	1 Month Federal Funds Rate plus 0.20%	GS	USD	20,388,880		03/08/2021		At Maturity		—		(479,162	)		(479,162	)
Total Return on iShares Core S&P 500 ETF	1 Month Federal Funds Rate plus 0.23%	GS	USD	25,254,450		03/24/2021		At Maturity		—		439,885			439,885
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1,243,409		05/24/2022		Monthly		—		79,804			79,804
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	196,719		05/24/2022		Monthly		—		2,042			2,042
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS	USD	760,639		05/24/2022		Monthly		—		23,496			23,496
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	2		06/20/2022		Monthly		—		—			—
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	33,295,302		10/18/2022		Monthly		—		4,136,116			4,136,116
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	340,533		10/18/2022		Monthly		—		(18,936	)		(18,936	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,859,335		10/18/2022		Monthly		—		138,006			138,006
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	260,382		10/18/2022		Monthly		—		14,050			14,050
									$	—	$	4,348,169		$	4,348,169

As of February 28, 2021, 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) Securities are traded on separate exchanges for the same entity.

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

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

(e) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to

procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(f) 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 February 28, 2021.

(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.

46 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

(j) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

Shares		Description	% of Equity Basket			Value ($)
	23,130,000	Alibaba Pictures Group Ltd		11.0	%		3,217,654
	539,500	China Cosco Holdings Co – Class H		2.1	%		599,402
	4,905,000	China Molybdenum Co Ltd – Class H		13.0	%		3,783,182
	254,000	China Resources Beer Holdings Co Ltd		6.6	%		1,916,361
	738,000	China Yuhua Education Corp Ltd		2.1	%		609,915
	13,200	Fuyao Glass Industry Group Co Ltd – Class H		0.3	%		80,902
	2,052,000	Greentown Service Group Co Ltd		7.1	%		2,080,660
	16,000	Haidilao International Holding Ltd		0.4	%		131,128
	55,200	Hong Kong Exchanges and Clearing Ltd		11.6	%		3,393,853
	816,000	Kingdee International Software Group Co Ltd		10.0	%		2,920,472
	83,000	New World Development Co Ltd		1.4	%		422,137
	213,200	Sands China Ltd		3.5	%		1,004,840
	163,000	SJM Holdings Ltd		0.8	%		226,717
	828,800	Wynn Resorts Ltd		5.4	%		1,563,253
	204,000	Yihai International Holding Ltd.		9.6	%		2,793,444
	644,500	Zhaojin Mining Industry Co Ltd		2.2	%		649,035
	2,546,000	Zijin Mining Group Co Ltd – Class H		12.9	%		3,756,252
		TOTAL COMMON STOCKS				$	29,149,207

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 118.

See accompanying notes to the financial statements. 47

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Asset Allocation Fund returned +15.39% (net) for the fiscal year ended February 28, 2021, as compared with +20.00% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index (“ACWI”) and 35% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, had a negative impact on performance, and this was exacerbated by the bias in developed equities away from the decently performing U.S. towards markets outside the U.S., which fared less well. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI ACWI Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark. The underweighting to fixed income was additive to performance as the asset class did relatively less well, and this was complemented by good performance within fixed income.

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

48

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

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

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index*, the MSCI ACWI and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

* The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg Barclays U.S. Aggregate Index.

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

For Class III, R6 and I the gross expense ratio of 0.60%, 0.60% and 0.70%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.59%, 0.59% and 0.69% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

49

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		68.2	%
Debt Obligations		20.6
Short-Term Investments		7.6
Investment Funds		3.2
Preferred Stocks		0.9
Loan Participations		0.0	^
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Swap Contracts		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Securities Sold Short		(7.2	)
Other		6.7
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		7.6	%
Other Emerging		2.9	†
Other Developed		0.1	‡
Euro Region		0.0	^#
		10.6	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		23.1	%
Japan		7.3
China		7.2
Taiwan		5.0
Other Emerging		4.6	†
Other Developed		3.7	‡
United Kingdom		3.5
Russia		3.4
France		1.5
Netherlands		1.3
Germany		1.2
Australia		1.1
Spain		1.0
Switzerland		1.0
Euro Region		0.0	^#
		64.9	%

& 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. 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%.

50

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	9,403,469	GMO Alternative Allocation Fund, Class VI		178,571,877
	2,453,474	GMO Asset Allocation Bond Fund, Class VI		58,588,962
	922,964	GMO Cyclical Focus Fund, Class IV		26,821,332
	1,044,566	GMO Emerging Country Debt Fund, Class IV		26,636,433
	4,807,595	GMO Emerging Markets Fund, Class VI		175,044,536
	6,174,126	GMO International Equity Fund, Class IV		143,733,654
	1,521,877	GMO-Usonian Japan Value Creation Fund, Class VI		35,718,441
	2,447,422	GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		49,437,917
	1,033,517	GMO Opportunistic Income Fund, Class VI		26,706,075
	696,357	GMO Quality Fund, Class VI		18,091,344
	5,157,125	GMO U.S. Equity Fund, Class VI		73,489,034
	2,326,912	GMO U.S. Small Cap Value Fund, Class VI		58,149,527
	4,902,218	GMO U.S. Treasury Fund		24,707,179
		TOTAL MUTUAL FUNDS (COST $867,843,418)		895,696,311
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	20,160	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.41%, due 02/25/36		5,140
	10,012	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.62%, due 10/25/34		9,554
	10,031	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.37%, due 02/26/34		8,654
		TOTAL DEBT OBLIGATIONS (COST $26,976)		23,348

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	600,429	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		600,429
		TOTAL SHORT-TERM INVESTMENTS (COST $600,429)		600,429
		TOTAL INVESTMENTS — 100.0% (Cost $868,470,823)		896,320,088
		Other Assets and Liabilities (net) — (0.0%)		(190,479	)
		TOTAL NET ASSETS — 100.0%		$896,129,609

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 51

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Developed Equity Allocation Fund returned +28.41% (net) for the fiscal year ended February 28, 2021, as compared with +29.34% for the Fund’s benchmark, the MSCI World Index.

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. markets detracted from performance relative to the benchmark, while the overweight to emerging markets was helpful. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Stock selection was strong in the U.S., helped by an explicit allocation to small cap value stocks which performed very well, along with an allocation to the Cyclical Focus Strategy (which is predominantly U.S.) that rallied extremely strongly as COVID-19 related worries started to recede given the successful vaccine developments.

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

52

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

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

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

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

For Class III the gross expense ratio of 0.60% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.57% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

53

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.3	%
Short-Term Investments		2.3
Preferred Stocks		0.9
Investment Funds		0.1
Debt Obligations		0.1
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		(0.7	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		39.3	%
Japan		13.0
United Kingdom		8.4
France		4.0
China		3.7
Germany		3.5
Netherlands		3.5
Other Emerging		2.9	†
Taiwan		2.9
Switzerland		2.8
Spain		2.6
Australia		2.5
Other Developed		2.3	‡
Russia		1.8
Singapore		1.8
Italy		1.4
Hong Kong		1.3
Portugal		1.3
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%.

54

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	157,943	GMO Cyclical Focus Fund, Class VI		4,589,809
	233,425	GMO Emerging Markets Fund, Class VI		8,499,013
	1,594,133	GMO International Equity Fund, Class IV		37,111,417
	148,893	GMO-Usonian Japan Value Creation Fund, Class VI		3,494,510
	420,532	GMO Quality Fund, Class VI		10,925,424
	994,155	GMO U.S. Equity Fund, Class VI		14,166,705
	373,874	GMO U.S. Small Cap Value Fund, Class VI		9,343,101
		TOTAL MUTUAL FUNDS (COST $74,078,175)		88,129,979
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	47,867	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		47,867
		TOTAL SHORT-TERM INVESTMENTS (COST $47,867)		47,867
		TOTAL INVESTMENTS — 100.0% (Cost $74,126,042)		88,177,846
		Other Assets and Liabilities (net) — (0.0%)		(24,323	)
		TOTAL NET ASSETS — 100.0%		$88,153,523

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 55

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Global Equity Allocation Fund returned +27.51% (net) for the fiscal year ended February 28, 2021, as compared with +30.25% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s underweight to the U.S. market and overweight to developed ex-U.S. markets detracted from performance relative to the benchmark, while the overweight to emerging markets was helpful. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Stock selection was strong in the U.S., helped by an explicit allocation to small cap value stocks which performed very well, along with an allocation to the Cyclical Focus Strategy (which is predominantly U.S.) that rallied extremely strongly as COVID-19 related worries started to recede given the successful vaccine developments.

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

56

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

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

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III, R6 and I the gross expense ratio of 0.59%, 0.59% and 0.69%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.58%, 0.58% and 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

57

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.5	%
Short-Term Investments		2.0
Preferred Stocks		1.4
Investment Funds		0.2
Debt Obligations		0.2
Futures Contracts		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		(0.4	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		29.8	%
Japan		10.9
China		10.4
Taiwan		7.4
United Kingdom		6.9
Russia		4.7
Other Emerging		4.0	†
France		3.3
Germany		2.8
Netherlands		2.8
Other Developed		2.7	‡
Switzerland		2.3
Spain		2.1
Australia		1.9
Singapore		1.5
India		1.2
Italy		1.1
Korea		1.1
Mexico		1.1
Hong Kong		1.0
Portugal		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%.

58

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,791,930	GMO Cyclical Focus Fund, Class VI		81,133,477
	12,399,583	GMO Emerging Markets Fund, Class VI		451,468,804
	23,489,305	GMO International Equity Fund, Class IV		546,831,021
	2,769,996	GMO-Usonian Japan Value Creation Fund, Class VI		65,011,818
	8,491,203	GMO Quality Fund, Class VI		220,601,446
	7,326,868	GMO U.S. Equity Fund, Class VI		104,407,865
	7,118,035	GMO U.S. Small Cap Value Fund, Class VI		177,879,688
		TOTAL MUTUAL FUNDS (COST $1,496,772,738)		1,647,334,119
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	607,265	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		607,265
		TOTAL SHORT-TERM INVESTMENTS (COST $607,265)		607,265
		TOTAL INVESTMENTS — 100.0% (Cost $1,497,380,003)		1,647,941,384
		Other Assets and Liabilities (net) — (0.0%)		(60,274	)
		TOTAL NET ASSETS — 100.0%		$1,647,881,110

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 59

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team.

Management Discussion and Analysis of Fund Performance

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

GMO Implementation Fund returned +1.95% (net) for the fiscal year ended February 28, 2021, as compared with +1.59% for the CPI.

Although it was a reasonable 12 months from an absolute performance perspective, relative to burgeoning equity markets it was distinctly lackluster. In particular, we put broad market hedges in place to remove a significant proportion of the effective exposure to equities in May 2020 as we believed that valuations were excessive, and risk was elevated due to COVID-19. This decision proved highly detrimental to performance as equities continued their strong run. Within equities, a bias to a “Value” style also proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). Fixed Income exposure was additive to performance, driven by an excellent return from our High Yield/Distressed Debt positions. The equity long/short and alternative strategies also enjoyed solid positive returns, but simply could not keep up with the rampant equity markets.

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

60

GMO Implementation Fund

(A Series of GMO Trust)

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

GMO Implementation Fund, the Consumer Price Index and the Bloomberg Barclays U.S. Treasury

Inflation Notes: 1-10 Year Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

The gross expense ratio of 0.11% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. The net expense ratio of 0.06% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		80.5	%
Debt Obligations		11.7
Short-Term Investments		4.2
Preferred Stocks		1.3
Investment Funds		1.2
Mutual Funds		0.6
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Futures Contracts		(0.7	)
Securities Sold Short		(23.9	)
Other		25.1
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		2.8	%
Other Developed		0.2	‡
Other Emerging		0.1	†
Euro Region		0.0	^§
		3.1	%
Country/Region Summary¤	Equity Investments % of Total Net Assets
China		12.4	%
Japan		9.1
United States		6.6
Other Developed		5.9	‡
Taiwan		5.4
Russia		3.6
Other Emerging		3.0	†
South Korea		2.7
United Kingdom		2.4
India		2.0
South Africa		1.4
Netherlands		1.3
Canada		1.2
Hong Kong		1.2
Mexico		1.0
		59.2	%

Industry Group Summary	% of Equity Investments#
Banks		15.4	%
Materials		10.4
Capital Goods		9.2
Technology Hardware & Equipment		8.6
Automobiles & Components		6.5
Consumer Durables & Apparel		5.5
Energy		5.5
Semiconductors & Semiconductor Equipment		5.0
Pharmaceuticals, Biotechnology & Life Sciences		4.3
Food, Beverage & Tobacco		4.1
Insurance		4.1
Retailing		4.0
Diversified Financials		3.9
Real Estate		3.6
Media & Entertainment		3.2
Telecommunication Services		2.8
Commercial & Professional Services		2.0
Food & Staples Retailing		1.7
Health Care Equipment & Services		1.3
Utilities		1.2
Household & Personal Products		0.3
Transportation		0.1
Consumer Services		(1.0	)
Software & Services		(1.7	)
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

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

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

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

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

^ Rounds to 0.0%.

62

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 80.5%
		Argentina — 0.1%
	62,800	Banco BBVA Argentina SA ADR *		170,188
	13,400	Globant SA *		2,877,248
	71,800	Grupo Financiero Galicia SA ADR		534,910
		Total Argentina		3,582,346
		Australia — 1.6%
	184,608	Accent Group Ltd		308,387
	120,256	Adairs Ltd		351,756
	45,669	Ansell Ltd (a)		1,269,201
	179,254	Asaleo Care Ltd		195,727
	448,397	Australian Pharmaceutical Industries Ltd		383,919
	48,776	Aventus Group (REIT)		105,399
	10,852	Bank of Queensland Ltd * (b)		73,462
	65	Bank of Queensland Ltd * (b)		368
	34,054	BHP Group Ltd		1,287,257
	551,698	BlueScope Steel Ltd		7,045,831
	878,503	Coca-Cola Amatil Ltd		9,070,282
	51,006	Codan Ltd		586,009
	114,842	Computershare Ltd (a)		1,175,009
	43,628	Coronado Global Resources Inc CDI		36,454
	1,025,495	Dexus (REIT)		7,034,718
	980,216	Fortescue Metals Group Ltd		18,102,782
	53,937	G8 Education Ltd * (c)		44,745
	82,845	GDI Property Group (REIT) (c)		66,010
	351,484	Genworth Mortgage Insurance Australia Ltd (c)		699,035
	2,938,405	GPT Group (The) (REIT)		9,651,400
	76,883	JB Hi-Fi Ltd (c)		2,579,436
	74,853	McMillan Shakespeare Ltd		717,653
	1,822,107	Mirvac Group (REIT)		3,140,601
	233,134	Mount Gibson Iron Ltd		158,842
	184,843	Rio Tinto Ltd		18,136,792
	360,129	Sandfire Resources Ltd		1,683,236
	4,720,072	Scentre Group (REIT)		10,451,831
	963,499	Stockland (REIT)		3,078,560
	33,424	Virtus Health Ltd		156,982
		Total Australia		97,591,684
		Austria — 0.0%
	5,489	Semperit AG Holding *		169,646
		Belgium — 0.4%
	302,788	Ageas SA/NV		16,971,796
	34,661	AGFA-Gevaert NV *		155,322
	55,443	bpost SA *		600,534
	23,298	Econocom Group SA/NV (a)		86,373
	118	Sofina SA		39,002
	75,473	UCB SA		7,483,646
		Total Belgium		25,336,673

Shares		Description	Value ($)
		Brazil — 0.6%
	924,800	Banco Bradesco SA *		3,397,743
	425,200	Banco do Brasil SA		2,128,200
	808,100	Camil Alimentos SA		1,503,958
	576,900	Cia de Saneamento do Parana		2,037,196
	8,200	Cia Paranaense de Energia		84,133
	336,100	Dimed SA Distribuidora da Medicamentos		1,127,490
	137,300	Mahle-Metal Leve SA		434,131
	995,700	Marfrig Global Foods SA *		2,469,617
	1,962,600	Petrobras Distribuidora SA		6,976,017
	37,900	Petroleo Brasileiro SA Sponsored ADR		300,547
	146,300	Telefonica Brasil SA		1,148,639
	542,400	TIM SA		1,238,842
	3,200	Transmissora Alianca de Energia Eletrica SA		17,444
	203,800	Tupy SA *		772,769
	467,800	Vale SA Sponsored ADR		7,905,820
	412,500	Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. *		2,539,390
	215,600	WEG SA		3,002,673
		Total Brazil		37,084,609
		Canada — 1.3%
	29,700	AGF Management Ltd – Class B		161,733
	118,842	Brookfield Asset Management Inc – Class A		4,795,275
	15,348	BRP Inc		1,108,949
	32,900	Canaccord Genuity Group Inc		295,236
	71,100	Canadian Apartment Properties (REIT)		2,851,598
	6,500	Canadian Imperial Bank of Commerce		599,281
	9,000	Canadian Tire Corp Ltd – Class A		1,162,942
	13,400	Canfor Corp *		273,349
	8,200	Canfor Pulp Products Inc		65,724
	83,500	Cascades Inc		1,101,654
	139,500	Celestica Inc * (b)		1,156,471
	9,800	Celestica Inc * (b)		81,144
	15,100	Cogeco Inc		1,107,998
	900	First Quantum Minerals Ltd		19,399
	29,700	iA Financial Corp Inc		1,526,075
	30,700	IGM Financial Inc		837,580
	166,200	Imperial Oil Ltd (c)		3,642,400
	25,600	Intertape Polymer Group Inc		482,188
	46,400	Linamar Corp		2,592,727
	111,500	Magna International Inc		9,391,549
	6,100	Morguard North American Residential Real Estate Investment Trust		71,612
	86,843	Nutrien Ltd		4,686,048
	261,000	Power Corp of Canada		6,292,221
	162,600	RioCan Real Estate Investment Trust		2,422,518
	114,400	Royal Bank of Canada		9,740,990

See accompanying notes to the financial statements. 63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Canada — continued
	1,700	Teekay Tankers Ltd – Class A *		21,403
	403,500	TELUS Corp		8,085,219
	13,800	TFI International Inc		963,918
	125,800	Toronto-Dominion Bank (The)		7,625,500
	139,600	Tourmaline Oil Corp		2,540,575
	11,800	Transat AT Inc * (c)		48,123
	76,920	Transcontinental Inc – Class A (c)		1,321,892
	11,900	Wajax Corp		192,723
		Total Canada		77,266,014
		Chile — 0.0%
	9,603	Inversiones La Construccion SA		68,261
		China — 12.4%
	5,122,000	361 Degrees International Ltd (c)		1,175,365
	270,000	7Road Holdings Ltd *		90,507
	8,713,000	Agile Group Holdings Ltd		12,305,072
	52,523,000	Agricultural Bank of China Ltd – Class H		19,102,284
	120,100	Alibaba Group Holding Ltd Sponsored ADR *		28,554,976
	3,350,332	Anhui Conch Cement Co Ltd – Class H		21,530,167
	5,000	ANTA Sports Products Ltd		76,602
	11,513,000	BAIC Motor Corp Ltd – Class H		4,118,368
	92,300	Baidu Inc Sponsored ADR* (a)		26,163,358
	69,655,000	Bank of China Ltd – Class H		24,424,542
	42,264,000	Bank of Communications Co Ltd – Class H		23,856,993
	234,000	Beijing Enterprises Holdings Ltd		809,850
	464,396	BYD Co Ltd – Class A		14,152,401
	611,500	BYD Electronic International Co Ltd		3,401,005
	12,564,000	China Cinda Asset Management Co Ltd – Class H		2,492,674
	8,316,485	China Communications Services Corp Ltd – Class H		3,933,706
	33,583,803	China Construction Bank Corp – Class H		26,959,215
	767,000	China Dongxiang Group Co Ltd		85,925
	2,196,000	China Everbright Bank Co Ltd – Class H		950,360
	6,395,000	China Feihe Ltd		17,493,237
	3,659,000	China Greenfresh Group Co Ltd * (d)		38,211
	5,404,000	China Hongqiao Group Ltd		6,699,077
	68,332,000	China Huarong Asset Management Co Ltd – Class H		8,094,212
	7,872,000	China Lesso Group Holdings Ltd		14,536,919
	1,571,000	China Lilang Ltd		1,121,511
	5,774,000	China Machinery Engineering Corp – Class H		2,647,869
	8,441,925	China Medical System Holdings Ltd		13,187,000
	382,363	China Merchants Bank Co Ltd – Class A		3,022,291

Shares		Description	Value ($)
		China — continued
	14,530,000	China National Building Material Co Ltd – Class H		21,982,360
	1,664,000	China Oriental Group Co Ltd (c)		522,121
	320,000	China Overseas Land & Investment Ltd		810,809
	201,700	China Pacific Insurance Group Co Ltd – Class A		1,379,332
	39,916,000	China Petroleum & Chemical Corp – Class H		22,231,603
	45,782,000	China Railway Group Ltd – Class H		24,176,829
	5,441,000	China Reinsurance Group Corp – Class H		602,771
	2,090,000	China Resources Land Ltd		9,931,960
	10,624,500	China Resources Pharmaceutical Group Ltd		6,773,778
	314,000	China Shenhua Energy Co Ltd – Class H		597,344
	1,407,000	China Shineway Pharmaceutical Group Ltd		1,025,271
	2,586,000	China South City Holdings Ltd		306,735
	188,100	China Vanke Co Ltd – Class A		964,657
	120,500	China Yongda Automobiles Services Holdings Ltd		175,428
	36,200	China Yuchai International Ltd		569,788
	8,787,600	China Zhongwang Holdings Ltd * (c)		2,581,860
	66,000	Chinasoft International Ltd *		69,860
	6,965,506	Country Garden Holdings Co Ltd		8,670,290
	10,000	Country Garden Services Holdings Co Ltd		82,256
	10,842,000	Dongfeng Motor Group Co Ltd – Class H		9,953,086
	3,980,000	Dongyue Group Ltd		3,128,049
	26,000	ENN Energy Holdings Ltd		397,594
	580,000	Everbright Securities Co Ltd – Class H (c)		497,143
	1,265,600	Fangda Special Steel Technology Co Ltd – Class A *		1,407,952
	2,878,500	Fantasia Holdings Group Co Ltd *		452,642
	3,650,500	Fosun International Ltd		5,476,464
	82,000	Geely Automobile Holdings Ltd		265,246
	1,934,000	Great Wall Motor Co Ltd – Class H (c)		5,602,502
	641,000	Greenland Hong Kong Holdings Ltd		206,033
	1,912,000	Guangdong Investment Ltd		3,414,670
	101,100	Guangdong Tapai Group Co Ltd – Class A		196,597
	762,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,948,720
	6,904,000	Guangzhou R&F Properties Co Ltd – Class H		9,214,277
	236,400	Guotai Junan Securities Co Ltd – Class H		328,329
	1,000	Hengan International Group Co Ltd		6,913

64 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		China — continued
	3,096,544	Hisense Home Appliances Group Co Ltd – Class A		7,173,138
	1,347,000	Hisense Home Appliances Group Co Ltd – Class H		2,061,106
	52,900	Hollysys Automation Technologies Ltd		796,674
	990,000	Hopson Development Holdings Ltd		3,249,008
	2,836,000	Huabao International Holdings Ltd (c)		3,100,157
	12,959,400	Industrial & Commercial Bank of China Ltd – Class H		8,478,301
	505,000	Kingboard Holdings Ltd		2,326,490
	700	Kuaishou Technology *		27,868
	339,000	KWG Group Holdings Ltd		513,482
	1,155,900	Legend Holdings Corp – Class H		1,723,892
	196,000	Lenovo Group Ltd		247,752
	1,123,800	Livzon Pharmaceutical Group Inc – Class H		4,130,061
	652,000	Logan Group Co Ltd		1,015,033
	1,026,000	Longfor Group Holdings Ltd		6,081,347
	9,125,000	Lonking Holdings Ltd		3,374,488
	109,800	Lufax Holding Ltd ADR *		1,649,196
	2,785,000	Metallurgical Corp of China Ltd – Class H		821,069
	381,200	Momo Inc Sponsored ADR (a)		6,038,208
	112,000	NetEase Inc		2,444,833
	177,600	NetEase Inc ADR (a)		19,509,360
	1,247,000	Nexteer Automotive Group Ltd		1,644,000
	5,104,000	Nine Dragons Paper Holdings Ltd		8,218,199
	11,000	Niu Technologies Sponsored ADR *		411,180
	2,112,000	PAX Global Technology Ltd		1,941,106
	13,900	PetroChina Co Ltd ADR		497,064
	8,208,000	PetroChina Co Ltd – Class H		2,937,975
	15,275,000	PICC Property & Casualty Co Ltd – Class H		11,556,502
	1,483,000	Poly Property Group Co Ltd		455,602
	8,441,000	Postal Savings Bank of China Co Ltd – Class H (c)		6,280,144
	3,404,000	Powerlong Real Estate Holdings Ltd		2,579,171
	291,000	Road King Infrastructure Ltd		395,375
	946,000	Seazen Group Ltd *		1,142,343
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		224,095
	6,365,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		11,674,926
	57,228	Shenzhen Investment Ltd		20,609
	7,228,576	Shimao Group Holdings Ltd		23,803,332
	1,204,000	Sinopec Engineering Group Co Ltd – Class H		642,435
	7,206,000	Sinopharm Group Co Ltd – Class H		16,871,530
	2,288,500	Sinotruk Hong Kong Ltd		7,303,607
	6,712,000	Skyworth Group Ltd *		2,108,976
	79,800	Sungrow Power Supply Co Ltd – Class A		1,068,515
	4,433,000	TCL Electronics Holdings Ltd *		3,608,172

Shares		Description	Value ($)
		China — continued
	529,900	Tencent Holdings Ltd		46,099,677
	40,300	Tencent Holdings Ltd ADR (a)		3,514,160
	914,000	Tianjin Port Development Holdings Ltd		77,708
	4,566,000	Tianneng Power International Ltd (c)		8,821,911
	162,894	Tsingtao Brewery Co Ltd – Class A		2,010,654
	66,000	Tsingtao Brewery Co Ltd – Class H		542,023
	289,600	Vipshop Holdings Ltd ADR *		10,807,872
	3,495,000	Weichai Power Co Ltd – Class H		10,287,371
	4,702,968	Weifu High-Technology Group Co Ltd – Class A		16,757,533
	8,374,000	West China Cement Ltd (c)		1,380,135
	90,000	Xinyi Solar Holdings Ltd.		189,033
	2,000	Yihai International Holding Ltd *		27,387
	8,437,000	Yuzhou Group Holdings Co Ltd		3,251,942
	348,999	Zhejiang Weixing New Building Materials Co Ltd – Class A		1,002,987
	2,238,396	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		5,142,449
	1,692,500	Zhongsheng Group Holdings Ltd		10,460,824
	5,353,395	Zhuzhou Kibing Group Co Ltd – Class A		12,210,939
	793,600	Zoomlion Heavy Industry Science and Technology Co Ltd – Class H		1,208,913
		Total China		740,914,805
		Colombia — 0.0%
	2,023	Interconexion Electrica SA ESP		13,202
		Czech Republic — 0.0%
	7,043	CEZ AS		171,900
	1,388	Komercni Banka AS *		43,324
	318,479	Moneta Money Bank AS *		1,161,078
	74	Philip Morris CR AS		52,491
		Total Czech Republic		1,428,793
		Denmark — 0.5%
	593,074	Danske Bank A/S		10,902,432
	204,800	Demant A/S *		8,418,339
	17,339	Matas A/S *		229,165
	97,209	Pandora A/S		9,437,570
	56,225	Scandinavian Tobacco Group A/S		1,043,689
		Total Denmark		30,031,195
		Egypt — 0.0%
	29,365	Commercial International Bank Egypt SAE		115,677
	42,380	Eastern Co SAE		40,072
	16,737	ElSewedy Electric Co		9,965
	110,623	Medinet Nasr Housing		26,303
	144,665	Palm Hills Developments SAE *		15,820
		Total Egypt		207,837

See accompanying notes to the financial statements. 65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Finland — 0.2%
	49,807	Kesko Oyj – B Shares		1,267,296
	97,255	Neste Oyj		6,423,703
	1,387,038	Nokia Oyj *		5,526,121
	5,821	Sanoma Oyj (a)		96,307
	14,139	Tokmanni Group Corp		307,492
	10,720	Uponor Oyj		224,639
		Total Finland		13,845,558
		France — 1.6%
	46,270	ALD SA		677,386
	74,160	APERAM SA		3,108,338
	26,539	ArcelorMittal SA *		619,721
	2,294	Assystem SA		69,577
	99,202	Atos SE * (a)		7,753,570
	2,133	Axway Software SA * (a)		73,383
	178,266	BNP Paribas SA *		10,597,456
	1,836	Boiron SA		75,899
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		23,854
	1,607	Christian Dior SE		892,553
	51,810	Cie de Saint-Gobain *		2,786,152
	198,670	Credit Agricole SA *		2,783,660
	94,715	Derichebourg SA *		753,115
	2,036	Eiffage SA *		209,270
	5,633	Gaztransport Et Technigaz SA		473,279
	857	Groupe Crit *		61,844
	989	HEXAOM *		42,328
	44,168	IPSOS		1,710,741
	6,510	Kaufman & Broad SA		287,496
	6,222	Kering SA		3,935,097
	8,718	LVMH Moet Hennessy Louis Vuitton SE		5,523,890
	1,885	Mersen SA *		64,773
	62,001	Metropole Television SA *		1,236,920
	161,157	Publicis Groupe SA (a)		9,476,238
	53,745	Quadient SA		1,223,912
	15	Renault SA * (b)		674
	276,439	Renault SA * (b)		12,413,776
	2,190	Rothschild & Co *		77,946
	45,435	Safran SA *		6,193,361
	18,295	Sanofi		1,678,945
	366,284	Societe Generale SA*		9,064,197
	1,769	Synergie SE *		63,593
	110,946	Television Francaise 1 *		966,163
	23,520	TOTAL SE (b)		1,096,740
	2,003	TOTAL SE (b)		92,956
	32,331	Unibail-Rodamco-Westfield (REIT) * (c)		2,380,373
	162,414	Valeo SA		5,740,039
	10,717	Vicat SA		514,710
	1,584	Vilmorin & Cie SA		101,366
		Total France		94,845,291

Shares		Description	Value ($)
		Germany — 1.5%
	1,860	Amadeus Fire AG *		264,817
	590,405	Aroundtown SA		4,293,159
	15,842	Aurubis AG		1,381,973
	125,520	Bayer AG (Registered)		7,624,232
	25,781	Bayerische Motoren Werke AG		2,227,708
	13,754	Brenntag SE		1,065,755
	137,487	CECONOMY AG *		857,148
	933	Cewe Stiftung & Co KGaA		122,333
	10,006	CropEnergies AG		135,572
	213,939	Daimler AG (Registered)		17,150,485
	392,896	Deutsche Lufthansa AG (Registered) *		5,862,867
	267,260	Deutsche Pfandbriefbank AG *		2,914,732
	23,205	Deutsche Wohnen SE		1,090,702
	45,498	Deutz AG *		333,507
	170,745	Dialog Semiconductor Plc *		13,272,511
	4,603	Draegerwerk AG & Co KGaA		342,319
	9,246	DWS Group GmbH & Co KGaA		385,295
	111,165	Fresenius SE & Co KGaA (a)		4,762,644
	1,775	Gesco AG		45,163
	1,061	Grammer AG *		28,607
	11,781	Hamburger Hafen und Logistik AG		299,889
	111,228	HeidelbergCement AG		8,797,368
	13,715	Hornbach Baumarkt AG		557,550
	20,853	Hornbach Holding AG & Co KGaA		1,968,055
	377	KWS Saat SE & Co KGaA		33,102
	56,667	SAP SE		7,008,953
	14,538	Siemens AG (Registered)		2,249,920
	17,987	Takkt AG *		253,294
	2,091	Talanx AG *		87,046
	7,427	Traton SE		206,885
	44,221	VERBIO Vereinigte BioEnergie AG		1,768,127
	10,220	Volkswagen AG		2,391,977
	813	Wuestenrot & Wuerttembergische AG		16,690
		Total Germany		89,800,385
		Greece — 0.0%
	17,559	JUMBO SA		289,156
		Hong Kong — 1.0%
	297,500	BOC Hong Kong Holdings Ltd		988,445
	279,800	Budweiser Brewing Co APAC Ltd		853,595
	488,000	Chow Sang Sang Holdings International Ltd		660,747
	108,000	Chow Tai Fook Jewellery Group Ltd		148,117
	2,818,000	CITIC Telecom International Holdings Ltd		912,078
	35,500	CK Asset Holdings Ltd		208,654
	1,423,000	CK Hutchison Holdings Ltd		10,738,481
	1,400,000	CSI Properties Ltd		44,242
	394,400	Dah Sing Banking Group Ltd		432,490

66 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Hong Kong — continued
	362,400	Dah Sing Financial Holdings Ltd		1,171,440
	10,536,000	First Pacific Co Ltd		3,456,590
	1,610,000	Giordano International Ltd		321,473
	1,113,400	Hongkong Land Holdings Ltd		5,349,012
	1,040,213	I-CABLE Communications Ltd *		9,104
	997,000	IGG Inc		1,487,319
	883,500	Johnson Electric Holdings Ltd		2,549,601
	443,000	K Wah International Holdings Ltd		227,739
	210,500	Kerry Logistics Network Ltd (c)		612,949
	1,518,000	Kerry Properties Ltd		4,890,480
	182,000	Man Wah Holdings Ltd		397,854
	1,494,000	Pacific Textiles Holdings Ltd		956,647
	14,013,000	PCCW Ltd		8,036,636
	201,000	Regal Real Estate Investment Trust		40,467
	1,772,000	Shun Tak Holdings Ltd (c)		600,354
	350,000	Singamas Container Holdings Ltd		29,273
	139,500	SmarTone Telecommunications Holdings Ltd		88,239
	522,000	Sun Hung Kai & Co Ltd		223,927
	11,500	Sun Hung Kai Properties Ltd		186,662
	40,000	TAI Cheung Holdings Ltd		27,039
	806,000	VSTECS Holdings Ltd		722,761
	553,700	VTech Holdings Ltd		4,639,886
	7,489,000	WH Group Ltd		6,716,955
	1,085,000	Yue Yuen Industrial Holdings Ltd		2,310,729
		Total Hong Kong		60,039,985
		Hungary — 0.0%
	66,675	Richter Gedeon Nyrt		1,896,772
		India — 2.1%
	104,228	Asian Paints Ltd		3,237,299
	94,852	Aurobindo Pharma Ltd		1,096,111
	37,653	Bajaj Auto Ltd		1,938,248
	377,444	Balrampur Chini Mills Ltd		904,641
	21,231	Bombay Burmah Trading Co		335,560
	417,270	Cadila Healthcare Ltd		2,463,306
	9,322	Cochin Shipyard Ltd		46,975
	59,329	Dr Reddy’s Laboratories Ltd		3,588,850
	104,800	Dr Reddy’s Laboratories Ltd ADR		6,284,856
	117,082	Engineers India Ltd		126,561
	534,240	Firstsource Solutions Ltd		727,040
	126,336	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		501,192
	1,695,344	HCL Technologies Ltd		21,004,550
	91,213	HDFC Bank Ltd *		1,917,007
	2	Hero MotoCorp Ltd		88
	8,803	Hindalco Industries Ltd		40,681
	108,665	Hindustan Unilever Ltd		3,143,037
	10,593	Hindustan Zinc Ltd		42,574
	102,379	Housing Development Finance Corp Ltd		3,543,745

Shares		Description	Value ($)
		India — continued
	542,577	ICICI Bank Ltd *		4,457,341
	1,705,386	Indiabulls Housing Finance Ltd *		5,068,530
	62,354	Infosys Ltd		1,068,078
	359,400	Infosys Ltd Sponsored ADR (a)		6,152,928
	22,612	JSW Energy Ltd		22,084
	155,879	Kotak Mahindra Bank Ltd *		3,801,319
	1,056	Larsen & Toubro Infotech Ltd		51,740
	830	Mindtree Ltd		18,006
	56,133	Narayana Hrudayalaya Ltd		329,858
	432,689	NBCC India Ltd		252,725
	40,695	NCC Ltd		49,495
	637,221	NTPC Ltd		928,107
	8,338,205	Oil & Natural Gas Corp Ltd		12,636,361
	2,197	Oracle Financial Services Software Ltd		90,663
	4,794,346	Power Finance Corp Ltd *		8,102,320
	809,264	PTC India Ltd		807,343
	55,410	Rajesh Exports Ltd		383,884
	9,720,783	REC Ltd		17,898,335
	4,293	Sonata Software Ltd		28,048
	76,805	Tata Consultancy Services Ltd		3,035,271
	126,805	Titan Co Ltd		2,432,923
	33,198	Welspun Corp Ltd		58,086
	623,604	Wipro Ltd		3,474,006
		Total India		122,089,772
		Indonesia — 0.4%
	3,704,600	Bank Central Asia Tbk PT		8,715,981
	5,472,400	Bank Mandiri Persero Tbk PT *		2,343,300
	5,643,500	Bank Negara Indonesia Persero Tbk PT		2,348,348
	3,584,900	Bank Pembangunan Daerah Jawa Timur Tbk PT		212,535
	27,054,900	Bank Rakyat Indonesia Persero Tbk PT *		8,912,010
	2,279,400	Bukit Asam Tbk PT		432,298
	2,540,600	Gajah Tunggal Tbk PT *		151,976
	150,200	Indah Kiat Pulp & Paper Corp Tbk PT		138,376
	1,554,600	Indo Tambangraya Megah Tbk PT		1,327,347
	53,844,000	Panin Financial Tbk PT *		866,589
	9,006,900	Ramayana Lestari Sentosa Tbk PT		460,401
		Total Indonesia		25,909,161
		Ireland — 0.3%
	259,112	AIB Group Plc * (c)		578,383
	507,247	Bank of Ireland Group Plc *		2,049,076
	4,381	CRH Plc *		190,185
	41,200	CRH Plc Sponsored ADR		1,785,196
	28,431	Glanbia Plc		367,264
	636,023	Hibernia REIT Plc		860,099
	126,385	Irish Residential Properties REIT Plc		227,618
	7,809	Kingspan Group Plc *		566,407

See accompanying notes to the financial statements. 67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Ireland — continued
	131,178	Origin Enterprises Plc		554,307
	83,277	Permanent TSB Group Holdings Plc *		109,292
	290,416	Ryanair Holdings Plc * (c)		5,793,742
	106,740	Smurfit Kappa Group Plc (b)		5,031,107
	16,182	Smurfit Kappa Group Plc (b)		769,141
	71,613	Total Produce Plc		179,652
		Total Ireland		19,061,469
		Israel — 0.2%
	18,800	Check Point Software Technologies Ltd *		2,072,512
	71,583	Isracard Ltd		244,337
	836,336	Oil Refineries Ltd *		180,206
	818,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		8,809,212
		Total Israel		11,306,267
		Italy — 1.0%
	267,339	A2A SPA		448,468
	227,013	Anima Holding SPA		1,087,494
	59,818	Arnoldo Mondadori Editore SPA * (a)		112,781
	175,124	Banca Popolare di Sondrio SCPA *		503,449
	17,925	Biesse SPA *		472,517
	200,505	Buzzi Unicem SPA		5,054,599
	39,390	Cementir Holding NV		377,480
	27,873	CNH Industrial NV *		411,425
	60,403	Credito Emiliano SPA *		343,894
	8,160	De’ Longhi SPA		301,522
	512,247	Enel SPA		4,829,926
	275,402	EXOR NV		22,075,902
	118,900	Hera SPA		422,032
	100,916	IMMSI SPA *		55,916
	722,616	Intesa Sanpaolo SPA *		1,857,869
	50,261	Iren SPA		124,165
	23,101	La Doria SPA		391,642
	525,203	Leonardo SPA		4,189,027
	11,757	Poste Italiane SPA		133,200
	1,097	Prima Industrie SPA * (c)		20,639
	1,858	Sabaf SPA		41,971
	315,435	Saras SPA * (c)		245,409
	3,768	Sesa SPA *		511,412
	36,755	Societa Cattolica di Assicurazioni SC * (c)		201,601
	9,725,339	Telecom Italia SPA		4,617,726
	16,232,692	Telecom Italia SPA – RSP		8,702,356
	664,438	Unipol Gruppo SPA *		3,444,670
		Total Italy		60,979,092
		Japan — 12.1%
	22,500	ADEKA Corp		379,062
	23,900	Aeon Delight Co Ltd (c)		714,499

Shares		Description	Value ($)
		Japan — continued
	576,300	Aeon Mall Co Ltd (c)		9,753,000
	15,500	Aichi Corp		124,241
	1,033,100	Amada Co Ltd		12,622,427
	182,000	Amano Corp		4,102,906
	29,500	AOKI Holdings Inc		190,230
	6,300	Arata Corp		265,494
	52,900	Arcland Sakamoto Co Ltd		760,173
	167,900	Arcs Co Ltd (c)		3,472,803
	1,057,000	Asahi Kasei Corp		11,466,996
	563,100	Asics Corp		9,283,477
	643,600	Astellas Pharma Inc		10,176,068
	9,100	Bando Chemical Industries Ltd		61,035
	216,200	Brother Industries Ltd		4,283,961
	23,300	Bunka Shutter Co Ltd		218,617
	5,600	Canon Electronics Inc		85,528
	4,800	Central Glass Co Ltd		99,928
	68,200	Central Japan Railway Co		11,237,605
	4,000	Chiyoda Integre Co Ltd		64,957
	373,600	Chugoku Marine Paints Ltd		3,179,737
	9,600	CONEXIO Corp		122,658
	13,700	Dai Nippon Toryo Co Ltd		116,340
	4,000	Dai-Dan Co Ltd		101,299
	103,600	Daihen Corp		4,422,287
	4,800	Daiichi Jitsugyo Co Ltd		186,094
	4,700	Dainichiseika Color & Chemicals Manufacturing Co Ltd		101,891
	8,500	Daishi Hokuetsu Financial Group Inc		188,543
	2,800	Daito Pharmaceutical Co Ltd		86,883
	125,500	Daiwa House Industry Co Ltd		3,559,935
	13,300	Daiwa Industries Ltd		126,701
	165,500	Daiwabo Holdings Co Ltd		12,381,450
	284,100	Denka Co Ltd		10,736,531
	59,100	Doshisha Co Ltd		982,675
	307,200	Ebara Corp		11,575,681
	114,500	Electric Power Development Co Ltd		1,872,600
	9,200	FJ Next Co Ltd (c)		95,036
	272,300	Fuji Corp		6,438,530
	9,700	Fuji Media Holdings Inc (a)		117,834
	4,300	Fuji Pharma Co Ltd		49,437
	9,400	Fujimi Inc		348,267
	4,700	Fujimori Kogyo Co Ltd		187,930
	41,500	Fujitsu Ltd (a)		6,020,748
	6,800	Furuno Electric Co Ltd		67,681
	7,800	Furyu Corp		80,796
	7,400	G-7 Holdings Inc		165,889
	1,700	Geo Holdings Corp		19,128
	50,600	GungHo Online Entertainment Inc (a)		1,036,286
	9,100	Hakuto Co Ltd		106,048
	8,300	Hanwa Co Ltd		217,199
	858,794	Haseko Corp		10,681,119
	1,087,900	Hazama Ando Corp		8,172,133

