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: 02/28/22

Date of reporting period: 08/31/21

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2021 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2021

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus 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
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Domestic Opportunities Fund
Investment Concentration Summary	4
Schedule of Investments	5
Emerging Markets Fund
Investment Concentration Summary	9
Schedule of Investments	10
International Equity Fund
Investment Concentration Summary	17
Schedule of Investments	18
Japan Value Creation Fund
Investment Concentration Summary	22
Schedule of Investments	23
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Investment Concentration Summary	25
Schedule of Investments	26
Quality Fund
Investment Concentration Summary	28
Schedule of Investments	29
Resources Fund
Investment Concentration Summary	31
Schedule of Investments	32
Tax-Managed International Equities Fund
Investment Concentration Summary	35
Schedule of Investments	36
U.S. Equity Fund
Investment Concentration Summary	41
Schedule of Investments	42
U.S. Small Cap Value Fund
Investment Concentration Summary	46
Schedule of Investments	47
Portfolio, Counterparty and Currency Abbreviations	51
Fund Financial Statements:
Statements of Assets and Liabilities	52
Statements of Operations	58
Statements of Changes in Net Assets	61
Financial Highlights	67
Notes to Financial Statements	99
Board Review of Investment Management Agreements	147
Liquidity Risk Management Program	160
Fund Expenses	161

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.2	%
Mutual Funds		3.6
Preferred Stocks		1.7
Other		(0.5	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		50.7	%
Canada		10.8
China		5.4
Japan		4.3
France		4.1
Russia		2.8
Mexico		2.6
Spain		2.5
Other Developed		2.4	‡
Other Emerging		2.4	†
Australia		2.1
United Kingdom		1.8
Chile		1.7
Finland		1.5
South Korea		1.4
Norway		1.3
Brazil		1.2
Italy		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Clean Energy		51.0	%
Energy Efficiency		17.6
Agriculture		13.1
Copper		7.8
Electric Grid		6.2
Water		4.3
		100.0	%

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

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

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

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

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

1

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.2%
		Argentina — 0.9%
	506,515	Adecoagro SA *		4,735,915
		Australia — 2.1%
	320,055	Clean TeQ Water Ltd * (a)		167,407
	593,886	Sandfire Resources Ltd		2,798,104
	640,111	Sunrise Energy Metals Ltd * (a)		845,545
	201,055	Tassal Group Ltd (a)		525,285
	3,117,208	Western Areas Ltd (a)		6,993,711
		Total Australia		11,330,052
		Brazil — 1.3%
	739,678	Sao Martinho SA		4,597,596
	288,600	SLC Agricola SA		2,273,839
		Total Brazil		6,871,435
		Canada — 10.9%
	264,800	Anaergia Inc *		4,858,812
	629,474	Canadian Solar Inc * (a)		23,271,654
	334,100	First Quantum Minerals Ltd		6,959,258
	2,405,900	Greenlane Renewables Inc * (a)		2,784,143
	1,254,401	Ivanhoe Mines Ltd – Class A *		10,121,509
	680,015	Largo Resources Ltd * (a)		9,383,792
	110,000	NFI Group Inc (a)		2,652,241
		Total Canada		60,031,409
		China — 5.4%
	1,609,000	Chaowei Power Holdings Ltd (a)		498,467
	6,548,919	China High Speed Transmission Equipment Group Co Ltd * (a)		4,737,154
	2,508,000	China Longyuan Power Group Corp Ltd – Class H		5,111,675
	2,520,000	China Water Affairs Group Ltd (a)		2,513,373
	149,600	Hollysys Automation Technologies Ltd		2,939,640
	120,622	Sungrow Power Supply Co Ltd – Class A		2,933,715
	1,264,000	Tianneng Power International Ltd (a)		1,691,679
	2,432,000	Wasion Group Holdings Ltd		795,895
	1,998,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		3,831,881
	1,177,576	Yutong Bus Co Ltd – Class A		2,242,532
	405,985	Zhuzhou CRRC Times Electric Co Ltd – Class H *		2,440,026
		Total China		29,736,037
		Denmark — 0.5%
	66,393	Vestas Wind Systems A/S		2,679,012
		Finland — 1.5%
	201,545	Kemira Oyj		3,403,493