68 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	5,900	Heiwado Co Ltd		108,287
	23,600	Hisamitsu Pharmaceutical Co Inc (c)		1,478,994
	313,300	Hitachi Ltd		14,450,248
	2,700	Hochiki Corp		32,443
	122,000	Hogy Medical Co Ltd		3,493,630
	10,300	Hokuhoku Financial Group Inc		93,290
	353,900	Honda Motor Co Ltd		9,782,253
	190,200	Horiba Ltd		11,422,674
	1,900	Hosokawa Micron Corp		112,582
	10,500	Iida Group Holdings Co Ltd		238,875
	3,200	Inaba Denki Sangyo Co Ltd		76,214
	253,400	Inabata & Co Ltd		3,583,750
	13,400	Information Services International-Dentsu Ltd (a)		473,182
	1,713,200	Inpex Corp		12,738,650
	574,800	ITOCHU Corp (c)		17,168,128
	32,300	Itochu Enex Co Ltd		311,472
	1,600	Itochu-Shokuhin Co Ltd		78,569
	29,400	Itoki Corp		97,885
	16,300	Jaccs Co Ltd		313,960
	237,100	JAFCO Group Co Ltd		14,542,981
	170,800	Japan Post Insurance Co Ltd		3,512,013
	13,000	Japan Tobacco Inc		235,385
	11,000	Juroku Bank Ltd (The)		204,411
	490,100	JVCKenwood Corp		855,236
	723,700	K’s Holdings Corp		9,707,590
	315,400	Kadokawa Corp		11,611,509
	128,700	Kajima Corp		1,651,701
	13,800	Kamei Corp		151,179
	132,000	Kanamoto Co Ltd		2,943,090
	411,300	Kanematsu Corp		5,250,612
	20,100	Kasai Kogyo Co Ltd		76,112
	4,400	Kato Sangyo Co Ltd		148,040
	787,400	KDDI Corp		24,545,991
	13,700	Keiyo Bank Ltd (The)		55,435
	27,100	Kinden Corp		444,107
	19,400	Kitz Corp		102,975
	24,100	Kohnan Shoji Co Ltd (c)		657,312
	45,700	Komeri Co Ltd		1,231,991
	488,731	Konica Minolta Inc (c)		2,497,072
	266,200	Konoike Transport Co Ltd		2,593,232
	1,700	Krosaki Harima Corp		76,988
	3,800	Kureha Corp		251,918
	13,600	Kyosan Electric Manufacturing Co Ltd		53,579
	359,300	Kyowa Exeo Corp		9,207,797
	258,200	Kyudenko Corp		8,544,588
	291,800	Macromill Inc		2,338,761
	207,100	Mandom Corp		3,540,226
	336,600	Maruichi Steel Tube Ltd		7,722,786
	5,400	Maruzen Showa Unyu Co Ltd		155,487
	15,300	Marvelous Inc (a)		125,854

Shares		Description	Value ($)
		Japan — continued
	5,000	Matsuda Sangyo Co Ltd		88,267
	344,700	Maxell Holdings Ltd *		4,518,269
	59,000	MCJ Co Ltd		504,941
	54,700	Mebuki Financial Group Inc		116,844
	34,300	Meidensha Corp		739,786
	150,300	Mitsubishi Chemical Holdings Corp		1,051,035
	168,300	Mitsubishi Gas Chemical Co Inc		3,942,055
	5,100	Mitsubishi Research Institute Inc (a)		193,143
	3,568,700	Mitsubishi UFJ Financial Group Inc		18,770,274
	11,100	Mitsuboshi Belting Ltd		172,140
	5,200	Mitsui & Co Ltd		111,354
	43,500	Mitsui Chemicals Inc		1,347,537
	12,600	Mitsui Sugar Co Ltd		222,841
	78,800	Mixi Inc (a)		1,986,141
	15,300	Mizuho Financial Group Inc		225,191
	2,500	Mizuno Corp		51,115
	13,900	Modec Inc		226,695
	119,100	Morinaga & Co Ltd		4,301,569
	343,400	MS&AD Insurance Group Holdings Inc		9,747,319
	15,500	MTI Ltd		122,315
	43,900	NEC Networks & System Integration Corp (a)		729,446
	267,000	NH Foods Ltd		11,296,244
	12,400	Nichias Corp		290,955
	16,000	Nichiha Corp		451,913
	98,000	Nikkon Holdings Co Ltd		1,888,254
	5,300	Nippn Corp		79,239
	51,200	Nippo Corp		1,340,240
	38,380	Nippon Light Metal Holdings Co Ltd		761,373
	600	Nippon Soda Co Ltd		18,920
	1,900	Nippon Steel Trading Corp		66,936
	727,200	Nippon Telegraph & Telephone Corp		18,838,148
	23,500	Nippon Television Holdings Inc (a)		312,889
	41,400	Nishi-Nippon Financial Holdings Inc		271,454
	3,700	Nishio Rent All Co Ltd		91,411
	7,100	Nisshin Oillio Group Ltd (The)		210,298
	3,800	Nissin Corp		48,354
	18,100	Nissin Electric Co Ltd		211,769
	4,700	Nitto Denko Corp		403,435
	20,600	Nojima Corp		541,277
	45,900	Nomura Real Estate Holdings Inc		1,040,694
	5,600	Obara Group Inc (c)		200,038
	1,494,600	Obayashi Corp		12,902,561
	15,100	Okamura Corp		157,595
	1,500	Okinawa Cellular Telephone Co		69,068
	1,700	Organo Corp		96,177
	1,478,200	ORIX Corp		25,222,101
	9,800	Osaka Soda Co Ltd		236,168
	7,700	Osaki Electric Co Ltd		42,367
	297,500	Pacific Industrial Co Ltd		3,239,740

See accompanying notes to the financial statements. 69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	616,800	Penta-Ocean Construction Co Ltd		4,609,899
	9,100	Prima Meat Packers Ltd		266,497
	8,000	Proto Corp		84,287
	180,500	Raiznext Corp		1,940,467
	67,800	Renesas Electronics Corp *		745,846
	445,900	Resona Holdings Inc		1,801,762
	5,900	Rinnai Corp		598,339
	46,700	Rohm Co Ltd		4,624,285
	5,700	Ryoden Corp		83,551
	7,100	Sakata INX Corp		71,624
	63,500	San-A Co Ltd (c)		2,477,099
	22,700	San-Ai Oil Co Ltd		227,707
	23,000	San-In Godo Bank Ltd (The)		104,925
	35,200	Sanki Engineering Co Ltd		430,324
	90,500	Sankyu Inc		3,791,278
	19,000	Sanwa Holdings Corp		236,214
	109,400	Secom Co Ltd		9,526,007
	9,100	Seikitokyu Kogyo Co Ltd		75,678
	92,600	Sekisui Chemical Co Ltd		1,659,494
	484,500	Sekisui House Ltd		9,141,846
	7,500	Sekisui Jushi Corp		136,852
	1,800	Shimamura Co Ltd (c)		179,868
	1,244,500	Shimizu Corp		9,453,945
	6,900	Shin-Etsu Polymer Co Ltd		63,376
	3,800	Shindengen Electric Manufacturing Co Ltd		110,344
	200	Shinko Electric Industries Co Ltd		5,400
	7,100	Shinnihon Corp		54,987
	16,900	Shizuoka Gas Co Ltd		147,324
	2,000	Sinanen Holdings Co Ltd		57,736
	16,100	Sinko Industries Ltd		286,289
	18,900	Sintokogio Ltd		129,757
	942,600	SKY Perfect JSAT Holdings Inc		3,997,536
	478,000	Sojitz Corp		1,264,494
	1,366,100	Sumitomo Chemical Co Ltd		6,650,607
	737,600	Sumitomo Dainippon Pharma Co Ltd		11,724,274
	578,200	Sumitomo Forestry Co Ltd		10,421,833
	103,500	Sumitomo Mitsui Trust Holdings Inc		3,417,307
	3,400	Sumitomo Seika Chemicals Co Ltd		124,196
	14,700	Suzuki Motor Corp		641,214
	174,700	T Hasegawa Co Ltd		3,046,337
	210,500	Tachi-S Co Ltd		2,102,395
	161,500	Taisei Corp		5,726,937
	577,000	Takara Holdings Inc		7,768,204
	75,800	Takara Leben Co Ltd		245,908
	2,600	Takasago Thermal Engineering Co Ltd		38,610
	36,300	Takeuchi Manufacturing Co Ltd (c)		924,389
	293,000	Takuma Co Ltd		5,763,735
	20,700	Tamron Co Ltd		374,663
	662,500	Teijin Ltd (c)		11,429,525
	345,900	TIS Inc (a)		7,200,751

Shares		Description	Value ($)
		Japan — continued
	249,100	Toho Holdings Co Ltd		4,325,054
	2,500	Token Corp		196,706
	3,230,700	Tokyo Electric Power Co Holdings Inc *		10,406,163
	225,400	Tokyo Seimitsu Co Ltd		9,878,832
	42,900	Tokyu Construction Co Ltd		214,779
	9,800	Toli Corp		22,418
	11,300	Toppan Forms Co Ltd		108,280
	902,800	Toppan Printing Co Ltd		14,263,882
	288,300	Tosei Corp		2,719,895
	766,449	Tosoh Corp		14,089,531
	9,100	Totetsu Kogyo Co Ltd		220,037
	5,300	Towa Pharmaceutical Co Ltd		104,718
	93,000	Toyo Construction Co Ltd		478,621
	2,500	Toyo Ink SC Holdings Co Ltd		44,606
	67,800	Toyo Suisan Kaisha Ltd		2,886,326
	146,100	Toyota Industries Corp		12,552,535
	2,500	Toyota Tsusho Corp		105,454
	18,200	TS Tech Co Ltd		509,447
	203,600	Tsumura & Co		6,408,516
	600	Ulvac Inc		27,146
	10,600	Unipres Corp		91,617
	8,000	Vital KSK Holdings Inc		58,940
	8,900	Wacoal Holdings Corp		190,776
	9,100	Warabeya Nichiyo Holdings Co Ltd (c)		134,678
	33,000	YAMABIKO Corp		346,220
	64,500	Yamaguchi Financial Group Inc		399,072
	23,300	Yamazen Corp		208,131
	26,700	Yellow Hat Ltd		420,927
	484,200	Yokogawa Electric Corp		9,260,427
	800	Yondoshi Holdings Inc (c)		13,883
	7,200	Yuasa Trading Co Ltd		199,413
	234,100	Zenkoku Hosho Co Ltd		10,807,946
		Total Japan		721,178,210
		Kuwait — 0.2%
	925	Burgan Bank SAK		679
	16,615	Gulf Cable & Electrical Industries Co KSCP		47,518
	34,019	Humansoft Holding Co KSC *		430,033
	3,007,659	Kuwait Finance House KSCP		7,143,791
	333,258	Kuwait Projects Co Holding KSCP		187,686
	99,972	Mobile Telecommunications Co KSCP		206,297
	1,668,345	National Bank of Kuwait SAKP		4,543,901
	36,684	Qurain Petrochemical Industries Co		44,646
		Total Kuwait		12,604,551
		Malaysia — 0.0%
	1,532,700	DRB-Hicom Berhad		687,288
	10,400	Hartalega Holdings Berhad		25,621
	233,200	Pharmaniaga Berhad		243,998

70 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Malaysia — continued
	757,100	Top Glove Corp Berhad		977,900
	258,300	Westports Holdings Berhad		259,854
		Total Malaysia		2,194,661
		Mexico — 1.0%
	167,700	Arca Continental SAB de CV		762,710
	282,900	Banco del Bajio SA *		328,321
	1,182,700	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico *		1,120,459
	283,200	Cemex SAB de CV Sponsored ADR *		1,871,952
	12,600	Concentradora Fibra Danhos SA de CV (REIT)		15,442
	777,700	Credito Real SAB de CV SOFOM ER *		423,774
	140,800	El Puerto de Liverpool SAB de CV – Class C1		426,014
	531,000	Fibra Uno Administracion SA de CV (REIT)		603,057
	624,000	Fomento Economico Mexicano SAB de CV		4,257,433
	120,300	Gentera SAB de CV *		60,262
	108,100	Grupo Aeroportuario del Centro Norte SAB de CV *		623,871
	291,700	Grupo Bimbo SAB de CV – Series A		546,005
	3,041,900	Grupo Financiero Banorte SAB de CV – Class O *		15,275,657
	103,400	Grupo Financiero Inbursa SAB de CV – Class O *		92,917
	199,613	Grupo Herdez SAB de CV – Series *		399,684
	3,826,000	Grupo Mexico SAB de CV – Series B		18,137,884
	3,900	Industrias Bachoco SAB de CV – Series B		12,934
	110,100	Qualitas Controladora SAB de CV		597,522
	132,200	Regional SAB de CV *		600,053
	310,869	Unifin Financiera SAB de CV SOFOM ENR *		368,062
	3,661,900	Wal-Mart de Mexico SAB de CV		10,421,563
		Total Mexico		56,945,576
		Netherlands — 1.6%
	168,691	ABN AMRO Bank NV CVA *		1,939,694
	1,575,005	Aegon NV		7,548,576
	208,700	AerCap Holdings NV *		10,055,166
	3,861	ASM International NV		1,041,405
	208,424	ASR Nederland NV		8,708,043
	16,510	Evander Gold Mines Ltd * (d)		199
	44,285	ForFarmers NV		292,501
	10,929	Heineken Holding NV		940,971
	717	Hunter Douglas NV *		56,443
	1,177,243	ING Groep NV (c)		12,894,000
	496,049	Koninklijke Ahold Delhaize NV		13,098,046

Shares		Description	Value ($)
		Netherlands — continued
	10,573	Koninklijke Vopak NV		504,493
	37,541	NN Group NV		1,733,407
	514,736	PostNL NV *		2,188,217
	219,561	Randstad NV *		14,683,832
	258,738	Signify NV *		11,274,465
	536,794	Stellantis NV *		8,694,311
	7,692	Wolters Kluwer NV		609,740
		Total Netherlands		96,263,509
		New Zealand — 0.1%
	1,656,827	Meridian Energy Ltd		6,820,705
		Norway — 0.4%
	107,834	Aker Solutions ASA *		163,901
	56,139	Austevoll Seafood ASA		643,201
	27,001	Avance Gas Holding Ltd (c)		100,351
	390,241	BW LPG Ltd		2,316,999
	84,190	DNB ASA (c)		1,635,592
	474,282	Elkem ASA		1,667,690
	181,190	Europris ASA		1,059,518
	5,730	Nordic Semiconductor ASA *		108,041
	627,107	Norsk Hydro ASA		3,471,823
	152,794	Norwegian Finans Holding ASA *		1,346,366
	589,289	Orkla ASA *		5,427,717
	36,490	Sbanken ASA * (c)		348,836
	41,678	Selvaag Bolig ASA		269,537
	61,682	SpareBank 1 Nord Norge		546,593
	48,779	SpareBank 1 SMN		563,175
	144,841	SpareBank 1 SR-Bank ASA *		1,668,159
	37,813	Wallenius Wilhelmsen ASA *		103,652
		Total Norway		21,441,151
		Pakistan — 0.1%
	156,168	Engro Corp Ltd		299,242
	2,087,651	Engro Fertilizers Ltd		860,547
	578,386	Fauji Fertilizer Co Ltd		405,059
	21,639	Hub Power Co Ltd (The)		11,677
	13,290	Lucky Cement Ltd *		74,355
	72,500	National Bank of Pakistan *		16,335
	125,900	Nishat Mills Ltd		87,603
	1,860,954	Oil & Gas Development Co Ltd		1,231,715
	281,224	Pakistan Oilfields Ltd		711,262
	1,124,569	Pakistan Petroleum Ltd		643,584
	16,673	Pakistan State Oil Co Ltd *		24,951
	279,446	Searle Co Ltd (The)		478,062
	355,374	United Bank Ltd		286,695
		Total Pakistan		5,131,087
		Philippines — 0.1%
	2,010	Globe Telecom Inc		83,989
	209,360	Manila Electric Co		1,167,860

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Philippines — continued
	16,554,600	Megaworld Corp		1,236,794
	6,668,000	Metro Pacific Investments Corp		557,951
	35,730	Security Bank Corp		96,471
	1,146,125	Semirara Mining & Power Corp		301,285
		Total Philippines		3,444,350
		Poland — 0.4%
	53,749	Asseco Poland SA		953,926
	14,931	Budimex SA		1,378,709
	221,016	Cyfrowy Polsat SA		1,680,576
	20,445	Lubelski Wegiel Bogdanka SA *		126,944
	453,443	Polski Koncern Naftowy ORLEN SA		7,113,041
	2,082,942	Polskie Gornictwo Naftowe i Gazownictwo SA		3,100,160
	1,135,725	Powszechny Zaklad Ubezpieczen SA *		8,852,317
		Total Poland		23,205,673
		Portugal — 0.4%
	229,712	Altri SGPS SA		1,667,666
	15,700,561	Banco Comercial Portugues SA – Class R * (c)		2,211,391
	262,349	CTT-Correios de Portugal SA * (c)		789,907
	64,278	EDP Renovaveis SA		1,402,249
	1,108,686	EDP – Energias de Portugal SA		6,354,662
	532,379	Galp Energia SGPS SA		5,951,166
	46,180	Jeronimo Martins SGPS SA		714,752
	277,317	Mota-Engil SGPS SA * (c)		488,684
	400,162	Navigator Co SA (The) *		1,353,402
	298,901	REN – Redes Energeticas Nacionais SGPS SA		818,802
	26,453	Semapa-Sociedade de Investimento e Gestao		378,591
	1,206,437	Sonae SGPS SA		984,727
		Total Portugal		23,115,999
		Qatar — 0.1%
	577,173	Doha Bank QPSC *		349,462
	264,591	Ooredoo QPSC		557,546
	104,061	Qatar Electricity & Water Co QSC		496,447
	1,331,503	Qatar National Bank QPSC		6,257,749
	444,065	Qatar National Cement Co QSC		496,149
		Total Qatar		8,157,353
		Russia — 3.4%
	10,716,810	Alrosa PJSC		14,307,652
	103,500	Detsky Mir PJSC		197,062
	19,735	Etalon Group Plc GDR (Registered)		34,005
	302,590,000	Federal Grid Co Unified Energy System PJSC		871,395
	2,296,470	Gazprom PJSC		6,725,389
	201,394	Globaltrans Investment Plc Sponsored GDR (Registered)		1,341,272

Shares		Description	Value ($)
		Russia — continued
	122,678,000	Inter RAO UES PJSC		8,430,322
	40,138	LSR Group PJSC		475,718
	224,290	LSR Group PJSC GDR (Registered)		495,353
	154,919	LUKOIL PJSC		11,610,019
	212,092	LUKOIL PJSC Sponsored ADR		15,803,275
	100,600	M.Video PJSC		1,107,175
	9,783	Magnit PJSC		645,571
	26,869	Magnit PJSC Sponsored GDR (Registered)		365,753
	769,760	Magnitogorsk Iron & Steel Works PJSC		560,213
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,104,640
	477,278	MMC Norilsk Nickel PJSC ADR		15,040,439
	4,297,890	Moscow Exchange MICEX-RTS PJSC		9,956,892
	28,347	Novatek PJSC Sponsered GDR (Registered)		4,850,394
	353,400	Novolipetsk Steel PJSC		1,060,576
	314,489	Novolipetsk Steel PJSC GDR		9,309,917
	14,455	PhosAgro PJSC GDR (Registered)		253,407
	654,610	Polymetal International Plc		12,940,238
	18,414	Polyus PJSC		3,468,048
	67,814	Polyus PJSC GDR (Registered)		6,336,736
	121,792	QIWI Plc Sponsored ADR		1,301,956
	81,590	Raspadskaya OJSC		198,320
	139,458	Rosneft Oil Co PJSC GDR (Registered)		965,737
	90,518,000	ROSSETI PJSC		2,066,015
	8,066,000	RusHydro PJSC		84,655
	30,090	Safmar Financial Investment *		196,049
	2,624,290	Sberbank of Russia PJSC		9,519,705
	2,011,704	Sberbank of Russia PJSC Sponsored ADR		29,274,194
	63,864	Severstal PJSC		1,156,734
	145,040	Severstal PJSC GDR (Registered)		2,591,900
	871,400	Surgutneftegas PJSC		380,351
	2,733,683	Surgutneftegas PJSC Sponsored ADR		11,688,840
	200,759	Tatneft PJSC Sponsored ADR		8,401,474
	21,774	TCS Group Holding Plc GDR (Registered)		1,138,744
	14,868,000	Unipro PJSC		560,849
	376,156	VTB Bank PJSC GDR (Registered)		358,614
	66,064	X5 Retail Group NV GDR (Registered) (b)		2,151,376
	60,442	X5 Retail Group NV GDR (Registered) (b)		1,991,954
	17,000	Yandex NV – Class A *		1,087,745
		Total Russia		202,406,673
		Saudi Arabia — 0.1%
	125,049	Al Rajhi Bank		3,015,767

72 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Singapore — 0.5%
	210,000	AEM Holdings Ltd		627,690
	648,700	Asian Pay Television Trust		52,956
	731,073	CapitaLand Ltd		1,730,820
	1,609,900	ComfortDelGro Corp Ltd		1,934,607
	434,724	DBS Group Holdings Ltd		8,613,879
	512,600	First Real Estate Investment Trust (c)		78,516
	997,100	Golden Agri-Resources Ltd		142,996
	681,399	Japfa Ltd		457,644
	144,400	Jardine Cycle & Carriage Ltd		2,268,611
	385,400	Mapletree North Asia Commercial Trust (REIT)		276,756
	4,100	Oversea-Chinese Banking Corp Ltd		33,542
	509,100	Sasseur Real Estate Investment Trust		320,203
	649,200	Sembcorp Industries Ltd		837,827
	954,100	Silverlake Axis Ltd		170,346
	921,300	Singapore Airlines Ltd *		3,414,874
	194,800	Soilbuild Business Space REIT		77,153
	350,200	StarHub Ltd		333,300
	18,700	United Overseas Bank Ltd		343,407
	76,700	Venture Corp Ltd		1,094,500
	264,100	Wilmar International Ltd		1,039,790
	9,023,877	Yangzijiang Shipbuilding Holdings Ltd (c)		7,205,059
	866,500	Yanlord Land Group Ltd		743,944
		Total Singapore		31,798,420
		South Africa — 1.5%
	2,183,173	Absa Group Ltd		17,471,266
	39,768	AECI Ltd		261,851
	80,651	Aspen Pharmacare Holdings Ltd *		758,334
	146,206	Astral Foods Ltd		1,306,372
	283,756	Barloworld Ltd *		1,710,717
	740,911	Bidvest Group Ltd (The)		8,216,510
	1,352,911	Blue Label Telecoms Ltd *		426,982
	315,643	Imperial Logistics Ltd		879,678
	240,400	Investec Ltd		629,397
	178,046	Kumba Iron Ore Ltd		7,626,602
	350,319	Lewis Group Ltd		597,476
	315,528	Motus Holdings Ltd *		1,638,655
	98,112	Mr Price Group Ltd		1,130,070
	121,837	Naspers Ltd – N Shares		28,750,783
	236,996	Old Mutual Ltd		210,585
	206,620	Reunert Ltd		624,085
	2,811,977	RMB Holdings Ltd *		277,768
	1,288,736	Sanlam Ltd		5,178,034
	38,934	Santam Ltd		624,328
	88,670	Sappi Ltd *		259,828
	1,276,774	Telkom SA SOC Ltd		3,460,844
	371,976	Truworths International Ltd		1,190,239
	267,529	Tsogo Sun Gaming Ltd *		110,872
	142,081	Vodacom Group Ltd		1,170,114

Shares		Description	Value ($)
		South Africa — continued
	238,642	Wilson Bayly Holmes-Ovcon Ltd *		1,520,563
		Total South Africa		86,031,953
		South Korea — 2.2%
	38,295	Aekyung Petrochemical Co Ltd		372,526
	114,362	BNK Financial Group Inc		599,097
	56	CS Wind Corp		3,592
	6,835	DB HiTek Co Ltd		342,529
	14,491	DB Insurance Co Ltd		533,250
	103,920	DGB Financial Group Inc		651,974
	314,365	Dongwon Development Co Ltd		1,439,104
	9,536	Doosan Fuel Cell Co Ltd *		423,671
	13,356	DoubleUGames Co Ltd		656,016
	16,640	GS Home Shopping Inc		2,009,533
	598,618	Hana Financial Group Inc		19,662,555
	66,170	Hankook Tire & Technology Co Ltd		2,798,947
	2,104	HDC Hyundai Development Co-Engineering & Construction		50,059
	26,556	Huons Co Ltd		1,309,815
	30,038	Hyundai Home Shopping Network Corp		2,120,305
	8,226	Hyundai Mobis Co Ltd		2,213,103
	978	Hyundai Motor Co		205,737
	106,499	JB Financial Group Co Ltd		552,133
	123,612	KB Financial Group Inc		4,784,486
	2,436	KC Co Ltd		60,064
	6,608	KCC Glass Corp		259,469
	422,846	Kia Motors Corp		29,814,106
	164,321	KT&G Corp		11,437,616
	81,056	LF Corp		1,112,912
	136,298	LG Electronics Inc		17,731,653
	26,546	LOTTE Himart Co Ltd		884,210
	28,523	Mirae Asset Life Insurance Co Ltd		101,382
	1,047	NCSoft Corp		869,597
	15,231	NHN KCP Corp *		628,394
	2,776	S&T Motiv Co Ltd		154,510
	51,809	Samjin Pharmaceutical Co Ltd		1,175,234
	11,944	Samsung Electronics Co Ltd		875,323
	6,615	Sebang Global Battery Co Ltd		530,188
	408,500	Shinhan Financial Group Co Ltd *		11,890,284
	197,841	SK Telecom Co Ltd Sponsored ADR		4,764,011
	33,965	SL Corp *		714,779
	180	Taekwang Industrial Co Ltd *		150,783
	26,575	Woori Financial Capital Co Ltd		245,748
	124,679	Yuhan Corp		6,870,526
		Total South Korea		130,999,221
		Spain — 1.1%
	52,729	Acerinox SA		611,206
	218,488	ACS Actividades de Construccion y Servicios SA		6,675,775

See accompanying notes to the financial statements. 73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Spain — continued
	70,849	Amadeus IT Group SA * (a)		4,946,484
	96,182	Atresmedia Corp de Medios de Comunicacion SA *		399,701
	2,041,660	Banco Bilbao Vizcaya Argentaria SA		11,353,420
	701,066	Banco de Sabadell SA		349,832
	4,999,060	Banco Santander SA *		17,382,203
	73,033	Bankinter SA (c)		481,358
	402,823	CaixaBank SA		1,166,669
	111,546	Cia de Distribucion Integral Logista Holdings SA (c)		2,146,413
	35,729	Ebro Foods SA (c)		770,471
	27,069	eDreams ODIGEO SA *		162,327
	71,861	Endesa SA		1,775,708
	1,386	Faes Farma SA		6,156
	21,375	Grupo Catalana Occidente SA		797,888
	312,090	Iberdrola SA		3,911,085
	149,451	Industria de Diseno Textil SA		4,927,878
	705,475	Liberbank SA *		219,828
	385,130	Mapfre SA		729,248
	433,480	Mediaset Espana Comunicacion SA *		2,591,906
	248,222	Red Electrica Corp SA		4,146,873
	14,054	Repsol SA		176,909
	1,512,227	Unicaja Banco SA *		1,317,318
		Total Spain		67,046,656
		Sweden — 0.3%
	173,925	Betsson AB *		1,420,201
	6,757	Bufab AB *		168,176
	18,848	Humana AB *		149,070
	101,445	Inwido AB *		1,539,110
	5,062	Lindab International AB		110,554
	12,999	New Wave Group AB – B Shares *		105,626
	927,552	Nordea Bank Abp		8,400,677
	15,549	Volvo AB – A Shares *		399,414
	230,263	Volvo AB – B Shares *		5,894,824
		Total Sweden		18,187,652
		Switzerland — 0.5%
	136,785	Adecco Group AG (Registered)		8,608,807
	1,866	ALSO Holding AG (Registered) *		506,522
	65,065	Banque Cantonale Vaudoise (Registered)		6,819,003
	10,425	BKW AG		1,153,202
	1,909	Bobst Group SA (Registered)		128,778
	2,568	Huber + Suhner AG (Registered)		198,439
	916	Kardex Holding AG (Registered)		194,195
	233	Logitech International SA (Registered)		24,771
	5,037	Mobilezone Holding AG (Registered)		58,783
	36,700	Novartis AG (Registered)		3,160,840
	2,972	Roche Holding AG		993,874
	25,300	Roche Holding AG – Genusschein		8,299,887

Shares		Description	Value ($)
		Switzerland — continued
	18,713	UBS Group AG (Registered)		291,143
	3,584	Vetropack Holding AG (Registered) *		225,129
	6,132	Zehnder Group AG – Class RG		466,102
		Total Switzerland		31,129,475
		Taiwan — 5.4%
	302,000	Ability Enterprise Co Ltd		163,646
	39,000	Accton Technology Corp		367,269
	14,788	Acter Group Corp Ltd		105,567
	15,000	Airtac International Group		522,026
	238,000	Alchip Technologies Ltd		7,547,432
	1,874,672	Asustek Computer Inc		20,443,752
	55,000	Aten International Co Ltd		173,554
	26,000	Avermedia Technologies		43,485
	2,659,000	Catcher Technology Co Ltd		18,305,579
	1,845,000	Cathay Financial Holding Co Ltd		2,776,679
	888,525	Chailease Holding Co Ltd		5,487,755
	784,660	Chicony Electronics Co Ltd		2,639,960
	120,000	Chicony Power Technology Co Ltd		339,990
	177,000	China Development Financial Holding Corp		59,086
	150,000	China Life Insurance Co Ltd		122,141
	226,400	China Motor Corp *		390,415
	356,000	Chong Hong Construction Co Ltd		1,046,750
	1,807,000	Coretronic Corp		3,113,468
	11,706,000	CTBC Financial Holding Co Ltd		8,404,179
	62,000	Delta Electronics Inc		624,044
	61,000	Depo Auto Parts Ind Co Ltd		131,557
	205,000	Elan Microelectronics Corp		1,264,535
	527,000	Elite Material Co Ltd		3,193,899
	2,221,000	Evergreen Marine Corp Taiwan Ltd *		3,024,846
	374,000	Farglory Land Development Co Ltd		719,465
	8,000	Feng Hsin Steel Co Ltd		20,300
	1,986,000	FLEXium Interconnect Inc		8,975,344
	244,000	Formosa Advanced Technologies Co Ltd		332,581
	121,000	Foxconn Technology Co Ltd		303,809
	4,853,000	Fubon Financial Holding Co Ltd		8,691,019
	1,479,000	Gigabyte Technology Co Ltd		4,617,191
	3,780,000	Grand Pacific Petrochemical *		3,233,826
	30,580	Great Wall Enterprise Co Ltd		54,909
	107,000	Holiday Entertainment Co Ltd		247,693
	14,090,406	Hon Hai Precision Industry Co Ltd		56,604,631
	404,000	Huaku Development Co Ltd		1,277,905
	331,980	IEI Integration Corp		624,151
	243,000	International Games System Co Ltd		7,219,440
	153,000	Kung Long Batteries Industrial Co Ltd		782,315
	747,000	Lite-On Technology Corp		1,592,064
	6,000	Lotes Co Ltd		111,643
	2,000	MediaTek Inc		64,193
	1,718,992	Mercuries Life Insurance Co Ltd *		517,319

74 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — continued
	91,000	Merry Electronics Co Ltd		447,190
	695,000	Micro-Star International Co Ltd		3,717,235
	778,368	Mitac Holdings Corp		863,874
	19,000	Nan Liu Enterprise Co Ltd		116,142
	1,053,000	Novatek Microelectronics Corp		17,929,684
	780,000	Pegatron Corp		2,087,631
	7,360,566	Pou Chen Corp		7,976,477
	970,000	Qisda Corp		1,063,677
	1,124,000	Quanta Computer Inc		3,428,432
	6,994,020	Radiant Opto-Electronics Corp		29,980,397
	1,321,000	Ruentex Development Co Ltd		1,978,424
	58,000	Shin Kong Financial Holding Co Ltd		17,225
	188,000	Shinkong Insurance Co Ltd		258,234
	123,000	Simplo Technology Co Ltd		1,652,233
	139,000	Soft-World International Corp		477,331
	10,000	Standard Foods Corp		19,723
	474,000	Syncmold Enterprise Corp		1,420,071
	18,400	Tah Hsin Industrial Corp		48,389
	415,000	Taiwan Cement Corp		625,342
	371,000	Taiwan PCB Techvest Co Ltd		646,695
	1,721,000	Taiwan Semiconductor Manufacturing Co Ltd		37,598,732
	113,150	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		14,250,111
	13,000	TCI Co Ltd		98,742
	582,733	TOPBI International Holdings Ltd		279,765
	221,064	Topco Scientific Co Ltd		967,507
	483,000	Transcend Information Inc		1,133,428
	296,000	Tripod Technology Corp		1,471,298
	158,681	United Integrated Services Co Ltd		1,348,290
	4,418,000	United Microelectronics Corp		8,614,057
	327,000	Universal Inc		966,552
	8,000	Universal Vision Biotechnology Co Ltd		69,577
	446,000	Wistron Corp		512,156
	408,000	Youngtek Electronics Corp		920,686
	10,000	Yulon Nissan Motor Co Ltd		91,864
		Total Taiwan		319,358,583
		Thailand — 0.2%
	818,900	AP Thailand Pcl NVDR		197,009
	350,100	Bangkok Bank Pcl NVDR		1,393,285
	281,300	Carabao Group Pcl NVDR		1,275,138
	180,800	Dynasty Ceramic Pcl NVDR		14,209
	303,300	Kasikornbank Pcl NVDR		1,396,877
	359,300	KCE Electronics Pcl NVDR		635,073
	154,900	Land & Houses Pcl NVDR		39,997
	68,900	Origin Property Pcl NVDR		15,765
	363,200	Pruksa Holding Pcl (Foreign Registered)		153,083
	1,409,500	Pruksa Holding Pcl NVDR		594,083

Shares		Description	Value ($)
		Thailand — continued
	173,800	Quality Houses Pcl NVDR		13,468
	849,700	SC Asset Corp Pcl (Foreign Registered)		81,148
	90,500	Siam Cement Pcl NVDR (The)		1,089,333
	426,300	Siam Commercial Bank Pcl NVDR (The)		1,430,315
	207,800	Somboon Advance Technology Pcl NVDR		126,515
	91,600	SPCG Pcl NVDR		59,688
	268,700	Sri Trang Agro-Industry Pcl NVDR		471,951
	850,225	Supalai Pcl (Foreign Registered)		562,131
	671,000	Thai Beverage Pcl		369,626
	18,620,300	TMB Bank Pcl NVDR		687,189
		Total Thailand		10,605,883
		Turkey — 0.4%
	967,901	Aksa Akrilik Kimya Sanayii AS		2,069,478
	759,008	Arcelik AS *		3,396,145
	1	Aselsan Elektronik Sanayi Ve Ticaret AS		2
	4,796,870	Dogan Sirketler Grubu Holding AS		2,049,550
	220,674	Dogus Otomotiv Servis ve Ticaret AS *		923,636
	2,129,701	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		645,212
	1,165,297	Enerjisa Enerji AS		1,801,978
	1,642,032	Eregli Demir ve Celik Fabrikalari TAS		3,238,682
	119,954	Goodyear Lastikleri TAS *		147,594
	609,402	Selcuk Ecza Deposu Ticaret ve Sanayi AS		935,225
	1,017,823	Turkiye Garanti Bankasi AS *		1,227,701
	11,041,316	Turkiye Is Bankasi AS – Class C *		8,530,256
	19,491	Vestel Beyaz Esya Sanayi ve Ticaret AS		136,862
	564,270	Yapi ve Kredi Bankasi AS *		201,633
		Total Turkey		25,303,954
		United Arab Emirates — 0.1%
	1,311,038	Aldar Properties PJSC		1,277,002
	441,124	Dubai Islamic Bank PJSC		560,114
	3,945,654	Emaar Properties PJSC *		3,655,272
	10,296	Emirates NBD Bank PJSC		30,945
	264,229	First Abu Dhabi Bank PJSC		1,039,474
		Total United Arab Emirates		6,562,807
		United Kingdom — 4.3%
	206,164	3i Group Plc		3,200,488
	105,452	888 Holdings Plc		436,035
	99,365	Aggreko Plc		1,117,084
	68,782	Airtel Africa Plc		76,286
	36,869	Anglo American Plc		1,430,554
	12,512	Antofagasta Plc		312,273

See accompanying notes to the financial statements. 75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United Kingdom — continued
	472,187	Aviva Plc		2,392,288
	8,008	B&M European Value Retail SA		61,257
	32,351	Bank of Georgia Group Plc *		448,014
	1,072,365	Barratt Developments Plc *		9,965,857
	99,073	Bellway Plc		3,883,267
	259,747	Berkeley Group Holdings Plc (The)		14,716,493
	42,000	BP Plc Sponsored ADR		1,025,220
	73,000	British American Tobacco Plc		2,534,936
	191,400	British American Tobacco Plc Sponsored ADR		6,710,484
	5,409,370	BT Group Plc *		9,363,180
	30,780	Bunzl Plc		960,972
	103,171	Carnival Plc *		2,297,834
	76,903	Central Asia Metals Plc		258,377
	219,152	Coca-Cola HBC AG *		6,872,280
	339,600	Compass Group Plc *		6,896,244
	42,887	Computacenter Plc (a)		1,250,270
	3,181	Cranswick Plc		151,463
	29,293	Daily Mail & General Trust Plc – Class A (a)		369,636
	33,466	Dunelm Group Plc *		587,868
	62,544	Electrocomponents Plc		848,510
	12,098	EMIS Group Plc		179,118
	86,553	Evraz Plc		694,847
	98,397	Ferguson Plc		11,641,452
	786,096	Ferrexpo Plc		3,686,616
	201,107	Frasers Group Plc *		1,318,452
	5,322	Fresnillo Plc		67,213
	1,433	Games Workshop Group Plc		191,023
	56,840	Go-Ahead Group Plc (The) *		926,744
	56,500	GW Pharmaceuticals Plc ADR *		12,105,125
	167,324	Halfords Group Plc *		673,754
	202,800	HSBC Holdings Plc *		1,214,816
	267,948	IG Group Holdings Plc		2,922,576
	52,538	IMI Plc		963,523
	50,244	Inchcape Plc *		498,300
	323,262	Indivior Plc *		577,764
	83,066	International Personal Finance Plc *		93,336
	219,349	Investec Plc		598,221
	1,066,653	ITV Plc * (a)		1,638,825
	612,448	J Sainsbury Plc		1,938,400
	251,486	JD Sports Fashion Plc *		2,923,021
	72,267	John Laing Group Plc		304,620
	250,474	Just Group Plc *		315,439
	3,022,213	Kingfisher Plc *		11,201,677
	2,006,104	Legal & General Group Plc		7,294,583
	3,965,754	M&G Plc		10,214,337
	1,903,607	Micro Focus International Plc * (a)		11,175,760
	148,439	Mitchells & Butlers Plc *		626,723
	24,191	Mondi Plc		583,767
	8,648	Morgan Advanced Materials Plc		37,464

Shares		Description	Value ($)
		United Kingdom — continued
	50,242	Morgan Sindall Group Plc		1,160,648
	157,045	National Express Group Plc *		654,098
	184,502	National Grid Plc		2,074,621
	26,430	Next Plc *		2,799,590
	21,125	Numis Corp Plc		97,687
	164,670	OSB Group Plc *		1,017,699
	161,678	Paragon Banking Group Plc		1,013,242
	459,797	Persimmon Plc		16,660,911
	152,125	Pets at Home Group Plc		838,736
	225,489	Phoenix Group Holdings Plc		2,237,868
	148,938	Playtech Plc *		983,530
	199,238	Plus500 Ltd		3,816,539
	543,697	Premier Foods Plc *		686,658
	402,734	QinetiQ Group Plc		1,677,052
	49,011	Redde Northgate Plc		187,979
	165,957	Royal Dutch Shell Plc – A Shares		3,424,945
	416,954	Royal Dutch Shell Plc – B Shares		8,173,687
	357,453	Royal Dutch Shell Plc – Class B Sponsored ADR		13,897,773
	141,037	Royal Mail Plc *		894,041
	741,600	RSA Insurance Group Plc		7,001,402
	58,279	Smiths Group Plc		1,193,489
	773	Softcat Plc (a)		15,739
	289,135	Spirent Communications Plc		949,835
	103,796	Stock Spirits Group Plc		383,293
	671,057	Tate & Lyle Plc		6,813,244
	1,627,830	Taylor Wimpey Plc *		3,591,637
	42,325	Vesuvius Plc		308,739
	152,686	WM Morrison Supermarkets Plc		364,630
	670,261	WPP Plc (a)		8,015,942
		Total United Kingdom		255,709,920
		United States — 18.8%
	269,200	Aerojet Rocketdyne Holdings, Inc. *		13,801,884
	146,400	Alexion Pharmaceuticals, Inc. *		22,362,600
	118,900	Alliance Data Systems Corp. (a)		11,473,850
	135,300	Ally Financial, Inc.		5,614,950
	7,300	Alphabet, Inc. – Class A * (a)		14,759,943
	200	Alphabet, Inc. – Class C * (a)		407,372
	46,323	American Express Co.		6,265,649
	5,600	Anthem, Inc. (a)		1,697,864
	116,830	Apollo Investment Corp.		1,615,759
	37,940	Ares Capital Corp.		695,440
	90,900	Arrow Electronics, Inc. *		9,113,634
	259,400	AT&T, Inc.		7,234,666
	218,100	Athene Holding Ltd. – Class A *		9,943,179
	23,420	Bank of America Corp.		812,908
	75,060	Barings BDC, Inc.		728,082
	59,100	Bed Bath & Beyond, Inc. *		1,587,426
	27,900	Biogen, Inc. *		7,613,352
	2,400	Booking Holdings, Inc. *		5,588,424

76 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	42,000	Booz Allen Hamilton Holding Corp. (a)		3,239,880
	235,400	BorgWarner, Inc.		10,593,000
	78	Bristol-Myers Squibb Co.		4,784
	123,100	Cantel Medical Corp. * (a)		9,143,868
	98,300	Capital One Financial Corp.		11,814,677
	31,400	Capri Holdings Ltd. *		1,465,438
	257,600	Carnival Corp. *		6,890,800
	188,900	Carrier Global Corp.		6,900,517
	158,900	CBRE Group, Inc. – Class A *		12,039,853
	115,800	Centene Corp. * (a)		6,778,932
	616,800	Change Healthcare, Inc. *		14,106,216
	102,884	Charles Schwab Corp. (The)		6,350,000
	45,100	Chevron Corp.		4,510,000
	41,600	Cigna Corp. (a)		8,731,840
	39,900	Cisco Systems, Inc.		1,790,313
	178,510	Citigroup, Inc.		11,760,239
	150,140	Citizens Financial Group, Inc.		6,522,082
	86,624	Coca-Cola Co. (The)		4,243,710
	88,900	Cognizant Technology Solutions Corp. – Class A (a)		6,532,372
	172,400	Comcast Corp. – Class A (a)		9,088,928
	6,700	Consolidated Edison, Inc.		439,855
	211,000	Corteva, Inc.		9,526,650
	437,200	Coty Inc. – Class A *		3,353,324
	123,800	CVS Health Corp. (a)		8,434,494
	18,400	Discover Financial Services		1,730,888
	376,384	Discovery, Inc. – Class C * (a)		16,937,280
	269,600	DISH Network Corp. – Class A* (a)		8,495,096
	106,900	DR Horton, Inc.		8,217,403
	41,700	Dropbox, Inc. – Class A * (a)		940,127
	85,000	Edwards Lifesciences Corp. * (a)		7,063,500
	102,118	EOG Resources, Inc.		6,592,738
	1,288,200	ESC NII Holdings, Inc. * (d)		2,576,400
	170,200	Exelon Corp.		6,569,720
	72,300	Expedia Group, Inc.		11,640,300
	205,800	Exxon Mobil Corp.		11,189,346
	27,200	FleetCor Technologies, Inc. * (a)		7,542,832
	297,600	FLIR Systems, Inc.		15,891,840
	924,400	Ford Motor Co. *		10,815,480
	161,200	Fox Corp. – Class A (a)		5,369,572
	220,000	Fox Corp. – Class B (a)		7,024,600
	193,100	General Motors Co. *		9,911,823
	118,400	Gilead Sciences, Inc.		7,269,760
	37,600	Goldman Sachs Group, Inc. (The)		12,012,448
	38,607	Grubhub, Inc. *		2,473,550
	44,000	Hasbro, Inc.		4,123,240
	41,372	Hilton Worldwide Holdings, Inc. *		5,116,889
	21,400	Honeywell International, Inc.		4,330,290
	285,600	HP, Inc.		8,273,832
	9,000	Hyatt Hotels Corp. – Class A *		791,550
	74,450	iHeartMedia, Inc. – Class A * (a)		1,047,512

Shares		Description	Value ($)
		United States — continued
	221,300	IHS Markit Ltd.		19,952,408
	122,900	Inphi Corp.*		20,228,111
	163,200	Intel Corp.		9,919,296
	82,500	International Business Machines Corp. (a)		9,811,725
	379,000	Invesco Ltd.		8,497,180
	46,600	Jazz Pharmaceuticals Plc *		7,830,664
	70,000	Jones Lang LaSalle, Inc. *		12,178,600
	703,500	Kinder Morgan, Inc.		10,341,450
	160,700	Kohl’s Corp. *		8,878,675
	189,800	Kraft Heinz Co. (The)		6,904,924
	219,200	Kroger Co. (The)		7,060,432
	30,000	Laboratory Corp. of America Holdings * (a)		7,197,300
	72,804	Las Vegas Sands Corp.		4,557,530
	58,200	Leidos Holdings, Inc. * (a)		5,147,790
	98,900	Lennar Corp. – Class A		8,205,733
	55,583	Liberty Broadband Corp. – Class C * (a)		8,310,214
	192,200	Lincoln National Corp.		10,930,414
	48,300	LKQ Corp. *		1,902,537
	860,300	Lumen Technologies, Inc.		10,573,087
	131,500	Lyft, Inc. – Class A *		7,324,550
	108,900	LyondellBasell Industries NV – Class A		11,226,501
	85,360	Macquarie Infrastructure Corp.		2,675,182
	4,351	Markel Corp. *		4,737,369
	29,790	Masonite International Corp. *		3,268,559
	311,700	Maxim Integrated Products, Inc.		29,041,089
	192,100	MetLife, Inc.		11,064,960
	151,570	MGM Growth Properties LLC – Class A (REIT)		5,004,841
	326,300	Micron Technology, Inc. *		29,866,239
	22,700	Mohawk Industries, Inc. *		3,972,273
	208,500	Molson Coors Brewing Co. – Class B *		9,267,825
	12,521	Murray Energy Corp. * (d)		137,731
	243,200	Occidental Petroleum Corp.		6,471,552
	125,600	Oracle Corp. (a)		8,102,456
	17,800	PACCAR, Inc.		1,619,622
	222,821	PG&E Corp. *		2,341,849
	130,100	Phillips 66		10,804,805
	333,900	PNM Resources, Inc.		16,030,539
	18,400	PPL Corp.		481,896
	31,946	PRA Health Sciences, Inc. *		4,709,160
	20,400	Principal Financial Group, Inc.		1,154,232
	12,200	Progressive Corp. (The)		1,048,590
	129,400	Prudential Financial, Inc.		11,221,568
	143,300	PulteGroup, Inc.		6,464,263
	436,200	Qurate Retail, Inc. – Series A		5,417,604
	198,023	Raytheon Technologies Corp.		14,255,676
	15,300	Regeneron Pharmaceuticals, Inc. *		6,893,721
	20,840	Royal Caribbean Cruises Ltd.		1,943,747

See accompanying notes to the financial statements. 77

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	129,495	Sensata Technologies Holding Plc *		7,418,769
	18,296	SkillSoft Corp. * (d)		3,110,320
	312,700	Slack Technologies, Inc. – Class A * (a)		12,798,811
	165,800	Southeastern Grocers, Inc. * (d)		1,948,150
	104,900	SS&C Technologies Holdings, Inc. (a)		6,952,772
	281,100	Synchrony Financial		10,872,948
	1,507,100	Syncora Holdings Ltd. *		497,343
	99,930	Tempur Sealy International, Inc.		3,338,661
	12,388	Tenet Healthcare Corp. *		632,036
	80,700	Textron, Inc.		4,062,438
	1,888,723	The Oneida Group * (e)		3,513,025
	446,524	TRU TAJ * (e)		1,823,157
	5,869	TRU TAJ Liquidation Unit Trust * (d)		88,035
	106,100	Tyson Foods, Inc. – Class A		7,179,787
	20,700	United Rentals, Inc. *		6,155,766
	117,720	Uniti Group, Inc. (REIT)		1,402,045
	72,600	Universal Health Services, Inc. – Class B * (a)		9,098,958
	154,008	US Bancorp		7,700,400
	129,100	Varian Medical Systems, Inc. * (a)		22,627,357
	103,071	Verso Corp. – Class A		1,288,387
	68,501	VF Corp.		5,420,484
	197,300	ViacomCBS, Inc. – Class B (a)		12,723,877
	58,120	Viad Corp.		2,431,741
	382,700	Viatris, Inc. *		5,683,095
	48,300	VMware, Inc. – Class A * (a)		6,675,543
	169,900	Walgreens Boots Alliance, Inc.		8,143,307
	451,173	Wells Fargo & Co.		16,318,927
	309,700	Western Union Co. (The) (a)		7,191,234
	176,500	Western Digital Corp. *		12,095,545
	107,060	Westmoreland Mining Holdings LLC * (e)		570,951
	4,800	Whirlpool Corp.		912,384
	196,100	Willis Towers Watson Plc		43,267,504
	186,100	Xilinx, Inc.		24,248,830
		Total United States		1,122,695,826
		Vietnam — 0.0%
	906,900	Hoa Phat Group JSC		1,793,925
	14,500	Petrovietnam Fertilizer & Chemicals JSC		10,603
	31,600	PetroVietnam Gas JSC		122,778
	10,700	PetroVietnam Nhon Trach 2 Power JSC		10,426
	102,000	PetroVietnam Technical Services Corp		99,560
	42,500	Pha Lai Thermal Power JSC		51,114
	38,400	Vietnam Dairy Products JSC		174,729
	96,500	Vinh Hoan Corp		166,419
		Total Vietnam		2,429,554
		TOTAL COMMON STOCKS (COST $4,465,740,549)		4,807,543,142

Shares		Description	Value ($)
		PREFERRED STOCKS (f) — 1.3%
		Brazil — 0.3%
	151,200	Banco Bradesco SA		620,535
	123,400	Banco do Estado do Rio Grande do Sul SA – Class B		278,323
	545,251	Bradespar SA		6,115,855
	8,400	Cia de Transmissao de Energia Eletrica Paulista		35,823
	280,300	Cia Paranaense de Energia – Class B		2,929,941
	818,200	Itau Unibanco Holding SA Sponsored ADR		3,706,446
		Total Brazil		13,686,923
		Colombia — 0.0%
	7,357	Banco Davivienda SA		63,524
	1,417,796	Grupo Aval Acciones y Valores SA		461,843
		Total Colombia		525,367
		Germany — 0.2%
	144,935	Bayerische Motoren Werke AG		9,815,029
	5,664	Draegerwerk AG & Co KGaA		431,877
	13,608	Henkel AG & Co KGaA		1,340,157
	4,595	Jungheinrich AG		198,575
	4,825	Villeroy & Boch AG		87,359
	24	Volkswagen AG		5,021
		Total Germany		11,878,018
		Russia — 0.3%
	100,856	Bashneft PJSC		1,557,582
	79,750	Nizhnekamskneftekhim PJSC		85,033
	29,922,200	Surgutneftegas PJSC		15,774,571
	107	Transneft PJSC		205,637
		Total Russia		17,622,823
		South Korea — 0.5%
	25,988	Hyundai Motor Co Ltd Prf		2,398,218
	23,154	Hyundai Motor Co Ltd-2nd Prf		2,096,276
	44,272	LG Electronics Inc		2,804,285
	277,666	Samsung Electronics Co Ltd		17,959,949
	2,704	Samsung Electronics Co Ltd GDR (Registered)		4,421,565
		Total South Korea		29,680,293
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd *		349,483
	216,277	CTBC Financial Holding Co Ltd		495,291
		Total Taiwan		844,774
		United States — 0.0%
	11,013	Murray Energy Corp. * (d)		881,040
		TOTAL PREFERRED STOCKS (COST $66,874,703)		75,119,238

78 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	3,184	Bank of Queensland Ltd, Expires 3/5/21 *		—
		United Kingdom — 0.0%
	57,727	Mitchells & Butlers Plc, Expires 03/10/21 *		—
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co., Expires 03/31/21 * (d)		306,722
	222,285	Contra Clementia Pharma CVR * (d)		300,085
	2,616,810	Media General, Inc. CVR * (d)		130,841
		Total United States		737,648
		TOTAL RIGHTS/WARRANTS (COST $1,155,298)		737,648
		INVESTMENT FUNDS — 1.2%
		United States — 1.2%
	1,546,000	Altaba, Inc. (d)		22,494,300
	9,261	iShares Core MSCI Emerging Markets ETF		599,465
	130,000	iShares Core S&P 500 ETF		49,630,100
		Total United States		72,723,865
		TOTAL INVESTMENT FUNDS (COST $70,005,668)		72,723,865
		DEBT OBLIGATIONS — 11.7%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	7,170,000	Oi SA, 10.00%, due 07/27/25		7,619,021
		Canada — 0.0%
		Corporate Debt — 0.0%
	267,769	Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28		267,435
	1,600,000	Tilray, Inc., 5.00%, due 10/01/23		1,438,908
		Total Canada		1,706,343
		Israel — 0.1%
		Corporate Debt — 0.1%
	5,496,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		6,004,380
		Jamaica — 0.2%
		Bank Loans — 0.1%
	6,744,467	Digicel International Finance Ltd, 2017 Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.25%, 3.51%, due 05/28/24 (d)		6,415,674

	Par Value†		Description	Value ($)
			Jamaica — continued
			Corporate Debt — 0.1%
		2,315,278	Digicel Group 0.5 Ltd., 10.00%, due 04/01/24		2,278,113
			Total Jamaica		8,693,787
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		673,757	Evander Gold Mines Ltd, 10.00%, due 04/19/26 (d)		304,846
			Puerto Rico — 0.1%
			Municipal Obligations — 0.1%
		6,320,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien) – Class B, 5.35%, due 07/01/27		6,320,000
			United States — 11.2%
			Asset-Backed Securities — 0.3%
		5,853,375	Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27		6,553,752
		250,060	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 07/26/31		250,041
		19,123	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.32%, due 04/25/26		19,128
		693,909	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.13%, due 10/25/37		692,850
		256,706	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 0.94%, due 07/15/31		256,705
		7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g)		7
		143,934	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.79%, due 05/16/31		143,583
		4,234,500	JetBlue Pass-Through Trust – Class B, Series 20-1, Class B, 7.75%, due 05/15/30		4,848,432
		155,587	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/20/31		155,348
		847,797	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.40%, due 06/25/37		842,565
		274,160	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 0.82%, due 04/19/30		273,784

See accompanying notes to the financial statements. 79

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	400,000	Morgan Stanley Capital I Trust, Series 14-CPT, Class B, 144A, Variable Rate, 3.45%, due 07/13/29		401,218
	550,000	Morgan Stanley Capital I Trust, Series 14-MP, Class A, 144A, 3.47%, due 08/11/33		553,093
	635,733	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 04/17/28		635,669
	467,840	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.97%, due 01/17/30		465,788
	87,025	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.38%, due 05/25/47		86,907
	30,568	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFX, 144A, Variable Rate, 3.00%, due 05/25/47		30,578
		Total Asset-Backed Securities		16,209,448
		Bank Loans — 0.6%
	3,386,923	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, PIK, 1 mo. LIBOR plus 13.00%, 3.00%, due 09/16/25 (d)		3,302,250
	1,930,859	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3.75%, due 10/10/25 (d)		1,660,538
	3,130,223	Owens & Minor Distribution, Inc., Term Loan B, Variable Rate, 3 mo. LIBOR plus 4.50%, 4.62%, due 04/30/25 (d)		3,140,646
	4,806,268	Quorum Health Corporation, 2020 Term Loan, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (d)		4,890,378
	12,297,635	SeaWorld Parks & Entertainment, Inc., Term Loan B5, Variable Rate, 3 mo. LIBOR plus 3.00%, 3.75%, due 03/31/24 (d)		12,092,633
	521,009	SkillSoft Corp., 2020 DIP Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 12/27/24 (d)		532,299
	1,953,492	SkillSoft Corp., 2020 Take Back 2nd Out Term Loan, 3 mo. LIBOR plus 7.50%, 8.50%, due 04/27/25(d)		1,946,167
	2,880,000	West Corporation, 2017 Term Loan, 5.00%, due 10/10/24 (d)		2,838,615
	10,553,379	Westmoreland Coal Co., PIK Term Loan, Variable Rate, 3 mo. LIBOR plus 12.50%, 15.00%, due 03/15/29 (d)		4,221,352
		Total Bank Loans		34,624,878

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — 2.4%
	2,147,000	Ahern Rentals, Inc., 144A, 7.38%, due 05/15/23		1,803,480
	1,582,119	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,449,107
	2,296,373	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		2,108,099
	1,793,243	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		1,604,502
	2,230,400	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		2,058,779
	2,287,190	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		2,043,508
	4,423,628	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		4,030,741
	3,290,803	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,995,755
	2,429,111	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,202,775
	2,065,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.38%, due 09/15/24		2,080,488
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,149,263
	944,000	Boeing Co. (The), 5.81%, due 05/01/50		1,217,713
	5,927,000	Boeing Co. (The), 5.93%, due 05/01/60		7,776,568
	2,280,000	Bruce Mansfield, 8.88%, due 08/01/23 (g)		57,228
	8,970,000	Carnival Corp, 144A, 7.63%, due 03/01/26		9,429,712
	4,280,000	Carnival Corp, 144A, 5.75%, due 03/01/27		4,344,842
	3,579,000	Carnival Corp, 6.65%, due 01/15/28		3,775,845
	6,700,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 144A, 6.50%, due 10/01/28		7,085,250
	1,340,000	CHS/Community Health Systems, Inc., 144A, 6.88%, due 04/01/28		1,189,250
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		784,320
	7,150,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		7,579,000
	1,610,000	Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27		1,813,263
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,703,475
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,445,310
	1,340,000	Envision Healthcare Corp., 144A, 8.75%, due 10/15/26		958,100
	290,000	Ferrellgas LP / Ferrellgas Finance Corp., 144A, 10.00%, due 04/15/25		321,900
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,445,525

80 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,780,000	Ford Motor Credit Co. LLC, 4.39%, due 01/08/26		1,879,555
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		306,675
	8,040,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		8,803,800
	1,140,000	Frontier Communications Corp., 10.50%, due 09/15/22 (g)		646,950
	1,791,000	Frontier Communications Corp., 7.13%, due 01/15/23 (g)		953,708
	1,894,000	Frontier Communications Corp., 11.00%, due 09/15/25 (g)		1,079,580
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		914,825
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		4,249,595
	1,400,000	Gulfport Energy Corp., 6.38%, due 01/15/26 (g)		1,282,750
	2,378,000	Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27		2,680,803
	2,400,000	Hyatt Hotels Corp., 5.75%, due 04/23/30		2,854,470
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,520,162
	4,673,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		4,706,833
	14,661,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21 (g)		147
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,483,080
	6,996,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27		7,927,342
	6,020,000	Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28		5,703,950
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,204,360
	1,380,000	SEG Holding LLC / SEG Finance Corp., 144A, 5.63%, due 10/15/28		1,462,800
	213,348	Spirit Airlines Pass Through Trust, 4.10%, due 10/01/29		215,149
	4,597,925	Spirit Airlines Pass Through Trust, 3.65%, due 08/15/31		4,507,607
	1,070,000	Triumph Group, Inc., 5.25%, due 06/01/22		1,061,975
	1,620,000	Triumph Group, Inc., 144A, 6.25%, due 09/15/24		1,628,100
	1,300,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,404,455
	7,689,600	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29		7,747,272
	2,180,000	Wyndham Destinations, Inc., 144A, 6.63%, due 07/31/26		2,460,784
		Total Corporate Debt		146,140,525

	Par Value† / Shares		Description	Value ($)
			United States — continued
			U.S. Government — 7.9%
		29,000,000	U.S. Treasury Note, 1.13%, due 02/28/22		29,300,195
		105,000,000	U.S. Treasury Note, 0.13%, due 09/30/22 (a)		105,008,203
		91,000,000	U.S. Treasury Note, 0.13%, due 10/31/22 (a)		91,000,000
		245,000,000	U.S. Treasury Note, 0.13%, due 11/30/22 (a)		245,000,000
			Total U.S. Government		470,308,398
			Total United States		667,283,249
			TOTAL DEBT OBLIGATIONS (COST $703,164,880)		697,931,626
			MUTUAL FUNDS — 0.6%
			United States — 0.6%
			Affiliated Issuers — 0.6%
		6,998,556	GMO U.S. Treasury Fund (h)		35,272,723
			TOTAL MUTUAL FUNDS (COST $35,272,723)		35,272,723
			SHORT-TERM INVESTMENTS — 4.2%
			Foreign Government Obligations — 1.5%
JPY		2,400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/15/21		22,515,991
JPY		5,500,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/17/21		51,608,708
JPY		1,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/25/21		15,952,190
			Total Foreign Government Obligations		90,076,889
			Money Market Funds — 1.0%
		57,663,781	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i)		57,663,781
		290,832	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (j)		290,832
			Total Money Market Funds		57,954,613
			U.S. Government — 1.7%
		47,450,000	U.S. Treasury Bill, 0.04%, due 07/15/21 (k)		47,441,933
		45,900,000	U.S. Treasury Bill, 0.05%, due 09/09/21 (j) (k)		45,886,842
		10,000,000	U.S. Treasury Note, 1.75%, due 07/31/21 (a) (j)		10,070,703
			Total U.S. Government		103,399,478
			TOTAL SHORT-TERM INVESTMENTS (COST $252,654,768)		251,430,980
			TOTAL INVESTMENTS — 99.5% (Cost $5,594,868,589)		5,940,759,222

See accompanying notes to the financial statements. 81

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (23.9)%
			Common Stocks — (23.8)%
			Australia — (0.7)%
	(91,070	)	Afterpay Ltd *		(8,318,712	)
	(1,258,101	)	APA Group		(9,030,724	)
	(57,756	)	ASX Ltd		(3,007,586	)
	(21,546	)	Cochlear Ltd		(3,515,392	)
	(22,967	)	Ramsay Health Care Ltd		(1,168,791	)
	(1,521,906	)	Sydney Airport *		(6,899,183	)
	(285,285	)	TPG Telecom Ltd *		(1,509,252	)
	(926,742	)	Transurban Group		(9,184,215	)
			Total Australia		(42,633,855	)
			Austria — (0.1)%
	(99,377	)	Verbund AG		(7,554,402	)
			Canada — (0.1)%
	(477,100	)	AltaGas Ltd		(7,231,855	)
			Denmark — (0.0)%
	(22,619	)	Ambu A/S – Class B		(1,042,372	)
			France — (1.1)%
	(174,678	)	Edenred		(9,680,982	)
	(595,369	)	Getlink SE *		(9,756,724	)
	(9,711	)	Hermes International		(10,818,433	)
	(16,452	)	Sartorius Stedim Biotech		(7,193,573	)
	(71,391	)	Ubisoft Entertainment SA *		(5,820,599	)
	(308,021	)	Vivendi SE		(10,661,286	)
	(82,904	)	Wendel SE		(9,458,004	)
			Total France		(63,389,601	)
			Germany — (1.1)%
	(61,203	)	Delivery Hero SE *		(7,820,492	)
	(91,415	)	Puma SE *		(9,734,220	)
	(85,671	)	QIAGEN NV *		(4,233,653	)
	(228,277	)	RWE AG		(8,621,979	)
	(89,290	)	Scout24 AG		(6,735,085	)
	(3,513,953	)	Telefonica Deutschland Holding AG		(9,409,508	)
	(284,601	)	Uniper SE		(9,947,564	)
	(87,841	)	Zalando SE *		(9,030,681	)
			Total Germany		(65,533,182	)
			Ireland — (0.0)%
	(13,109	)	ICON Plc *		(2,368,534	)
			Israel — (0.1)%
	(16,600	)	Wix.com Ltd *		(5,786,262	)
			Italy — (0.4)%
	(22,610	)	Amplifon SPA *		(899,364	)

Shares			Description	Value ($)
			Common Stocks — continued
			Italy — continued
	(46,801	)	Atlantia SPA *		(876,196	)
	(45,137	)	Ferrari NV		(8,783,895	)
	(625,857	)	FinecoBank Banca Fineco SPA *		(10,977,000	)
	(143,062	)	Infrastrutture Wireless Italiane SPA		(1,489,359	)
			Total Italy		(23,025,814	)
			Japan — (2.7)%
	(395,800	)	Acom Co Ltd		(1,773,625	)
	(252,400	)	Asahi Intecc Co Ltd		(7,248,417	)
	(1,918,900	)	ENEOS Holdings Inc		(8,485,349	)
	(6,200	)	Fast Retailing Co Ltd		(6,147,163	)
	(68,600	)	GMO Payment Gateway Inc		(9,079,541	)
	(200,100	)	Hitachi Metals Ltd		(3,187,919	)
	(8,200	)	Ibiden Co Ltd		(334,985	)
	(309,200	)	Idemitsu Kosan Co Ltd		(8,132,963	)
	(554,400	)	Isetan Mitsukoshi Holdings Ltd		(4,078,170	)
	(134,700	)	Japan Airport Terminal Co Ltd		(6,520,487	)
	(141,500	)	Japan Exchange Group Inc		(3,055,921	)
	(1,640	)	Japan Real Estate Investment Corp		(10,024,245	)
	(520,900	)	JGC Holding Corp		(6,763,542	)
	(512,600	)	Keikyu Corp		(8,153,918	)
	(8,500	)	Keio Corp		(637,734	)
	(32,200	)	Kintetsu Group Holdings Co Ltd		(1,354,583	)
	(426,900	)	Kyushu Electric Power Co Inc		(3,668,128	)
	(22,500	)	Lasertec Corp		(2,754,881	)
	(286,400	)	LIXIL Corp		(8,075,943	)
	(110,300	)	M3 Inc		(8,766,410	)
	(7,500	)	McDonald’s Holdings Co Japan Ltd		(372,656	)
	(32,900	)	Mercari Inc *		(1,582,936	)
	(45,500	)	Mitsubishi Materials Corp		(1,077,915	)
	(171,400	)	MonotaRO Co Ltd		(9,854,109	)
	(9,000	)	Nidec Corp		(1,147,635	)
	(119,200	)	Nihon M&A Center Inc		(6,505,369	)
	(84,000	)	Nippon Paint Holdings Co Ltd		(6,256,590	)
	(341,700	)	Nippon Yusen KK		(9,883,560	)
	(8,200	)	Nissin Foods Holdings Co Ltd		(619,651	)
	(183,100	)	Odakyu Electric Railway Co Ltd		(5,381,438	)
	(43,600	)	ORIENTAL LAND CO LTD		(7,341,507	)
	(50,800	)	Yaskawa Electric Corp		(2,555,885	)
			Total Japan		(160,823,175	)
			Netherlands — (0.4)%
	(4,759	)	Adyen NV *		(11,104,576	)
	(104,721	)	Just Eat Takeaway.com NV *		(10,076,955	)
			Total Netherlands		(21,181,531	)
			New Zealand — (0.1)%
	(43,497	)	Xero Ltd *		(3,980,808	)

82 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			Norway — (0.0)%
	(24,324	)	Schibsted ASA – B Shares *		(834,106	)
			Peru — (0.2)%
	(128,800	)	Southern Copper Corp		(9,187,304	)
			Russia — (0.0)%
	(69,362	)	Magnit PJSC Sponsored GDR (Registered)		(944,186	)
			Singapore — (0.2)%
	(1,368,200	)	Singapore Exchange Ltd		(10,186,566	)
			Spain — (0.6)%
	(158,272	)	Cellnex Telecom SA		(8,611,537	)
	(343,022	)	Endesa SA		(8,476,181	)
	(360,432	)	Ferrovial SA		(8,945,142	)
	(231,580	)	Siemens Gamesa Renewable Energy SA		(8,590,094	)
			Total Spain		(34,622,954	)
			Sweden — (0.2)%
	(89,673	)	Evolution Gaming Group AB		(11,181,742	)
			Switzerland — (0.5)%
	(10	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(883,824	)
	(5,800	)	Partners Group Holding AG		(6,944,158	)
	(8,504	)	Straumann Holding AG (Registered)		(10,269,965	)
	(109,499	)	Swiss Re AG		(10,287,215	)
			Total Switzerland		(28,385,162	)
			United Kingdom — (1.9)%
	(137,231	)	Admiral Group Plc		(5,938,569	)
	(241,841	)	Antofagasta Plc		(6,035,840	)
	(189,914	)	AstraZeneca Plc Sponsored ADR		(9,188,039	)
	(1,249,686	)	Auto Trader Group Plc *		(9,608,294	)
	(2,970,732	)	ConvaTec Group Plc		(7,798,281	)
	(519,726	)	Entain Plc *		(10,281,815	)
	(92,615	)	Experian Plc		(2,939,954	)
	(98,345	)	Halma Plc		(3,113,326	)
	(457,525	)	Hargreaves Lansdown Plc		(9,672,837	)
	(1,333,125	)	Informa Plc *		(10,227,187	)
	(217,263	)	Land Securities Group Plc (REIT)		(2,014,822	)
	(84,735	)	London Stock Exchange Group Plc		(11,386,577	)
	(177,932	)	Melrose Industries Plc *		(413,508	)
	(264,875	)	Ocado Group Plc *		(8,137,863	)
	(129,684	)	Prudential Plc		(2,583,341	)
	(336,152	)	Royal Dutch Shell Plc – Class A Sponsored ADR		(13,792,317	)
	(16,935	)	Spirax-Sarco Engineering Plc		(2,538,029	)
			Total United Kingdom		(115,670,599	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — (13.4)%
	(408,727	)	Advanced Micro Devices, Inc. *		(34,541,519	)
	(221,100	)	AES Corp. (The)		(5,872,416	)
	(3,200	)	Align Technology, Inc. *		(1,814,752	)
	(41,900	)	American Tower Corp. (REIT)		(9,055,847	)
	(196,302	)	Analog Devices, Inc.		(30,587,778	)
	(211,713	)	Aon Plc – Class A		(48,209,167	)
	(53,600	)	Aramark		(1,989,632	)
	(57,800	)	Arthur J Gallagher & Co.		(6,924,440	)
	(32,400	)	Autodesk, Inc. *		(8,942,400	)
	(46,000	)	Avalara, Inc. *		(7,219,240	)
	(38,400	)	Ball Corp.		(3,278,976	)
	(36,100	)	Burlington Stores, Inc. *		(9,343,402	)
	(24,500	)	Carvana Co. *		(6,945,750	)
	(29,800	)	Catalent, Inc. *		(3,388,558	)
	(11,500	)	Ceridian HCM Holding, Inc. *		(1,031,090	)
	(13,757	)	Charter Communications, Inc. – Class A *		(8,438,819	)
	(156,600	)	Cheniere Energy, Inc. *		(10,553,274	)
	(6,900	)	Chipotle Mexican Grill, Inc. *		(9,949,800	)
	(84,400	)	Cognex Corp.		(6,970,596	)
	(3,200	)	CoStar Group, Inc. *		(2,636,032	)
	(26,200	)	Coupa Software, Inc. *		(9,072,012	)
	(47,600	)	Crowdstrike Holdings, Inc. – Class A *		(10,281,600	)
	(44,400	)	Crown Castle International Corp. (REIT)		(6,915,300	)
	(78,500	)	Datadog, Inc. – Class A *		(7,489,685	)
	(25,700	)	DexCom, Inc. *		(10,222,946	)
	(49,100	)	Digital Realty Trust, Inc. (REIT)		(6,615,243	)
	(340,318	)	Discovery, Inc. – Class A*		(18,047,064	)
	(44,000	)	DocuSign, Inc. *		(9,973,040	)
	(34,700	)	Enphase Energy, Inc. *		(6,109,282	)
	(40,900	)	Equifax, Inc.		(6,620,892	)
	(12,500	)	Equinix, Inc. (REIT)		(8,104,250	)
	(155,500	)	Equity LifeStyle Properties, Inc. (REIT)		(9,586,575	)
	(4,700	)	Erie Indemnity Co. – Class A		(1,137,870	)
	(73,400	)	Exact Sciences Corp. *		(9,991,208	)
	(15,700	)	Extra Space Storage, Inc. (REIT)		(1,973,490	)
	(27,900	)	Fastenal Co.		(1,293,723	)
	(79,300	)	Guidewire Software, Inc. *		(8,801,507	)
	(18,600	)	HubSpot, Inc. *		(9,579,000	)
	(13,900	)	IDEXX Laboratories, Inc. *		(7,230,363	)
	(94,500	)	Ingersoll Rand, Inc. *		(4,379,130	)
	(37,500	)	Insulet Corp. *		(9,716,250	)
	(48,800	)	IQVIA Holdings, Inc. *		(9,408,152	)
	(47,000	)	Iron Mountain, Inc. (REIT)		(1,635,130	)
	(4,754	)	Jazz Pharmaceuticals Plc *		(798,862	)
	(121,100	)	Lamb Weston Holdings, Inc.		(9,660,147	)
	(28,200	)	Liberty Broadband Corp. – Class A *		(4,099,152	)
	(38,500	)	Liberty Broadband Corp. – Class C *		(5,756,135	)

See accompanying notes to the financial statements. 83

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(228,200	)	Liberty Media Corp-Liberty Formula One – Class C *		(10,017,980	)
	(20,500	)	Linde Plc		(5,007,535	)
	(142,000	)	Live Nation Entertainment, Inc. *		(12,618,120	)
	(6,500	)	Lululemon Athletica, Inc. *		(2,025,920	)
	(17,400	)	MarketAxess Holdings, Inc.		(9,673,356	)
	(285,498	)	Marvell Technology Group Ltd.		(13,783,843	)
	(26,000	)	MongoDB, Inc. *		(10,034,180	)
	(10,400	)	Monolithic Power Systems, Inc.		(3,895,008	)
	(24,400	)	MSCI, Inc.		(10,114,288	)
	(5,400	)	Neurocrine Biosciences, Inc. *		(591,354	)
	(57,100	)	NIKE Inc. – Class B		(7,695,938	)
	(50,000	)	Novocure Ltd. *		(7,455,000	)
	(151,300	)	Nuance Communications, Inc. *		(6,747,980	)
	(37,600	)	Okta, Inc. *		(9,830,520	)
	(20,200	)	Paycom Software, Inc. *		(7,559,648	)
	(3,000	)	Peloton Interactive, Inc. – Class A *		(361,410	)
	(52,300	)	Pinterest, Inc. – Class A *		(4,214,334	)
	(29,900	)	Public Storage (REIT)		(6,994,806	)
	(26,200	)	RingCentral, Inc. – Class A *		(9,907,792	)
	(12,000	)	Rockwell Automation, Inc.		(2,919,360	)
	(24,600	)	Roku, Inc. *		(9,728,808	)
	(183,150	)	Rollins, Inc.		(6,075,086	)
	(62,807	)	S&P Global, Inc.		(20,686,114	)
	(24,268	)	salesforce.com, Inc. *		(5,254,022	)
	(26,800	)	SBA Communications Corp. (REIT)		(6,837,484	)
	(9,400	)	Seagen, Inc. *		(1,420,434	)
	(18,600	)	ServiceNow, Inc. *		(9,922,356	)
	(32,700	)	Simon Property Group, Inc. (REIT)		(3,692,484	)
	(177,100	)	Snap, Inc. – Class A *		(11,628,386	)
	(169,600	)	Southwestern Energy Co. *		(686,880	)
	(46,300	)	Splunk, Inc. *		(6,621,363	)
	(39,600	)	Square, Inc. – Class A *		(9,109,188	)
	(74,500	)	Starbucks Corp.		(8,048,235	)
	(41,596	)	STERIS Plc		(7,270,981	)
	(20,900	)	Sun Communities, Inc. (REIT)		(3,175,755	)
	(72,800	)	Sunrun, Inc. *		(4,555,824	)
	(332,500	)	Targa Resources Corp.		(10,284,225	)
	(38,600	)	Teladoc Health, Inc. *		(8,534,074	)
	(21,411	)	Teledyne Technologies, Inc. *		(7,943,481	)
	(13,700	)	Tesla, Inc. *		(9,254,350	)
	(26,900	)	Twilio, Inc. – Class A *		(10,568,472	)
	(249,400	)	UDR, Inc. (REIT)		(10,267,798	)
	(28,200	)	Vail Resorts, Inc.		(8,718,876	)
	(18,600	)	Wayfair, Inc. – Class A *		(5,375,028	)
	(10,400	)	West Pharmaceutical Services, Inc.		(2,918,760	)
	(10,200	)	Weyerhaeuser Co. (REIT)		(345,474	)
	(342,400	)	Williams Cos, Inc. (The)		(7,820,416	)
	(92,400	)	Wynn Resorts Ltd. *		(12,171,852	)

Shares / Par Value†			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(3,500	)	XPO Logistics, Inc. *		(408,100	)
	(50,400	)	Zendesk, Inc. *		(7,365,456	)
	(72,949	)	Zillow Group, Inc. – Class C *		(11,768,862	)
	(6,200	)	Zoetis, Inc.		(962,488	)
	(18,600	)	Zoom Video Communications, Inc. – Class A *		(6,949,146	)
	(48,900	)	Zscaler, Inc. *		(10,025,967	)
			Total United States		(800,036,093	)
			TOTAL COMMON STOCKS (PROCEEDS $1,288,050,696)		(1,415,600,103	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(19,034	)	Sartorius AG		(9,776,317	)
			TOTAL PREFERRED STOCKS (PROCEEDS $8,330,106)		(9,776,317	)
			DEBT OBLIGATIONS — 0.0%
			Corporate Debt — 0.0%
	(2,880,000	)	Intrado Corp., 144A, 8.50%, due 10/15/25		(2,866,765	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $2,873,965)		(2,866,765	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,299,254,767)		(1,428,243,185	)
			Other Assets and Liabilities (net) — 24.4%		1,457,851,184
			TOTAL NET ASSETS — 100.0%		$5,970,367,221

84 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/19/2021	MSCI	AUD	64,805,600		USD	50,205,935		337,902
03/31/2021	BOA	AUD	11,206,608		USD	8,876,329		252,391
03/31/2021	SSB	AUD	64,586		USD	50,197		496
04/16/2021	GS	AUD	2,007,174		USD	1,557,854		13,177
04/16/2021	MSCI	AUD	2,550,556		USD	2,005,780		42,928
04/16/2021	UBSA	AUD	45,325,109		USD	35,077,827		196,607
05/10/2021	MSCI	AUD	151,750,050		USD	115,661,612		(1,127,417	)
04/05/2021	GS	BRL	8,536,266		USD	1,580,000		58,587
04/05/2021	JPM	BRL	43,465,804		USD	8,064,456		317,576
04/05/2021	MSCI	BRL	11,229,088		USD	2,080,000		78,648
05/03/2021	BCLY	CAD	17,243,174		USD	13,550,000		(628	)
05/03/2021	JPM	CAD	12,288,097		USD	9,698,074		41,416
04/13/2021	JPM	CHF	7,715,192		USD	8,600,000		108,507
04/13/2021	MSCI	CHF	138,452,349		USD	155,872,680		3,489,270
05/24/2021	JPM	CLP	1,479,975,000		USD	2,100,000		53,385
05/24/2021	MSCI	CLP	824,453,000		USD	1,164,103		23,991
03/15/2021	DB	EUR	2,063,475		USD	2,499,663		9,242
03/15/2021	JPM	EUR	6,823,858		USD	8,234,364		(1,393	)
03/19/2021	BOA	EUR	139,598,662		USD	168,208,780		(290,063	)
03/19/2021	MSCI	EUR	138,366,300		USD	166,756,021		(255,332	)
03/31/2021	BCLY	EUR	6,900,000		USD	8,368,013		37,127
03/19/2021	MSCI	GBP	65,740,887		USD	91,059,083		(540,093	)
03/19/2021	SSB	GBP	459,574		USD	648,291		7,950
04/13/2021	BCLY	GBP	7,590,000		USD	10,492,515		(84,416	)
04/13/2021	JPM	GBP	22,800,000		USD	31,069,830		(702,770	)
03/19/2021	JPM	HKD	232,712,400		USD	30,018,424		14,963
04/13/2021	BCLY	HUF	3,614,420,958		USD	12,160,506		136,526
04/13/2021	JPM	HUF	905,259,803		USD	3,040,000		28,501
04/30/2021	GS	ILS	6,539,005		USD	2,010,000		32,504
04/19/2021	JPM	INR	127,867,250		USD	1,750,000		32,543
03/09/2021	BCLY	JPY	753,900,000		USD	7,180,000		107,004
03/09/2021	JPM	JPY	935,438,647		USD	8,880,000		103,831
03/15/2021	SSB	JPY	2,400,000,000		USD	23,087,601		569,368
03/19/2021	DB	JPY	5,975,681,200		USD	56,337,152		266,868
03/19/2021	SSB	JPY	12,849,142,400		USD	121,085,040		520,531
05/17/2021	SSB	JPY	5,500,000,000		USD	52,205,175		563,446
05/25/2021	SSB	JPY	1,700,000,000		USD	16,095,251		131,934
04/21/2021	DB	MXN	32,946,946		USD	1,660,000		93,475
04/19/2021	JPM	NOK	101,819,485		USD	11,980,000		237,667
04/16/2021	UBSA	NZD	7,752,858		USD	5,594,962		(6,722	)
05/05/2021	JPM	NZD	11,600,000		USD	8,460,383		79,444
05/05/2021	MSCI	NZD	61,665,000		USD	44,430,866		(121,776	)
04/21/2021	JPM	PHP	329,699,325		USD	6,847,707		146,092
05/28/2021	BCLY	RON	34,021,374		USD	8,433,469		47,588
05/05/2021	JPM	SEK	39,694,167		USD	4,800,000		95,854
04/15/2021	MSCI	SGD	9,419,299		USD	7,110,246		47,075
04/16/2021	BOA	THB	62,874,947		USD	2,087,211		1,089
05/03/2021	BCLY	TWD	9,987,024		USD	360,634		(241	)
05/03/2021	JPM	TWD	36,755,880		USD	1,330,000		1,850
05/10/2021	JPM	USD	6,611,376		AUD	8,370,000		(169,703	)
04/05/2021	JPM	USD	1,760,000		BRL	9,502,346		(66,404	)
03/31/2021	MSCI	USD	9,771,866		CAD	12,538,441		81,578
05/03/2021	BCLY	USD	11,550,000		CAD	14,569,944		(100,142	)
05/03/2021	MSCI	USD	132,208,387		CAD	169,674,657		1,131,226

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/13/2021	JPM	USD	5,840,000		CHF	5,254,917		(56,334	)
04/13/2021	MSCI	USD	8,920,000		CHF	7,916,411		(207,041	)
04/30/2021	MSCI	USD	5,867,152		COP	21,033,619,600		(111,283	)
05/17/2021	MSCI	USD	5,160,262		CZK	109,712,326		(101,362	)
03/15/2021	DB	USD	6,985,406		EUR	5,745,513		(51,111	)
03/15/2021	SSB	USD	64,208,914		EUR	52,572,729		(758,560	)
03/31/2021	MSCI	USD	107,294,681		EUR	88,401,000		(561,541	)
04/16/2021	UBSA	USD	47,640,357		EUR	39,246,607		(238,067	)
05/17/2021	BCLY	USD	47,359,143		EUR	39,000,000		(223,386	)
04/13/2021	MSCI	USD	48,372,750		GBP	35,882,700		1,631,050
04/13/2021	CITI	USD	1,860,000		HUF	547,303,698		(39,302	)
05/11/2021	JPM	USD	1,520,000		IDR	21,585,520,000		(36,190	)
05/11/2021	MSCI	USD	6,646,655		IDR	93,784,301,400		(199,831	)
04/19/2021	CITI	USD	1,820,000		INR	134,495,088		(13,521	)
04/19/2021	JPM	USD	8,070,362		INR	597,439,809		(45,811	)
03/09/2021	MSCI	USD	118,161,922		JPY	12,456,180,843		(1,299,589	)
04/12/2021	BOA	USD	51,178,888		JPY	5,396,255,932		(530,643	)
05/10/2021	BCLY	USD	1,626,727		JPY	169,861,610		(31,943	)
05/10/2021	JPM	USD	4,502,317		JPY	475,558,049		(37,434	)
05/10/2021	MSCI	USD	47,443,462		JPY	5,000,000,000		(499,852	)
05/10/2021	UBSA	USD	10,195,452		JPY	1,079,141,085		(63,696	)
04/19/2021	MSCI	USD	3,282,776		KRW	3,627,040,910		(64,176	)
04/21/2021	JPM	USD	9,002,635		MXN	178,913,874		(495,838	)
04/19/2021	BCLY	USD	7,450,000		NOK	63,526,895		(123,760	)
04/19/2021	JPM	USD	4,469,644		NOK	38,292,590		(53,551	)
05/05/2021	BOA	USD	2,300,319		NZD	3,201,074		12,440
05/05/2021	JPM	USD	42,083,386		NZD	58,463,926		156,497
05/24/2021	MSCI	USD	3,638,851		PEN	13,290,175		3,795
05/17/2021	CITI	USD	8,120,360		PLN	30,099,740		(83,459	)
05/12/2021	MSCI	USD	11,043,647		RUB	821,067,551		(136,574	)
05/05/2021	BCLY	USD	68,736,192		SEK	577,823,928		(258,415	)
05/05/2021	JPM	USD	33,110,000		SEK	277,472,860		(226,757	)
04/15/2021	DB	USD	2,720,000		SGD	3,596,311		(23,265	)
04/15/2021	GS	USD	3,530,000		SGD	4,680,504		(20,269	)
04/16/2021	MSCI	USD	2,093,459		THB	62,874,947		(7,337	)
05/17/2021	BCLY	USD	9,229,249		TRY	67,564,562		(438,777	)
04/30/2021	MSCI	USD	12,960,780		ZAR	200,107,969		167,248
							$	1,005,412

See accompanying notes to the financial statements. 85

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
493	Australian Government Bond 10 Yr.	March 2021		51,996,302		(2,934,155	)
395	CAC40 10 Euro	March 2021		27,189,150		(304,604	)
278	Canadian Government Bond 10 Yr.	June 2021		30,534,999		(563,909	)
5	DAX Index	March 2021		2,078,761		(18,374	)
209	Gold 100 OZ (j)	April 2021		36,131,920		(2,750,777	)
180	Hang Seng Index	March 2021		33,702,203		(1,677,782	)
2,465	Mini MSCI Emerging Markets	March 2021		164,920,825		7,681,411
266	MSCI Singapore	March 2021		6,706,365		101,099
9	S&P/TSX 60	March 2021		1,515,983		46,674
72	TOPIX Index	March 2021		12,747,073		(274,126	)
404	U.S. Treasury Note 10 Yr. (CBT)	June 2021		53,618,375		(570,425	)
49	WTI Crude (j)	March 2021		3,013,500		164,881
			$	424,155,456	$	(1,100,087	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
713	Corn (j)	May 2021		19,518,375		(9,545	)
311	E-mini Russell 2000 Index	March 2021		34,197,560		(2,402,651	)
272	Euro Bund	March 2021		56,906,718		967,278
7,575	Euro STOXX 50	March 2021		332,219,522		(11,626,631	)
948	FTSE 100 Index	March 2021		85,514,875		267,581
91	FTSE Taiwan Index	March 2021		5,045,359		153,755
243	FTSE/JSE TOP 40	March 2021		9,694,655		(866,473	)
170	Hang Seng Index	March 2021		31,829,858		1,193,242
2,949	S&P 500 E-Mini	March 2021		561,666,540		(15,017,800	)
162	SGX Nifty 50	March 2021		4,712,328		52,803
5	Silver (j)	May 2021		661,000		29,270
276	Soybean (j)	May 2021		19,378,650		(359,371	)
427	SPI 200	March 2021		54,506,370		(500,741	)
977	TOPIX Index	March 2021		172,970,697		(10,992,139	)
27	U.S. Ultra Bond (CBT)	June 2021		5,104,844		(47,671	)
			$	1,393,927,351	$	(39,159,093	)

+ 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.