Shares		Description	Value ($)
		Finland — continued
	80,477	Neste Oyj		4,902,009
		Total Finland		8,305,502
		France — 4.1%
	405,231	Electricite de France SA		5,495,692
	135,071	Nexans SA		13,539,236
	90,538	Valeo SA		2,584,186
	17,193	Vilmorin & Cie SA		1,112,776
		Total France		22,731,890
		Germany — 0.4%
	13,452	Siemens AG (Registered)		2,231,617
		India — 0.1%
	106,025	VA Tech Wabag Ltd *		486,773
		Italy — 1.0%
	627,299	Enel SPA		5,714,969
		Japan — 4.3%
	112,200	Ebara Corp		5,577,124
	101,900	GS Yuasa Corp		2,387,456
	86,100	Kurita Water Industries Ltd		4,038,205
	70,000	Osaki Electric Co Ltd		355,970
	235,200	Panasonic Corp		2,811,832
	510,500	Renesas Electronics Corp *		5,466,380
	38,000	Takuma Co Ltd		572,633
	42,800	Tsukishima Kikai Co Ltd		449,652
	139,100	Yokogawa Electric Corp		2,175,970
		Total Japan		23,835,222
		Mexico — 2.6%
	3,006,252	Grupo Mexico SAB de CV – Series B		13,938,567
	307,515	Grupo Rotoplas SAB de CV * (a)		509,259
		Total Mexico		14,447,826
		Netherlands — 0.8%
	93,792	Arcadis NV		4,644,130
		Norway — 1.4%
	577,245	Austevoll Seafood ASA		7,413,586
		Pakistan — 0.1%
	1,173,337	Fauji Fertilizer Co Ltd		747,208
		Philippines — 0.1%
	4,653,200	Nickel Asia Corp		527,980
		Russia — 2.9%
	207,240	MMC Norilsk Nickel PJSC ADR		6,819,182
	311,602	PhosAgro PJSC GDR (Registered)		6,132,470

2 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	169,638	Ros Agro Plc GDR (Registered)		2,721,083
		Total Russia		15,672,735
		South Korea — 1.4%
	11,765	LG Chem Ltd		7,666,145
		Spain — 2.5%
	24,999	Acciona SA (a)		4,064,348
	183,329	Endesa SA		4,407,627
	49,127	Fomento de Construcciones y Contratas SA		627,910
	215,918	Red Electrica Corp SA		4,306,168
	81,853	Talgo SA * (a)		446,152
		Total Spain		13,852,205
		Switzerland — 0.6%
	1,715	Gurit Holding AG		3,543,735
		Taiwan — 0.4%
	216,000	Delta Electronics Inc		2,104,045
		Thailand — 0.2%
	1,992,200	SPCG Pcl		1,118,438
		Ukraine — 0.6%
	219,994	Kernel Holding SA		3,287,859
		United Kingdom — 1.8%
	936,057	Drax Group Plc		5,337,899
	91,699	Go-Ahead Group Plc *		1,188,349
	349,530	Renewi Plc *		2,631,136
	1,011,768	Stagecoach Group Plc *		998,805
		Total United Kingdom		10,156,189
		United States — 47.3%
	432,020	Aemetis, Inc. * (a)		4,804,062
	95,900	AGCO Corp.		13,197,758
	305,092	Ameresco, Inc. – Class A *		21,097,112
	248,686	BorgWarner, Inc.		10,613,919
	2,747,789	Clean Energy Fuels Corp. *		21,789,967
	285,996	Darling Ingredients, Inc. *		21,306,702
	18,200	Deere & Co.		6,880,146
	20,600	Emerson Electric Co.		2,173,300
	36,100	EnerSys		3,053,699
	96,313	Exelon Corp.		4,721,263
	208,490	Freeport-McMoRan, Inc.		7,586,951
	2,341,256	GrafTech International Ltd.		25,917,704
	152,000	Green Plains, Inc. *		5,335,200
	45,700	Johnson Controls International Plc		3,418,360
	266,880	Livent Corp. * (a)		6,637,306
	582,461	Montauk Renewables, Inc. * (a)		4,811,128
	503,347	Mosaic Co. (The)		16,197,707