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%		0.64%		N/A		12/20/2024		Quarterly		96,637			(15,432	)		(112,069	)
HCA, Inc.	BCLY		USD	1,140,000		5.00%		0.95%		N/A		12/20/2024		Quarterly		(139,584	)		(173,550	)		(33,966	)
Tenet Healthcare Corp.	JPM		USD	570,000		5.00%		2.51%		N/A		12/20/2024		Quarterly		14,842			(51,281	)		(66,123	)
Tenet Healthcare Corp.	JPM		USD	1,140,000		5.00%		2.51%		N/A		12/20/2024		Quarterly		142,500			(102,563	)		(245,063	)
United Rentals North America, Inc.	CSI		USD	1,140,000		5.00%		0.93%		N/A		12/20/2024		Quarterly		(96,605	)		(174,642	)		(78,037	)
United Rentals North America, Inc.	JPM		USD	1,140,000		5.00%		0.93%		N/A		12/20/2024		Quarterly		(51,323	)		(174,643	)		(123,320	)
															$	(33,533	)	$	(692,111	)	$	(658,578	)

86 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

Swap Contracts — continued

OTC Credit Default Swaps — continued

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

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

⁽¹⁾  As of February 28, 2021, 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) ($)
0.49%	3 Month CAD LIBOR	CAD	677,250,000		03/13/2023	Semi-Annually		165,041			1,942,804			1,777,763
3 Month CAD LIBOR	0.52%	CAD	47,240,000		03/13/2023	Semi-Annually		—			(113,397	)		(113,397	)
6 Month EURIBOR	(0.55)%	EUR	136,460,000		03/15/2023	Semi-Annually		(64,156	)		(300,897	)		(236,741	)
6 Month GBP LIBOR	0.10%	GBP	609,420,000		03/15/2023	Semi-Annually		21,161			(2,988,338	)		(3,009,499	)
6 Month GBP LIBOR	0.10%	GBP	50,600,000		03/15/2023	Semi-Annually		—			(250,930	)		(250,930	)
6 Month GBP LIBOR	0.18%	GBP	23,740,000		03/15/2023	Semi-Annually		421			(63,037	)		(63,458	)
0.21%	3 Month USD LIBOR	USD	60,280,000		03/15/2023	Quarterly		(23,814	)		51,552			75,366
0.23%	3 Month USD LIBOR	USD	132,230,000		03/15/2023	Quarterly		4,608			52,491			47,883
0.21%	3 Month USD LIBOR	USD	227,250,000		03/15/2023	Quarterly		(23,782	)		180,763			204,545
0.09%	3 Month AUD BBSW	AUD	65,420,000		03/17/2023	Quarterly		—			123,016			123,016
0.12%	3 Month AUD BBSW	AUD	54,680,000		03/17/2023	Quarterly		—			75,504			75,504
0.07%	3 Month AUD BBSW	AUD	140,340,000		03/17/2023	Quarterly		1,875			294,096			292,221
3 Month AUD BBSW	0.10%	AUD	12,560,000		03/17/2023	Quarterly		(1,487	)		(20,722	)		(19,235	)
(0.72)%	6 Month CHF LIBOR	CHF	22,450,000		03/17/2023	Semi-Annually		(3,289	)		54,608			57,897
6 Month CHF LIBOR	(0.70)%	CHF	30,500,000		03/17/2023	Semi-Annually		—			(62,667	)		(62,667	)
0.39%	3 Month NZD Bank Bill Rate	NZD	575,890,000		03/17/2023	Quarterly		(151,756	)		876,150			1,027,906
3 Month SEK STIBOR	(0.03)%	SEK	3,367,220,000		03/17/2023	Quarterly		97,434			(430,957	)		(528,391	)
1.05%	6 Month AUD BBSW	AUD	2,650,000		03/17/2031	Semi-Annually		(1,244	)		151,953			153,197
6 Month AUD BBSW	1.01%	AUD	11,430,000		03/17/2031	Semi-Annually		—			(686,162	)		(686,162	)
6 Month AUD BBSW	0.99%	AUD	13,690,000		03/17/2031	Semi-Annually		—			(847,223	)		(847,223	)
6 Month AUD BBSW	1.95%	AUD	197,040,000		03/17/2031	Semi-Annually		1,344,005			1,598,957			254,952
6 Month AUD BBSW	1.26%	AUD	29,410,000		03/17/2031	Semi-Annually		18,377			(1,247,907	)		(1,266,284	)
3 Month CAD LIBOR	1.50%	CAD	284,000,000		03/17/2031	Semi-Annually		29,510			(8,021,879	)		(8,051,389	)
3 Month CAD LIBOR	1.51%	CAD	130,130,000		03/17/2031	Semi-Annually		(119,609	)		(3,579,855	)		(3,460,246	)
3 Month CAD LIBOR	1.61%	CAD	24,030,000		03/17/2031	Semi-Annually		—			(484,148	)		(484,148	)
3 Month CAD LIBOR	1.75%	CAD	207,360,000		03/17/2031	Semi-Annually		(254,155	)		(2,040,539	)		(1,786,384	)
(0.23)%	6 Month CHF LIBOR	CHF	19,410,000		03/17/2031	Semi-Annually		—			689,361			689,361
(0.25)%	6 Month CHF LIBOR	CHF	9,780,000		03/17/2031	Semi-Annually		—			363,686			363,686
6 Month CHF LIBOR	(0.25)%	CHF	88,810,000		03/17/2031	Semi-Annually		(42,837	)		(3,381,695	)		(3,338,858	)
6 Month CHF LIBOR	(0.27)%	CHF	4,490,000		03/17/2031	Semi-Annually		9,819			(179,472	)		(189,291	)
(0.21)%	6 Month CHF LIBOR	CHF	6,050,000		03/17/2031	Semi-Annually		—			200,044			200,044
(0.19)%	6 Month CHF LIBOR	CHF	9,800,000		03/17/2031	Semi-Annually		—			304,388			304,388
(0.12)%	6 Month CHF LIBOR	CHF	31,580,000		03/17/2031	Semi-Annually		(12,736	)		724,072			736,808
0.09%	6 Month CHF LIBOR	CHF	9,480,000		03/17/2031	Semi-Annually		—			1,402			1,402
3 Month NZD Bank Bill Rate	1.10%	NZD	121,270,000		03/17/2031	Quarterly		(334,403	)		(7,368,489	)		(7,034,086	)
3 Month NZD Bank Bill Rate	2.15%	NZD	134,160,000		03/17/2031	Quarterly		903,703			1,342,785			439,082
3 Month NZD Bank Bill Rate	1.70%	NZD	244,850,000		03/17/2031	Quarterly		(862,162	)		(4,975,623	)		(4,113,461	)
0.41%	3 Month SEK STIBOR	SEK	568,940,000		03/17/2031	Quarterly		(4,476	)		2,709,658			2,714,134
0.54%	3 Month SEK STIBOR	SEK	177,400,000		03/17/2031	Quarterly		(5,759	)		581,346			587,105
0.82%	3 Month SEK STIBOR	SEK	89,800,000		03/17/2031	Quarterly		—			4,712			4,712

See accompanying notes to the financial statements. 87

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

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	0.49%	SEK	139,560,000		03/17/2031	Quarterly		33,895			(536,097	)		(569,992	)
3 Month SEK STIBOR	0.48%	SEK	67,900,000		03/17/2031	Quarterly		—			(266,692	)		(266,692	)
(0.25)%	6 Month EURIBOR	EUR	27,000,000		03/19/2031	Semi-Annually		32,046			1,004,972			972,926
(0.03)%	6 Month EURIBOR	EUR	10,170,000		03/19/2031	Semi-Annually		—			105,166			105,166
0.02%	6 Month EURIBOR	EUR	415,380,000		03/19/2031	Semi-Annually		(125,914	)		1,695,185			1,821,099
0.05%	6 Month EURIBOR	EUR	7,530,000		03/19/2031	Semi-Annually		—			(1,156	)		(1,156	)
0.48%	6 Month GBP LIBOR	GBP	117,980,000		03/19/2031	Semi-Annually		96,371			8,467,772			8,371,401
0.54%	6 Month GBP LIBOR	GBP	15,000,000		03/19/2031	Semi-Annually		29,851			950,569			920,718
0.69%	6 Month GBP LIBOR	GBP	4,830,000		03/19/2031	Semi-Annually		1,121			209,869			208,748
0.92%	6 Month GBP LIBOR	GBP	186,860,000		03/19/2031	Semi-Annually		333,637			2,295,305			1,961,668
1.46%	3 Month USD LIBOR	USD	209,540,000		03/19/2031	Quarterly		(119,068	)		1,428,552			1,547,620
1.51%	3 Month USD LIBOR	USD	11,170,000		03/19/2031	Quarterly		—			21,289			21,289
1.52%	3 Month USD LIBOR	USD	11,220,000		03/19/2031	Quarterly		—			9,078			9,078
1.52%	3 Month USD LIBOR	USD	11,220,000		03/19/2031	Quarterly		—			13,358			13,358
3 Month USD LIBOR	1.45%	USD	85,320,000		03/19/2031	Quarterly		(33,313	)		(663,046	)		(629,733	)
							$	938,915		$	(9,986,465	)	$	(10,925,380	)

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 Alphabet, Inc. Class A	1 Month Federal Funds Rate plus 0.20%	GS	USD	14,991,499		03/08/2021	At Maturity		—		233,981			233,981
Total Return on Jones Lange LaSalle, Inc.	1 Month Federal Funds Rate plus 0.20%	GS	USD	10,728,900		03/08/2021	At Maturity		—		(1,447,965	)		(1,447,965	)
Total Return on Micron Technology, Inc.	1 Month Federal Funds Rate plus 0.20%	GS	USD	15,681,250		03/08/2021	At Maturity		—		(1,981,504	)		(1,981,504	)
Total Return on iShares Core S&P 500 ETF	1 Month Federal Funds Rate plus 0.23%	GS	USD	50,508,900		03/24/2021	At Maturity		—		879,768			879,768
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%)	Appreciation of Total Return on CSI 500 Index	GS	USD	11,268,057		12/07/2021	Monthly		—		63,682			63,682
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%	GS	USD	3,490,089		05/24/2022	Monthly		—		224,726			224,726
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%	GS	USD	550,691		05/24/2022	Monthly		—		5,718			5,718
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.50%	GS	USD	2,198,385		05/24/2022	Monthly		—		67,804			67,804
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	94,417,472		10/18/2022	Monthly		—		11,666,048			11,666,048
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	958,611		10/18/2022	Monthly		—		(53,307	)		(53,307	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	5,443,597		10/18/2022	Monthly		—		411,596			411,596
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	587,890		10/18/2022	Monthly		—		29,456			29,456
								$	—	$	10,100,003		$	10,100,003

88 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2021

As of February 28, 2021, 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) Securities are traded on separate exchanges for the same entity.

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

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

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

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

(g) Security is in default.

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

(i) The rate disclosed is the 7 day net yield as of February 28, 2021.

(j) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

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

(l) 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.

(m) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

Shares	Description	% of Equity Basket			Value ($)
65,210,000	Alibaba Pictures Group Ltd		11.0	%		9,071,475
1,520,000	China Cosco Holdings Co – Class H		2.0	%		1,688,770
14,211,000	China Molybdenum Co Ltd – Class H		13.2	%		10,960,816
708,000	China Resources Beer Holdings Co Ltd		6.5	%		5,341,667
2,078,000	China Yuhua Education Corp Ltd		2.1	%		1,717,350
5,816,000	Greentown Service Group Co Ltd		7.1	%		5,897,231
40,000	Haidilao International Holding Ltd		0.4	%		327,819
157,900	Hong Kong Exchanges and Clearing Ltd		11.7	%		9,708,141
2,300,000	Kingdee International Software Group Co Ltd		10.0	%		8,231,721
234,000	New World Development Co Ltd		1.4	%		1,190,122
600,000	Sands China Ltd		3.4	%		2,827,880
403,000	SJM Holdings Ltd		0.7	%		560,534
2,533,200	Wynn Resorts Ltd		5.8	%		4,778,033
583,000	Yihai International Holding Ltd.		9.7	%		7,983,223
1,815,000	Zhaojin Mining Industry Co Ltd		2.2	%		1,827,770
7,192,000	Zijin Mining Group Co Ltd – Class H		12.8	%		10,610,748
	TOTAL COMMON STOCKS				$	82,723,300

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 118.

See accompanying notes to the financial statements. 89

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Developed Equity Allocation Fund returned +22.02% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s decision to hold a broadly 10% position in emerging markets added to performance relative to the benchmark as the MSCI Emerging Markets Index returned 36.1%. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Although it is a reasonably modest exposure, stock selection in Australia was a notable success with a return of an incredible 126.2%, driven largely by a significant position in a Metals & Mining company, which was the biggest individual contributor to relative return at the total portfolio level.

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

90

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

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

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and R6 the gross expense ratio of 0.65% and 0.65%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.63% and 0.63% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

91

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.6	%
Short-Term Investments		3.5
Preferred Stocks		1.2
Investment Funds		0.1
Debt Obligations		0.1
Futures Contracts		0.0	^
Swap Contracts		0.0	^
Other		(1.5	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		22.6	%
United Kingdom		14.7
Netherlands		7.2
France		6.6
Germany		6.3
Australia		5.0
Switzerland		5.0
Spain		4.8
China		3.8
Singapore		3.7
Italy		2.8
Hong Kong		2.6
Portugal		2.6
Other Emerging		2.5	†
Taiwan		2.5
Norway		2.1
Sweden		1.7
Russia		1.6
Belgium		1.0
Other Developed		0.9	‡
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table 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% .

92

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	604,471	GMO Emerging Markets Fund, Class VI		22,008,788
	8,347,829	GMO International Equity Fund, Class IV		194,337,465
	381,473	GMO-Usonian Japan Value Creation Fund, Class VI		8,953,179
		TOTAL MUTUAL FUNDS (COST $218,928,755)		225,299,432
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	53,755	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		53,755
		TOTAL SHORT-TERM INVESTMENTS (COST $53,755)		53,755
		TOTAL INVESTMENTS — 100.0% (Cost $218,982,510)		225,353,187
		Other Assets and Liabilities (net) — 0.00%		29,757
		TOTAL NET ASSETS — 100.0%		$225,382,944

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 93

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO International Equity Allocation Fund returned +22.67% (net) for the fiscal year ended February 28, 2021, as compared with +26.18% for the MSCI All Country World Index (“ACWI”) ex-USA Index.

The Fund’s overweight to emerging markets added to performance relative to the benchmark as the MSCI Emerging Markets Index returned 36.1% while MSCI World ex-USA returned 22.1%. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI ACWI Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. Although it is a reasonably modest exposure, stock selection in Australia was a notable success with a return of an incredible 126.2%, driven largely by a significant position in a Metals & Mining company, which was the biggest individual contributor to relative return at the total portfolio level.

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

94

GMO International Equity Allocation Fund

(A Series of GMO Trust)

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

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

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

For Class III and R6 the gross expense ratio of 0.67% and 0.68%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.66% and 0.66% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

95

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.6	%
Short-Term Investments		2.4
Preferred Stocks		1.9
Investment Funds		0.3
Debt Obligations		0.2
Futures Contracts		0.1
Swap Contracts		0.0	^
Other		(0.5	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		15.6	%
China		15.5
Taiwan		10.3
United Kingdom		9.4
Russia		6.6
Other Emerging		4.6	†
Netherlands		4.5
France		4.1
Germany		3.9
Australia		3.1
Switzerland		3.1
Spain		3.0
Singapore		2.4
India		1.8
Italy		1.7
Hong Kong		1.6
Portugal		1.6
Korea		1.6
Norway		1.3
Other Developed		1.2	‡
Mexico		1.1
Indonesia		1.0
Sweden		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% .

96

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	9,746,665	GMO Emerging Markets Fund, Class VI		354,876,079
	20,227,031	GMO International Equity Fund, Class IV		470,885,277
	1,515,885	GMO-Usonian Japan Value Creation Fund, Class VI		35,577,814
		TOTAL MUTUAL FUNDS (COST $797,168,977)		861,339,170
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	304,576	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		304,576
		TOTAL SHORT-TERM INVESTMENTS (COST $304,576)		304,576
		TOTAL INVESTMENTS — 100.0% (Cost $797,473,553)		861,643,746
		Other Assets and Liabilities (net) — (0.0%)		(89,574	)
		TOTAL NET ASSETS — 100.0%		$861,554,172

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of February 28, 2021.

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 118.

See accompanying notes to the financial statements. 97

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO SGM Major Markets Fund returned +5.48% (net) for the fiscal year ended February 28, 2021, as compared with +0.33% for the FTSE 3-Month Treasury Bill Index.

The Fund added value from equity, currency, and commodity positions while bonds detracted value. The period saw a major rotation in risk appetite due to the COVID-19 pandemic, which saw many assets sell off early in the period, only to have them strongly recover. Over this period equities were the major positive contributor, with the timing on equity beta being the strongest component. Other strong gains came through commodities, notably the positions in oil and silver. As with many risk assets, both had significant falls in the early parts of the year, only to strongly recover during the remaining half of the period. Additionally, the Fund’s position of long euro/short U.S. dollar added significantly. Towards the end of the period, the U.S. dollar dropped significantly, with the market showing concerns around the significant levels of increase in U.S. debt and money supply.

Bonds were the major detractor over the course of the fiscal year. The portfolio had a net long position in bonds at the end of the period. The turn of the year saw a rise in inflation concerns, which in turn saw a rapid sell off in global bonds.    

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

98

GMO SGM Major Markets Fund

(A Series of GMO Trust)

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

GMO SGM Major Markets Fund Class III Shares, the FTSE 3-Month Treasury Bill +++ Index* and the FTSE 3-Month Treasury Bill Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.

* The FTSE 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the FTSE 3-Month Treasury Bill Index thereafter.

For Class III, VI and I the gross expense ratio of 1.06%, 0.95% and 1.16%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 1.01%, 0.91% and 1.11% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

99

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		87.6	%
Short-Term Investments		9.8
Forward Currency Contracts		(0.4	)
Futures Contracts		(1.1	)#
Other		4.1
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 35.2% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

100

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 87.6%
		United States — 87.6%
		U.S. Government — 87.6%
	25,000,000	U.S. Treasury Note, 1.38%, due 04/30/21		25,053,638
	16,700,000	U.S. Treasury Note, 2.63%, due 05/15/21 (a)		16,787,669
	47,000,000	U.S. Treasury Note, 1.38%, due 05/31/21 (b)		47,150,917
	43,000,000	U.S. Treasury Note, 1.63%, due 06/30/21		43,226,758
	20,000,000	U.S. Treasury Note, 1.13%, due 08/31/21		20,105,469
	30,000,000	U.S. Treasury Note, 1.63%, due 12/31/21		30,387,891
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22 (b)		30,389,062
	14,500,000	U.S. Treasury Note, 0.13%, due 04/30/22		14,502,266
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.09%, due 10/31/22 (b)		20,005,151
	66,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.08%, due 01/31/23 (a)(b)		66,005,213
		Total U.S. Government		313,614,034
		Total United States		313,614,034
		TOTAL DEBT OBLIGATIONS (COST $313,222,814)		313,614,034

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 9.8%
		Money Market Funds — 2.8%
	7,081,135	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		7,081,135
	3,071,714	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (a)		3,071,714
		Total Money Market Funds		10,152,849
		U.S. Government — 7.0%
	25,000,000	U.S. Treasury Bill, 0.08%, due 02/24/22 (d)		24,979,583
		TOTAL SHORT-TERM INVESTMENTS (COST $35,135,349)		35,132,432
		TOTAL INVESTMENTS — 97.4% (Cost $348,358,163)		348,746,466
		Other Assets and Liabilities (net) — 2.6%		9,308,863
		TOTAL NET ASSETS — 100.0%		$358,055,329

A summary of outstanding financial instruments at February 28, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
04/16/2021	GS		AUD	2,280,864		USD	1,770,277		14,973
04/16/2021	MSCI		AUD	2,315,648		USD	1,821,047		38,974
04/16/2021	UBSA		AUD	33,753,285		USD	26,122,207		146,412
03/15/2021	DB		EUR	614,518		USD	744,418		2,753
03/15/2021	JPM		EUR	3,575,475		USD	4,312,829		(2,434	)
04/16/2021	UBSA		NZD	5,960,377		USD	4,303,014		(3,546	)
03/31/2021	MSCI		USD	7,220,960		CAD	9,265,332		60,282
03/15/2021	DB		USD	6,711,795		EUR	5,526,681		(41,609	)
03/15/2021	SSB		USD	47,073,374		EUR	38,542,557		(556,122	)
04/16/2021	UBSA		USD	35,541,615		EUR	29,279,541		(177,608	)
05/17/2021	BCLY		USD	35,215,773		EUR	29,000,000		(166,108	)
04/12/2021	BOA		USD	36,274,491		JPY	3,824,749,709		(376,108	)
05/10/2021	BCLY		USD	1,761,156		JPY	183,898,617		(34,583	)
05/10/2021	JPM		USD	4,288,643		JPY	452,988,720		(35,658	)
05/10/2021	MSCI		USD	37,954,769		JPY	4,000,000,000		(399,882	)
05/10/2021	UBSA		USD	8,093,946		JPY	856,722,765		(50,414	)
								$	(1,580,678	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
379	Australian Government Bond 10 Yr.	March 2021		39,972,816		(2,234,514	)
301	CAC40 10 Euro	March 2021		20,718,821		(232,178	)
215	Canadian Government Bond 10 Yr.	June 2021		23,615,197		(435,846	)
4	DAX Index	March 2021		1,663,009		(15,314	)
158	Gold 100 OZ (a)	April 2021		27,315,040		(2,074,784	)
139	Hang Seng Index	March 2021		26,025,590		(1,291,323	)
1,044	Mini MSCI Emerging Markets	March 2021		69,848,820		4,254,133
201	MSCI Singapore	March 2021		5,067,592		76,507
6	S&P/TSX 60	March 2021		1,010,656		31,116
55	TOPIX Index	March 2021		9,737,347		(156,496	)
312	U.S. Treasury Note 10 Yr. (CBT)	June 2021		41,408,250		(441,112	)
37	WTI Crude (a)	March 2021		2,275,500		124,673
			$	268,658,638	$	(2,395,138	)

See accompanying notes to the financial statements. 101

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

February 28, 2021

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
524	Corn (a)	May 2021		14,344,500		(8,038	)
239	E-mini Russell 2000 Index	March 2021		26,280,440		(1,773,070	)
209	Euro Bund	March 2021		43,726,118		709,437
70	FTSE Taiwan Index	March 2021		3,881,045		118,186
180	FTSE/JSE TOP 40	March 2021		7,181,226		(641,801	)
145	S&P 500 E-Mini	March 2021		27,616,700		519,928
4	Silver (a)	May 2021		528,800		23,416
212	Soybean (a)	May 2021		14,885,050		(281,961	)
33	SPI 200	March 2021		4,212,436		(38,699)
			$	142,656,315	$	(1,372,602	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2021, 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 or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of February 28, 2021.

(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 118.

102 See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Strategic Opportunities Allocation Fund returned +18.66% (net) for the fiscal year ended February 28, 2021, as compared with +22.30% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s equity weight was not that different from the benchmark, and as a result had minimal effect on relative performance. Within developed equities, the bias away from the decently performing U.S. market towards markets outside the U.S., which fared less well, was detrimental to performance relative to the benchmark. A bias to a “Value” style proved detrimental to performance as 2020 was the worst year on record for the performance of “Value” versus “Growth” (for the 12 months under consideration, the MSCI All Country World Index (“ACWI”) Value Index underperformed the MSCI ACWI Growth Index by 24.3%). This challenging stock selection was most evident in emerging markets, where our bias to Value is most pronounced. The underweighting to fixed income was additive to performance as the asset class did relatively less well, and this was complemented by good performance within fixed income. The Fund’s exposure to alternative strategies detracted from relative performance, as they did not manage to keep up with the return generated by the Fund’s benchmark.

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

104

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

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

GMO Strategic Opportunities Allocation Fund Class III Shares, the GMO Strategic Opportunities Allocation Index*, the MSCI World Index and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2021

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.

* The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Index.

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

For Class III the gross expense ratio of 0.55% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.52% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

105

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.0	%
Debt Obligations		5.3
Short-Term Investments		3.1
Preferred Stocks		1.2
Swap Contracts		0.3
Investment Funds		0.2
Futures Contracts		0.0	^
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	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(18.1	)
Other		18.0
		100.0	%
Country/Region Summary¤	% of Total Net Assets
Other Emerging		3.1	†%
Other Developed		0.4	‡
Euro Region		0.0	^#
		3.5	%
Country/Region Summary¤	% of Total Net Assets
United States		18.8	%
Japan		10.1
China		9.1
Taiwan		5.8
Other Developed		5.0	‡
United Kingdom		4.4
Other Emerging		4.3	†
Russia		3.9
Netherlands		2.0
France		1.5
Germany		1.4
Hong Kong		1.3
Australia		1.2
India		1.2
Spain		1.1
Canada		1.0
Italy		1.0
Euro Region		0.0	^#
		73.1	%

& 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. 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%.

106

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		COMMON STOCKS — 39.8%
		Australia — 1.2%
	25,635	Accent Group Ltd		42,823
	11,314	Ansell Ltd (a)		314,431
	26,425	Asaleo Care Ltd		28,853
	5,505	AUB Group Ltd		80,785
	48,596	Australian Pharmaceutical Industries Ltd		41,608
	6,924	Bank of Queensland Ltd * (b)		46,872
	2,073	Bank of Queensland Ltd * (b)		11,724
	58,529	BlueScope Steel Ltd		747,484
	10,252	Computershare Ltd (a)		104,894
	25,239	Coronado Global Resources Inc CDI		21,089
	5,667	CSR Ltd		23,882
	91,797	Dexus (REIT)		629,711
	48,293	Fortescue Metals Group Ltd		891,883
	34,199	G8 Education Ltd *		28,371
	31,008	Genworth Mortgage Insurance Australia Ltd		61,669
	263,023	GPT Group (The) (REIT)		863,918
	10,503	GWA Group Ltd		24,688
	10,559	JB Hi-Fi Ltd		354,256
	13,003	McMillan Shakespeare Ltd		124,666
	162,536	Mirvac Group (REIT)		280,149
	7,826	Rio Tinto Ltd		767,887
	34,636	Sandfire Resources Ltd		161,888
	421,607	Scentre Group (REIT)		933,580
	74,325	Stockland (REIT)		237,482
		Total Australia		6,824,593
		Belgium — 0.4%
	34,701	Ageas SA/NV		1,945,051
	16,078	bpost SA *		174,150
	2,090	Etablissements Franz Colruyt NV		125,202
	1,872	UCB SA		185,621
		Total Belgium		2,430,024
		Canada — 1.0%
	13,976	Brookfield Asset Management Inc – Class A		563,932
	6,200	Canadian Apartment Properties (REIT)		248,663
	1,200	Canadian Tire Corp Ltd – Class A		155,059
	1,800	Canadian Western Bank		47,313
	2,000	Canfor Corp *		40,798
	12,500	Cascades Inc		164,918
	18,258	Celestica Inc *		151,361
	6,900	CI Financial Corp		96,620
	1,500	Cogeco Inc (a)		110,066
	800	iA Financial Corp Inc		41,106
	4,800	IGM Financial Inc		130,957
	14,500	Imperial Oil Ltd		317,779
	7,100	Intertape Polymer Group Inc		133,732
	900	Laurentian Bank of Canada		24,653

Shares		Description	Value ($)
		Canada — continued
	6,200	Linamar Corp		346,442
	9,500	Magna International Inc		800,177
	4,700	Martinrea International Inc		54,955
	2,900	Mullen Group Ltd		22,834
	10,217	Nutrien Ltd		551,309
	21,200	Power Corp of Canada		511,092
	12,100	RioCan Real Estate Investment Trust		180,273
	34,900	TELUS Corp		699,316
	400	TFI International Inc		27,940
	25,700	Tourmaline Oil Corp		467,713
	8,900	Transcontinental Inc – Class A		152,949
		Total Canada		6,041,957
		China — 1.2%
	82,000	Agile Group Holdings Ltd		115,806
	929,000	Bank of Communications Co Ltd – Class H		524,398
	21,000	Beijing Enterprises Holdings Ltd		72,679
	276,000	China Communications Services Corp Ltd – Class H		130,548
	6,123,000	China Huarong Asset Management Co Ltd – Class H		725,295
	28,000	China Overseas Land & Investment Ltd		70,946
	1,675,000	China Railway Group Ltd – Class H		884,544
	786,400	China Zhongwang Holdings Ltd *		231,050
	756,000	Dongfeng Motor Group Co Ltd – Class H		694,017
	91,000	Fosun International Ltd		136,518
	618,400	Guangzhou R&F Properties Co Ltd – Class H		825,334
	37,500	Kingboard Holdings Ltd		172,759
	95,000	Legend Holdings Corp – Class H		141,682
	32,000	Momo Inc Sponsored ADR (a)		506,880
	84,000	Seazen Group Ltd *		101,434
	78,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		143,802
	163,500	Shimao Group Holdings Ltd		538,397
	156,400	Sinopharm Group Co Ltd – Class H		366,182
	600,000	Skyworth Group Ltd *		188,526
	642,000	Yuzhou Group Holdings Co Ltd		247,451
		Total China		6,818,248
		Denmark — 0.5%
	52,028	Danske Bank A/S *		956,427
	18,316	Demant A/S * (a)		752,882
	1,699	Matas A/S *		22,455
	8,695	Pandora A/S		844,157
	7,513	Scandinavian Tobacco Group A/S		139,462
		Total Denmark		2,715,383
		Finland — 0.3%
	8,939	Kesko Oyj – B Shares		227,445
	11,433	Neste Oyj		755,151
	123,614	Nokia Oyj *		492,493

See accompanying notes to the financial statements. 107

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Finland — continued
	2,184	Uponor Oyj		45,766
		Total Finland		1,520,855
		France — 1.4%
	7,508	ALD SA		109,916
	10,399	APERAM SA		435,863
	8,871	Atos SE * (a)		693,352
	11,851	Derichebourg SA *		94,232
	2,325	Eiffage SA *		238,975
	2,665	IPSOS (a)		103,222
	731	Kering SA		462,320
	1,025	LVMH Moet Hennessy Louis Vuitton SE		649,459
	5,872	Metropole Television SA * (a)		117,147
	22,675	Publicis Groupe SA (a)		1,333,319
	3,784	Quadient SA		86,171
	26,839	Renault SA *		1,205,233
	5,341	Safran SA *		728,045
	1,657	Societe BIC SA		93,072
	29,692	Societe Generale SA *		734,769
	1,723	Tarkett SA *		26,175
	16,809	Television Francaise 1 * (a)		146,380
	2,903	Unibail-Rodamco-Westfield (REIT) *		213,734
	13,330	Valeo SA		471,109
	1,504	Vicat SA		72,233
		Total France		8,014,726
		Germany — 1.3%
	52,977	Aroundtown SA (a)		385,225
	3,579	Aurubis AG		312,213
	12,482	Bayer AG (Registered)		758,171
	2,677	Bayerische Motoren Werke AG		231,317
	2,829	CropEnergies AG		38,330
	11,737	Daimler AG (Registered)		940,900
	29,462	Deutsche Lufthansa AG (Registered) *		439,637
	39,289	Deutsche Pfandbriefbank AG *		428,485
	1,843	Deutsche Wohnen SE (a)		86,626
	15,830	Dialog Semiconductor Plc *		1,230,512
	387	Draegerwerk AG & Co KGaA (a)		28,781
	8,071	Fresenius SE & Co KGaA (a)		345,786
	15,667	HeidelbergCement AG		1,239,152
	2,041	Hornbach Baumarkt AG		82,972
	2,348	Hornbach Holding AG & Co KGaA		221,599
	3,815	ProSiebenSat.1 Media SE *(a)		77,892
	4,932	SAP SE		610,023
	4,351	Takkt AG *		61,271
	4,699	VERBIO Vereinigte BioEnergie AG		187,884
		Total Germany		7,706,776
		Greece — 0.0%
	1,072	JUMBO SA		17,653

Shares		Description	Value ($)
		Hong Kong — 0.8%
	19,000	Chow Sang Sang Holdings International Ltd		25,726
	260,000	CITIC Telecom International Holdings Ltd		84,152
	125,500	CK Hutchison Holdings Ltd		947,069
	21,200	Dah Sing Financial Holdings Ltd		68,528
	1,640,000	First Pacific Co Ltd		538,042
	11,000	Hang Lung Group Ltd		27,565
	106,000	Hongkong Land Holdings Ltd		509,247
	78,500	Johnson Electric Holdings Ltd		226,535
	102,000	K Wah International Holdings Ltd		52,436
	130,000	Kerry Properties Ltd		418,816
	32,000	NWS Holdings Ltd		36,137
	191,000	Pacific Textiles Holdings Ltd		122,302
	1,255,000	PCCW Ltd		719,759
	298,000	Shun Tak Holdings Ltd		100,962
	60,000	Sun Hung Kai & Co Ltd		25,739
	15,500	Swire Pacific Ltd – Class A		113,602
	138,000	VSTECS Holdings Ltd		123,748
	64,900	VTech Holdings Ltd		543,848
	128,000	Yue Yuen Industrial Holdings Ltd		272,602
		Total Hong Kong		4,956,815
		India — 0.4%
	138,544	Indiabulls Housing Finance Ltd *		411,763
	57,083	NTPC Ltd		83,141
	674,570	Oil & Natural Gas Corp Ltd		1,022,295
	428,030	REC Ltd		788,108
		Total India		2,305,307
		Indonesia — 0.0%
	54,200	Indah Kiat Pulp & Paper Corp Tbk PT		49,933
		Ireland — 0.3%
	73,883	AIB Group Plc *		164,920
	67,187	Bank of Ireland Group Plc *		271,409
	2,237	Glanbia Plc		28,897
	71,600	Hibernia REIT Plc		96,825
	9,692	Origin Enterprises Plc		40,955
	34,140	Ryanair Holdings Plc *		681,086
	9,904	Smurfit Kappa Group Plc		466,817
		Total Ireland		1,750,909
		Israel — 0.2%
	1,400	Check Point Software Technologies Ltd *		154,336
	11,916	Isracard Ltd		40,673
	71,200	Teva Pharmaceutical Industries Ltd Sponsored ADR *		766,112
		Total Israel		961,121
		Italy — 1.0%
	132,444	A2A SPA		222,178

108 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Italy — continued
	16,772	Anima Holding SPA		80,345
	3,839	Ascopiave SPA		16,582
	10,009	Banca Mediolanum SPA *		87,001
	31,757	Banca Popolare di Sondrio SCPA *		91,295
	1,474	Biesse SPA *		38,856
	29,391	Buzzi Unicem SPA		740,928
	3,639	Cementir Holding NV		34,873
	24,971	EXOR NV		2,001,646
	9,108	Italgas SPA		53,544
	1,690	La Doria SPA		28,651
	42,329	Leonardo SPA		337,617
	4,447	Poste Italiane SPA		50,382
	348	Sesa SPA *		47,232
	1,090,532	Telecom Italia SPA		517,800
	1,578,884	Telecom Italia SPA – RSP		846,441
	96,154	Unipol Gruppo SPA *		498,495
		Total Italy		5,693,866
		Japan — 10.1%
	1,700	77 Bank Ltd (The)		22,458
	4,100	ADEKA Corp		69,073
	2,500	Aeon Delight Co Ltd		74,738
	39,500	Aeon Mall Co Ltd		668,477
	73,300	Amada Co Ltd		895,580
	9,800	Amano Corp		220,926
	600	Arata Corp		25,285
	6,400	Arcland Sakamoto Co Ltd		91,968
	21,400	Arcs Co Ltd		442,632
	76,000	Asahi Kasei Corp		824,495
	39,100	Asics Corp		644,617
	22,000	Astellas Pharma Inc		347,846
	2,900	Belluna Co Ltd		28,273
	23,300	Brother Industries Ltd		461,685
	6,000	Central Japan Railway Co		988,646
	39,100	Chugoku Marine Paints Ltd		332,783
	2,100	Credit Saison Co Ltd		26,418
	200	Dai Nippon Toryo Co Ltd		1,698
	10,900	Daihen Corp		465,279
	400	Daiichi Jitsugyo Co Ltd		15,508
	900	Daishi Hokuetsu Financial Group Inc		19,963
	10,900	Daiwa House Industry Co Ltd (a)		309,190
	13,800	Daiwabo Holdings Co Ltd		1,032,411
	23,100	Denka Co Ltd		872,981
	3,100	Dexerials Corp		45,202
	5,900	Doshisha Co Ltd		98,101
	21,100	Ebara Corp		795,074
	800	Eizo Corp		27,793
	9,800	Electric Power Development Co Ltd		160,275
	1,000	ESPEC Corp		17,062
	14,400	Fuji Corp		340,488
	2,500	Fuji Media Holdings Inc (a)		30,370

Shares		Description	Value ($)
		Japan — continued
	1,900	Fujimi Inc		70,394
	2,700	Geo Holdings Corp		30,380
	15,200	GungHo Online Entertainment Inc (a)		311,295
	22,900	Gunma Bank Ltd (The)		73,763
	6,500	Hachijuni Bank Ltd (The)		21,498
	2,100	Hanwa Co Ltd		54,954
	69,400	Haseko Corp		863,152
	94,600	Hazama Ando Corp		710,620
	2,100	Heiwado Co Ltd		38,543
	5,600	Hirogin Holdings Inc		33,041
	2,200	Hisamitsu Pharmaceutical Co Inc		137,872
	8,400	Hitachi Ltd		387,431
	12,900	Hogy Medical Co Ltd (a)		369,408
	5,400	Hokuhoku Financial Group Inc		48,909
	31,100	Honda Motor Co Ltd		859,644
	13,800	Horiba Ltd		828,774
	1,400	Iida Group Holdings Co Ltd		31,850
	3,300	Inaba Denki Sangyo Co Ltd		78,596
	25,500	Inabata & Co Ltd		360,638
	146,600	Inpex Corp		1,090,057
	32,300	ITOCHU Corp		964,737
	3,000	Itochu Enex Co Ltd		28,929
	4,200	Iyo Bank Ltd (The)		24,372
	3,000	Jaccs Co Ltd		57,784
	18,100	JAFCO Group Co Ltd		1,110,198
	27,700	Japan Post Insurance Co Ltd		569,571
	1,100	Juroku Bank Ltd (The)		20,441
	40,400	JVCKenwood Corp		70,499
	69,300	K’s Holdings Corp		929,579
	24,300	Kadokawa Corp (a)		894,609
	23,200	Kajima Corp		297,742
	15,700	Kanamoto Co Ltd		350,049
	43,700	Kanematsu Corp		557,870
	700	Kanematsu Electronics Ltd (a)		23,313
	35,800	KDDI Corp		1,116,010
	7,800	Kinden Corp		127,824
	1,800	Kissei Pharmaceutical Co Ltd		35,987
	5,000	Kohnan Shoji Co Ltd		136,372
	5,900	Kokuyo Co Ltd		84,487
	5,900	Komeri Co Ltd		159,054
	105,600	Konica Minolta Inc		539,542
	30,600	Konoike Transport Co Ltd		298,095
	1,100	Kureha Corp		72,924
	28,200	Kyowa Exeo Corp		722,683
	20,200	Kyudenko Corp		668,477
	30,300	Macromill Inc		242,853
	22,500	Mandom Corp		384,621
	28,500	Maruichi Steel Tube Ltd		653,890
	500	Maruzen Showa Unyu Co Ltd		14,397
	36,100	Maxell Holdings Ltd *		473,193
	4,900	Meidensha Corp		105,684

See accompanying notes to the financial statements. 109

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Japan — continued
	25,100	Mitsubishi Gas Chemical Co Inc		587,912
	208,100	Mitsubishi UFJ Financial Group Inc		1,094,543
	1,000	Mitsuboshi Belting Ltd		15,508
	7,000	Mitsui Chemicals Inc		216,845
	1,200	Mitsui Sugar Co Ltd		21,223
	14,600	Mixi Inc (a)		367,991
	1,200	Mizuho Leasing Co Ltd		37,473
	9,300	Morinaga & Co Ltd		335,891
	26,400	MS&AD Insurance Group Holdings Inc		749,357
	4,200	NEC Networks & System Integration Corp (a)		69,788
	20,800	NH Foods Ltd		880,007
	1,500	Nichiha Corp		42,367
	10,100	Nikkon Holdings Co Ltd		194,606
	5,000	Nippo Corp		130,883
	7,550	Nippon Light Metal Holdings Co Ltd		149,775
	2,200	Nippon Soda Co Ltd		69,373
	900	Nippon Steel Trading Corp		31,706
	34,700	Nippon Telegraph & Telephone Corp		898,905
	4,600	Nippon Television Holdings Inc (a)		61,246
	7,700	Nishi-Nippon Financial Holdings Inc		50,488
	1,300	Nishio Rent All Co Ltd		32,117
	1,200	Nisshin Oillio Group Ltd (The)		35,543
	3,700	Nissin Electric Co Ltd		43,290
	500	Nitto Denko Corp		42,919
	2,600	Nojima Corp		68,317
	4,100	Nomura Real Estate Holdings Inc		92,960
	800	Obara Group Inc		28,577
	159,700	Obayashi Corp		1,378,656
	118,600	ORIX Corp		2,023,638
	600	Osaka Soda Co Ltd		14,459
	30,300	Pacific Industrial Co Ltd		329,963
	33,700	Penta-Ocean Construction Co Ltd		251,870
	1,600	Pressance Corp		22,280
	2,000	Proto Corp		21,072
	21,200	Raiznext Corp		227,911
	85,000	Resona Holdings Inc		343,462
	1,100	Rinnai Corp		111,555
	2,400	Rohm Co Ltd		237,651
	7,600	San-A Co Ltd		296,472
	2,200	San-Ai Oil Co Ltd		22,069
	6,100	Sanki Engineering Co Ltd		74,573
	6,700	Sankyu Inc		280,680
	4,000	Sanwa Holdings Corp		49,729
	1,000	Sanyo Chemical Industries Ltd		47,501
	7,900	Secom Co Ltd		687,893
	6,600	Sekisui Chemical Co Ltd		118,279
	43,400	Sekisui House Ltd		818,898
	600	Sekisui Jushi Corp		10,948
	800	Shimamura Co Ltd		79,941
	127,200	Shimizu Corp		966,285
	4,700	Shizuoka Bank Ltd (The)		34,495

Shares		Description	Value ($)
		Japan — continued
	1,600	Shizuoka Gas Co Ltd		13,948
	1,500	Sinko Industries Ltd		26,673
	93,500	SKY Perfect JSAT Holdings Inc (a)		396,530
	111,600	Sumitomo Chemical Co Ltd		543,304
	66,400	Sumitomo Dainippon Pharma Co Ltd		1,055,439
	44,400	Sumitomo Forestry Co Ltd		800,293
	8,000	Sumitomo Mitsui Trust Holdings Inc		264,140
	500	Sumitomo Seika Chemicals Co Ltd		18,264
	1,400	Suzuki Motor Corp		61,068
	18,200	T Hasegawa Co Ltd		317,363
	1,500	T&D Holdings Inc		20,431
	23,000	Tachi-S Co Ltd		229,715
	17,300	Taisei Corp		613,474
	30,500	Takara Holdings Inc		410,624
	7,900	Takara Leben Co Ltd		25,629
	4,100	Takasago Thermal Engineering Co Ltd		60,886
	5,300	Takeuchi Manufacturing Co Ltd		134,966
	24,800	Takuma Co Ltd		487,852
	2,600	Tamron Co Ltd		47,059
	49,600	Teijin Ltd		855,705
	31,000	TIS Inc (a)		645,341
	27,700	Toho Holdings Co Ltd (a)		480,947
	311,500	Tokyo Electric Power Co Holdings Inc *		1,003,349
	16,300	Tokyo Seimitsu Co Ltd		714,396
	3,500	Toppan Forms Co Ltd		33,538
	69,500	Toppan Printing Co Ltd		1,098,072
	13,700	Toray Industries Inc		90,377
	31,200	Tosei Corp		294,349
	66,000	Tosoh Corp		1,213,269
	800	Totetsu Kogyo Co Ltd		19,344
	11,800	Toyo Suisan Kaisha Ltd		502,340
	10,800	Toyota Industries Corp		927,908
	1,700	TS Tech Co Ltd		47,586
	11,100	Tsumura & Co		349,384
	2,800	YAMABIKO Corp		29,376
	7,500	Yamaguchi Financial Group Inc		46,404
	2,800	Yamazen Corp		25,012
	3,100	Yellow Hat Ltd		48,872
	37,200	Yokogawa Electric Corp		711,458
	900	Yuasa Trading Co Ltd		24,927
	16,400	Zenkoku Hosho Co Ltd		757,156
		Total Japan		58,780,558
		Malta — 0.0%
	125,500	BGP Holdings Plc (c)		—
		Mexico — 0.3%
	73,341	Fomento Economico Mexicano SAB de CV		500,392
	213,200	Grupo Mexico SAB de CV – Series B		1,010,715
		Total Mexico		1,511,107

110 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Netherlands — 1.3%
	10,281	ABN AMRO Bank NV CVA *		118,216
	140,858	Aegon NV		675,095
	18,100	AerCap Holdings NV *		872,058
	17,805	ASR Nederland NV		743,900
	91,183	ING Groep NV		998,701
	23,694	Koninklijke Ahold Delhaize NV		625,634
	3,346	NN Group NV		154,497
	123,961	PostNL NV *		526,976
	23,651	Randstad NV *		1,581,735
	24,896	Signify NV *		1,084,839
	560	TomTom NV *		5,256
		Total Netherlands		7,386,907
		New Zealand — 0.1%
	139,528	Meridian Energy Ltd		574,399
		Norway — 0.4%
	9,153	Austevoll Seafood ASA		104,869
	46,695	BW LPG Ltd		277,245
	52,704	Elkem ASA		185,320
	3,128	Entra ASA		64,925
	25,472	Europris ASA		148,949
	1,208	Kongsberg Gruppen ASA		24,630
	87,106	Norsk Hydro ASA		482,241
	15,100	Norwegian Finans Holding ASA *		133,056
	72,231	Orkla ASA		665,292
	2,664	SpareBank 1 Nord Norge		23,607
	4,533	SpareBank 1 SMN		52,335
	11,251	SpareBank 1 SR-Bank ASA *		129,580
		Total Norway		2,292,049
		Portugal — 0.2%
	25,316	Altri SGPS SA		183,789
	1,956,817	Banco Comercial Portugues SA – Class R *		275,614
	26,397	CTT-Correios de Portugal SA *		79,479
	47,611	Galp Energia SGPS SA		532,217
	49,113	Mota-Engil SGPS SA *		86,546
	40,264	Navigator Co SA (The) *		136,178
	32,571	REN – Redes Energeticas Nacionais SGPS SA		89,224
	110,844	Sonae SGPS SA		90,474
		Total Portugal		1,473,521
		Russia — 0.2%
	6,685	LUKOIL PJSC Sponsored ADR		498,109
	3,203	Novatek PJSC Sponsered GDR (Registered)		548,058
		Total Russia		1,046,167
		Singapore — 0.4%
	140,800	CapitaLand Ltd		333,345
	18,200	City Developments Ltd		99,656

Shares		Description	Value ($)
		Singapore — continued
	265,000	ComfortDelGro Corp Ltd		318,449
	21,500	Jardine Cycle & Carriage Ltd		337,778
	136,500	Sembcorp Industries Ltd		176,160
	150,400	Singapore Airlines Ltd *		557,470
	77,100	SPH (REIT)		47,592
	68,000	StarHub Ltd		64,718
	736,400	Yangzijiang Shipbuilding Holdings Ltd		587,974
	58,400	Yanlord Land Group Ltd		50,140
		Total Singapore		2,573,282
		South Africa — 0.1%
	63,746	Bidvest Group Ltd (The)		706,927
		South Korea — 0.0%
	2,600	Yuhan Corp		143,275
		Spain — 1.0%
	15,146	Acerinox SA		175,564
	28,750	ACS Actividades de Construccion y Servicios SA		878,440
	8,329	Amadeus IT Group SA * (a)		581,508
	18,094	Atresmedia Corp de Medios de Comunicacion SA * (a)		75,193
	127,551	Banco Bilbao Vizcaya Argentaria SA		709,295
	98,448	Banco de Sabadell SA		49,126
	281,882	Banco Santander SA *		980,130
	5,728	Bankinter SA		37,753
	11,235	Cia de Distribucion Integral Logista Holdings SA		216,188
	6,423	Ebro Foods SA		138,508
	3,655	Grupo Catalana Occidente SA		136,434
	17,569	Industria de Diseno Textil SA		579,306
	130,329	Liberbank SA *		40,611
	36,347	Mapfre SA		68,823
	40,863	Mediaset Espana Comunicacion SA * (a)		244,332
	110	Prosegur Cia de Seguridad SA		338
	41,479	Red Electrica Corp SA		692,961
	175,523	Unicaja Banco SA *		152,900
		Total Spain		5,757,410
		Sweden — 0.2%
	18,202	Betsson AB *		148,630
	11,030	Inwido AB *		167,346
	74,646	Nordea Bank Abp		676,056
		Total Sweden		992,032
		Switzerland — 0.3%
	11,878	Adecco Group AG (Registered)		747,563
	5,827	Banque Cantonale Vaudoise (Registered)		610,687
	1,336	BKW AG		147,787
		Total Switzerland		1,506,037

See accompanying notes to the financial statements. 111

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		Taiwan — 0.1%
	59,000	Hon Hai Precision Industry Co Ltd		237,017
	33,000	Pou Chen Corp		35,761
	120,000	Ruentex Development Co Ltd		179,721
		Total Taiwan		452,499
		United Kingdom — 3.4%
	13,929	Aggreko Plc		156,593
	3,454	Antofagasta Plc		86,205
	28,983	Aviva Plc		146,839
	3,420	Bank of Georgia Group Plc *		47,362
	89,018	Barratt Developments Plc *		827,275
	6,164	Bellway Plc		241,604
	22,933	Berkeley Group Holdings Plc (The)		1,299,316
	475,588	BT Group Plc *		823,204
	13,167	Bunzl Plc		411,083
	9,199	Carnival Plc *		204,881
	7,431	Central Asia Metals Plc		24,967
	3,974	CMC Markets Plc		22,567
	16,646	Coca-Cola HBC AG *		521,994
	39,922	Compass Group Plc *		810,694
	2,345	Computacenter Plc (a)		68,363
	2,268	Daily Mail & General Trust Plc – Class A (a)		28,619
	27,087	Diversified Gas & Oil Plc		47,319
	15,281	Evraz Plc		122,676
	10,660	Ferguson Plc		1,261,196
	70,067	Ferrexpo Plc		328,599
	26,408	Frasers Group Plc *		173,130
	4,488	Go-Ahead Group Plc (The) *		73,174
	26,858	Halfords Group Plc *		108,148
	25,459	Hays Plc *		54,159
	38,906	IG Group Holdings Plc		424,357
	13,671	IMI Plc		250,720
	29,866	Indivior Plc *		53,379
	28,860	Investec Plc		78,709
	187,403	ITV Plc * (a)		287,929
	57,099	J Sainsbury Plc		180,719
	16,958	Jupiter Fund Management Plc		69,887
	37,651	Just Group Plc *		47,417
	334,138	Kingfisher Plc *		1,238,465
	478,570	M&G Plc		1,232,622
	185,278	Micro Focus International Plc * (a)		1,087,736
	12,455	Mitchells & Butlers Plc *		52,586
	9,278	Mondi Plc		223,893
	6,115	Morgan Advanced Materials Plc		26,491
	4,384	Morgan Sindall Group Plc		101,275
	15,836	National Express Group Plc *		65,958
	16,453	National Grid Plc		185,005
	4,545	Numis Corp Plc		21,017
	26,353	OSB Group Plc *		162,868
	16,757	Paragon Banking Group Plc		105,017

Shares		Description	Value ($)
		United Kingdom — continued
	44,625	Persimmon Plc		1,617,003
	18,455	Pets at Home Group Plc		101,751
	51,523	Phoenix Group Holdings Plc		511,341
	35,626	Playtech Plc *		235,260
	17,484	Plus500 Ltd		334,918
	84,671	Premier Foods Plc *		106,935
	26,685	QinetiQ Group Plc		111,121
	3,659	Redde Northgate Plc		14,034
	4,144	Redrow Plc		31,551
	578	RHI Magnesita NV		31,664
	40,541	Royal Dutch Shell Plc – B Shares		794,739
	6,575	Royal Mail Plc *		41,679
	3,697	Smiths Group Plc		75,710
	23,843	Spirent Communications Plc		78,326
	7,940	Stock Spirits Group Plc		29,320
	57,145	Tate & Lyle Plc		580,193
	201,271	Taylor Wimpey Plc *		444,083
	5,131	Vistry Group Plc *		60,341
	70,655	WPP Plc (a)		844,994
		Total United Kingdom		19,830,980
		United States — 11.7%
	4,900	Alexion Pharmaceuticals, Inc.*		748,475
	10,600	Alliance Data Systems Corp. (a)		1,022,900
	12,200	Ally Financial, Inc.		506,300
	5,475	American Express Co.		740,548
	200	Anthem, Inc. (a)		60,638
	8,200	Arrow Electronics, Inc. *		822,132
	23,100	AT&T, Inc.		644,259
	19,500	Athene Holding Ltd. – Class A *		889,005
	5,200	Bed Bath & Beyond, Inc. *		139,672
	2,500	Biogen, Inc. *		682,200
	300	Booking Holdings, Inc. *		698,553
	3,300	Booz Allen Hamilton Holding Corp. (a)		254,562
	24,200	BorgWarner, Inc.		1,089,000
	8,600	Capital One Financial Corp.		1,033,634
	19,100	Carnival Corp. *		510,925
	16,900	Carrier Global Corp.		617,357
	13,500	CBRE Group, Inc. – Class A *(a)		1,022,895
	10,100	Centene Corp. * (a)		591,254
	12,073	Charles Schwab Corp. (The)		745,146
	5,300	Chevron Corp.		530,000
	3,600	Cigna Corp. (a)		755,640
	2,500	Cisco Systems, Inc.		112,175
	14,700	Citigroup, Inc.		968,436
	12,000	Citizens Financial Group, Inc.		521,280
	10,155	Coca-Cola Co. (The)		497,493
	7,900	Cognizant Technology Solutions Corp. – Class A (a)		580,492
	15,600	Comcast Corp. – Class A (a)		822,432
	18,900	Corteva, Inc.		853,335
	36,800	Coty Inc. – Class A *		282,256

112 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares		Description	Value ($)
		United States — continued
	11,300	CVS Health Corp. (a)		769,869
	400	Discover Financial Services		37,628
	24,100	DISH Network Corp. – Class A * (a)		759,391
	9,600	DR Horton, Inc.		737,952
	3,700	Dropbox, Inc. – Class A * (a)		83,417
	7,600	Edwards Lifesciences Corp. * (a)		631,560
	11,957	EOG Resources, Inc.		771,944
	15,200	Exelon Corp.		586,720
	6,400	Expedia Group, Inc. *		1,030,400
	18,400	Exxon Mobil Corp.		1,000,408
	2,400	FleetCor Technologies, Inc. * (a)		665,544
	80,500	Ford Motor Co.*		941,850
	14,300	Fox Corp. – Class A (a)		476,333
	19,800	Fox Corp. – Class B (a)		632,214
	16,800	General Motors Co. *		862,344
	10,400	Gilead Sciences, Inc.		638,560
	3,200	Goldman Sachs Group, Inc. (The)		1,022,336
	5,200	Hasbro, Inc.		487,292
	4,901	Hilton Worldwide Holdings, Inc. *		606,156
	2,551	Honeywell International, Inc.		516,195
	25,100	HP, Inc.		727,147
	14,400	Intel Corp.		875,232
	7,300	International Business Machines Corp. (a)		868,189
	34,000	Invesco Ltd.		762,280
	4,200	Jazz Pharmaceuticals Plc *		705,768
	62,800	Kinder Morgan, Inc.		923,160
	13,700	Kohl’s Corp. *		756,925
	14,400	Kraft Heinz Co. (The)		523,872
	17,100	Kroger Co. (The)		550,791
	2,400	Laboratory Corp. of America Holdings * (a)		575,784
	8,595	Las Vegas Sands Corp.		538,047
	4,900	Leidos Holdings, Inc. * (a)		433,405
	8,900	Lennar Corp. – Class A		738,433
	17,200	Lincoln National Corp.		978,164
	4,200	LKQ Corp. *		165,438
	74,900	Lumen Technologies, Inc.		920,521
	15,500	Lyft, Inc. – Class A *		863,350
	9,600	LyondellBasell Industries NV – Class A		989,664
	516	Markel Corp. *		561,821
	17,100	MetLife, Inc.		984,960
	11,600	Micron Technology, Inc. *		1,061,748
	2,000	Mohawk Industries, Inc. *		349,980
	18,300	Molson Coors Brewing Co. – Class B *		813,435
	21,800	Occidental Petroleum Corp.		580,098
	11,300	Oracle Corp. (a)		728,963
	900	PACCAR, Inc.		81,891
	11,600	Phillips 66		963,380
	2,000	Principal Financial Group, Inc.		113,160
	11,200	Prudential Financial, Inc.		971,264
	11,800	PulteGroup, Inc.		532,298
	36,200	Qurate Retail, Inc. – Series A		449,604
	19,845	Raytheon Technologies Corp.		1,428,642

Shares		Description	Value ($)
		United States — continued
	1,300	Regeneron Pharmaceuticals, Inc. *		585,741
	15,266	Sensata Technologies Holding Plc *		874,589
	8,700	SS&C Technologies Holdings, Inc. (a)		576,636
	24,700	Synchrony Financial		955,396
	7,300	Textron, Inc.		367,482
	9,600	Tyson Foods, Inc. – Class A		649,632
	2,000	United Rentals, Inc. *		594,760
	6,400	Universal Health Services, Inc. – Class B (a)		802,112
	18,060	US Bancorp		903,000
	12,147	Verso Corp. – Class A		151,837
	8,048	VF Corp.		636,838
	17,200	ViacomCBS, Inc. – Class B (a)		1,109,228
	32,700	Viatris, Inc. *		485,595
	4,400	VMware, Inc. – Class A * (a)		608,124
	15,100	Walgreens Boots Alliance, Inc.		723,743
	42,124	Wells Fargo & Co.		1,523,625
	25,800	Western Union Co. (The) (a)		599,076
	15,000	Western Digital Corp. *		1,027,950
	200	Whirlpool Corp.		38,016
		Total United States		67,731,901
		TOTAL COMMON STOCKS (COST $199,694,678)		230,567,217
		PREFERRED STOCKS (d) — 0.3%
		Brazil — 0.1%
	64,132	Bradespar SA		719,342
		Germany — 0.2%
	12,656	Bayerische Motoren Werke AG		857,067
	1,922	Draegerwerk AG & Co KGaA (a)		146,552
	1,106	Henkel AG & Co KGaA		108,922
		Total Germany		1,112,541
		TOTAL PREFERRED STOCKS (COST $1,537,660)		1,831,883
		RIGHTS/WARRANTS — 0.0%
		United Kingdom — 0.0%
	4,844	Mitchells & Butlers Plc, Expires 03/10/21 *		—
		Total United Kingdom		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—
		MUTUAL FUNDS — 58.8%
		United States — 58.8%
		Affiliated Issuers — 58.8%
	749,476	GMO Emerging Country Debt Fund, Class IV		19,111,645
	3,636,717	GMO Emerging Markets Fund, Class VI		132,412,873
	2,957,122	GMO International Equity Fund, Class IV		68,841,799

See accompanying notes to the financial statements. 113

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	628,288		GMO Opportunistic Income Fund, Class VI		16,234,952
	1,209,272		GMO Quality Fund, Class VI		31,416,895
	2,057,499		GMO U.S. Equity Fund, Class VI		29,319,352
	1,646,447		GMO U.S. Small Cap Value Fund, Class VI		41,144,715
	496,066		GMO U.S. Treasury Fund		2,500,173
			TOTAL MUTUAL FUNDS (COST $305,641,138)		340,982,404
			SHORT-TERM INVESTMENTS — 1.3%
			Money Market Funds — 1.3%
	7,288,304		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		7,288,304
			TOTAL SHORT-TERM INVESTMENTS (COST $7,288,304)		7,288,304
			TOTAL INVESTMENTS — 100.2% (Cost $514,161,780)		580,669,808
			SECURITIES SOLD SHORT — (18.0)%
			Common Stocks — (18.1)%
			Australia — (0.7)%
	(8,188	)	Afterpay Ltd *		(747,926	)
	(113,117	)	APA Group		(811,961	)
	(5,175	)	ASX Ltd		(269,483	)
	(1,928	)	Cochlear Ltd		(314,568	)
	(2,503	)	Ramsay Health Care Ltd		(127,378	)
	(136,840	)	Sydney Airport *		(620,330	)
	(29,330	)	TPG Telecom Ltd *		(155,165	)
	(83,640	)	Transurban Group		(828,890	)
			Total Australia		(3,875,701	)
			Austria — (0.1)%
	(8,927	)	Verbund AG		(678,609	)
			Canada — (0.1)%
	(42,900	)	AltaGas Ltd		(650,276	)
			Denmark — (0.0)%
	(1,929	)	Ambu A/S – Class B		(88,896	)
			France — (1.0)%
	(15,622	)	Edenred		(865,800	)
	(53,686	)	Getlink SE *		(879,790	)
	(843	)	Hermes International		(939,135	)
	(1,472	)	Sartorius Stedim Biotech		(643,626	)
	(6,124	)	Ubisoft Entertainment SA *		(499,298	)
	(27,669	)	Vivendi SE		(957,685	)
	(7,311	)	Wendel SE		(834,067	)
			Total France		(5,619,401	)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — (1.0)%
	(5,397	)	Delivery Hero SE *		(689,626	)
	(7,511	)	Puma SE *		(799,800	)
	(7,817	)	QIAGEN NV *		(386,297	)
	(19,105	)	RWE AG		(721,592	)
	(8,052	)	Scout24 AG		(607,357	)
	(310,666	)	Telefonica Deutschland Holding AG		(831,888	)
	(24,365	)	Uniper SE		(851,622	)
	(7,747	)	Zalando SE *		(796,447	)
			Total Germany		(5,684,629	)
			Israel — (0.1)%
	(1,200	)	Wix.com Ltd *		(418,284	)
			Italy — (0.3)%
	(1,676	)	Amplifon SPA *		(66,667	)
	(3,627	)	Atlantia SPA *		(67,904	)
	(4,055	)	Ferrari NV		(789,124	)
	(54,177	)	FinecoBank Banca Fineco SPA*		(950,218	)
	(9,450	)	Infrastrutture Wireless Italiane SPA		(98,380	)
			Total Italy		(1,972,293	)
			Japan — (2.4)%
	(35,400	)	Acom Co Ltd		(158,631	)
	(22,800	)	Asahi Intecc Co Ltd		(654,770	)
	(173,200	)	ENEOS Holdings Inc		(765,888	)
	(400	)	Fast Retailing Co Ltd		(396,591	)
	(6,000	)	GMO Payment Gateway Inc		(794,129	)
	(16,500	)	Hitachi Metals Ltd		(262,872	)
	(600	)	Ibiden Co Ltd		(24,511	)
	(27,900	)	Idemitsu Kosan Co Ltd		(733,860	)
	(45,300	)	Isetan Mitsukoshi Holdings Ltd		(333,227	)
	(12,000	)	Japan Airport Terminal Co Ltd		(580,890	)
	(13,800	)	Japan Exchange Group Inc		(298,033	)
	(148	)	Japan Real Estate Investment Corp		(904,627	)
	(46,000	)	JGC Holding Corp		(597,280	)
	(46,400	)	Keikyu Corp		(738,084	)
	(700	)	Keio Corp		(52,519	)
	(2,900	)	Kintetsu Group Holdings Co Ltd		(121,997	)
	(42,300	)	Kyushu Electric Power Co Inc		(363,462	)
	(1,800	)	Lasertec Corp		(220,390	)
	(25,800	)	LIXIL Corp		(727,512	)
	(9,700	)	M3 Inc		(770,935	)
	(1,100	)	McDonald’s Holdings Co Japan Ltd		(54,656	)
	(2,700	)	Mercari Inc *		(129,907	)
	(4,100	)	Mitsubishi Materials Corp		(97,131	)
	(15,000	)	MonotaRO Co Ltd		(862,378	)
	(500	)	Nidec Corp		(63,758	)
	(10,300	)	Nihon M&A Center Inc		(562,125	)
	(7,500	)	Nippon Paint Holdings Co Ltd		(558,624	)

114 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(30,200	)	Nippon Yusen KK		(873,525	)
	(700	)	Nissin Foods Holdings Co Ltd		(52,897	)
	(13,900	)	Odakyu Electric Railway Co Ltd		(408,531	)
	(3,800	)	ORIENTAL LAND CO LTD		(639,856	)
	(4,200	)	Yaskawa Electric Corp		(211,313	)
			Total Japan		(14,014,909	)
			Netherlands — (0.3)%
	(413	)	Adyen NV *		(963,688	)
	(7,082	)	Just Eat Takeaway.com NV *		(681,477	)
			Total Netherlands		(1,645,165	)
			New Zealand — (0.0)%
	(2,802	)	Xero Ltd*		(256,437	)
			Norway — (0.0)%
	(2,180	)	Schibsted ASA – B Shares *		(74,755	)
			Peru — (0.1)%
	(11,800	)	Southern Copper Corp		(841,694	)
			Russia — (0.0)%
	(6,625	)	Magnit PJSC Sponsored GDR (Registered)		(90,182	)
			Singapore — (0.2)%
	(118,800	)	Singapore Exchange Ltd		(884,494	)
			Spain — (0.6)%
	(14,219	)	Cellnex Telecom SA		(773,652	)
	(30,816	)	Endesa SA		(761,473	)
	(32,491	)	Ferrovial SA		(806,356	)
	(20,423	)	Siemens Gamesa Renewable Energy SA		(757,559	)
			Total Spain		(3,099,040	)
			Sweden — (0.2)%
	(8,094	)	Evolution Gaming Group AB		(1,009,278	)
			Switzerland — (0.4)%
	(504	)	Partners Group Holding AG		(603,424	)
	(767	)	Straumann Holding AG (Registered)		(926,277	)
	(9,510	)	Swiss Re AG		(893,446	)
			Total Switzerland		(2,423,147	)
			United Kingdom — (1.4)%
	(12,355	)	Admiral Group Plc		(534,654	)
	(21,773	)	Antofagasta Plc		(543,408	)
	(112,516	)	Auto Trader Group Plc *		(865,087	)
	(265,994	)	ConvaTec Group Plc		(698,244	)
	(45,938	)	Entain Plc *		(908,798	)
	(6,983	)	Experian Plc		(221,667	)

Shares			Description	Value ($)
			Common Stocks — continued
			United Kingdom — continued
	(8,269	)	Halma Plc		(261,773	)
	(39,731	)	Hargreaves Lansdown Plc		(839,979	)
	(120,483	)	Informa Plc *		(924,296	)
	(14,623	)	Land Securities Group Plc (REIT)		(135,609	)
	(7,171	)	London Stock Exchange Group Plc		(963,629	)
	(23,002	)	Ocado Group Plc *		(706,700	)
	(10,168	)	Prudential Plc		(202,549	)
	(1,435	)	Spirax-Sarco Engineering Plc		(215,062	)
			Total United Kingdom		(8,021,455	)
			United States — (9.1)%
	(8,000	)	Advanced Micro Devices, Inc. *		(676,080	)
	(18,100	)	AES Corp. (The)		(480,736	)
	(200	)	Align Technology, Inc. *		(113,422	)
	(3,800	)	American Tower Corp. (REIT)		(821,294	)
	(3,600	)	Aramark		(133,632	)
	(5,100	)	Arthur J Gallagher & Co.		(610,980	)
	(3,100	)	Autodesk, Inc. *		(855,600	)
	(4,200	)	Avalara, Inc. *		(659,148	)
	(3,100	)	Ball Corp.		(264,709	)
	(3,100	)	Burlington Stores, Inc. *		(802,342	)
	(2,100	)	Carvana Co. *		(595,350	)
	(2,400	)	Catalent, Inc. *		(272,904	)
	(13,600	)	Cheniere Energy, Inc. *		(916,504	)
	(600	)	Chipotle Mexican Grill, Inc. *		(865,200	)
	(7,500	)	Cognex Corp.		(619,425	)
	(400	)	CoStar Group, Inc. *		(329,504	)
	(2,400	)	Coupa Software, Inc. *		(831,024	)
	(4,100	)	Crowdstrike Holdings, Inc. – Class A *		(885,600	)
	(3,900	)	Crown Castle International Corp. (REIT)		(607,425	)
	(7,100	)	Datadog, Inc. – Class A *		(677,411	)
	(2,300	)	DexCom, Inc. *		(914,894	)
	(4,200	)	Digital Realty Trust, Inc. (REIT)		(565,866	)
	(3,800	)	DocuSign, Inc. *		(861,308	)
	(3,300	)	Enphase Energy, Inc. *		(580,998	)
	(3,800	)	Equifax, Inc.		(615,144	)
	(1,100	)	Equinix, Inc. (REIT)		(713,174	)
	(14,000	)	Equity LifeStyle Properties, Inc. (REIT)		(863,100	)
	(400	)	Erie Indemnity Co. – Class A		(96,840	)
	(6,400	)	Exact Sciences Corp. *		(871,168	)
	(900	)	Extra Space Storage, Inc. (REIT)		(113,130	)
	(2,200	)	Fastenal Co.		(102,014	)
	(7,100	)	Guidewire Software, Inc. *		(788,029	)
	(1,600	)	HubSpot, Inc. *		(824,000	)
	(1,000	)	IDEXX Laboratories, Inc. *		(520,170	)
	(9,300	)	Ingersoll Rand, Inc. *		(430,962	)
	(3,300	)	Insulet Corp. *		(855,030	)
	(4,400	)	IQVIA Holdings, Inc. *		(848,276	)
	(3,700	)	Iron Mountain, Inc. (REIT)		(128,723	)
	(10,900	)	Lamb Weston Holdings, Inc.		(869,493	)

See accompanying notes to the financial statements. 115

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2021

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,400	)	Liberty Broadband Corp. – Class A *		(348,864	)
	(3,500	)	Liberty Broadband Corp. – Class C *		(523,285	)
	(20,500	)	Liberty Media Corp-Liberty Formula One – Class C *		(899,950	)
	(1,400	)	Linde Plc		(341,978	)
	(12,700	)	Live Nation Entertainment, Inc. *		(1,128,522	)
	(400	)	Lululemon Athletica, Inc. *		(124,672	)
	(1,600	)	MarketAxess Holdings, Inc.		(889,504	)
	(2,300	)	MongoDB, Inc. *		(887,639	)
	(800	)	Monolithic Power Systems, Inc.		(299,616	)
	(2,100	)	MSCI, Inc.		(870,492	)
	(400	)	Neurocrine Biosciences, Inc. *		(43,804	)
	(4,900	)	NIKE Inc. – Class B		(660,422	)
	(4,500	)	Novocure Ltd. *		(670,950	)
	(13,400	)	Nuance Communications, Inc. *		(597,640	)
	(3,300	)	Okta, Inc. *		(862,785	)
	(1,800	)	Paycom Software, Inc. *		(673,632	)
	(4,000	)	Pinterest, Inc. – Class A *		(322,320	)
	(2,700	)	Public Storage (REIT)		(631,638	)
	(2,300	)	RingCentral, Inc. – Class A *		(869,768	)
	(600	)	Rockwell Automation, Inc.		(145,968	)
	(2,100	)	Roku, Inc. *		(830,508	)
	(16,300	)	Rollins, Inc.		(540,671	)
	(2,400	)	SBA Communications Corp. (REIT)		(612,312	)
	(700	)	Seagen, Inc. *		(105,777	)
	(1,600	)	ServiceNow, Inc. *		(853,536	)
	(1,600	)	Simon Property Group, Inc. (REIT)		(180,672	)
	(15,400	)	Snap, Inc. – Class A *		(1,011,164	)
	(12,900	)	Southwestern Energy Co. *		(52,245	)
	(4,200	)	Splunk, Inc. *		(600,642	)
	(3,300	)	Square, Inc. – Class A *		(759,099	)
	(6,700	)	Starbucks Corp.		(723,801	)
	(1,800	)	Sun Communities, Inc. (REIT)		(273,510	)
	(4,900	)	Sunrun, Inc. *		(306,642	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(28,900	)	Targa Resources Corp.		(893,877	)
	(3,300	)	Teladoc Health, Inc. *		(729,597	)
	(1,200	)	Tesla, Inc. *		(810,600	)
	(2,300	)	Twilio, Inc. – Class A *		(903,624	)
	(22,500	)	UDR, Inc. (REIT)		(926,325	)
	(2,400	)	Vail Resorts, Inc.		(742,032	)
	(1,500	)	Wayfair, Inc. – Class A *		(433,470	)
	(900	)	West Pharmaceutical Services, Inc.		(252,585	)
	(30,900	)	Williams Cos, Inc. (The)		(705,756	)
	(8,300	)	Wynn Resorts Ltd. *		(1,093,359	)
	(4,500	)	Zendesk, Inc. *		(657,630	)
	(6,342	)	Zillow Group, Inc. – Class C *		(1,023,155	)
	(1,600	)	Zoom Video Communications, Inc. – Class A *		(597,776	)
	(4,200	)	Zscaler, Inc. *		(861,127	)
			Total United States		(52,855,550	)
			TOTAL COMMON STOCKS (PROCEEDS $96,766,385)		(104,204,195	)
			PREFERRED STOCKS (d) — (0.1)%
			Germany — (0.1)%
	(1,653	)	Sartorius AG		(849,020	)
			TOTAL PREFERRED STOCKS (PROCEEDS $725,579)		(849,020	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $97,491,964)		(105,053,215	)
			Other Assets and Liabilities (net) —17.9%		104,179,711
			TOTAL NET ASSETS — 100.0%		$579,796,304

A summary of outstanding financial instruments at February 28, 2021 is as follows:

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.

116 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2021

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 (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	293,323		05/24/2022		Monthly		—		18,780			18,780
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.75%	GS	USD	54,397		05/24/2022		Monthly		—		565			565
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	GS	USD	188,062		05/24/2022		Monthly		—		5,763			5,763
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	457,172		10/18/2022		Monthly		—		33,719			33,719
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.50%	MORD	USD	67,910		10/18/2022		Monthly		—		3,731			3,731
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	87,594		10/18/2022		Monthly		—		(4,871	)		(4,871	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	8,222,016		10/18/2022		Monthly		—		1,024,296			1,024,296
									$	—	$	1,081,983		$	1,081,983

As of February 28, 2021, 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) 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) Securities are traded on separate exchanges for the same entity.

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

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

(e) The rate disclosed is the 7 day net yield as of February 28, 2021.

(f) 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.

(g) The following table represents the individual short positions within the custom equity basket swap as of February 28, 2021:

Shares		Description	% of Equity Basket			Value ($)
	5,870,000	Alibaba Pictures Group Ltd		11.4	%		816,586
	138,000	China Cosco Holdings Co – Class H		2.1	%		153,323
	1,206,000	China Molybdenum Co Ltd – Class H		12.9	%		930,177
	62,000	China Resources Beer Holdings Co Ltd		6.5	%		467,773
	186,000	China Yuhua Education Corp Ltd		2.1	%		153,718
	516,000	Greentown Service Group Co Ltd		7.3	%		523,207
	3,000	Haidilao International Holding Ltd		0.3	%		24,586
	13,700	Hong Kong Exchanges and Clearing Ltd		11.7	%		842,315

Shares		Description	% of Equity Basket			Value ($)
	200,000	Kingdee International Software Group Co Ltd		10.0	%		715,802
	20,000	New World Development Co Ltd		1.4	%		101,720
	53,200	Sands China Ltd		3.5	%		250,739
	32,000	SJM Holdings Ltd		0.6	%		44,509
	189,600	Wynn Resorts Ltd		5.0	%		357,617
	51,000	Yihai International Holding Ltd.		9.7	%		698,361
	163,500	Zhaojin Mining Industry Co Ltd		2.3	%		164,650
	644,000	Zijin Mining Group Co Ltd – Class H		13.2	%		950,128
		TOTAL COMMON STOCKS				$	7,195,211

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 118.

See accompanying notes to the financial statements. 117

GMO Trust Funds

February 28, 2021

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

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

GDR - Global Depositary Receipt

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

PIK - Payment In Kind

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

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 February 28, 2021, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

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

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

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

118 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021

	Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	29,192,704	$	6,543,622,545	$	305,597,417	$	895,696,311
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		474,130,077		6,316,225		1,862,245,722		623,777
Foreign currency, at value (Note 2)(d)		22,528		—		4,605,561		—
Receivable for investments sold		9,578,367		14,853,299		16,360,253		—
Collateral on investments sold short (Note 2)		165,000,000		—		426,000,000		—
Receivable for Fund shares sold		437,194		2,004,206		—		384,570
Receivable for closed swap contracts (Note 4)		232,499		—		70,336		—
Dividends and interest receivable		322,844		35		2,993,932		1,323
Dividend withholding tax receivable		1,629		—		394,169		—
Unrealized appreciation on open forward currency contracts (Note 4)		3,652,827		—		1,545,886		—
Receivable for variation margin on open cleared swap contracts (Note 4)		1,776,299		—		514,800		—
Due from broker (Note 2)		20,540,808		—		4,647,885		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		7,190,016		—
Receivable for open OTC swap contracts (Note 4)		3,725,329		—		4,846,267		—
Interest receivable for open OTC swap contracts (Note 4)		162,873		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		72,056		327,819		119,232		12,257
Total assets		708,848,034		6,567,124,129		2,637,131,476		896,718,238
Liabilities:
Investments sold short, at value (Note 2)(e)		181,635,713		—		423,733,655		—
Due to custodian		2,605,341		—		1,772,022		—
Due to broker (Note 2)		—		—		274,577		—
Payable for cash collateral from securities loaned (Note 2)		—		—		15,591,824		—
Payable for investments purchased		8,849,209		—		16,906,269		1,309
Payable for Fund shares repurchased		2,004		17,678,821		15,799,142		511,083
Payable to affiliate for (Note 5):
Management fee		298,677		3,548,611		—		—
Supplemental support fee – Class MF		—		144,626		—		—
Shareholder service fee		58,464		521,630		—		—
Payable to agents unaffiliated with GMO		20		4,244		1,382		580
Payable for variation margin on open futures contracts (Note 4)		1,250,338		—		—		—
Payable for closed swap contracts (Note 4)		9,101,935		—		1,680,980		—
Unrealized depreciation on open forward currency contracts (Note 4)		3,795,482		—		1,354,468		—
Interest payable for open OTC swap contracts (Note 4)		38,972		—		—		—
Interest and dividend payable for short sales		322,530		—		230,661		—
Payable for open OTC swap contracts (Note 4)		471,084		—		498,098		—
Payable to Trustees and related expenses		434		41,837		11,287		5,226
Written options outstanding, at value (Note 4)(f)		884,211		—		—		—
Accrued expenses		196,613		186,525		781,069		70,431
Total liabilities		209,511,027		22,126,294		478,635,434		588,629
Net assets	$	499,337,007	$	6,544,997,835	$	2,158,496,042	$	896,129,609
(a)  Cost of investments – affiliated issuers:	$	25,967,584	$	6,757,132,953	$	299,444,887	$	867,843,418
(b)  Cost of investments – unaffiliated issuers:	$	453,042,555	$	6,316,225	$	1,640,862,347	$	627,405
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	34,172,201	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	4,616,745	$	—
(e)  Proceeds from securities sold short:	$	164,124,719	$	—	$	392,980,751	$	—
(f)   Premiums on written options:	$	677,642	$	—	$	—	$	—

See accompanying notes to the financial statements. 119

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	522,588,691		$	6,947,943,953		$	2,403,713,259		$	1,091,551,302
Distributable earnings (accumulated loss)		(23,251,684	)		(402,946,118	)		(245,217,217	)		(195,421,693	)
	$	499,337,007		$	6,544,997,835		$	2,158,496,042		$	896,129,609
Net assets attributable to:
Class III	$	—		$	2,227,711,974		$	2,158,496,042		$	692,579,777
Class IV	$	—		$	1,965,528,316		$	—		$	—
Class VI	$	230,385,590		$	—		$	—		$	—
Class MF	$	—		$	1,716,252,172		$	—		$	—
Class R6	$	478,175		$	310,686,683		$	—		$	183,052,476
Class I	$	268,473,242		$	324,818,690		$	—		$	20,497,356
Shares outstanding:
Class III		—			85,788,857			110,822,518			19,831,231
Class IV		—			75,705,714			—			—
Class VI		12,133,448			—			—			—
Class MF		—			66,036,112			—			—
Class R6		25,233			11,972,933			—			5,240,687
Class I		14,156,354			12,517,710			—			586,943
Net asset value per share:
Class III	$	—		$	25.97		$	19.48		$	34.92
Class IV	$	—		$	25.96		$	—		$	—
Class VI	$	18.99		$	—		$	—		$	—
Class MF	$	—		$	25.99		$	—		$	—
Class R6	$	18.95		$	25.95		$	—		$	34.93
Class I	$	18.96		$	25.95		$	—		$	34.92

120 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (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)	$	88,129,979	$	1,647,334,119	$	35,272,723	$	225,299,432
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		47,867		607,265		5,905,486,499		53,755
Foreign currency, at value (Note 2)(d)		—		—		13,070,078		—
Receivable for investments sold		—		—		69,169,758		—
Collateral on investments sold short (Note 2)		—		—		1,221,000,000		—
Receivable for Fund shares sold		—		2,453		—		155,219
Receivable for closed swap contracts (Note 4)		—		—		533,707		—
Dividends and interest receivable		—		5		11,653,102		—
Dividend withholding tax receivable		—		—		804,032		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		11,511,187		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		4,024,923		—
Due from broker (Note 2)		—		—		264,359,044		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		14,582,481		—
Receivable for open OTC swap contracts (Note 4)		—		—		13,582,779		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		3,947		20,518		203,784		10,365
Miscellaneous receivable		—		—		5,121		—
Total assets		88,181,793		1,647,964,360		7,565,259,218		225,518,771
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		1,428,243,185		—
Due to custodian		—		—		12,498,134		—
Due to broker (Note 2)		—		—		20,855		—
Payable for cash collateral from securities loaned (Note 2)		—		—		35,190,901		—
Payable for investments purchased		—		—		70,153,637		60,000
Payable for Fund shares repurchased		—		—		14,853,299		41,562
Accrued foreign capital gains tax payable (Note 2)		—		—		431,444		—
Payable to agents unaffiliated with GMO		52		1,021		3,839		133
Payable for variation margin on open futures contracts (Note 4)		—		—		1,635,053		—
Payable for closed swap contracts (Note 4)		—		—		13,972,782		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		10,505,775		—
Interest payable for open OTC swap contracts (Note 4)		—		—		52,092		—
Interest and dividend payable for short sales		—		—		1,287,939		—
Payable for open OTC swap contracts (Note 4)		—		—		4,174,887		—
Payable to Trustees and related expenses		313		6,125		33,849		1,570
Accrued expenses		27,905		76,104		1,834,326		32,562
Total liabilities		28,270		83,250		1,594,891,997		135,827
Net assets	$	88,153,523	$	1,647,881,110	$	5,970,367,221	$	225,382,944
(a)  Cost of investments – affiliated issuers:	$	74,078,175	$	1,496,772,738	$	35,272,723	$	218,928,755
(b)  Cost of investments – unaffiliated issuers:	$	47,867	$	607,265	$	5,559,595,866	$	53,755
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	90,419,386	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	13,071,803	$	—
(e)  Proceeds from securities sold short:	$	—	$	—	$	1,299,254,767	$	—

See accompanying notes to the financial statements. 121

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (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	$	77,887,824	$	1,605,150,523	$	7,007,270,811		$	384,802,274
Distributable earnings (accumulated loss)		10,265,699		42,730,587		(1,036,903,590	)		(159,419,330	)
	$	88,153,523	$	1,647,881,110	$	5,970,367,221		$	225,382,944
Net assets attributable to:
Core Class	$	—	$	—	$	5,970,367,221		$	—
Class III	$	88,153,523	$	1,638,867,615	$	—		$	217,128,990
Class R6	$	—	$	6,780,894	$	—		$	8,253,954
Class I	$	—	$	2,232,601	$	—		$	—
Shares outstanding:
Core Class		—		—		469,934,492			—
Class III		3,418,088		54,786,903		—			12,810,981
Class R6		—		226,675		—			487,046
Class I		—		74,655		—			—
Net asset value per share:
Core Class	$	—	$	—	$	12.70		$	—
Class III	$	25.79	$	29.91	$	—		$	16.95
Class R6	$	—	$	29.91	$	—		$	16.95
Class I	$	—	$	29.91	$	—		$	—

122 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	861,339,170	$	—	$	340,982,404
Investments in unaffiliated issuers, at value (Note 2)(b)		304,576		348,746,466		239,687,404
Foreign currency, at value (Note 2)(c)		—		40		114,585
Cash		—		13,636,914		34,479
Receivable for investments sold		—		—		5,825,236
Collateral on investments sold short (Note 2)		—		—		105,000,001
Receivable for Fund shares sold		—		515,228		—
Dividends and interest receivable		3		786,171		303,522
Dividend withholding tax receivable		—		—		21,289
Unrealized appreciation on open forward currency contracts (Note 4)		—		263,394		—
Due from broker (Note 2)		—		1,527,484		310,085
Receivable for open OTC swap contracts (Note 4)		—		—		1,086,854
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,732		20,749		61,841
Total assets		861,653,481		365,496,446		693,427,700
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		105,053,215
Payable for investments purchased		—		—		760,310
Payable for Fund shares repurchased		40,380		1,887,977		7,454,742
Accrued foreign capital gains tax payable (Note 2)		—		—		102,148
Payable to affiliate for (Note 5):
Management fee		—		253,857		—
Shareholder service fee		—		19,709		—
Payable to agents unaffiliated with GMO		547		241		376
Payable for variation margin on open futures contracts (Note 4)		—		3,259,334		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,844,072		—
Interest and dividend payable for short sales		—		—		57,196
Payable for open OTC swap contracts (Note 4)		—		—		4,871
Payable to Trustees and related expenses		3,718		4,030		3,170
Accrued expenses		54,664		171,897		195,368
Total liabilities		99,309		7,441,117		113,631,396
Net assets	$	861,554,172	$	358,055,329	$	579,796,304
(a)  Cost of investments – affiliated issuers:	$	797,168,977	$	—	$	305,641,138
(b)  Cost of investments – unaffiliated issuers:	$	304,576	$	348,358,163	$	208,520,642
(c)  Cost of foreign currency:	$	—	$	40	$	114,911
(d)  Proceeds from securities sold short:	$	—	$	—	$	97,491,964

See accompanying notes to the financial statements. 123

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2021 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	946,096,674		$	393,212,681		$	526,487,628
Distributable earnings (accumulated loss)		(84,542,502	)		(35,157,352	)		53,308,676
	$	861,554,172		$	358,055,329		$	579,796,304
Net assets attributable to:
Class III	$	598,700,904		$	30,126,187		$	579,796,304
Class VI	$	—		$	314,086,996		$	—
Class R6	$	262,853,268		$	—		$	—
Class I	$	—		$	13,842,146		$	—
Shares outstanding:
Class III		18,530,838			939,466			26,886,524
Class VI		—			9,805,564			—
Class R6		8,138,028			—			—
Class I		—			431,817			—
Net asset value per share:
Class III	$	32.31		$	32.07		$	21.56
Class VI	$	—		$	32.03		$	—
Class R6	$	32.30		$	—		$	—
Class I	$	—		$	32.06		$	—

124 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021

	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)	$	1,997,780		$	6,643		$	50,945,468		$	1,826
Dividends from affiliated issuers (Note 10)		1,258,007			162,406,292			15,435,510			33,093,299
Interest		796,564			203			1,052,831			4,154
Securities lending income from affiliated issuers (net)		—			—			63,923			—
Securities lending income (net)		—			—			80,546			—
Total investment income		4,052,351			162,413,138			67,578,278			33,099,279
Expenses:
Management fee (Note 5)		2,650,899			46,231,517			—			—
Shareholder service fee – Class III (Note 5)		—			4,429,531			—			—
Shareholder service fee – Class IV (Note 5)		—			1,932,090			—			—
Shareholder service fee – Class VI (Note 5)		97,593			—			—			—
Shareholder service fee – Class R6 (Note 5)		599	*		79,500	**		—			—
Shareholder service fee – Class I (Note 5)		407,922			212,899			—			—
Supplemental support fee – Class MF (Note 5)		—			2,032,498			—			—
Audit and tax fees		106,681			28,231			130,008			29,890
Custodian, fund accounting agent and transfer agent fees		371,048			250,742			1,486,669			75,853
Dividend expense on short sales		1,272,906			—			1,258,307			—
Legal fees		29,863			159,898			74,860			23,652
Registration fees		18,407			31,430			952			24,364
Trustees’ fees and related expenses (Note 5)		11,772			273,527			84,977			44,640
Interest expense and borrowing costs for investments sold short (Note 2)		544,765			—			623,711			—
Miscellaneous		87,642			61,820			147,712	***		14,322	****
Total expenses		5,600,097			55,723,683			3,807,196			212,721
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(282,042	)		(360,375	)		(1,120,136	)		(160,685	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(246,555	)		(6,414,571	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(24,504	)		(678,196	)		—			—
Net expenses		5,046,996			48,270,541			2,687,060			52,036
Net investment income (loss)		(994,645	)		114,142,597			64,891,218			33,047,243
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		19,914,573			—			42,681,645			52
Investments in affiliated issuers		6,983,786			(91,850,980	)		63,044,555			35,730,813
Investments in securities sold short		(17,028,725	)		—			(18,869,740	)		—
Realized gain distributions from affiliated issuers (Note 10)		219,588			151,899,286			63,312,100			22,630,022
Futures contracts		(63,975	)		—			(273,976,347	)		(19,930,068	)
Written options		(3,688,744	)		—			(2,599,801	)		—
Swap contracts		(15,031,920	)		—			(840,063	)		—
Forward currency contracts		1,901,858			—			(49,485,818	)		(41,917	)
Foreign currency and foreign currency related transactions		(350,029	)		—			2,390,235			(75,057	)
Net realized gain (loss)		(7,143,588	)		60,048,306			(174,343,234	)		38,313,845
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		23,467,611			—			294,658,092			(4,499	)
Investments in affiliated issuers		5,964,054			80,415,746			2,472,611			72,480,320
Investments in securities sold short		(18,593,164	)		—			(32,190,767	)		—
Futures contracts		(4,583,416	)		—			(25,033,346	)		—
Written options		4,140,368			—			(27,359	)		—
Swap contracts		(7,156,691	)		—			(1,716,620	)		—
Forward currency contracts		787,184			—			1,524,124			—
Foreign currency and foreign currency related transactions		90,063			—			29,940			—
Net change in unrealized appreciation (depreciation)		4,116,009			80,415,746			239,716,675			72,475,821
Net realized and unrealized gain (loss)		(3,027,579	)		140,464,052			65,373,441			110,789,666
Net increase (decrease) in net assets resulting from operations	$	(4,022,224	)	$	254,606,649		$	130,264,659		$	143,836,909
(a)   Withholding tax:	$	17,105		$	—		$	5,218,544		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(2,535	)	$	—

* Period from July 31, 2020 (commencement of operations) through February 28, 2021.