Shares		Description	Value ($)
		United States — continued
	30,200	MYR Group, Inc. *		3,141,102
	63,479	ON Semiconductor Corp. *		2,815,928
	75,833	Owens Corning		7,245,843
	50,300	Quanta Services, Inc.		5,135,630
	314,460	Renewable Energy Group, Inc. *		15,226,153
	27,300	Rice Acquisition Corp. – Class A *		436,800
	55,300	Sensata Technologies Holding Plc *		3,272,654
	47,709	SolarEdge Technologies, Inc. *		13,825,114
	479,275	Sunrun, Inc. * (a)		21,207,919
	26,729	TE Connectivity Ltd.		4,015,230
	18,600	Valmont Industries, Inc.		4,628,796
		Total United States		260,493,453
		TOTAL COMMON STOCKS (COST $477,117,334)		524,365,367
		PREFERRED STOCKS (b) — 1.7%
		Chile — 1.7%
	179,838	Sociedad Quimica y Minera de Chile SA Sponsored ADR		9,378,552
		TOTAL PREFERRED STOCKS (COST $8,226,220)		9,378,552
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	3,963,632	GMO U.S. Treasury Fund (c)		19,976,703
		TOTAL MUTUAL FUNDS (COST $19,963,316)		19,976,703
		TOTAL INVESTMENTS — 100.6% (Cost $505,306,870)		553,720,622
		Other Assets and Liabilities (net) — (0.6%)		(3,038,456	)
		TOTAL NET ASSETS — 100.0%		$550,682,166

Notes to Schedule of Investments:

* Non-income producing security.

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

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

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

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

See accompanying notes to the financial statements. 3

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.6	%
Investment Funds		9.5
Mutual Funds		2.7
Short-Term Investments		1.4
Preferred Stocks		0.4
Futures Contracts		0.0	^
Other		0.4
		100.0	%
Country/Region Summary¤	% of Investments
China		27.1	%
India		15.9
Taiwan		12.1
United States		11.4
South Korea		7.1
Russia		6.6
Mexico		4.4
Brazil		4.2
Hong Kong		2.5
South Africa		2.2
Saudi Arabia		1.2
Japan		0.9
Philippines		0.9
Vietnam		0.6
Qatar		0.6
Thailand		0.5
Hungary		0.4
Switzerland		0.4
Singapore		0.4
Greece		0.3
Netherlands		0.3
Poland		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.6	%
Media & Entertainment		11.3
Semiconductors & Semiconductor Equipment		9.1
Technology Hardware & Equipment		8.6
Retailing		7.4
Software & Services		6.8
Food, Beverage & Tobacco		5.8
Diversified Financials		4.8
Consumer Durables & Apparel		4.1
Materials		3.8
Food & Staples Retailing		2.7
Capital Goods		2.5
Automobiles & Components		2.1
Insurance		2.0
Telecommunication Services		1.5
Pharmaceuticals, Biotechnology & Life Sciences		1.4
Health Care Equipment & Services		1.3
Transportation		1.1
Utilities		1.1
Household & Personal Products		1.1
Consumer Services		1.0
Real Estate		0.7
Commercial & Professional Services		0.7
Energy		0.5
		100.0	%

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

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

# 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%.

4

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 85.6%
		Brazil — 3.7%
	1,091,400	Atacadao SA		3,830,918
	311,700	Blau Farmaceutica SA		3,089,391
	522,600	Intelbras SA Industria de Telecomunicacao Eletronica Brasileira		2,920,852
	3,345,600	JHSF Participacoes SA		4,276,788
	2,300	MercadoLibre Inc *		4,295,135
	1,467,600	Movida Participacoes SA		5,250,754
	4,640,000	Multilaser Industrial SA *		8,345,324
	764,200	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		2,247,908
		Total Brazil		34,257,070
		China — 24.7%
	11,258,000	Agricultural Bank of China Ltd – Class H		3,774,108
	179,400	Alibaba Group Holding Ltd *		3,756,563
	26,261	Alibaba Group Holding Ltd Sponsored ADR *		4,385,324
	472,000	Alibaba Health Information Technology Ltd *		779,074
	18,400	Baidu Inc Sponsored ADR *		2,889,168
	6,500	Bilibili Inc Sponsored ADR *		521,495
	249,500	BYD Co Ltd – Class H		8,387,965
	21,540,000	China Construction Bank Corp – Class H		15,520,812
	4,506,800	China International Capital Corp Ltd – Class H		10,479,533
	1,138,000	China Mengniu Dairy Co Ltd *		6,844,797
	2,075,002	China Merchants Bank Co Ltd – Class H		17,113,797
	5,532,000	China Modern Dairy Holdings Ltd		1,108,196
	209,000	Country Garden Services Holdings Co Ltd		1,594,818
	514,000	Geely Automobile Holdings Ltd		1,862,851
	560,000	GoerTek Inc – Class A		4,032,648
	407,000	Haier Smart Home Co Ltd – Class A		1,702,449
	187,000	Hua Hong Semiconductor Ltd *		1,100,545
	8,768,000	Industrial & Commercial Bank of China Ltd – Class H		4,882,675
	25,500	JD.com Inc ADR *		2,003,280
	502,750	JD.com Inc – Class A *		19,758,856
	167,897	Jiangsu Hengli Hydraulic Co Ltd – Class A		2,469,996
	6,886	Kweichow Moutai Co Ltd – Class A		1,661,386
	354,000	Li Ning Co Ltd		4,747,059
	590,000	Man Wah Holdings Ltd		1,102,440
	269,100	Meituan – Class B *		8,604,354
	383,900	Midea Group Co Ltd – Class A		3,923,173
	26,275	NetEase Inc ADR		2,559,711
	31,100	New Oriental Education & Technology Group Inc *		67,956
	69,900	New Oriental Education & Technology Group Inc Sponsored ADR *		157,974
	70,000	NIO Inc ADR*		2,751,700
	30,100	Pinduoduo Inc ADR*		3,010,602
	1,796,802	Ping An Bank Co Ltd – Class A		4,944,738
	311,000	Ping An Insurance Group Co of China Ltd – Class H		2,408,097