** Period from May 1, 2020 (commencement of operations) through February 28, 2021.

*** Includes $130,183 of pricing expenses.

**** Includes $5,393 of printing expenses.

See accompanying notes to the financial statements. 125

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (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)	$	87		$	664		$	159,964,601		$	162
Dividends from affiliated issuers (Note 10)		2,468,498			51,274,097			—			9,606,514
Interest		—			12			24,475,552			5
Securities lending income from affiliated issuers (net)		—			—			224,128			—
Securities lending income (net)		—			—			237,456			—
Total investment income		2,468,585			51,274,773			184,901,737			9,606,681
Expenses:
Audit and tax fees		26,143			23,445			263,500			30,196
Custodian, fund accounting agent and transfer agent fees		4,760			63,462			3,059,991			32,519
Dividend expense on short sales		—			—			6,795,814			—
Legal fees		1,002			34,535			244,381			4,793
Registration fees		2,286			5,680			952			544
Trustees’ fees and related expenses (Note 5)		2,602			53,430			230,280			9,216
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			2,229,358			—
Miscellaneous		6,205	*		14,477	**		218,609	***		8,316	****
Total expenses		42,998			195,029			13,042,885			85,584
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(40,002	)		(134,720	)		(3,488,423	)		(75,217	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(20,773	)		—
Net expenses		2,996			60,309			9,533,689			10,367
Net investment income (loss)		2,465,589			51,214,464			175,368,048			9,596,314
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			250,848,038			—
Investments in affiliated issuers		(887,471	)		41,840,201			121,961			1,577,299
Investments in securities sold short		—			—			(69,812,793	)		—
Realized gain distributions from affiliated issuers (Note 10)		2,151,244			35,444,714			—			2,968
Futures contracts		—			—			(692,577,400	)		—
Written options		—			—			(19,128,316	)		—
Swap contracts		—			—			(6,530,772	)		—
Forward currency contracts		—			—			(121,475,116	)		—
Foreign currency and foreign currency related transactions		—			—			4,731,409			—
Net realized gain (loss)		1,263,773			77,284,915			(653,822,989	)		1,580,267
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			739,575,871			—
Investments in affiliated issuers		14,596,077			249,758,702			(11,987	)		30,626,653
Investments in securities sold short		—			—			(145,246,599	)		—
Futures contracts		—			—			(66,070,192	)		—
Written options		—			—			11,496,837			—
Swap contracts		—			—			(35,016,085	)		—
Forward currency contracts		—			—			7,195,840			—
Foreign currency and foreign currency related transactions		—			—			15,354			—
Net change in unrealized appreciation (depreciation)		14,596,077			249,758,702			511,939,039			30,626,653
Net realized and unrealized gain (loss)		15,859,850			327,043,617			(141,883,950	)		32,206,920
Net increase (decrease) in net assets resulting from operations	$	18,325,439		$	378,258,081		$	33,484,098		$	41,803,234
(a)   Withholding tax:	$	—		$	—		$	15,668,115		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(1,143	)	$	—
(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	431,051		$	—

* Includes $5,194 of printing expenses.

** Includes $6,042 of printing expenses.

*** Includes $147,554 of pricing expenses.

**** Includes $5,476 of printing expenses.

126 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2021 — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	34,018,042		$	—		$	14,773,060
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		462			28,166			4,081,671
Interest		—			2,952,240			429,654
Total investment income		34,018,504			2,980,406			19,284,385
Expenses:
Management fee (Note 5)		—			3,421,309			—
Shareholder service fee – Class III (Note 5)		—			33,573			—
Shareholder service fee – Class VI (Note 5)		—			207,274			—
Shareholder service fee – Class I (Note 5)		—			4,894	**		—
Audit and tax fees		23,445			77,446			48,151
Custodian, fund accounting agent and transfer agent fees		63,376			117,511			332,560
Dividend expense on short sales		—			—			307,534
Legal fees		17,573			18,249			18,166
Registration fees		25,290			17,360			3,142
Trustees’ fees and related expenses (Note 5)		27,786			16,709			24,785
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			175,166
Miscellaneous		7,290	*		69,659			69,998	***
Total expenses		164,760			3,983,984			979,502
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(133,674	)		(285,653	)		(449,859	)
Net expenses		31,086			3,698,331			529,643
Net investment income (loss)		33,987,418			(717,925	)		18,754,742
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(d)		—			4,162,792			15,327,136
Investments in affiliated issuers		(20,372,196	)		—			17,141,623
Investments in securities sold short		—			—			(6,081,780	)
Realized gain distributions from affiliated issuers (Note 10)		11,379			—			9,560,242
Futures contracts		—			46,553,870			(17,103,196	)
Written options		—			—			(547,350	)
Swap contracts		—			—			(3,124,212	)
Forward currency contracts		—			3,549,647			(647,889	)
Foreign currency and foreign currency related transactions		—			(876,870	)		63,596
Net realized gain (loss)		(20,360,817	)		53,389,439			14,588,170
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			(3,946,489	)		34,400,309
Investments in affiliated issuers		133,302,879			—			40,259,614
Investments in securities sold short		—			—			(9,077,914	)
Futures contracts		—			(17,494,044	)		—
Written options		—			—			(5,760	)
Swap contracts		—			—			894,201
Forward currency contracts		—			1,324,237			—
Foreign currency and foreign currency related transactions		—			137,130			18,953
Net change in unrealized appreciation (depreciation)		133,302,879			(19,979,166	)		66,489,403
Net realized and unrealized gain (loss)		112,942,062			33,410,273			81,077,573
Net increase (decrease) in net assets resulting from operations	$	146,929,480		$	32,692,348		$	99,832,315
(a)  Withholding tax:	$	—		$	—		$	334,161
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	21,938
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	103,329

* Includes $3,029 of printing expenses.

** Period from September 23, 2020 (commencement of operations) through February 28, 2021.

*** Includes $60,649 of pricing expenses.

See accompanying notes to the financial statements. 127

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund						Benchmark-Free Allocation Fund(a)
	Year Ended February 28, 2021			Period from May 1, 2019 (commencement of operations) through February 29, 2020			Year Ended February 28/29,
							2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(994,645	)	$	1,415,144		$	114,142,597		$	322,250,716
Net realized gain (loss)		(7,143,588	)		35,517			60,048,306			82,640,517
Change in net unrealized appreciation (depreciation)		4,116,009			(2,674,806	)		80,415,746			(341,926,780	)
Net increase (decrease) in net assets from operations		(4,022,224	)		(1,224,145	)		254,606,649			62,964,453
Distributions to shareholders:
Class III		—			—			(104,307,810	)		(131,407,420	)
Class IV		—			—			(71,760,959	)		(82,564,617	)
Class VI		(5,356,980	)		(4,899,582	)		—			—
Class MF		—			—			(69,378,466	)		(108,452,767	)
Class R6		(9,953	)*		—			(1,488,297	)***		—
Class I		(4,350,593	)		(443,533	)**		(4,256,750	)		(2,367,100	)****
Total distributions		(9,717,526	)		(5,343,115	)		(251,192,282	)		(324,791,904	)
Net share transactions (Note 9):
Class III		—			—			(1,549,777,251	)		(753,562,440	)
Class IV		—			—			(144,019,491	)		(579,993,431	)
Class VI		37,929,124			206,323,583			—			—
Class MF		—			—			(1,092,603,160	)		(1,017,495,098	)
Class R6		487,583	*		—			308,687,885	***		—
Class I		239,618,890			35,284,837	**		222,508,366			103,318,200	****
Increase (decrease) in net assets resulting from net share transactions		278,035,597			241,608,420			(2,255,203,651	)		(2,247,732,769	)
Total increase (decrease) in net assets		264,295,847			235,041,160			(2,251,789,284	)		(2,509,560,220	)
Net assets:
Beginning of period		235,041,160			—			8,796,787,119			11,306,347,339
End of period	$	499,337,007		$	235,041,160		$	6,544,997,835		$	8,796,787,119

^(a)  See Note 11 for discussion of reorganization.

* Period from July 31, 2020 (commencement of operations) through February 28, 2021.

** Period from September 4, 2019 (commencement of operations) through February 29, 2020.

*** Period from May 1, 2020 (commencement of operations) through February 28, 2021

**** Period from August 8, 2019 (commencement of operations) through February 29, 2020.

128 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund(a)
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	64,891,218		$	104,531,054		$	33,047,243		$	58,404,101
Net realized gain (loss)		(174,343,234	)		(9,059,878	)		38,313,845			21,602,440
Change in net unrealized appreciation (depreciation)		239,716,675			(74,483,051	)		72,475,821			(918,266	)
Net increase (decrease) in net assets from operations		130,264,659			20,988,125			143,836,909			79,088,275
Distributions to shareholders:
Class III		(71,248,951	)		(110,241,387	)		(38,839,616	)		(67,351,522	)
Class R6		—			—			(1,148,742	)		(527,446	)*
Total distributions		(71,248,951	)		(110,241,387	)		(39,988,358	)		(67,878,968	)
Net share transactions (Note 9):
Class III		(484,449,320	)		(492,548,074	)		(950,346,978	)		(382,139,553	)
Class R6		—			—			164,512,376			18,611,818	*
Class I		—			—			20,705,602	**		—
Increase (decrease) in net assets resulting from net share transactions		(484,449,320	)		(492,548,074	)		(765,129,000	)		(363,527,735	)
Total increase (decrease) in net assets		(425,433,612	)		(581,801,336	)		(661,280,449	)		(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	$	2,158,496,042		$	2,583,929,654		$	896,129,609		$	1,557,410,058

^(a)  See Note 11 for discussion of reorganization.

* Period from September 30, 2019 (commencement of operations) through February 29, 2020.

** Period from January 6, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 129

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,465,589		$	3,330,041		$	51,214,464		$	53,039,452
Net realized gain (loss)		1,263,773			(4,933,557	)		77,284,915			5,760,054
Change in net unrealized appreciation (depreciation)		14,596,077			9,472,867			249,758,702			(13,790,931	)
Net increase (decrease) in net assets from operations		18,325,439			7,869,351			378,258,081			45,008,575
Distributions to shareholders:
Class III		(2,967,463	)		(10,153,738	)		(58,232,912	)		(55,610,130	)
Class R6		—			—			(227,894	)*		—
Class I		—			—			(64,254	)**		—
Total distributions		(2,967,463	)		(10,153,738	)		(58,525,060	)		(55,610,130	)
Net share transactions (Note 9):
Class III		(587,343	)		(372,206,442	)		(135,640,442	)		(171,078,291	)
Class R6		—			—			5,755,476	*		—
Class I		—			—			1,969,305	**		—
Increase (decrease) in net assets resulting from net share transactions		(587,343	)		(372,206,442	)		(127,915,661	)		(171,078,291	)
Total increase (decrease) in net assets		14,770,633			(374,490,829	)		191,817,360			(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	$	88,153,523		$	73,382,890		$	1,647,881,110		$	1,456,063,750

* Period from July 15, 2020 (commencement of operations) through February 28, 2021.

** Period from August 17, 2020 (commencement of operations) through February 28, 2021.

130 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund(a)
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	175,368,048		$	296,754,906		$	9,596,314		$	15,661,862
Net realized gain (loss)		(653,822,989	)		(17,401,093	)		1,580,267			(22,509,794	)
Change in net unrealized appreciation (depreciation)		511,939,039			(225,262,025	)		30,626,653			29,860,875
Net increase (decrease) in net assets from operations		33,484,098			54,091,788			41,803,234			23,012,943
Distributions to shareholders:
Core Class		(132,218,180	)		(310,939,020	)		—			—
Class III		—			—			(9,649,537	)		(15,687,875	)
Total distributions		(132,218,180	)		(310,939,020	)		(9,649,537	)		(15,687,875	)
Net share transactions (Note 9):
Core Class		(1,045,204,818	)		(1,594,424,900	)		—			—
Class III		—			—			(112,552,246	)		(282,691,634	)
Class R6		—			—			8,318,148	*		—
Increase (decrease) in net assets resulting from net share transactions		(1,045,204,818	)		(1,594,424,900	)		(104,234,098	)		(282,691,634	)
Total increase (decrease) in net assets		(1,143,938,900	)		(1,851,272,132	)		(72,080,401	)		(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	$	5,970,367,221		$	7,114,306,121		$	225,382,944		$	297,463,345

^(a)  See Note 11 for discussion of reorganization.

* Period from January 22, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 131

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund(a)						Consolidated SGM Major Markets Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2021			2020			2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	33,987,418		$	37,246,109		$	(717,925	)	$	8,392,098
Net realized gain (loss)		(20,360,817	)		(9,324,801	)		53,389,439			(29,279,985	)
Change in net unrealized appreciation (depreciation)		133,302,879			(10,853,560	)		(19,979,166	)		4,727,112
Net increase (decrease) in net assets from operations		146,929,480			17,067,748			32,692,348			(16,160,775	)
Distributions to shareholders:
Class III		(23,516,204	)		(28,289,670	)		(605,875	)		(496,259	)
Class IV		—			—			—			(167,985	)**
Class VI		—			—			(7,340,475	)		(15,675,471	)
Class R6		(10,144,475	)		(8,867,347	)*		—			—
Class I		—			—			(170,853	)***		—
Total distributions		(33,660,679	)		(37,157,017	)		(8,117,203	)		(16,339,715	)
Net share transactions (Note 9):
Class III		(121,597,130	)		(259,098,085	)		11,338,628			(25,234,742	)
Class IV		—			—			—			(22,837,965	)**
Class VI		—			—			(542,443,992	)		(298,663,476	)
Class R6		13,037,294			206,065,739	*		—			—
Class I		—			—			14,188,676	***		—
Increase (decrease) in net assets resulting from net share transactions		(108,559,836	)		(53,032,346	)		(516,916,688	)		(346,736,183	)
Total increase (decrease) in net assets		4,708,965			(73,121,615	)		(492,341,543	)		(379,236,673	)
Net assets:
Beginning of period		856,845,207			929,966,822			850,396,872			1,229,633,545
End of period	$	861,554,172		$	856,845,207		$	358,055,329		$	850,396,872

^(a)  See Note 11 for discussion of reorganization.

* 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.

*** Period from September 23, 2020 (commencement of operations) through February 28, 2021.

132 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund
	Year Ended February 28/29,
	2021			2020
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	18,754,742		$	28,472,605
Net realized gain (loss)		14,588,170			12,372,066
Change in net unrealized appreciation (depreciation)		66,489,403			(16,305,103	)
Net increase (decrease) in net assets from operations		99,832,315			24,539,568
Distributions to shareholders:
Class III		(26,956,390	)		(42,379,462	)
Total distributions		(26,956,390	)		(42,379,462	)
Net share transactions (Note 9):
Class III		(266,517,298	)		(123,870,724	)
Increase (decrease) in net assets resulting from net share transactions		(266,517,298	)		(123,870,724	)
Total increase (decrease) in net assets		(193,641,373	)		(141,710,618	)
Net assets:
Beginning of period		773,437,677			915,148,295
End of period	$	579,796,304		$	773,437,677

See accompanying notes to the financial statements. 133

GMO Trust Funds

Statement of Cash Flows — Year Ended February 28, 2021

	Consolidated Alternative Allocation Fund
Cash flows from operating activities
Net increase (decrease) in net assets resulting from operations	$	(4,022,224	)
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		(4,116,009	)
Net realized (gain) loss		7,143,588
Cost of purchased investments held long		(1,184,126,750	)
Cost of purchased investments held short		(160,410,843	)
Proceeds from sale of investments held long		934,655,518
Proceeds of sales to securities sold short		283,364,967
Net amortization of discount and accretion of premium		795,207
Short-term investments, net		56,913,460
Gain (loss) from derivatives:
Futures contracts		(3,523,885	)
Written option contracts		(5,085,311	)
Swap contracts		(25,423,364	)
Forward currency contracts		1,901,858
Foreign currency and foreign currency related transactions		(259,966	)
Change in assets and liabilities:
(Increase) decrease in due from broker		(15,615,282	)
(Increase) decrease in dividends and interest receivable		(101,592	)
(Increase) decrease in dividend tax withholding		(1,629	)
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		(12,731	)
(Increase) decrease in interest receivable for open OTC swap contracts		(162,873	)
(Increase) decrease in receivable for closed swap contracts		278,828
(Increase) decrease in collateral on investments sold short		(165,000,000	)
Increase (decrease) in payable to affiliate for:
Management fee		168,676
Shareholder service fee		44,283
Increase (decrease) in foreign currency due to custodian		(829	)
Increase (decrease) in due to custodian		2,605,341
Increase (decrease) in dividends and interest payable		322,530
Increase (decrease) in payable to agents unaffiliated with GMO		(13	)
Increase (decrease) in payable for closed swap contracts		9,045,268
Increase (decrease) in payable to Trustees and related expenses		(211	)
Increase (decrease) in payable for interest on OTC swap contracts		38,972
Increase (decrease) in accrued expenses		25,435
Net Cash Provided by Operating Activities		(270,559,581	)
Cash flows from financing activities:
Proceeds from shares sold		419,390,255
Shares repurchased		(148,772,234	)
Cash distributions paid		(2,790,560	)
Net cash provided by (used in) financing activities		267,827,461
Net increase (decrease) in cash		(2,732,120	)
Cash, beginning of year		2,754,648
Cash, end of year	$	22,528

134 See accompanying notes to the financial statements.

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
	Year Ended February 28, 2021				Period from May 1, 2019 (commencement of operations) through February 29, 2020				Period from July 31, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28, 2021				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)†			(0.02	)			0.15				(0.03	)			(0.09	)			0.10
Net realized and unrealized gain (loss)			0.03	(b)			(0.18	)			0.07	(b)			0.04	(b)			(0.33	)
Total from investment operations			0.01				(0.03	)			0.04				(0.05	)			(0.23	)
Less distributions to shareholders:
From net investment income			(0.47	)			(0.06	)			(0.42	)			(0.43	)			(0.05	)
From net realized gains			—				(0.46	)			—				—				(0.46	)
Total distributions			(0.47	)			(0.52	)			(0.42	)			(0.43	)			(0.51	)
Net asset value, end of period		$	18.99			$	19.45			$	18.95			$	18.96			$	19.44
Total Return(c)			0.01	%			(0.21	)%**			0.16	%**			(0.30	)%			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	230,386			$	200,812			$	478			$	268,473			$	34,229
Net operating expenses to average daily net assets(d)			0.76	%			0.77	%*			0.93	%*			1.02	%			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.49	%			0.29	%*			0.53	%*			0.51	%			0.23	%*
Total net expenses to average daily net assets(d)			1.25	%			1.05	%*			1.46	%*			1.53	%			1.25	%*
Net investment income (loss) to average daily net assets(a)			(0.10	)%			0.88	%*			(0.26	)%*			(0.44	)%			0.98	%*
Portfolio turnover rate(f)			410	%			243	%**			410	%**			410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.15	%			0.27	%*			0.16	%*			0.15	%			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 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 the 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)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short 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 years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 411% and 250%, 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. 135

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.53			$	26.36			$	27.76			$	25.78			$	23.46			$	25.53			$	26.35			$	27.75			$	25.78			$	23.46
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.40				0.83				0.82				0.52				0.37				0.43				0.83				0.88				0.58				0.40
Net realized and unrealized gain (loss)			0.98				(0.75	)			(1.30	)			2.12				2.35				0.96				(0.73	)			(1.35	)			2.06				2.33
Total from investment operations			1.38				0.08				(0.48	)			2.64				2.72				1.39				0.10				(0.47	)			2.64				2.73
Less distributions to shareholders:
From net investment income			(0.78	)			(0.90	)			(0.90	)			(0.66	)			(0.40	)			(0.80	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)
From net realized gains			(0.16	)			(0.01	)			(0.02	)			—				—				(0.16	)			(0.01	)			(0.02	)			—				—
Total distributions			(0.94	)			(0.91	)			(0.92	)			(0.66	)			(0.40	)			(0.96	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)
Net asset value, end of period		$	25.97			$	25.53			$	26.36			$	27.76			$	25.78			$	25.96			$	25.53			$	26.35			$	27.75			$	25.78
Total Return(b)			5.60	%			0.11	%			(1.55	)%			10.28	%			11.66	%			5.61	%			0.21	%			(1.50	)%			10.30	%			11.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,227,712			$	3,785,568			$	4,642,211			$	5,162,084			$	5,248,863			$	1,965,528			$	2,085,324			$	2,737,619			$	2,756,005			$	2,663,418
Net operating expenses to average daily net assets(c)			0.70	%			0.66	%			0.65	%			0.65	%			0.65	%			0.66	%			0.61	%			0.60	%			0.60	%			0.60	%
Net investment income (loss) to average daily net assets(a)			1.59	%			3.12	%			3.07	%			1.93	%			1.46	%			1.73	%			3.12	%			3.29	%			2.13	%			1.61	%
Portfolio turnover rate			20	%			10	%			18	%			9	%			7	%			20	%			10	%			18	%			9	%			7	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)			0.11	%			0.15	%			0.15	%			0.16	%			0.15	%			0.10	%			0.15	%			0.15	%			0.16	%			0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(e)		$	0.01			$	0.02			$	—			$	—			$	0.00	(e)		$	0.01			$	0.02

	Class MF Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.55			$	26.38			$	27.77			$	25.80			$	23.47
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.38				0.83				0.77				0.56				0.35
Net realized and unrealized gain (loss)			1.01				(0.74	)			(1.23	)			2.08				2.39
Total from investment operations			1.39				0.09				(0.46	)			2.64				2.74
Less distributions to shareholders:
From net investment income			(0.79	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)
From net realized gains			(0.16	)			(0.01	)			(0.02	)			—				—
Total distributions			(0.95	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)
Net asset value, end of period		$	25.99			$	25.55			$	26.38			$	27.77			$	25.80
Total Return(b)			5.64	%			0.16	%			(1.47	)%			10.29	%			11.76	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,716,252			$	2,827,442			$	3,926,518			$	5,622,091			$	5,858,177
Net operating expenses to average daily net assets(c)			0.65	%			0.61	%			0.60	%			0.60	%			0.60	%(d)
Net investment income (loss) to average daily net assets(a)			1.54	%			3.12	%			2.88	%			2.06	%			1.38	%
Portfolio turnover rate			20	%			10	%			18	%			9	%			7	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)			0.11	%			0.15	%			0.15	%			0.16	%			0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(f)		$	0.01			$	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)  Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

136 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares				Class I Shares
	Period from May 1, 2020 (commencement of operations) through February 28, 2021				Year Ended February 28, 2021				Period from August 8, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	23.95			$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.33				1.10
Net realized and unrealized gain (loss)			2.72				1.02				(0.93	)
Total from investment operations			2.96				1.35				0.17
Less distributions to shareholders:
From net investment income			(0.80	)			(0.76	)			(0.89	)
From net realized gains			(0.16	)			(0.16	)			—
Total distributions			(0.96	)			(0.92	)			(0.89	)
Net asset value, end of period		$	25.95			$	25.95			$	25.52
Total Return(b)			12.55	%**			5.47	%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	310,687			$	324,819			$	98,453
Net expenses to average daily net assets(c)			0.74	%*			0.81	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			1.16	%*			1.30	%			7.22	%*
Portfolio turnover rate			20	%**			20	%			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.08	%*			0.10	%			0.15	%*

^(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)  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. 137

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	18.88			$	19.56			$	20.91			$	18.95			$	17.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.52				0.72				0.58				0.46				0.43
Net realized and unrealized gain (loss)			0.71				(0.59	)			(1.21	)			2.10				2.01
Total from investment operations			1.23				0.13				(0.63	)			2.56				2.44
Less distributions to shareholders:
From net investment income			(0.63	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)
Total distributions			(0.63	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)
Net asset value, end of period		$	19.48			$	18.88			$	19.56			$	20.91			$	18.95
Total Return(b)			6.64	%			0.41	%			(2.80	)%			13.59	%			14.52	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,158,496			$	2,583,930			$	3,165,731			$	4,486,489			$	4,394,260
Net operating expenses to average daily net assets(c)			0.04	%			0.02	%			0.02	%			0.02	%			0.01	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.08	%			0.03	%			0.04	%			0.00	%(d)			0.00	%(d)
Total net expenses to average daily net assets(c)			0.12	%			0.05	%			0.06	%			0.02	%			0.01	%
Net investment income (loss) to average daily net assets(a)			2.86	%			3.64	%			2.92	%			2.29	%			2.37	%
Portfolio turnover rate(f)			145	%			50	%			59	%			78	%			83	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.04	%			0.03	%			0.03	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(g)		$	0.01			$	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, securities sold short 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 years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 151%, 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.

138 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares																				Class R6 Shares								Class I Shares
	Year Ended February 28/29,																				Year Ended February 28, 2021				Period from September 30, 2019 (commencement of operations) through February 29, 2020				Period from January 6, 2021 (commencement of operations) through February 28, 2021
	2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	31.50			$	31.47			$	33.31			$	30.48			$	27.60			$	31.50			$	32.56			$	34.71
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.88				1.08				1.02				0.73				0.61				0.93				0.86				(0.01	)
Net realized and unrealized gain (loss)			3.91				0.29				(1.74	)			2.93				3.00				3.87				(0.71	)			0.22
Total from investment operations			4.79				1.37				(0.72	)			3.66				3.61				4.80				0.15				0.21
Less distributions to shareholders:
From net investment income			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(1.37	)			(1.21	)			—
From net realized gains			—				—				—				—				—				—				—				—
Total distributions			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(1.37	)			(1.21	)			—
Net asset value, end of period		$	34.92			$	31.50			$	31.47			$	33.31			$	30.48			$	34.93			$	31.50			$	34.92
Total Return(c)			15.39	%			4.12	%			(1.96	)%			12.04	%			13.21	%			15.42	%			0.22	%**			0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	692,580			$	1,539,522			$	1,909,728			$	2,475,605			$	2,423,945			$	183,052			$	17,888			$	20,497
Net operating expenses to average daily net assets(d)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.01	%			0.00	%(e)			0.11	%
Net investment income (loss) to average daily net assets(b)			2.78	%			3.32	%			3.17	%			2.24	%			2.06	%			2.78	%			6.23	%*			(0.10	)%*
Portfolio turnover rate			30	%(f)			27	%(f)			21	%(f)			20	%(f)			19	%(f)			30	%(f)			27	%(f)**			30	%(f)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%			0.01	%*			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(g)		$	0.01			$	0.02			$	—			$	—			$	—

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

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 41%, 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.

See accompanying notes to the financial statements. 139

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	20.87			$	21.20			$	22.88			$	19.60			$	17.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.75				0.25				0.57				0.42				0.52
Net realized and unrealized gain (loss)			5.12				0.42				(1.67	)			3.55				2.87
Total from investment operations			5.87				0.67				(1.10	)			3.97				3.39
Less distributions to shareholders:
From net investment income			(0.95	)			(0.74	)			(0.58	)			(0.69	)			(0.55	)
From net realized gains			—				(0.26	)			—				—				(0.64	)
Total distributions			(0.95	)			(1.00	)			(0.58	)			(0.69	)			(1.19	)
Net asset value, end of period		$	25.79			$	20.87			$	21.20			$	22.88			$	19.60
Total Return(b)			28.41	%			2.87	%			(4.58	)%			20.39	%			20.03	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	88,154			$	73,383			$	447,874			$	469,283			$	992,260
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			3.39	%			1.16	%			2.62	%			1.99	%			2.78	%
Portfolio turnover rate			25	%			21	%			6	%			5	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%			0.03	%			0.02	%			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

^(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.

140 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares				Class I Shares
	Year Ended February 28/29,																				Period from July 15, 2020 (commencement of operations) through February 28, 2021				Period from August, 17 2020 (commencement of operations) through February 28, 2021 (Unaudited)
	2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	24.37			$	24.63			$	26.86			$	22.84			$	19.71			$	25.19			$	26.14
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.88				0.83				0.65				0.68				0.57				0.81				0.90
Net realized and unrealized gain (loss)			5.75				(0.16	)			(2.18	)			4.11				3.67				4.96				3.91
Total from investment operations			6.63				0.67				(1.53	)			4.79				4.24				5.77				4.81
Less distributions to shareholders:
From net investment income			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(0.70	)			(1.05	)			(1.04	)
From net realized gains			—				—				—				—				(0.41	)			—				—
Total distributions			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(1.11	)			(1.05	)			(1.04	)
Net asset value, end of period		$	29.91			$	24.37			$	24.63			$	26.86			$	22.84			$	29.91			$	29.91
Total Return(c)			27.51	%			2.36	%			(5.43	)%			21.06	%			21.93	%			23.14	%**			18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,638,868			$	1,456,064			$	1,637,744			$	2,328,921			$	2,206,818			$	6,781			$	2,233
Net expenses to average daily net assets(d)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)*			0.10	%*
Net investment income (loss) to average daily net assets(b)			3.44	%			3.26	%			2.56	%			2.67	%			2.63	%			4.70	%*			5.95	%*
Portfolio turnover rate			20	%			20	%			11	%			14	%			27	%			20	%**			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%*			0.01	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(f)		$	0.01			$	0.02	(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)  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. 141

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Year Ended February 28/29,
	2021			2020			2019			2018			2017
Net asset value, beginning of period	$	12.74		$	13.22		$	14.09		$	13.06		$	11.80
Income (loss) from investment operations:
Net investment income (loss)†		0.35	(a)		0.49	(a)		0.40			0.33			0.27
Net realized and unrealized gain (loss)		(0.11	)		(0.43	)		(0.69	)		1.11			1.24
Total from investment operations		0.24			0.06			(0.29	)		1.44			1.51
Less distributions to shareholders:(b)
From net investment income		(0.28	)		(0.54	)		(0.58	)		(0.41	)		(0.25	)
Total distributions		(0.28	)		(0.54	)		(0.58	)		(0.41	)		(0.25	)
Net asset value, end of period	$	12.70		$	12.74		$	13.22		$	14.09		$	13.06
Total Return(c)		1.95	%		0.25	%		(1.88	)%		11.12	%		12.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,970,367		$	7,114,306		$	8,965,578		$	11,505,699		$	11,226,684
Net operating expenses to average daily net assets		0.01	%(e)		0.00	%(d)(e)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Interest and/or dividend expenses to average daily net assets(f)		0.15	%		0.06	%		0.10	%		0.04	%		0.05	%
Total net expenses to average daily net assets		0.16	%(e)		0.06	%(e)		0.10	%		0.04	%		0.05	%
Net investment income (loss) to average daily net assets		2.89	%(a)		3.65	%(a)		2.95	%		2.44	%		2.11	%
Portfolio turnover rate		189	%(g)		97	%(g)		112	%		146	%		142	%
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	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	0.00	(i)	$	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)  Ratio is less than 0.01%.

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 196% 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.

142 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Period from January 22, 2021 (commencement of operations) through February 28, 2021
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	14.52			$	14.75			$	17.32			$	14.72			$	13.05			$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.61				0.49				0.51				0.53				0.45				(0.00	)(e)
Net realized and unrealized gain (loss)			2.56				(0.12	)			(2.56	)			2.61				1.79				(0.13	)
Total from investment operations			3.17				0.37				(2.05	)			3.14				2.24				(0.13	)
Less distributions to shareholders:
From net investment income			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			—
From net realized gains			—				—				—				—				—				—
Total distributions			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			—
Net asset value, end of period		$	16.95			$	14.52			$	14.75			$	17.32			$	14.72			$	16.95
Total Return(b)			22.02	%			2.14	%			(11.57	)%			21.41	%			17.37	%			(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	217,129			$	297,463			$	572,830			$	664,867			$	601,792			$	8,254
Net expenses to average daily net assets(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.01	%*
Net investment income (loss) to average daily net assets(a)			4.20	%			3.25	%			3.25	%			3.20	%			3.14	%			(0.01	)%*
Portfolio turnover rate			17	%			11	%			8	%			5	%			10	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.02	%			0.02	%			0.01	%			0.01	%			0.05	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(e)		$	0.00	(e)		$	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)  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. 143

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares																				Class R6 Shares
	Year Ended February 28/29,																				Year Ended February 28, 2021				Period from August 30, 2019 (commencement of operations) through February 29, 2020
	2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	27.45			$	28.09			$	32.62			$	27.49			$	23.40			$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.24				1.02				0.91				0.93				0.84				1.29				1.14
Net realized and unrealized gain (loss)			4.91				(0.46	)			(4.47	)			5.19				4.15				4.86				0.33
Total from investment operations			6.15				0.56				(3.56	)			6.12				4.99				6.15				1.47
Less distributions to shareholders:
From net investment income			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(1.29	)			(1.10	)
From net realized gains			—				—				—				—				—				—				—
Total distributions			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(1.29	)			(1.10	)
Net asset value, end of period		$	32.31			$	27.45			$	28.09			$	32.62			$	27.49			$	32.30			$	27.44
Total Return(c)			22.67	%			1.62	%			(10.69	)%			22.38	%			21.57	%			22.68	%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	598,701			$	646,622			$	929,967			$	1,151,327			$	1,085,803			$	262,853			$	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	%*
Net investment income (loss) to average daily net assets(b)			4.40	%			3.55	%			3.09	%			3.00	%			3.20	%			4.56	%			7.83	%*
Portfolio turnover rate			16	%			7	%			8	%			12	%			7	%			16	%			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	%			0.02	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.00	(f)		$	0.02			$	0.02			$	—			$	—

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

^(b)  Net investment income is affected by the timing of the declaration of dividends by the 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.

144 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2021				2020				2019				2018				2017				2021				2020				2019				2018				2017
Net asset value, beginning of period		$	31.13			$	32.17			$	31.87			$	32.68			$	33.25			$	31.07			$	32.11			$	31.78			$	32.57			$	33.26
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.09	)			0.27				0.31				0.24				(0.21	)			(0.06	)			0.25				0.33				0.05				(0.16	)
Net realized and unrealized gain (loss)			1.81				(0.83	)			0.11	(b)			0.23				1.87				1.80				(0.77	)			0.13	(b)			0.44				1.85
Total from investment operations			1.72				(0.56	)			0.42				0.47				1.66				1.74				(0.52	)			0.46				0.49				1.69
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			(0.75	)			—				—				(1.28	)			(1.22	)			(0.75	)			—				—				(1.28	)			(1.22	)
Total distributions			(0.78	)			(0.48	)			(0.12	)			(1.28	)			(2.23	)			(0.78	)			(0.52	)			(0.13	)			(1.28	)			(2.38	)
Net asset value, end of period		$	32.07			$	31.13			$	32.17			$	31.87			$	32.68			$	32.03			$	31.07			$	32.11			$	31.78			$	32.57
Total Return(c)			5.48	%			(1.74	)%			1.32	%			1.44	%			5.12	%			5.56	%			(1.65	)%			1.47	%			1.50	%			5.22	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	30,126			$	18,527			$	45,409			$	26,630			$	6,117			$	314,087			$	831,870			$	1,161,238			$	1,843,748			$	1,446,445
Net expenses to average daily net assets(d)			1.01	%			1.01	%			1.00	%			1.00	%			1.00	%			0.91	%			0.91	%			0.91	%			0.91	%			0.91	%
Net investment income (loss) to average daily net assets(a)			(0.27	)%			0.85	%			0.97	%			0.75	%			(0.61	)%			(0.17	)%			0.79	%			1.04	%			0.16	%			(0.47	)%
Portfolio turnover rate			76	%			46	%			49	%(e)			106	%(e)			15	%(e)			76	%			46	%			49	%(e)			106	%(e)			15	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%			0.05	%			0.04	%			0.03	%			0.04	%			0.07	%			0.04	%			0.04	%			0.03	%			0.04	%

	Class I Shares
	Period from September 23, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.04	)
Net realized and unrealized gain (loss)			0.48
Total from investment operations			0.44
Less distributions to shareholders:
From net investment income			—
From net realized gains			(0.75	)
Total distributions			(0.75	)
Net asset value, end of period		$	32.06
Total Return(c)			1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	13,842
Net expenses to average daily net assets(d)			1.11	%*
Net investment income (loss) to average daily net assets(a)			(0.28	)%*
Portfolio turnover rate			76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			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 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 Institutional Fund and underlying funds , if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 75%, 51% and 47%, respectively, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 145

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Year Ended February 28/29,
	2021				2020				2019				2018				2017
Net asset value, beginning of period		$	18.98			$	19.48			$	22.08			$	19.76			$	17.43
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.67				0.62				0.58				0.51
Net realized and unrealized gain (loss)			2.93				(0.11	)			(1.45	)			2.39				2.36
Total from investment operations			3.47				0.56				(0.83	)			2.97				2.87
Less distributions to shareholders:
From net investment income			(0.71	)			(0.77	)			(0.67	)			(0.63	)			(0.53	)
From net realized gains			(0.18	)			(0.29	)			(1.10	)			(0.02	)			(0.01	)
Total distributions			(0.89	)			(1.06	)			(1.77	)			(0.65	)			(0.54	)
Net asset value, end of period		$	21.56			$	18.98			$	19.48			$	22.08			$	19.76
Total Return(b)			18.66	%			2.57	%			(3.45	)%			15.10	%			16.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	579,796			$	773,438			$	915,148			$	1,302,441			$	2,016,999
Net operating expenses to average daily net assets(c)			0.01	%			0.01	%			0.01	%			0.00	%(d)			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.07	%			0.03	%			0.03	%			—				—
Total net expenses to average daily net assets(c)			0.08	%			0.04	%			0.04	%			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			2.85	%			3.35	%			3.01	%			2.73	%			2.69	%
Portfolio turnover rate(f)			61	%			36	%			35	%			20	%			28	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%			0.03	%			0.03	%			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)

^(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, securities sold short 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 years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 80%, 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.

146 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2021

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 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 and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation 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
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 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 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.

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation 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. 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 procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2021, 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.

148

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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.

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2021:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	7,012,471	$	—	$	7,012,471
Belgium		—		435,400		—		435,400
Canada		1,352,490		—		—		1,352,490
China		285,120		2,754,795		—		3,039,915
Denmark		—		936,762		—		936,762
Finland		—		209,047		—		209,047
France		—		1,558,059		—		1,558,059
Germany		—		1,377,355		—		1,377,355
Hong Kong		—		1,208,355		—		1,208,355
Israel		439,496		—		—		439,496
Italy		—		855,105		—		855,105
Japan		—		5,448,760		—		5,448,760
Netherlands		269,808		1,387,881		—		1,657,689
New Zealand		—		224,642		—		224,642
South Africa		—		344,138		—		344,138
Spain		—		682,361		—		682,361
Sweden		—		348,099		—		348,099
Switzerland		—		574,974		—		574,974
United Kingdom		14,570,173		6,274,975		—		20,845,148
United States		201,392,118		—		—		201,392,118
TOTAL COMMON STOCKS		218,309,205		31,633,179		—		249,942,384
Preferred Stocks
Germany		—		376,160		—		376,160
TOTAL PREFERRED STOCKS		—		376,160		—		376,160
Rights/Warrants
United States		—		—		146,362		146,362
TOTAL RIGHTS/WARRANTS		—		—		146,362		146,362
Investment Funds
United States		41,040,275		—		10,681,155		51,721,430
TOTAL INVESTMENT FUNDS		41,040,275		—		10,681,155		51,721,430
Debt Obligations
United States		80,006,810		63,008,496		—		143,015,306
United States Virgin Islands		—		3,377,266		—		3,377,266
TOTAL DEBT OBLIGATIONS		80,006,810		66,385,762		—		146,392,572
Mutual Funds
United States		29,192,704		—		—		29,192,704
TOTAL MUTUAL FUNDS		29,192,704		—		—		29,192,704
Short-Term Investments		25,386,986		156,168		—		25,543,154
Purchased Options		—		8,015		—		8,015
Total Investments		393,935,980		98,559,284		10,827,517		503,322,781
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		3,652,827		—		3,652,827
Futures Contracts
Equity Risk		2,057,148		105,981		—		2,163,129
Interest Rate Risk		435,260		—		—		435,260
Swap Contracts
Credit Risk		—		2,594,506		—		2,594,506
Equity Risk		—		1,130,823		—		1,130,823
Interest Rate Risk		—		12,136,034		—		12,136,034
Total	$	396,428,388	$	118,179,455	$	10,827,517	$	525,435,360

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,477,017	)	$	—	$	(1,477,017	)
Austria		—			(275,944	)		—		(275,944	)
Canada		(263,748	)		—			—		(263,748	)
Denmark		—			(54,425	)		—		(54,425	)
France		—			(2,167,405	)		—		(2,167,405	)
Germany		—			(2,154,112	)		—		(2,154,112	)
Ireland		(1,335,045	)		—			—		(1,335,045	)
Israel		(313,713	)		—			—		(313,713	)
Italy		—			(843,448	)		—		(843,448	)
Japan		—			(5,839,938	)		—		(5,839,938	)
Netherlands		—			(2,067,267	)		—		(2,067,267	)
New Zealand		—			(240,512	)		—		(240,512	)
Norway		—			(30,725	)		—		(30,725	)
Peru		(342,384	)		—			—		(342,384	)
Singapore		—			(349,181	)		—		(349,181	)
Spain		—			(1,192,345	)		—		(1,192,345	)
Sweden		—			(299,018	)		—		(299,018	)
Switzerland		—			(927,075	)		—		(927,075	)
United Kingdom		(12,882,622	)		(3,315,225	)		—		(16,197,847	)
United States		(144,894,755	)		—			—		(144,894,755	)
TOTAL COMMON STOCKS		(160,032,267	)		(21,233,637	)		—		(181,265,904	)
Preferred Stocks
Germany		—			(369,809	)		—		(369,809	)
TOTAL PREFERRED STOCKS		—			(369,809	)		—		(369,809	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(3,795,482	)		—		(3,795,482	)
Futures Contracts
Equity Risk		(876,007	)		(1,244,743	)		—		(2,120,750	)
Interest Rate Risk		(1,674,457	)		—			—		(1,674,457	)
Written Options
Credit Risk		—			(156,106	)		—		(156,106	)
Equity Risk		(537,880	)		(190,225	)		—		(728,105	)
Swap Contracts
Credit Risk		—			(1,585,192	)		—		(1,585,192	)
Equity Risk		—			(406,438	)		—		(406,438	)
Interest Rate Risk		—			(16,246,035	)		—		(16,246,035	)
Total	$	(163,120,611	)	$	(45,227,667	)	$	—	$	(208,348,278	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	6,543,622,545		$	—		$	—	$	6,543,622,545
Short-Term Investments		6,316,225			—			—		6,316,225
Total Investments		6,549,938,770			—			—		6,549,938,770
Total	$	6,549,938,770		$	—		$	—	$	6,549,938,770
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,112,334		$	—		$	—	$	1,112,334
Australia		—			33,438,076			—		33,438,076

151

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Austria	$	—	$	123,767	$	—		$	123,767
Belgium		—		9,612,997		—			9,612,997
Brazil		2,125,565		10,288,078		—			12,413,643
Canada		30,098,798		—		—			30,098,798
Chile		—		38,058		—			38,058
China		38,527,460		237,405,614		11,049			275,944,123
Czech Republic		—		581,472		—			581,472
Denmark		—		10,642,827		—			10,642,827
Egypt		—		63,852		—			63,852
Finland		—		5,366,909		—			5,366,909
France		112,577		36,285,461		—			36,398,038
Germany		—		33,638,179		—			33,638,179
Greece		—		113,924		0	§		113,924
Hong Kong		—		24,045,987		—			24,045,987
Hungary		—		608,775		—			608,775
India		4,955,807		35,189,403		—			40,145,210
Indonesia		—		7,508,640		—			7,508,640
Ireland		747,009		7,335,907		—			8,082,916
Israel		3,673,204		351,769		—			4,024,973
Italy		—		21,833,449		—			21,833,449
Japan		—		276,559,209		—			276,559,209
Kuwait		—		4,170,113		—			4,170,113
Malaysia		—		583,771		—			583,771
Mexico		21,884,972		—		—			21,884,972
Netherlands		3,531,594		32,198,520		—			35,730,114
New Zealand		—		2,362,013		—			2,362,013
Norway		—		10,070,332		—			10,070,332
Pakistan		—		1,075,306		—			1,075,306
Philippines		—		645,346		—			645,346
Poland		—		8,274,983		—			8,274,983
Portugal		—		9,404,269		—			9,404,269
Qatar		—		1,366,897		—			1,366,897
Russia		1,441,154		71,506,186		—			72,947,340
Saudi Arabia		—		934,087		—			934,087
Singapore		—		12,707,729		—			12,707,729
South Africa		—		34,798,395		—			34,798,395
South Korea		1,846,672		51,239,197		—			53,085,869
Spain		—		26,711,946		—			26,711,946
Sweden		—		6,025,803		—			6,025,803
Switzerland		—		11,789,526		—			11,789,526
Taiwan		2,504,317		105,497,723		—			108,002,040
Thailand		—		5,593,748		—			5,593,748
Turkey		—		12,293,931		—			12,293,931
United Arab Emirates		—		3,004,584		—			3,004,584
United Kingdom		2,562,832		84,270,529		—			86,833,361
United States		290,137,781		—		—			290,137,781
Vietnam		—		561,857		—			561,857
TOTAL COMMON STOCKS		405,262,076		1,248,119,144		11,049			1,653,392,269
Preferred Stocks
Brazil		1,553,439		4,286,820		—			5,840,259
Colombia		133,500		—		—			133,500
Germany		—		4,237,466		—			4,237,466
Russia		—		4,786,844		—			4,786,844
South Korea		—		7,583,295		—			7,583,295

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks (continued)
Taiwan	$	—		$	95,390		$	—	$	95,390
TOTAL PREFERRED STOCKS		1,686,939			20,989,815			—		22,676,754
Rights/Warrants
United Kingdom		—			0	§		—		0	§
TOTAL RIGHTS/WARRANTS		—			0	§		—		0	§
Investment Funds
United States		25,635,179			—			—		25,635,179
TOTAL INVESTMENT FUNDS		25,635,179			—			—		25,635,179
Debt Obligations
United States		127,000,195			1,578,469			—		128,578,664
TOTAL DEBT OBLIGATIONS		127,000,195			1,578,469			—		128,578,664
Mutual Funds
United States		305,597,417			—			—		305,597,417
TOTAL MUTUAL FUNDS		305,597,417			—			—		305,597,417
Short-Term Investments		31,962,856			—			—		31,962,856
Total Investments		897,144,662			1,270,687,428			11,049		2,167,843,139
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,545,886		$	—	$	1,545,886
Futures Contracts
Equity Risk		273,943			625,589			—		899,532
Swap Contracts
Equity Risk		—			4,846,267			—		4,846,267
Interest Rate Risk		—			3,730,310			—		3,730,310
Total	$	897,418,605		$	1,281,435,480		$	11,049	$	2,178,865,134
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(15,172,889	)	$	—	$	(15,172,889	)
Austria		—			(2,679,013	)		—		(2,679,013	)
Canada		(2,567,756	)		—			—		(2,567,756	)
Denmark		—			(370,008	)		—		(370,008	)
France		—			(22,427,875	)		—		(22,427,875	)
Germany		—			(22,771,052	)		—		(22,771,052	)
Israel		(1,847,421	)		—			—		(1,847,421	)
Italy		—			(8,186,982	)		—		(8,186,982	)
Japan		—			(56,622,317	)		—		(56,622,317	)
Netherlands		—			(6,574,140	)		—		(6,574,140	)
New Zealand		—			(1,239,261	)		—		(1,239,261	)
Norway		—			(294,838	)		—		(294,838	)
Peru		(3,259,781	)		—			—		(3,259,781	)
Russia		—			(366,733	)		—		(366,733	)
Singapore		—			(3,657,098	)		—		(3,657,098	)
Spain		—			(12,236,357	)		—		(12,236,357	)
Sweden		—			(3,975,639	)		—		(3,975,639	)
Switzerland		—			(9,780,350	)		—		(9,780,350	)
United Kingdom		—			(32,321,294	)		—		(32,321,294	)
United States		(213,963,143	)		—			—		(213,963,143	)
TOTAL COMMON STOCKS		(221,638,101	)		(198,675,846	)		—		(420,313,947	)

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Preferred Stocks
Germany	$	—		$	(3,419,708	)	$	—	$	(3,419,708	)
TOTAL PREFERRED STOCKS		—			(3,419,708	)		—		(3,419,708	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,354,468	)		—		(1,354,468	)
Futures Contracts
Equity Risk		(7,498,661	)		(9,664,671	)		—		(17,163,332	)
Swap Contracts
Equity Risk		—			(498,098	)		—		(498,098	)
Interest Rate Risk		—			(4,897,574	)		—		(4,897,574	)
Total	$	(229,136,762	)	$	(218,510,365	)	$	—	$	(447,647,127	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	895,696,311		$	—		$	—	$	895,696,311
Debt Obligations
Asset-Backed Securities		—			23,348			—		23,348
TOTAL DEBT OBLIGATIONS		—			23,348			—		23,348
Short-Term Investments		600,429			—			—		600,429
Total Investments		896,296,740			23,348			—		896,320,088
Total	$	896,296,740		$	23,348		$	—	$	896,320,088
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	88,129,979		$	—		$	—	$	88,129,979
Short-Term Investments		47,867			—			—		47,867
Total Investments		88,177,846			—			—		88,177,846
Total	$	88,177,846		$	—		$	—	$	88,177,846
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,647,334,119		$	—		$	—	$	1,647,334,119
Short-Term Investments		607,265			—			—		607,265
Total Investments		1,647,941,384			—			—		1,647,941,384
Total	$	1,647,941,384		$	—		$	—	$	1,647,941,384
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	3,582,346		$	—		$	—	$	3,582,346
Australia		—			97,591,684			—		97,591,684
Austria		—			169,646			—		169,646
Belgium		—			25,336,673			—		25,336,673
Brazil		8,206,367			28,878,242			—		37,084,609
Canada		77,266,014			—			—		77,266,014
Chile		—			68,261			—		68,261
China		98,511,836			642,364,758			38,211		740,914,805
Colombia		13,202			—			—		13,202

154

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Czech Republic	$	—	$	1,428,793	$	—	$	1,428,793
Denmark		—		30,031,195		—		30,031,195
Egypt		—		207,837		—		207,837
Finland		—		13,845,558		—		13,845,558
France		—		94,845,291		—		94,845,291
Germany		—		89,800,385		—		89,800,385
Greece		—		289,156		—		289,156
Hong Kong		—		60,039,985		—		60,039,985
Hungary		—		1,896,772		—		1,896,772
India		12,437,784		109,651,988		—		122,089,772
Indonesia		—		25,909,161		—		25,909,161
Ireland		1,785,196		17,276,273		—		19,061,469
Israel		10,881,724		424,543		—		11,306,267
Italy		—		60,979,092		—		60,979,092
Japan		—		721,178,210		—		721,178,210
Kuwait		—		12,604,551		—		12,604,551
Malaysia		—		2,194,661		—		2,194,661
Mexico		56,945,576		—		—		56,945,576
Netherlands		10,055,166		86,208,144		199		96,263,509
New Zealand		—		6,820,705		—		6,820,705
Norway		—		21,441,151		—		21,441,151
Pakistan		—		5,131,087		—		5,131,087
Philippines		—		3,444,350		—		3,444,350
Poland		—		23,205,673		—		23,205,673
Portugal		—		23,115,999		—		23,115,999
Qatar		—		8,157,353		—		8,157,353
Russia		2,389,701		200,016,972		—		202,406,673
Saudi Arabia		—		3,015,767		—		3,015,767
Singapore		—		31,798,420		—		31,798,420
South Africa		—		86,031,953		—		86,031,953
South Korea		4,764,011		126,235,210		—		130,999,221
Spain		—		67,046,656		—		67,046,656
Sweden		—		18,187,652		—		18,187,652
Switzerland		—		31,129,475		—		31,129,475
Taiwan		14,250,111		305,108,472		—		319,358,583
Thailand		—		10,605,883		—		10,605,883
Turkey		—		25,303,954		—		25,303,954
United Arab Emirates		—		6,562,807		—		6,562,807
United Kingdom		33,738,602		221,971,318		—		255,709,920
United States		1,108,928,057		—		13,767,769		1,122,695,826
Vietnam		—		2,429,554		—		2,429,554
TOTAL COMMON STOCKS		1,443,755,693		3,349,981,270		13,806,179		4,807,543,142
Preferred Stocks
Brazil		3,706,446		9,980,477		—		13,686,923
Colombia		525,367		—		—		525,367
Germany		—		11,878,018		—		11,878,018
Russia		—		17,622,823		—		17,622,823
South Korea		—		29,680,293		—		29,680,293
Taiwan		—		844,774		—		844,774
United States		—		—		881,040		881,040
TOTAL PREFERRED STOCKS		4,231,813		70,006,385		881,040		75,119,238

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
Australia	$	—		$	0	§	$	—	$	0	§
United Kingdom		—			0	§		—		0	§
United States		—			—			737,648		737,648
TOTAL RIGHTS/WARRANTS		—			0	§		737,648		737,648
Investment Funds
United States		50,229,565			—			22,494,300		72,723,865
TOTAL INVESTMENT FUNDS		50,229,565			—			22,494,300		72,723,865
Debt Obligations
Brazil		—			7,619,021			—		7,619,021
Canada		—			1,706,343			—		1,706,343
Israel		—			6,004,380			—		6,004,380
Jamaica		—			2,278,113			6,415,674		8,693,787
Netherlands		—			—			304,846		304,846
Puerto Rico		—			6,320,000			—		6,320,000
United States		470,308,398			162,349,973			34,624,878		667,283,249
TOTAL DEBT OBLIGATIONS		470,308,398			186,277,830			41,345,398		697,931,626
Mutual Funds
United States		35,272,723			—			—		35,272,723
TOTAL MUTUAL FUNDS		35,272,723			—			—		35,272,723
Short-Term Investments		161,063,259			90,367,721			—		251,430,980
Total Investments		2,164,861,451			3,696,633,206			79,264,565		5,940,759,222
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			11,511,187			—		11,511,187
Futures Contracts
Equity Risk		7,728,085			1,768,480			—		9,496,565
Interest Rate Risk		967,278			—			—		967,278
Physical Commodity Contract Risk		194,151			—			—		194,151
Swap Contracts
Equity Risk		—			13,582,779			—		13,582,779
Interest Rate Risk		—			28,524,463			—		28,524,463
Total	$	2,173,750,965		$	3,752,020,115		$	79,264,565	$	6,005,035,645
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(42,633,855	)	$	—	$	(42,633,855	)
Austria		—			(7,554,402	)		—		(7,554,402	)
Canada		(7,231,855	)		—			—		(7,231,855	)
Denmark		—			(1,042,372	)		—		(1,042,372	)
France		—			(63,389,601	)		—		(63,389,601	)
Germany		—			(65,533,182	)		—		(65,533,182	)
Ireland		(2,368,534	)		—			—		(2,368,534	)
Israel		(5,786,262	)		—			—		(5,786,262	)
Italy		—			(23,025,814	)		—		(23,025,814	)
Japan		—			(160,823,175	)		—		(160,823,175	)
Netherlands		—			(21,181,531	)		—		(21,181,531	)
New Zealand		—			(3,980,808	)		—		(3,980,808	)
Norway		—			(834,106	)		—		(834,106	)
Peru		(9,187,304	)		—			—		(9,187,304	)
Russia		—			(944,186	)		—		(944,186	)

156

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February 28, 2021

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Singapore	$	—		$	(10,186,566	)	$	—	$	(10,186,566	)
Spain		—			(34,622,954	)		—		(34,622,954	)
Sweden		—			(11,181,742	)		—		(11,181,742	)
Switzerland		—			(28,385,162	)		—		(28,385,162	)
United Kingdom		(22,980,356	)		(92,690,243	)		—		(115,670,599	)
United States		(800,036,093	)		—			—		(800,036,093	)
TOTAL COMMON STOCKS		(847,590,404	)		(568,009,699	)		—		(1,415,600,103	)
Preferred Stocks
Germany		—			(9,776,317	)		—		(9,776,317	)
TOTAL PREFERRED STOCKS		—			(9,776,317	)		—		(9,776,317	)
Debt Obligations
United States		—			(2,866,765	)		—		(2,866,765	)
TOTAL DEBT OBLIGATIONS		—			(2,866,765	)		—		(2,866,765	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(10,505,775	)		—		(10,505,775	)
Futures Contracts
Equity Risk		(17,420,451	)		(26,260,870	)		—		(43,681,321	)
Interest Rate Risk		(4,116,160	)		—			—		(4,116,160	)
Physical Commodity Contract Risk		(3,119,693	)		—			—		(3,119,693	)
Swap Contracts
Credit Risk		—			(692,111	)		—		(692,111	)
Equity Risk		—			(3,482,776	)		—		(3,482,776	)
Interest Rate Risk		—			(38,510,928	)		—		(38,510,928	)
Total	$	(872,246,708	)	$	(660,105,241	)	$	—	$	(1,532,351,949	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	225,299,432		$	—		$	—	$	225,299,432
Short-Term Investments		53,755			—			—		53,755
Total Investments		225,353,187			—			—		225,353,187
Total	$	225,353,187		$	—		$	—	$	225,353,187
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	861,339,170		$	—		$	—	$	861,339,170
Short-Term Investments		304,576			—			—		304,576
Total Investments		861,643,746			—			—		861,643,746
Total	$	861,643,746		$	—		$	—	$	861,643,746
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	313,614,034		$	—		$	—	$	313,614,034
TOTAL DEBT OBLIGATIONS		313,614,034			—			—		313,614,034
Short-Term Investments		32,060,718			3,071,714			—		35,132,432
Total Investments		345,674,752			3,071,714			—		348,746,466

157

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Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3			Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	263,394		$	—		$	263,394
Futures Contracts
Equity Risk		4,805,177			194,693			—			4,999,870
Interest Rate Risk		709,437			—			—			709,437
Physical Commodity Contract Risk		148,089			—			—			148,089
Total	$	351,337,455		$	3,529,801		$	—		$	354,867,256
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,844,072	)	$	—		$	(1,844,072	)
Futures Contracts
Equity Risk		(1,773,070	)		(2,375,811	)		—			(4,148,881	)
Interest Rate Risk		(3,111,472	)		—			—			(3,111,472	)
Physical Commodity Contract Risk		(2,364,783	)		—			—			(2,364,783	)
Total	$	(7,249,325	)	$	(4,219,883	)	$	—		$	(11,469,208	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	6,824,593		$	—		$	6,824,593
Belgium		—			2,430,024			—			2,430,024
Canada		6,041,957			—			—			6,041,957
China		506,880			6,311,368			—			6,818,248
Denmark		—			2,715,383			—			2,715,383
Finland		—			1,520,855			—			1,520,855
France		—			8,014,726			—			8,014,726
Germany		—			7,706,776			—			7,706,776
Greece		—			17,653			—			17,653
Hong Kong		—			4,956,815			—			4,956,815
India		—			2,305,307			—			2,305,307
Indonesia		—			49,933			—			49,933
Ireland		—			1,750,909			—			1,750,909
Israel		920,448			40,673			—			961,121
Italy		—			5,693,866			—			5,693,866
Japan		—			58,780,558			—			58,780,558
Malta		—			—			0	§		0	§
Mexico		1,511,107			—			—			1,511,107
Netherlands		872,058			6,514,849			—			7,386,907
New Zealand		—			574,399			—			574,399
Norway		—			2,292,049			—			2,292,049
Portugal		—			1,473,521			—			1,473,521
Russia		—			1,046,167			—			1,046,167
Singapore		—			2,573,282			—			2,573,282
South Africa		—			706,927			—			706,927
South Korea		—			143,275			—			143,275
Spain		—			5,757,410			—			5,757,410
Sweden		—			992,032			—			992,032
Switzerland		—			1,506,037			—			1,506,037
Taiwan		—			452,499			—			452,499

158

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Notes to Financial Statements — (Continued)

February 28, 2021

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	—		$	19,830,980		$	—		$	19,830,980
United States		67,731,901			—			—			67,731,901
TOTAL COMMON STOCKS		77,584,351			152,982,866			0	§		230,567,217
Preferred Stocks
Brazil		—			719,342			—			719,342
Germany		—			1,112,541			—			1,112,541
TOTAL PREFERRED STOCKS		—			1,831,883			—			1,831,883
Rights/Warrants
United Kingdom		—			0	§		—			0	§
TOTAL RIGHTS/WARRANTS		—			0	§		—			0	§
Mutual Funds
United States		340,982,404			—			—			340,982,404
TOTAL MUTUAL FUNDS		340,982,404			—			—			340,982,404
Short-Term Investments		7,288,304			—			—			7,288,304
Total Investments		425,855,059			154,814,749			0	§		580,669,808
Derivatives^
Swap Contracts
Equity Risk		—			1,086,854			—			1,086,854
Total	$	425,855,059		$	155,901,603		$	0	§	$	581,756,662
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(3,875,701	)	$	—		$	(3,875,701	)
Austria		—			(678,609	)		—			(678,609	)
Canada		(650,276	)		—			—			(650,276	)
Denmark		—			(88,896	)		—			(88,896	)
France		—			(5,619,401	)		—			(5,619,401	)
Germany		—			(5,684,629	)		—			(5,684,629	)
Israel		(418,284	)		—			—			(418,284	)
Italy		—			(1,972,293	)		—			(1,972,293	)
Japan		—			(14,014,909	)		—			(14,014,909	)
Netherlands		—			(1,645,165	)		—			(1,645,165	)
New Zealand		—			(256,437	)		—			(256,437	)
Norway		—			(74,755	)		—			(74,755	)
Peru		(841,694	)		—			—			(841,694	)
Russia		—			(90,182	)		—			(90,182	)
Singapore		—			(884,494	)		—			(884,494	)
Spain		—			(3,099,040	)		—			(3,099,040	)
Sweden		—			(1,009,278	)		—			(1,009,278	)
Switzerland		—			(2,423,147	)		—			(2,423,147	)
United Kingdom		—			(8,021,455	)		—			(8,021,455	)
United States		(52,855,550	)		—			—			(52,855,550	)
TOTAL COMMON STOCKS		(54,765,804	)		(49,438,391	)		—			(104,204,195	)
Preferred Stocks
Germany		—			(849,020	)		—			(849,020	)
TOTAL PREFERRED STOCKS		—			(849,020	)		—			(849,020	)
Derivatives^
Swap Contracts
Equity Risk		—			(4,871	)		—			(4,871	)
Total	$	(54,765,804	)	$	(50,292,282	)	$	—		$	(105,058,086	)

159

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Notes to Financial Statements — (Continued)

February 28, 2021

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). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Implementation Fund’s Level 3 holdings also include two common stocks which are priced at the average of broker bids 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 February 28, 2021.

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 February 28, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2021
Consolidated Alternative Allocation Fund
Investment Funds
United States	$	2,667,600	$	11,756,181	$	(4,424,896	)	$	—	$	—		$	682,270		$	—		$	—	$	10,681,155	$	682,270
Rights/Warrants
United States		—		—		—			—		—			—			146,362	‡		—		146,362		—
Total Investments	$	2,667,600	$	11,756,181	$	(4,424,896	)	$	—	$	—		$	682,270		$	146,362		$	—	$	10,827,517	$	682,270
Consolidated Implementation Fund
Common Stocks
China	$	—	$	—	$	—		$	—	$	—		$	—		$	38,211	‡	$	—	$	38,211	$	—
Netherlands		—		867		(7	)		—		(666	)		5			—			—		199		5
United States		9,521,813		5,041,255		(302,137	)		—		(10	)		(493,152	)		—			—		13,767,769		(493,152	)
Preferred Stocks
United States		—		110,130		—			—		—			770,910			—			—		881,040		770,910
Rights/Warrants
United States		430,926		—		—			—		—			—			306,722	‡		—		737,648		—
Investment Funds
United States		29,566,080		7,679,409		(16,120,764	)		—		1,495,949			(126,374	)		—			—		22,494,300		(126,374	)

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February 28, 2021

	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 February 28, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2021
Consolidated Implementation Fund (continued)
Debt Obligations
Bank Loans
Luxembourg	$	7,763,747	$	—	$	(6,906,643	)	$	43,520	$	(2,263,375	)	$	1,362,751		$	—	$	—	$	—	$	—
Jamaica		1,925,000		4,914,950		(938,033	)		130,700		33,568			349,489			—		—		6,415,674		349,489
United States		67,533,991		37,041,706		(57,585,809	)		1,335,172		(19,581,384	)		5,881,202			—		—		34,624,878		(1,213,791	)
Corporate Debt
Netherlands		—		2,293,349		(1,188,521	)		46,830		(623,432	)		(223,380	)		—		—		304,846		(223,380	)
Total Investments	$	116,741,557	$	57,081,666	$	(83,041,914	)#	$	1,556,222	$	(20,939,350	)	$	7,521,451		$	344,933	$	—	$	79,264,565	$	(936,293	)

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

# Includes $13,034,522 of proceeds received from partial calls and/or principal paydowns as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2021 for Funds with material Level 3 investments.

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		3,513,025		Fair Value		Discount Rate		30% (N/A)
Common Stock		2,394,108		Fair Value		Most Relevant Broker Quote		$4.083-$5.333 ($4.38)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of February 28, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $10,827,517 and $73,357,432, 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.

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.

161

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February 28, 2021

Loan assignments and participations

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

Rights and warrants

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

Repurchase agreements

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

Reverse repurchase agreements

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

162

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February 28, 2021

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

Securities lending

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

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

At February 28, 2021, 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		34,172,201		15,591,824		21,485,593		37,077,417
Consolidated Implementation Fund		90,419,386		35,190,901		63,116,695		98,307,596

* 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 year end is included in the Statements of Assets and Liabilities.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the 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

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provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

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

Taxes and distributions

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

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2021, 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.

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February 28, 2021

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

Differences related to:	Consolidated Alternative Allocation Fund	Benchmark-Free Allocation Fund	Benchmark-Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	Consolidated Implementation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	Consolidated SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Capital loss carryforwards		X	X	X		X	X	X	X	X
Constructive sale gains	X
Contribution of assets to wholly-owned subsidiary											X
Controlled foreign corporation transactions	X									X
Defaulted bonds							X
Derivative contract transactions	X		X				X			X	X
Foreign currency transactions	X		X				X			X	X
Gain/losses on underlying fund shares		X		X
Late year ordinary losses	X	X	X				X
Losses on wash sale transactions	X	X	X	X	X	X	X	X	X		X
Mutual fund distributions received		X	X	X	X	X					X
Passive foreign investment company transactions			X				X				X
Post-October capital losses	X		X						X	X
Securities sold short							X
Straddle loss deferrals	X

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February 28, 2021

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

	Tax year ended February 28, 2021						Tax year ended February 29, 2020
Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Consolidated Alternative Allocation Fund		9,717,526		—		9,717,526		5,343,115		—		5,343,115
Benchmark-Free Allocation Fund		203,031,960		48,160,322		251,192,282		321,864,645		2,927,259		324,791,904
Benchmark-Free Fund		71,248,951		—		71,248,951		110,241,387		—		110,241,387
Global Asset Allocation Fund		39,988,358		—		39,988,358		67,878,968		—		67,878,968
Global Developed Equity Allocation Fund		2,967,463		—		2,967,463		4,977,127		5,176,611		10,153,738
Global Equity Allocation Fund		58,525,060		—		58,525,060		55,610,130		—		55,610,130
Consolidated Implementation Fund		132,218,180		—		132,218,180		310,939,020		—		310,939,020
International Developed Equity Allocation Fund		9,649,537		—		9,649,537		15,687,875		—		15,687,875
International Equity Allocation Fund		33,660,679		—		33,660,679		37,157,017		—		37,157,017
Consolidated SGM Major Markets Fund		346,979		7,770,224		8,117,203		16,339,715		—		16,339,715
Strategic Opportunities Allocation Fund		20,110,114		6,846,276		26,956,390		29,003,367		13,376,095		42,379,462

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

As of February 28, 2021, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		10,426,596		—		(21,162,317)		—		—
Benchmark-Free Allocation Fund		—		—		(4,557,293)		(53,554,099)		(565,098)
Benchmark-Free Fund		—		—		(3,085,266)		(339,773,043)		(55,466,289)
Global Asset Allocation Fund		3,032,254		—		(125,045)		(209,118,913)		—
Global Developed Equity Allocation Fund		321,845		640,681		(662)		—		—
Global Equity Allocation Fund		1,082,124		—		(14,626)		(48,705,418)		—
Consolidated Implementation Fund		—		—		(30,905,794)		(1,110,992,458)		—
International Developed Equity Allocation Fund		272,216		113,848		(1,759)		(136,147,272)		—
International Equity Allocation Fund		1,997,017		—		(7,154)		(119,898,416)		(780,593)
Consolidated SGM Major Markets Fund		9,212,727		15,071,976		—		—		—
Strategic Opportunities Allocation Fund		1,093,274		6,645,634		—		—		—

As of February 28, 2021, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and

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February 28, 2021

losses realized subsequent to February 28, 2021, 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		(996,401)		(52,557,698)
Benchmark-Free Fund		(140,587,068)		(199,185,975)
Global Asset Allocation Fund		(3,820,536)		(205,298,377)
Global Developed Equity Allocation Fund		—		—
Global Equity Allocation Fund		—		(48,705,418)
Consolidated Implementation Fund		(697,632,617)		(413,359,841)
International Developed Equity Allocation Fund		—		(136,147,272)
International Equity Allocation Fund		—		(119,898,416)
Consolidated SGM Major Markets Fund		—		—
Strategic Opportunities Allocation Fund		—		—

As of February 28, 2021, 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		327,441,635		16,325,574		(22,080,141)		(5,754,567)		(6,840,703)
Benchmark-Free Allocation Fund		6,866,114,672		—		(316,175,902)		(316,175,902)		—
Benchmark-Free Fund		1,584,186,878		250,949,791		(91,027,185)		159,922,606		(5,744,890)
Global Asset Allocation Fund		885,447,676		29,109,300		(18,236,888)		10,872,412		—
Global Developed Equity Allocation Fund		78,874,011		9,303,835		—		9,303,835		—
Global Equity Allocation Fund		1,557,572,877		94,320,147		(3,951,640)		90,368,507		—
Consolidated Implementation Fund		4,364,815,395		607,920,246		(460,219,604)		147,700,642		(34,526,588)
International Developed Equity Allocation Fund		249,009,552		—		(23,656,365)		(23,656,365)		—
International Equity Allocation Fund		827,497,101		34,146,645		—		34,146,645		—
Consolidated SGM Major Markets Fund		401,198,885		381,175		(52,833,594)		(52,452,419)		(7,021,761)
Strategic Opportunities Allocation Fund		429,902,184		59,801,570		(14,087,161)		45,714,409		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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

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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. As of February 28, 2021, each Fund has determined that no tax liability is required in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

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

Custodian, Fund Accounting Agent and Transfer Agent

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

Purchases and redemptions of Fund shares

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

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

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

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

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).

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GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

As of February 28, 2021, 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 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.18%, respectively, of the amount invested or redeemed.
Benchmark-Free Fund	For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.18%, respectively, of the amount invested or redeemed.
Global Asset Allocation Fund	For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.15% and 0.14%, 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 periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.18% and 0.19%, 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.
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 periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.25% and 0.27%, respectively, of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	For the periods from June 30, 2016 to June 30, 2018 and June 30, 2015 to June 30, 2016, the premium on cash purchases and the fee on cash redemptions were each 0.20% and 0.14%, respectively, of the amount invested or redeemed.

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February 28, 2021

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	Strategic Opportunities Allocation Fund
Commodities Risk	X	X	X	X			X			X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Currency Risk	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
Focused Investment Risk	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
Futures Contracts Risk	X	X	X	X						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	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 – Asset-Backed Securities		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	X	X	X	X	X	X	X	X	X
Merger Arbitrage Risk		X					X				X
Non-Diversified Funds	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
Smaller Company Risk	X	X	X	X	X	X	X	X	X		X

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

Each Fund that invests in other GMO Funds, 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 or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of

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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 2021 or 2022. 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

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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 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”). An agreement between the United Kingdom and the European Union governing their future trade relationship became effective January 1, 2021. 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

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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 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.

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.

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• 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

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not “diversified” investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not “diversified”.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets list securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets (particularly in emerging markets) often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes, and custodial costs. In addition, some countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

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

A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. In some cases, the amount of a refund could be material to a Fund’s net asset value. Accordingly, a refund is not typically reflected in the Fund’s net asset value until it is received or 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,

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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.

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

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February 28, 2021

4. Derivative financial instruments

During the year ended February 28, 2021, only Alternative Allocation Fund, Benchmark-Free Fund, Global Asset Allocation 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, Global Asset Allocation 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 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.

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February 28, 2021

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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February 28, 2021

For Funds that held derivatives during the year ended February 28, 2021, 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

X

Manage against anticipated currency exchange rate changes

X

X

Futures contracts

Adjust exposure to certain securities markets

X

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

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

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures

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

Options

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

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

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

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

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

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

*  *  *

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

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

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2021 and the Statements of Operations for the year ended February 28, 2021^:

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			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	8,015		$	—		$	—		$	—		$	—		$	8,015
Unrealized Appreciation on Forward Currency Contracts		—			—			—			3,652,827			—			3,652,827
Unrealized Appreciation on Futures Contracts¤		—			—			2,163,129			—			435,260			2,598,389
Swap Contracts, at value¤		2,594,506			—			1,130,823			—			12,136,034			15,861,363
Total	$	2,602,521		$	—		$	3,293,952		$	3,652,827		$	12,571,294		$	22,120,594
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(3,795,482	)	$	—		$	(3,795,482	)
Unrealized Depreciation on Futures Contracts¤		—			—			(2,120,750	)		—			(1,674,457	)		(3,795,207	)
Written Options, at value		(156,106	)		—			(728,105	)		—			—			(884,211	)
Swap Contracts, at value¤		(1,585,192	)		—			(406,438	)		—			(16,246,035	)		(18,237,665	)
Total	$	(1,741,298	)	$	—		$	(3,255,293	)	$	(3,795,482	)	$	(17,920,492	)	$	(26,712,565	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	493,736		$	1,445		$	(71,025	)	$	424,156
Forward Currency Contracts		—			—			—			1,901,858			—			1,901,858
Futures Contracts		—			—			890,345			—			(954,320	)		(63,975	)
Written Options		97,248			—			(3,785,992	)		—			—			(3,688,744	)
Swap Contracts		493,527			910,788			(6,745,105	)		—			(9,691,130	)		(15,031,920	)
Total	$	590,775		$	910,788		$	(9,147,016	)	$	1,903,303		$	(10,716,475	)	$	(16,458,625	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(669,519	)	$	4,129		$	(18,880	)	$	(684,270	)
Forward Currency Contracts		—			—			—			787,184			—			787,184
Futures Contracts		—			—			(3,344,219	)		—			(1,239,197	)		(4,583,416	)
Written Options		—			—			4,086,667			—			53,701			4,140,368
Swap Contracts		(14,960	)		(1,222,636	)		(199,135	)		—			(5,719,960	)		(7,156,691	)
Total	$	(14,960	)	$	(1,222,636	)	$	(126,206	)	$	791,313		$	(6,924,336	)	$	(7,496,825	)
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	1,545,886		$	—		$	1,545,886
Unrealized Appreciation on Futures Contracts¤		—			—			899,532			—			—			899,532
Swap Contracts, at value¤		—			—			4,846,267			—			3,730,310			8,576,577
Total	$	—		$	—		$	5,745,799		$	1,545,886		$	3,730,310		$	11,021,995
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,354,468	)	$	—		$	(1,354,468	)
Unrealized Depreciation on Futures Contracts¤		—			—			(17,163,332	)		—			—			(17,163,332	)
Swap Contracts, at value¤		—			—			(498,098	)		—			(4,897,574	)		(5,395,672	)
Total	$	—		$	—		$	(17,661,430	)	$	(1,354,468	)	$	(4,897,574	)	$	(23,913,472	)

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	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund (continued)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(273,976,347	)	$	—		$	—		$	—	$	(273,976,347	)
Written Options		—			—			(2,599,801	)		—			—			—		(2,599,801	)
Forward Currency Contracts		—			—			—			(49,485,818	)		—			—		(49,485,818	)
Swap Contracts		(409,821	)		—			(6,470,526	)		—			6,040,284			—		(840,063	)
Total	$	(409,821	)	$	—		$	(283,046,674	)	$	(49,485,818	)	$	6,040,284		$	—	$	(326,902,029	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	1,524,124		$	—		$	—	$	1,524,124
Futures Contracts		—			—			(25,033,346	)		—			—			—		(25,033,346	)
Written Options		—			—			(27,359	)		—			—			—		(27,359	)
Swap Contracts		—			—			(478,953	)		—			(1,237,667	)		—		(1,716,620	)
Total	$	—		$	—		$	(25,539,658	)	$	1,524,124		$	(1,237,667	)	$	—	$	(25,253,201	)
Global Asset Allocation Fund
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	(41,917	)	$	—		$	—	$	(41,917	)
Futures Contracts		—			—			(19,538,883	)		(391,185	)		—			—		(19,930,068	)
Total	$	—		$	—		$	(19,538,883	)	$	(433,102	)	$	—		$	—	$	(19,971,985	)
Consolidated Implementation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	11,511,187		$	—		$	—	$	11,511,187
Unrealized Appreciation on Futures Contracts¤		—			194,151			9,496,565			—			967,278			—		10,657,994
Swap Contracts, at value¤		—			—			13,582,779			—			28,524,463			—		42,107,242
Total	$	—		$	194,151		$	23,079,344		$	11,511,187		$	29,491,741		$	—	$	64,276,423
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(10,505,775	)	$	—		$	—	$	(10,505,775	)
Unrealized Depreciation on Futures Contracts¤		—			(3,119,693	)		(43,681,321	)		—			(4,116,160	)		—		(50,917,174	)
Swap Contracts, at value¤		(692,111	)		—			(3,482,776	)		—			(38,510,928	)		—		(42,685,815	)
Total	$	(692,111	)	$	(3,119,693	)	$	(47,164,097	)	$	(10,505,775	)	$	(42,627,088	)	$	—	$	(104,108,764	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	4,684,865		$	7,483		$	—		$	—	$	4,692,348
Forward Currency Contracts		—			—			—			(121,475,116	)		—			—		(121,475,116	)
Futures Contracts		—			(354,275	)		(690,514,464	)		—			(1,708,661	)		—		(692,577,400	)
Written Options		—			—			(19,128,316	)		—			—			—		(19,128,316	)
Swap Contracts		4,188,409			—			8,672,464			—			(19,391,645	)		—		(6,530,772	)
Total	$	4,188,409		$	(354,275	)	$	(696,285,451	)	$	(121,467,633	)	$	(21,100,306	)	$	—	$	(835,019,256	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(4,807,981	)	$	21,383		$	—		$	—	$	(4,786,598	)
Forward Currency Contracts		—			—			—			7,195,840			—			—		7,195,840
Futures Contracts		—			(2,925,542	)		(59,995,768	)		—			(3,148,882	)		—		(66,070,192	)
Written Options		—			—			11,496,837			—			—			—		11,496,837
Swap Contracts		(1,059,400	)		—			(18,303,891	)		—			(15,652,794	)		—		(35,016,085	)
Total	$	(1,059,400	)	$	(2,925,542	)	$	(71,610,803	)	$	7,217,223		$	(18,801,676	)	$	—	$	(87,180,198	)

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February 28, 2021

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	263,394		$	—		$	—	$	263,394
Unrealized Appreciation on Futures Contracts¤		—		148,089			4,999,870			—			709,437			—		5,857,396
Total	$	—	$	148,089		$	4,999,870		$	263,394		$	709,437		$	—	$	6,120,790
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(1,844,072	)	$	—		$	—	$	(1,844,072	)
Unrealized Depreciation on Futures Contracts¤		—		(2,364,783	)		(4,148,881	)		—			(3,111,472	)		—		(9,625,136	)
Total	$	—	$	(2,364,783	)	$	(4,148,881	)		(1,844,072	)	$	(3,111,472	)	$	—	$	(11,469,208	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	3,549,647		$	—		$	—	$	3,549,647
Futures Contracts		—		16,527,785			31,892,106			—			(1,866,021	)		—		46,553,870
Total	$	—	$	16,527,785		$	31,892,106		$	3,549,647		$	(1,866,021	)	$	—	$	50,103,517
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	1,324,237		$	—		$	—	$	1,324,237
Futures Contracts		—		(5,157,459	)		(9,934,550	)		—			(2,402,035	)		—		(17,494,044	)
Total	$	—	$	(5,157,459	)	$	(9,934,550	)	$	1,324,237		$	(2,402,035	)	$	—	$	(16,169,807	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	1,086,854		$	—		$	—		$	—	$	1,086,854
Total	$	—	$	—		$	1,086,854		$	—		$	—		$	—	$	1,086,854
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—		$	(4,871	)	$	—		$	—		$	—	$	(4,871	)
Total	$	—	$	—		$	(4,871	)	$	—		$	—		$	—	$	(4,871	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	(647,889	)	$	—		$	—	$	(647,889	)
Futures Contracts		—		—			(17,103,196	)		—			—			—		(17,103,196	)
Written Options		—		—			(547,350	)		—			—			—		(547,350	)
Swap Contracts		—		—			(3,124,212	)		—			—			—		(3,124,212	)
Total	$	—	$	—		$	(20,774,758	)	$	(647,889	)	$	—		$	—	$	(21,422,647	)
Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	—		$	(5,760	)	$	—		$	—		$	—	$	(5,760	)
Swap Contracts		—		—			894,201			—			—			—		894,201
Total	$	—	$	—		$	888,441		$	—		$	—		$	—	$	888,441

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or

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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 February 28, 2021, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2021:

Consolidated Alternative Allocation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	946,320	$	(636,165	)	$	(247,427	)	$	62,728
Barclays Bank PLC		108,710		—			108,710			—
Citibank N.A.		1,275,857		(1,110,000	)		(117,567	)		48,290
Deutsche Bank AG		40,052		(13,470	)		(26,582	)		—	*
Goldman Sachs International		769,340		—			(413,124	)		356,216
JPMorgan Chase Bank, N.A.		1,113,581		(291,414	)		(822,167	)		—	*
Morgan Stanley & Co. International PLC		2,610,337		—			(1,879,632	)		730,705
Morgan Stanley Capital Services LLC		419,154		(39,000	)		—			380,154
State Street Bank and Trust Company		27,098		—			27,098			—
UBS AG		75,722		—			75,722			—
Total	$	7,386,171	$	(2,090,049	)	$	(3,294,969	)	$	1,578,093

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Consolidated Alternative Allocation 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.	$	247,427	$	—		$	247,427		$	—
Barclays Bank PLC		566,802		—			(108,710	)		458,092
Citibank N.A.		117,567		—			117,567			—
Deutsche Bank AG		26,582		—			26,582			—
Goldman Sachs International		413,124		—			413,124			—
JPMorgan Chase Bank, N.A.		822,167		—			822,167			—
Morgan Stanley & Co. International PLC		1,879,632		—			1,879,632			—
Morgan Stanley & Co. LLC		728,105		—			—			728,105
State Street Bank and Trust Company		222,555		(25,002	)		(27,098	)		170,455
UBS AG		126,816		(51,094	)		(75,722	)		—	*
Total	$	5,150,777	$	(76,096	)	$	3,294,969		$	1,356,652

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.	$	1,781	$	—		$	1,781		$	—
Barclays Bank PLC		42,968		—			42,968			—
Deutsche Bank AG		120,386		—			(3,079	)		117,307
Goldman Sachs International		569,877		—			(481,799	)		88,078
JPMorgan Chase Bank, N.A.		170,953		—			170,953			—
Morgan Stanley & Co. International PLC		1,001,557		—			(838,968	)		162,589
Morgan Stanley Capital Services LLC		4,288,172		(1,959,000	)		(18,936	)		2,310,236
State Street Bank and Trust Company		196,459		—			—			196,459
Total	$	6,392,153	$	(1,959,000	)	$	(1,127,080	)	$	2,874,669
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.	$	116,102	$	(114,321	)	$	(1,781	)	$	—	*
Barclays Bank PLC		132,501		—			(42,968	)		89,533
Citibank N.A.		17,794		—			—			17,794
Deutsche Bank AG		3,079		—			3,079			—
Goldman Sachs International		481,799		—			481,799			—
JPMorgan Chase Bank, N.A.		243,387		—			(170,953	)		72,434
Morgan Stanley & Co. International PLC		838,968		—			838,968			—
Morgan Stanley Capital Services LLC		18,936		—			18,936			—
Total	$	1,852,566	$	(114,321	)	$	1,127,080		$	179,761

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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.	$	265,920	$	—		$	265,920		$	—
Barclays Bank PLC		328,245		—			328,245			—
Deutsche Bank AG		369,585		(295,209	)		(74,376	)		—	*
Goldman Sachs International		1,579,947		—			1,579,947			—
JPMorgan Chase Bank, N.A.		1,418,126		—			1,418,126			—
Morgan Stanley & Co. International PLC		7,034,711		—			(5,233,204	)		1,801,507
Morgan Stanley Capital Services LLC		12,107,100		(5,468,000	)		(53,307	)		6,585,793
State Street Bank and Trust Company		1,793,725		(920,000	)		(758,560	)		115,165
UBS AG		196,607		—			196,607			—
Total	$	25,093,966	$	(6,683,209	)	$	(2,330,602	)	$	8,502,465
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.	$	836,138	$	(570,218	)	$	(265,920	)	$	—	*
Barclays Bank PLC		1,435,258		—			(328,245	)		1,107,013
Citibank N.A.		136,282		(136,282	)		—			—	*
Credit Suisse International		174,642		—			—			174,642
Deutsche Bank AG		74,376		—			74,376			—
Goldman Sachs International		3,449,738		(1,869,791	)		(1,579,947	)		—	*
JPMorgan Chase Bank, N.A.		2,220,672		(154,952	)		(1,418,126	)		647,594
Morgan Stanley & Co. International PLC		5,233,204		—			5,233,204			—
Morgan Stanley Capital Services LLC		53,307		—			53,307			—
State Street Bank and Trust Company		758,560		—			758,560			—
UBS AG		308,485		(111,878	)		(196,607	)		—	*
Total	$	14,680,662	$	(2,843,121	)	$	2,330,602		$	1,929,249

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
Deutsche Bank AG	$	2,753	$	—	$	2,753	$	—
Goldman Sachs International		14,973		—		—		14,973
Morgan Stanley & Co. International PLC		99,256		—		99,256		—
UBS AG		146,412		—		146,412		—
Total	$	263,394	$	—	$	248,421	$	14,973

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Consolidated SGM Major Markets 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.	$	376,108	$	—		$	—		$	376,108
Barclays Bank PLC		200,691		—			—			200,691
Deutsche Bank AG		41,609		(32,410	)		(2,753	)		6,446
JPMorgan Chase Bank, N.A.		38,092		—			—			38,092
Morgan Stanley & Co. International PLC		399,882		—			(99,256	)		300,626
State Street Bank and Trust Company		556,122		(100,268	)		—			455,854
UBS AG		231,568		(85,156	)		(146,412	)		—	*
Total	$	1,844,072	$	(217,834	)	$	(248,421	)	$	1,377,817

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
Goldman Sachs International	$	25,108	$	—		$	—		$	25,108
Morgan Stanley Capital Services LLC		1,061,746		(570,000	)		(4,871	)		486,875
Total	$	1,086,854	$	(570,000	)	$	(4,871	)	$	511,983
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Morgan Stanley Capital Services LLC	$	4,871	$	—		$	4,871		$	—
Total	$	4,871	$	—		$	4,871		$	—

* 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 or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)			Swap Contracts ($)
Consolidated Alternative Allocation Fund		629,959,426		115,700,740		32,754,428		2,903			1,314,487,235
Benchmark-Free Fund		702,557,640		732,861,652		—		57	*		495,588,151
Global Asset Allocation Fund		12,861,856		52,342,923		—		—			—
Consolidated Implementation Fund		3,267,743,767		2,297,646,140		4,122,087		9,832			3,369,967,661
Consolidated SGM Major Markets Fund		268,895,378		261,911,128		—		—			—
Strategic Opportunities Allocation Fund		21,718,800		35,338,035		—		12	*		4,442,680

* During the year ended February 28, 2021, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

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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		Strategic Opportunities Allocation Fund
Management Fee		0.73%		0.65%		—		—		—		—		—		—		—		0.85%		—

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name

Class II

Class III

Class IV

Class V

Class VI

Class MF

Class R6

Class I

Alternative Allocation Fund

0.22%*

0.15%*

0.105%*

0.085%*

0.055%

0.22%

0.22%

Benchmark-Free Allocation Fund

0.15%

0.10%

0.10%

0.15%

0.15%

SGM Major Markets Fund

0.15%

0.10%*

0.055%

0.15%*

0.15%

* Class is offered but has no shareholders as of February 28,2021.

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, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below).

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

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February 28, 2021

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

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

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

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February 28, 2021

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2021 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		11,772		953
Benchmark-Free Allocation Fund		273,527		29,277
Benchmark-Free Fund		84,977		9,219
Global Asset Allocation Fund		44,640		5,025
Global Developed Equity Allocation Fund		2,602		303
Global Equity Allocation Fund		53,430		5,592
Consolidated Implementation Fund		230,280		24,370
International Developed Equity Allocation Fund		9,216		1,015
International Equity Allocation Fund		27,786		3,024
Consolidated SGM Major Markets Fund		16,709		2,184
Strategic Opportunities Allocation Fund		24,785		2,610

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2021, 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
Consolidated Alternative Allocation Fund		0.081%
Benchmark-Free Allocation Fund		0.236%	*
Benchmark-Free Fund		0.162%
Global Asset Allocation Fund		0.605%	*
Global Developed Equity Allocation Fund		0.519%
Global Equity Allocation Fund		0.563%
International Developed Equity Allocation Fund		0.611%
International Equity Allocation Fund		0.651%
Strategic Opportunities Allocation Fund		0.413%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2021, the Funds did not engage in these transactions.

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February 28, 2021

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2021 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		261,563,693		795,742,112		231,328,061		674,528,968
Benchmark-Free Allocation Fund		—		1,418,676,027		—		3,660,078,336
Benchmark-Free Fund		1,012,178,022		2,148,257,673		1,107,364,486		3,055,757,059
Global Asset Allocation Fund		—		479,559,221		—		1,249,372,197
Global Developed Equity Allocation Fund		—		19,399,521		—		18,324,766
Global Equity Allocation Fund		—		293,557,636		—		393,457,784
Consolidated Implementation Fund		2,874,821,211		7,392,384,542		3,294,380,791		9,589,215,079
International Developed Equity Allocation Fund		—		37,989,387		—		142,271,614
International Equity Allocation Fund		—		124,899,432		—		233,058,434
Consolidated SGM Major Markets Fund		284,236,401		—		608,258,373		—
Strategic Opportunities Allocation Fund		9,234,973		480,441,722		54,068,078		824,555,657

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.

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February 28, 2021

8. Principal shareholders and related parties as of February 28, 2021

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	‡		84.98%		0.12%		46.20%
Benchmark-Free Allocation Fund		1			26.20%		1.54%		3.14%
Benchmark-Free Fund		1			11.00%		—		100.00%
Global Asset Allocation Fund		2			26.70%		0.10%		—
Global Developed Equity Allocation Fund		2			82.84%		0.02%		—
Global Equity Allocation Fund		3			62.85%		0.01%		—
Implementation Fund		1	‡		100.00%		—		100.00%
International Developed Equity Allocation Fund		2			95.13%		0.01%		—
International Equity Allocation Fund		4	#		74.08%		0.01%		—
SGM Major Markets Fund		3	#		78.30%		0.37%		80.28%
Strategic Opportunities Allocation Fund		4			59.79%		0.01%		99.90%

‡ 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:

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:(a)
Shares sold		6,069,438		$	120,301,372			10,854,051		$	216,921,996
Shares issued to shareholders in reinvestment of distributions		277,343			5,356,980			244,857			4,899,582
Shares repurchased		(4,536,437	)		(87,729,228	)		(775,804	)		(15,497,995	)
Net increase (decrease)		1,810,344		$	37,929,124			10,323,104		$	206,323,583
Class R6:(b)
Shares sold		26,831		$	519,188
Shares issued to shareholders in reinvestment of distributions		516			9,953
Shares repurchased		(2,114	)		(41,558	)
Net increase (decrease)		25,233		$	487,583

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February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund (continued)
Class I:(c)
Shares sold		15,492,543		$	298,991,109			1,756,057		$	35,182,098
Shares issued to shareholders in reinvestment of distributions		80,844			1,560,033			22,166			443,534
Shares repurchased		(3,178,089	)		(60,932,252	)		(17,167	)		(340,795	)
Net increase (decrease)		12,395,298		$	239,618,890			1,761,056		$	35,284,837
Benchmark-Free Allocation Fund
Class III:
Shares sold		3,785,990		$	92,615,446			24,257,167		$	640,075,459
Shares issued to shareholders in reinvestment of distributions		4,019,280			100,605,473			4,613,259			124,178,972
Shares repurchased		(52,416,850	)		(1,279,526,091	)		(56,749,593	)		(1,517,816,871	)
Shares repurchased in connection with reorganization(d)		(17,852,866	)		(463,472,079	)		—			—
Net increase (decrease)		(62,464,446	)	$	(1,549,777,251	)		(27,879,167	)	$	(753,562,440	)
Class IV:
Shares sold		4,395,247		$	107,395,880			7,923,022		$	212,654,200
Shares issued to shareholders in reinvestment of distributions		2,254,813			56,425,045			2,512,433			67,603,590
Shares repurchased		(12,628,848	)		(307,840,416	)		(32,635,505	)		(860,251,221	)
Net increase (decrease)		(5,978,788	)	$	(144,019,491	)		(22,200,050	)	$	(579,993,431	)
Class MF:
Shares sold		863,586		$	22,063,346			803,494		$	21,189,670
Shares issued to shareholders in reinvestment of distributions		2,769,815			69,378,466			4,026,104			108,452,767
Shares repurchased		(48,245,572	)		(1,184,044,972	)		(43,051,526	)		(1,147,137,535	)
Net increase (decrease)		(44,612,171	)	$	(1,092,603,160	)		(38,221,928	)	$	(1,017,495,098	)
Class R6:(e)
Shares sold		2,363,878		$	59,336,390
Shares issued to shareholders in reinvestment of distributions		59,411			1,488,297
Shares issued to shareholders in connection with reorganization(d)		9,884,492			256,421,515
Shares repurchased		(334,848	)		(8,558,317	)
Net increase (decrease)		11,972,933		$	308,687,885
Class I:(f)
Shares sold		3,200,275		$	79,569,402			3,946,657		$	105,678,811
Shares issued to shareholders in reinvestment of distributions		159,203			3,981,436			77,829			2,094,391
Shares issued to shareholders in connection with reorganization(d)		8,138,329			211,141,897			—			—
Shares repurchased		(2,838,085	)		(72,184,369	)		(166,498	)		(4,455,002	)
Net increase (decrease)		8,659,722		$	222,508,366			3,857,988		$	103,318,200
Benchmark-Free Fund
Class III:
Shares sold		3,380,765		$	56,376,837			1,317,983		$	25,892,943
Shares issued to shareholders in reinvestment of distributions		3,731,306			69,942,505			5,386,720			108,505,171
Shares repurchased		(33,134,537	)		(610,768,662	)		(31,708,368	)		(626,946,188	)
Net increase (decrease)		(26,022,466	)	$	(484,449,320	)		(25,003,665	)	$	(492,548,074	)

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February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:
Shares sold		1,216,073		$	38,212,261			1,000,287		$	32,203,398
Shares issued to shareholders in reinvestment of distributions		976,697			32,629,383			1,786,325			59,695,328
Shares repurchased		(26,333,561	)		(848,073,134	)		(14,588,483	)		(474,038,279	)
Shares repurchased in connection with reorganization(d)		(4,904,836	)		(173,115,488	)		—			—
Net increase (decrease)		(29,045,627	)	$	(950,346,978	)		(11,801,871	)	$	(382,139,553	)
Class R6:(g)
Shares sold		609,510		$	20,452,550			607,847		$	19,935,268
Shares issued to shareholders in reinvestment of distributions		15,573			521,472			15,735			527,446
Shares issued to shareholders in connection with reorganization(d)		4,380,291			154,608,023			—			—
Shares repurchased		(332,593	)		(11,069,669	)		(55,676	)		(1,850,896	)
Net increase (decrease)		4,672,781		$	164,512,376			567,906		$	18,611,818
Class I:(h)
Shares sold		75,778		$	2,667,247
Shares issued to shareholders in connection with reorganization(d)		554,741			19,578,025
Shares repurchased		(43,576	)		(1,539,670	)
Net increase (decrease)		586,943		$	20,705,602
Global Developed Equity Allocation Fund
Class III:
Shares sold		219,276		$	5,622,223			1,268		$	27,967
Shares issued to shareholders in reinvestment of distributions		85,417			2,073,187			446,904			9,818,537
Shares repurchased		(403,077	)		(8,282,753	)		(18,054,457	)		(382,052,946	)
Net increase (decrease)		(98,384	)	$	(587,343	)		(17,606,285	)	$	(372,206,442	)
Global Equity Allocation Fund
Class III:
Shares sold		1,378,390		$	33,559,963			2,875,035		$	74,723,516
Shares issued to shareholders in reinvestment of distributions		1,927,822			54,272,843			1,937,148			52,274,016
Shares repurchased		(8,268,761	)		(223,473,248	)		(11,553,457	)		(298,075,823	)
Net increase (decrease)		(4,962,549	)	$	(135,640,442	)		(6,741,274	)	$	(171,078,291	)
Class R6:(i)
Shares sold		246,021		$	6,259,686
Shares issued to shareholders in reinvestment of distributions		8,041			227,894
Shares repurchased		(27,387	)		(732,104	)
Net increase (decrease)		226,675		$	5,755,476
Class I:(j)
Shares sold		72,846		$	1,917,462
Shares issued to shareholders in reinvestment of distributions		2,267			64,254
Shares repurchased		(458	)		(12,411	)
Net increase (decrease)		74,655		$	1,969,305

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February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated Implementation Fund
Core Class:
Shares sold		86,220,208		$	1,048,235,578			45,504,277		$	615,547,348
Shares issued to shareholders in reinvestment of distributions		10,748,813			132,218,180			22,932,913			310,939,020
Shares repurchased		(185,451,038	)		(2,225,658,576	)		(188,088,082	)		(2,520,911,268	)
Net increase (decrease)		(88,482,017	)	$	(1,045,204,818	)		(119,650,892	)	$	(1,594,424,900	)
International Developed Equity Allocation Fund
Class III:
Shares sold		2,334,558		$	33,800,999			2,432,306		$	36,078,936
Shares issued to shareholders in reinvestment of distributions		386,519			6,277,230			803,039			12,819,179
Shares repurchased		(9,909,526	)		(144,296,950	)		(21,571,600	)		(331,589,749	)
Shares repurchased in connection with reorganization(d)		(487,958	)		(8,333,525	)		—			—
Net increase (decrease)		(7,676,407	)	$	(112,552,246	)		(18,336,255	)	$	(282,691,634	)
Class R6:(k)
Shares sold		6,577		$	112,468
Shares issued to shareholders in connection with reorganization(d)		492,914			8,418,168
Shares repurchased		(12,445	)		(212,488	)
Net increase (decrease)		487,046		$	8,318,148
International Equity Allocation Fund
Class III:
Shares sold		165,164		$	4,658,164			247,154		$	7,467,402
Shares issued to shareholders in reinvestment of distributions		767,681			23,461,457			931,484			28,142,608
Shares repurchased		(5,584,470	)		(137,383,719	)		(10,725,589	)		(294,708,095	)
Shares repurchased in connection with reorganization(d)		(376,439	)		(12,333,032	)		—			—
Net increase (decrease)		(5,028,064	)	$	(121,597,130	)		(9,546,951	)	$	(259,098,085	)
Class R6:(l)
Shares sold		315,758		$	7,840,712			8,056,830			218,098,392
Shares issued to shareholders in reinvestment of distributions		331,970			10,144,475			291,593			8,867,347
Shares issued to shareholders in connection with reorganization(d)		380,466			12,461,474			—			—
Shares repurchased		(551,315	)		(17,409,367	)		(687,274	)		(20,900,000	)
Net increase (decrease)		476,879		$	13,037,294			7,661,149		$	206,065,739
Consolidated SGM Major Markets Fund
Class III:
Shares sold		384,363		$	12,641,912			525,054		$	16,975,147
Shares issued to shareholders in reinvestment of distributions		515			16,796			7,014			225,366
Shares repurchased		(40,476	)		(1,320,080	)		(1,348,349	)		(42,435,255	)
Net increase (decrease)		344,402		$	11,338,628			(816,281	)	$	(25,234,742	)
Class IV:(m)
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	)

206

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Year Ended February 28, 2021						Year Ended February 29, 2020
	Shares			Amount			Shares			Amount
Consolidated SGM Major Markets Fund (continued)
Class VI:
Shares sold		3,231,526		$	104,242,857			1,257,758		$	40,323,424
Shares issued to shareholders in reinvestment of distributions		200,949			6,549,429			477,353			15,034,172
Shares repurchased		(20,403,300	)		(653,236,278	)		(11,128,347	)		(354,021,072	)
Net increase (decrease)		(16,970,825	)	$	(542,443,992	)		(9,393,236	)	$	(298,663,476	)
Class I:(n)
Shares sold		438,717			14,414,202
Shares issued to shareholders in reinvestment of distributions		2,797			91,322
Shares repurchased		(9,697	)		(316,848	)
Net increase (decrease)		431,817		$	14,188,676
Strategic Opportunities Allocation Fund
Class III:
Shares sold		1,900,987		$	32,587,762			2,855,111		$	54,190,000
Shares issued to shareholders in reinvestment of distributions		1,193,465			23,704,892			1,875,730			38,161,859
Shares repurchased		(16,950,871	)		(322,809,952	)		(10,966,560	)		(216,222,583	)
Net increase (decrease)		(13,856,419	)	$	(266,517,298	)		(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 “Year Ended February 28, 2021” represents the period from July 31, 2020 (commencement of operations) through February 28, 2021.

^(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)  See Note 11 for discussion of reorganization.

^(e)  The period under the heading “Year Ended February 28, 2021” represents the period from May 1, 2020 (commencement of operations) through February 28, 2021.

^(f)  The period under the heading “Year Ended February 29, 2020” represents the period from August 8, 2019 (commencement of operations) through February 29, 2020.

^(g)  The period under the heading “Year Ended February 28, 2021” represents the period from September 30, 2020 (commencement of operations) through February 29, 2020.

^(h)  The period under the heading “Year Ended February 28, 2021” represents the period from January 6, 2021 (commencement of operations) through February 28, 2021.

⁽ⁱ⁾  The period under the heading “Year Ended February 28, 2021 “represents the period from July 15, 2020 (commencement of operations) through February 28, 2021.

^(j)  The period under the heading “Year Ended February 28, 2021 “represents the period from August 17, 2020 (commencement of operations) through February 28, 2021.

^(k)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(l)  The period under the heading “Year Ended February 29, 2020” represents the period from August 30, 2019 (commencement of operations) through February 29, 2020.

^(m)  For the period July 18, 2019 to February 29, 2020, Class IV had no shareholders.

⁽ⁿ⁾  The period under the heading “Year Ended February 28, 2021” represents the period from September 23, 2020 (commencement of operations) through February 28, 2021.

207

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2021 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	$	16,270,000	$	4,855,000	$	977,269		$	—	$	52,584		$	4,129,421		$	29,192,704
GMO International Equity Fund, Class IV		9,097,096		6,110,000		15,842,055		40,733			—		(267,945	)		902,904			—
GMO Resources Fund, Class IV		6,568,271		5,483,583		20,182,730		239,659			219,588		7,199,147			931,729			—
GMO U.S. Treasury Fund		—		3,000,000		3,000,000		346			—		—			—			—
Totals	$	29,261,066	$	30,863,583	$	43,879,785	$	1,258,007		$	219,588	$	6,983,786		$	5,964,054		$	29,192,704
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	264,983,913	$	20,824,563	$	108,499,003	$	15,593,369		$	5,231,194	$	(4,221,531	)	$	(11,721,854	)	$	161,366,088
GMO High Yield Fund, Class VI		110,184,438		1,725,718		114,198,177		1,529,627			196,091		1,973,413			314,608			—
GMO Implementation Fund		7,114,226,325		1,180,453,758		2,225,658,576		132,218,180			—		(107,328,596	)		6,475,140			5,968,168,051
GMO Opportunistic Income Fund, Class VI		446,590,600		18,991,995		221,331,504		12,857,125			—		7,476,550			(14,032,531	)		237,695,110
GMO SGM Major Markets Fund, Class VI		664,643,917		4,375,074		510,600,542		207,991			4,167,083		(44,187,322	)		62,162,169			176,393,296
GMO Special Opportunities Fund, Class VI		195,830,895		192,304,919		479,790,534		—			142,304,918		54,436,506			37,218,214			—
Totals	$	8,796,460,088	$	1,418,676,027	$	3,660,078,336	$	162,406,292		$	151,899,286	$	(91,850,980	)	$	80,415,746		$	6,543,622,545
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	88,839,361	$	6,944,640	$	22,240,602	$	5,170,505		$	1,774,135	$	(644,583	)	$	(4,819,606	)	$	68,079,210
GMO Emerging Markets Fund, Class VI		277,719,859		4,932,191		237,415,000		4,932,191			—		36,901,143			(8,675,630	)		73,462,563
GMO Opportunistic Income Fund, Class VI		174,387,661		5,270,466		81,700,000		5,270,466			—		2,660,044			(5,467,530	)		95,150,641
GMO SGM Major Markets Fund, Class VI		119,656,426		60,274,475		131,599,922		62,348			1,212,126		3,726,904			1,217,988			53,275,871
GMO Special Opportunities Fund, Class VI		81,623,064		72,425,839		194,624,243		—			60,325,839		20,354,278			20,221,062			—
GMO U.S. Treasury Fund		1,849,041		136,903,630		123,166,635		—	*		—		46,769			(3,673	)		15,629,132
Totals	$	744,075,412	$	286,751,241	$	790,746,402	$	15,435,510		$	63,312,100	$	63,044,555		$	2,472,611		$	305,597,417
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	162,822,665	$	105,413,481	$	82,925,730	$	4,148,546		$	—	$	(2,113,629	)	$	(4,624,910	)	$	178,571,877
GMO Asset Allocation Bond Fund, Class VI		122,351,825		6,479,865		73,650,257		801,812			—		2,481,217			926,312			58,588,962
GMO Cyclical Focus Fund Class IV		—		40,651,086		27,400,000		691,201			1,099,885		5,684,720			7,885,526			26,821,332

208

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Emerging Country Debt Fund, Class IV	$	57,278,855	$	4,758,371	$	32,751,559	$	2,628,040	$	951,311	$	356,950		$	(3,006,184	)	$	26,636,433
GMO Emerging Markets Fund, Class VI		306,807,240		14,972,127		185,116,851		7,846,437		—		26,061,925			12,320,095			175,044,536
GMO International Equity Fund, Class IV		375,344,309		66,659,956		326,384,867		7,100,870		—		315,572			27,798,684			143,733,654
GMO-Usonian Japan Value Creation Fund, Class VI		—		50,465,888		21,500,000		500,055		13,785		1,755,082			4,997,471			35,718,441
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		234,253,275		24,477,991		199,399,884		5,434,524		9,348,249		5,514,440			(15,407,905	)		49,437,917
GMO Opportunistic Income Fund, Class VI		33,470,164		9,089,231		15,472,935		1,089,231		—		599,745			(980,130	)		26,706,075
GMO Quality Fund, Class VI		29,476,103		2,811,705		17,725,714		293,796		2,517,909		2,616,554			912,696			18,091,344
GMO Risk Premium Fund, Class VI		31,514,461		653,725		29,689,096		105,039		548,686		(3,996,112	)		1,517,022			—
GMO U.S. Equity Fund, Class VI		116,800,239		16,228,116		75,827,349		1,453,535		8,150,008		(3,093,221	)		19,381,249			73,489,034
GMO U.S. Small Cap Value Fund, Class VI		86,440,407		10,162,118		58,716,238		984,875		—		(499,971	)		20,763,211			58,149,527
GMO U.S. Treasury Fund		725,851		126,735,562		102,798,958		15,338		189		47,541			(2,817	)		24,707,179
Totals	$	1,557,285,394	$	479,559,222	$	1,249,359,438	$	33,093,299	$	22,630,022	$	35,730,813		$	72,480,320		$	895,696,311
Global Developed Equity Allocation Fund
GMO Cyclical Focus Fund, Class IV	$	—	$	3,827,833	$	642,006	$	92,942	$	147,896	$	170,809		$	1,233,173		$	4,589,809
GMO Emerging Markets Fund, Class VI		7,608,658		707,652		1,034,894		295,399		—		155,974			1,061,623			8,499,013
GMO International Equity Fund, Class IV		36,181,574		4,617,203		8,165,054		1,568,833		—		(162,457	)		4,640,151			37,111,417
GMO-Usonian Japan Value Creation Fund, Class VI		—		3,229,038		222,387		40,002		1,102		25,845			462,014			3,494,510
GMO Quality Fund, Class VI		9,214,489		2,475,511		1,773,320		135,934		1,127,089		39,840			968,904			10,925,424
GMO U.S. Equity Fund, Class VI		13,571,810		3,054,135		4,528,207		205,191		875,157		(1,113,128	)		3,182,095			14,166,705
GMO U.S. Small Cap Value Fund, Class VI		6,770,087		1,488,149		1,958,898		130,197		—		(4,354	)		3,048,117			9,343,101
Totals	$	73,346,618	$	19,399,521	$	18,324,766	$	2,468,498	$	2,151,244	$	(887,471	)	$	14,596,077		$	88,129,979
Global Equity Allocation Fund
GMO Cyclical Focus Fund, Class VI	$	—	$	71,613,002	$	19,670,000	$	1,774,999	$	2,824,498	$	5,241,513		$	23,948,962		$	81,133,477
GMO Emerging Markets Fund, Class VI		405,390,168		38,823,850		64,119,187		16,143,553		—		15,563,604			55,810,369			451,468,804
GMO International Equity Fund, Class IV		608,303,007		49,520,571		188,382,713		25,267,014		—		7,228,404			70,161,752			546,831,021
GMO-Usonian Japan Value Creation Fund, Class VI		—		59,723,436		4,720,000		810,640		22,346		625,467			9,382,915			65,011,818
GMO Quality Fund, Class VI		197,661,153		32,874,763		35,660,477		3,033,166		25,239,285		3,274,043			22,451,964			220,601,446
GMO U.S. Equity Fund, Class VI		107,094,199		12,458,445		33,020,769		1,636,008		7,358,585		(172,997	)		18,048,987			104,407,865

209

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

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 (continued)
GMO U.S. Small Cap Value Fund, Class VI	$	137,186,837	$	28,543,569	$	47,884,638	$	2,608,717		$	—	$	10,080,167		$	49,953,753		$	177,879,688
Totals	$	1,455,635,364	$	293,557,636	$	393,457,784	$	51,274,097		$	35,444,714	$	41,840,201		$	249,758,702		$	1,647,334,119
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	6,103,201	$	378,173,015	$	349,113,467	$	—	*	$	—	$	121,961		$	(11,987	)	$	35,272,723
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	30,679,613	$	3,054,163	$	15,434,831	$	876,588		$	—	$	1,428,494		$	2,281,349		$	22,008,788
GMO International Equity Fund, Class IV		266,698,094		26,990,509		126,505,055		8,622,250			—		96,505			27,057,412			194,337,465
GMO-Usonian Japan Value Creation Fund, Class VI		—		7,944,715		331,728		107,676			2,968		52,300			1,287,892			8,953,179
Totals	$	297,377,707	$	37,989,387	$	142,271,614	$	9,606,514		$	2,968	$	1,577,299		$	30,626,653		$	225,299,432
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	306,462,975	$	64,192,637	$	64,521,318	$	12,690,054		$	—	$	6,968,880		$	41,772,905		$	354,876,079
GMO International Equity Fund, Class IV		550,104,514		30,282,396		168,537,116		20,915,226			—		(27,341,076	)		86,376,559			470,885,277
GMO-Usonian Japan Value Creation Fund, Class VI		—		30,424,399		—		412,762			11,379		—			5,153,415			35,577,814
Totals	$	856,567,489	$	124,899,432	$	233,058,434	$	34,018,042		$	11,379	$	(20,372,196	)	$	133,302,879		$	861,339,170
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	27,054,909	$	2,139,431	$	8,411,557	$	1,595,122		$	544,309	$	(240,910	)	$	(1,430,228	)	$	19,111,645
GMO Emerging Markets Fund, Class VI		182,753,835		5,512,629		81,300,000		5,512,629			—		14,116,480			11,329,929			132,412,873
GMO International Equity Fund, Class IV		198,303,123		20,398,884		164,304,771		3,607,233			—		4,425,976			10,018,587			68,841,799
GMO Multi-Sector Fixed Income Fund (formerly GMO Core Plus Bond Fund), Class IV		67,321,337		4,545,702		68,968,913		1,749,006			2,796,696		330,964			(3,229,090	)		—
GMO Opportunistic Income Fund, Class VI		21,226,892		670,967		5,453,377		670,967			—		255,542			(465,072	)		16,234,952
GMO Quality Fund, Class VI		57,387,212		4,583,870		34,045,000		481,083			4,102,787		491,073			2,999,740			31,416,895
GMO U.S. Equity Fund, Class VI		28,351,515		6,559,751		10,675,000		446,971			2,112,779		(2,082,384	)		7,165,470			29,319,352
GMO U.S. Small Cap Value Fund, Class VI		53,392,571		6,005,575		31,930,000		685,522			—		(205,260	)		13,881,829			41,144,715
GMO U.S. Treasury Fund		5,804,477		122,124,266		125,467,161		24,527			3,671		50,142			(11,551	)		2,500,173
Totals	$	641,595,871	$	172,541,075	$	530,555,779	$	14,773,060		$	9,560,242	$	17,141,623		$	40,259,614		$	340,982,404

* 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 $63,923 and $224,128 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

210

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

11. Reorganization

Under a plan of reorganization completed at the close of business on January 22, 2021, GMO Benchmark-Free Allocation Series Fund, GMO Global Asset Allocation Series Fund, GMO International Developed Equity Allocation Series Fund and GMO International Equity Allocation Series Fund (each, a “Selling Fund”) transferred all of their assets and liabilities to GMO Benchmark-Free Allocation Fund, GMO Global Asset Allocation Fund, GMO International Developed Equity Allocation Fund, and GMO International Equity Allocation Fund (each, an “Acquiring Fund”), respectively, in a reorganization that was approved by the shareholders and that was tax-free from a U.S. federal tax perspective. Prior to the reorganization, each Selling Fund invested all or substantially all of its assets in the corresponding Acquiring Fund and thus had the same investment program as the Acquiring Fund. The purpose of the reorganization was to provide exposure to a more efficient portfolio with substantially similar investment strategies.

The following is a summary of net assets and shares outstanding of the Acquiring Funds immediately before and after the reorganization.

	Before Reorganization		After Reorganization
GMO Benchmark-Free Allocation Fund
Net assets		$6,750,470,965		$6,754,518,332
Shares outstanding
Class III		108,377,822		90,524,956
Class R6		2,002,627		11,887,119
Class I		4,368,781		12,507,110
Net asset value per share
Class III		$25.96		$25.96
Class R6		$25.94		$25.94
Class I		$25.94		$25.94
GMO Global Asset Allocation Fund
Net assets		$899,153,309		$900,223,875
Shares outstanding
Class III		24,565,546		19,660,710
Class R6		898,368		5,278,659
Class I		11,524		566,265
Net asset value per share
Class III		$35.29		$35.29
Class R6		$35.30		$35.30
Class I		$35.29		$35.29
GMO International Developed Equity Allocation Fund
Net assets		$218,964,235		$219,048,878
Shares outstanding
Class III		12,821,136		12,333,178
Class R6		0		492,914
Net asset value per share
Class III		$17.08		$17.08
Class R6		$0.00		$17.08

211

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2021

	Before Reorganization		After Reorganization
GMO International Equity Allocation Fund
Net assets		$875,647,463		$875,775,905
Shares outstanding
Class III		18,927,199		18,550,760
Class R6		7,802,216		8,182,682
Net asset value per share
Class III		$32.76		$32.76
Class R6		$32.75		$32.75

Because each Selling Fund was invested in the corresponding Acquiring Fund and no investments were transferred to the Acquiring Fund as part of the reorganization, the Acquiring Funds’ market value of investments, cost of investments and net unrealized appreciation/(depreciation) were unchanged as a result of the reorganization. Since the reorganization did not result in transfers of investments, its impact to the Statement of Operations were not material to the Acquiring Funds. Therefore, pro forma financial statements showing the effect of the reorganization are not presented.

12. Subsequent events

Subsequent to February 28, 2021, GMO Global Asset Allocation Fund received redemption requests in the amount of $114,763,684. GMO also received notification from a shareholder of their intent to redeem approximately 17% of the Fund at the end of April.

Subsequent to February 28, 2021, GMO Strategic Opportunities Allocation Fund received redemption requests in the amount of $172,419,189.

212

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, and GMO Strategic Opportunities Allocation Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, the statement of cash flows for GMO Alternative Allocation Fund for the year ended February 28, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2021, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below, the cash flows of GMO Alternative Allocation Fund for the year ended February 28, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Strategic Opportunities Allocation Fund	Statements of operations for the year ended February 28, 2021 and the statements of changes in net assets for each of the two years in the period ended February 28, 2021
GMO Alternative Allocation Fund	Statements of operations for the year ended February 28, 2021 and changes in net assets for the year ended February 28, 2021 and for the period May 1, 2019 (commencement of operations) through February 29, 2020

Basis for Opinions

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, MA

April 27, 2021

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

213

GMO Trust Funds

Fund Expenses

February 28, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2021.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2020 through February 28, 2021.

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. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$1,000.60		$6.60		$1,000.00		$1,018.20		$6.66		1.33%
Class R6		$1,000.00		$1,000.00		$7.39		$1,000.00		$1,017.41		$7.45		1.49%
Class I		$1,000.00		$999.60		$7.93		$1,000.00		$1,016.86		$8.00		1.60%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,068.50		$5.08		$1,000.00		$1,019.89		$4.96		0.99%
Class IV		$1,000.00		$1,068.50		$4.82		$1,000.00		$1,020.13		$4.71		0.94%
Class MF		$1,000.00		$1,068.80		$4.82		$1,000.00		$1,020.13		$4.71		0.94%
Class R6		$1,000.00		$1,068.50		$5.18		$1,000.00		$1,019.79		$5.06		1.01%
Class I		$1,000.00		$1,068.20		$5.59		$1,000.00		$1,019.39		$5.46		1.09%
Benchmark-Free Fund
Class III		$1,000.00		$1,085.70		$1.71		$1,000.00		$1,023.16		$1.66		0.33%
Global Asset Allocation Fund
Class III		$1,000.00		$1,110.40		$3.24		$1,000.00		$1,021.72		$3.11		0.62%
Class R6		$1,000.00		$1,110.70		$3.30		$1,000.00		$1,021.67		$3.16		0.63%
Class I(a)		$1,000.00		$1,006.10		$1.06		$1,000.00		$1,021.18		$3.66		0.73%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,193.50		$2.77		$1,000.00		$1,022.27		$2.56		0.51%

214

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2021 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Global Equity Allocation Fund
Class III		$1,000.00		$1,194.00		$3.05		$1,000.00		$1,022.02		$2.81		0.56%
Class R6		$1,000.00		$1,194.00		$3.05		$1,000.00		$1,022.02		$2.81		0.56%
Class I		$1,000.00		$1,193.70		$3.59		$1,000.00		$1,021.52		$3.31		0.66%
Implementation Fund
Core Class		$1,000.00		$1,074.30		$1.08		$1,000.00		$1,023.75		$1.05		0.21%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,169.20		$3.28		$1,000.00		$1,021.77		$3.06		0.61%
Class R6(b)		$1,000.00		$992.40		$0.63		$1,000.00		$1,021.72		$3.11		0.62%
International Equity Allocation Fund
Class III		$1,000.00		$1,172.80		$3.50		$1,000.00		$1,021.57		$3.26		0.65%
Class R6		$1,000.00		$1,172.90		$3.50		$1,000.00		$1,021.57		$3.26		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$986.50		$4.93		$1,000.00		$1,019.84		$5.01		1.00%
Class VI		$1,000.00		$986.80		$4.48		$1,000.00		$1,020.28		$4.56		0.91%
Class I(c)		$1,000.00		$1,013.00		$4.84		$1,000.00		$1,019.29		$5.56		1.11%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,144.40		$2.71		$1,000.00		$1,022.27		$2.56		0.51%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2021, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

^(a)  For the period January 6, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 53 days in the period, divided by 365 days in the year.

^(b)  For the period January 22, 2021 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2021, multiplied by the average account value over the period, multiplied by 37 days in the period, divided by 365 days in the year.

^(c)  For the period September 23, 2020 (commencement of operations) through February 28, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 2021, multiplied by the average account value over the period, multiplied by 158 days in the period, divided by 365 days in the year.

215

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2021 (Unaudited)

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

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2021:

Fund Name	Dividend Received Deduction (corporate shareholders)(1)		Qualified Dividend Income (non-corporate shareholders)(1)		U.S. Government Obligation Income(1)(2)		Interest- Related Dividend Income(3) ($)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid(4) ($)		Foreign Source Income(4) ($)		Section 199A Dividend Income (non-corporate shareholders) ($)(5)
Consolidated Alternative Allocation Fund		3.84%		15.07%		5.93%		—		—		—		—		—
Benchmark-Free Allocation Fund		4.91%		57.80%		2.15%		23,804,713		48,160,322		14,826,072		147,053,060		668,007
Benchmark-Free Fund		3.11%		56.37%		1.67%		6,763,265		—		—		—		205,310
Global Asset Allocation Fund		8.87%		35.24%		3.79%		3,974,087		—		901,093		7,100,327		91,695
Global Developed Equity Allocation Fund		17.03%		62.01%		—		30,134		—		35,652		283,001		12,123
Global Equity Allocation Fund		13.54%		61.85%		—		—		—		1,834,758		14,446,797		242,657
Consolidated Implementation Fund		7.34%		88.50%		2.99%		21,030,072		—		14,392,276		146,610,456		668,007
International Developed Equity Allocation Fund		—		65.93%		—		—		—		104,482		831,626		—
International Equity Allocation Fund		—		64.00%		—		—		—		1,426,178		11,189,950		—
Consolidated SGM Major Markets Fund		—		—		100.00%		244,999		7,770,224		—		—		—
Strategic Opportunities Allocation Fund		11.77%		52.29%		2.95%		1,796,648		6,846,276		909,592		7,966,519		79,916

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

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

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

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

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

In early 2022, the Funds will notify applicable shareholders of amounts for use in preparing 2021 U.S. federal income tax forms.

216

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2021. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Feigelson, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen		Other Directorships Held in the Past Five Years
Donald W. Glazer YOB: 1944	Chairman of the Board of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business; Author of Legal Treatises.		29	Director, BeiGene Ltd. (biotech).
Peter Tufano YOB: 1957	Trustee	Since December 2008.	Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).		29	Trustee of State Street Navigator Securities Lending Trust (5 Portfolios) (January 1993 – June 2015).
Paul Braverman YOB: 1949	Trustee	Since March 2010.	Retired		29	Trustee HIMCO Variable Insurance Trust (27 Portfolios) April 2014 – April 2019).

Interested Trustee and Officer
Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen		Other Directorships Held in the Past Five Years
Jonathan Feigelson1 YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019.	General Counsel, Grantham, Mayo, Van Otterloo & Co LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director General Counsel, head of Regulatory Affairs and Director of Corporate Governance at TIAA -CREF (2006 – 2016)		29	None.

¹  Mr. Feigelson is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above.

217

Officers
Name and Year of Birth	Position(s) Held with Trust	Length of Time Served	Principal Occupation(s) During Past Five Years*
Jonathan Feigelson YOB: 1962	Trustee; President of the Trust	Trustee and President since September 2019	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (May 2019 – present); General Counsel and Head of Human Resources at iCapital Network, Inc. (2017 – 2019); Senior Managing Director, General Counsel, Head of Regulatory Affairs and Director of Corporate Governance at TIAA -CREF (2006 – 2016).
Tara Pari YOB: 1976	Chief Executive Officer	Chief Executive Officer since November 2020.	Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – November 2020); Head of Fund Reporting and Risk and Controls, Grantham, Mayo, Van Otterloo & Co. LLC (November 2020 to present).
Betty Maganzini YOB: 1972	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer, Chief Accounting Officer and Chief Financial Officer since September 2018; Assistant Treasurer, September 2013 – September 2018.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present).
John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).
Susan Saw YOB: 1981	Assistant Treasurer	Since September 2019.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (March 2011 – present).
Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present).
Devin Kelly YOB: 1984	Assistant Treasurer	Since June 2020	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2012 – present).
Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).
Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President – Law and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).
Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).
Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present).
Kelly Butler YOB: 1974	Anti – Money Laundering Officer	Since March 2020.	Compliance Manager (March 2016 – present; Compliance Specialist, Grantham, Mayo, Van Otterloo & Co. LLC (November 2007 – March 2016).

* Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

218

AR-022821-AA

Item 2. Code of Ethics.

As of February 28, 2021, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2021 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2021 and 2020 were $1,379,851 and $1,564,726, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2021 and 2020 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $107,695 and $37,173, respectively. The aggregate fees billed in 2021 and 2020 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $394,551 and $443,735, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2021 and 2020 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $517,625 and $505,503, respectively. The aggregate fees billed in 2021 and 2020 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2021 or 2020.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2021 and 2020 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,054,871 and $1,021,411, respectively. For the fiscal year ended February 28, 2021, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 29, 2020, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

* Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: April 30, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: April 30, 2021

By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: April 30, 2021

EX-99.CODE ETH

Code of Ethics for Principal Executive GMO Trust

Officer and Principal Accounting Officer

Adoption: November 30, 2003

Last Revision: January 26, 2021

I. Covered Officers/Purpose of the Code

This code of ethics (the “Code”) for GMO Trust (the “Trust”) and each series thereof constituting a separate investment portfolio (the “Funds”) applies to the Trust’s Principal Executive Officer and Principal Accounting Officer (the “Covered Officers”). The Code is intended to promote:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to high standards of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.¹

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or that Officer’s service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of that Officer’s position in the Trust.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”), the Trust’s investment adviser, of which the Covered Officers are also members, officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust or GMO, or for both), be involved in establishing policies and implementing decisions which will have different effects on GMO and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and GMO and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. In addition, it is recognized by the trustees of the Trust (the “Trustees”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other Codes. These types of conflicts are addressed by the Investment Company Act, the Investment Advisers Act and other policies and procedures of the Trust.

¹ Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (15 U.S.C. § 7264).

Not for external distribution unless otherwise approved in advance by GMO’s Compliance Department.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. In reading the following examples of conflicts of interest under the Code, Covered Officers should keep in mind that such a list cannot ever be exhaustive by covering every possible scenario. It follows that the overarching principle – that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust – should be the guiding principle in all circumstances. Each Covered Officer must:

• not use personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

• not cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Trust;

• not use material non-public knowledge of portfolio transactions made or contemplated for the Trust to profit personally or cause others to profit, by the market effect of such transactions;

• not retaliate against any employee or Covered Officer for reports of potential violations of law that are made in good faith.

There are some conflict of interest situations that should always be discussed with the Trust’s Chief Legal Officer if material. Examples of these include:

• any outside business activity other than with GMO and its affiliates that detracts from an individual’s ability to devote appropriate time and attention to his responsibilities with the Trust;

• service as a director on the board (or equivalent position) of any company;

• the receipt of any non-nominal gifts in excess of the amount stated in GMO’s Gift Policy;

• the receipt of any entertainment from any company with which the Trust has current or prospective business dealings unless such entertainment is business- related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

• any ownership interest in, or any consulting or employment relationship with, any of the Trust’s service providers, other than GMO and its affiliates;

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

III. Disclosure

• Each Covered Officer must be familiar with the disclosure requirements applicable to the Trust and the Funds’ disclosure controls and procedures;

• Each Covered Officer must not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, whether within or outside the Trust, including to the Trustees and auditors, and to governmental regulators and self-regulatory organizations; and

• It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable, laws, rules and regulations.

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IV. Reporting and Accountability

Each Covered Officer must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Trust that the Covered Officer has received, read, and understands the Code (Exhibit A).

• annually thereafter affirm to the Trust that the Covered Officer has complied with the requirements of the Code by completing the Annual Report within GMO’s online Code of Ethics system.

• report at least annually affiliations and potential conflicts by completing the Quarterly Reports within GMO’s online Code of Ethics system.

• notify the Trust’s Chief Legal Officer and the Chairman of the Trust’s Audit Committee promptly if Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Trust’s Chief Legal Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers sought by any Covered Officer must be considered by the Trust’s Audit Committee.

The Trust will follow these procedures in investigating and enforcing this Code:

• the Trust’s Chief Legal Officer will take all appropriate action to investigate any violations and potential violations reported to him;

• if, after such investigation, the Trust’s Chief Legal Officer believes that no violation has occurred, the Chief Legal Officer is not required to take any further action; any matter the Trust’s Chief Legal Officer believes is or may be a violation will be reported to the Trust’s Audit Committee;

• if the Audit Committee determines that a violation has occurred, it will inform and make a recommendation to the Trustees, which will consider appropriate action which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of GMO or its board; or a recommendation to dismiss the Covered Officer as an officer of the Trust; and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

The Trust’s Code of Ethics pursuant to Rule 17j-1 under the Investment Company Act, GMO’s Code of Ethics pursuant to Rule 204A-1 under the Investment Advisers Act, and GMO’s more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code. This Code does not, and is not intended to, repeat or replace these programs and procedures.

VI. Amendments

This Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Trustees, including a majority of independent Trustees.

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VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code or in response to a request from a regulatory agency or self-regulatory organization, such matters shall not be disclosed to anyone other than the Audit Committee, the Trustees, their respective counsel, and GMO and its counsel.

VIII. Internal Use

The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of any Trust, as to any fact, circumstance, or legal conclusion and does not create any rights of third parties.

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EXHIBIT A²

Principal Officers Code Acknowledgement

Section IV of the Code of Ethics for Principal Executive Officer and Principal Financial Officer (the “Code”) requires that each Covered Officer, upon adoption of the Code, affirm in writing to the Trust that the Covered Officer has received, read, and understands the Code. By executing this, the undersigned makes such affirmation.

² As of December 21, 2017.

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EX-99.CERT

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Tara Pari, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: April 30, 2021	/s/ Tara Pari
	Tara Pari, Principal Executive Officer

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Betty Maganzini, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: April 30, 2021	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer

EX-99.906 CERT

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Tara Pari, Principal Executive Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended February 28, 2021 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Tara Pari

Tara Pari
Principal Executive Officer
Date:	April 30, 2021

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Betty Maganzini, Principal Financial Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended February 28, 2021 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Betty Maganzini

Betty Maganzini
Principal Financial Officer
Date:	April 30, 2021

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.