Shares		Description	Value ($)
		China — continued
	3,219,000	Postal Savings Bank of China Co Ltd – Class H		2,319,044
	148,900	Proya Cosmetics Co Ltd – Class A		3,622,866
	152,300	SF Holding Co Ltd – Class A		1,358,805
	73,009	Shanghai Baosight Software Co Ltd – Class A		793,825
	49,383	Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A		2,511,905
	288,600	Shenzhou International Group Holdings Ltd		6,255,728
	82,800	Sunny Optical Technology Group Co Ltd		2,505,658
	285,008	Suofeiya Home Collection Co Ltd – Class A		817,379
	619,884	Tencent Holdings Ltd		38,285,759
	612,000	Tsingtao Brewery Co Ltd – Class H		5,007,649
	10,500	Weibo Corp Sponsored ADR *		530,460
	10,400	WuXi AppTec Co Ltd – Class H		207,408
	209,000	Wuxi Biologics Cayman Inc *		3,235,728
	1,297,800	Xiaomi Corp – Class B *		4,183,344
	130,600	Yum China Holdings Inc		8,039,736
		Total China		230,583,434
		Greece — 0.3%
	3,120,609	Eurobank Ergasias Services and Holdings SA *		2,973,867
		Hong Kong — 0.7%
	515,200	AIA Group Ltd		6,151,861
		Hungary — 0.4%
	66,472	OTP Bank Nyrt *		4,014,361
		India — 17.6%
	660,867	Action Construction Equipment Ltd		2,148,826
	424,053	Ambuja Cements Ltd		2,446,150
	64,219	Apollo Hospitals Enterprise Ltd		4,375,598
	56,181	Asian Paints Ltd		2,460,053
	196,753	Axis Bank Ltd *		2,113,446
	19,728	Bajaj Finance Ltd		2,027,839
	57,861	Britannia Industries Ltd		3,152,068
	174,339	Central Depository Services India Ltd		2,837,263
	524,883	Crompton Greaves Consumer Electricals Ltd		3,402,642
	603,044	Fortis Healthcare Ltd *		2,388,493
	3,904,869	Gayatri Projects Ltd *		2,649,074
	332,702	Godrej Consumer Products Ltd *		5,006,893
	878,448	Gujarat Gas Ltd		8,647,614
	939,902	HCL Technologies Ltd		15,157,131
	194,058	HDFC Bank Ltd		4,184,032
	1,001,356	ICICI Bank Ltd		9,792,527
	783,611	Infosys Ltd		18,359,216
	178,758	Jubilant Ingrevia Ltd		1,818,114
	101,297	L&T Technology Services Ltd		5,432,788
	96,431	Larsen & Toubro Ltd		2,204,299
	1,094,319	Laxmi Organic Industries Ltd (a) (b)		6,597,624
	311,684	Max Financial Services Ltd *		4,645,247
	327,965	Muthoot Finance Ltd		6,806,005

See accompanying notes to the financial statements. 5

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		India — continued
	191,402	Natco Pharma Ltd		2,464,942
	46,769	Navin Fluorine International Ltd		2,577,348
	137,656	Reliance Industries Ltd		4,245,244
	722,325	Rupa & Co Ltd		4,272,969
	227,720	SBI Cards & Payment Services Ltd *		3,566,351
	15,999	SRF Ltd		2,228,857
	553,055	State Bank of India		3,212,706
	207,234	Sun Pharmaceutical Industries Ltd		2,252,997
	69,142	Tata Consultancy Services Ltd		3,590,059
	283,778	Tata Consumer Products Ltd		3,364,837
	574,395	UPL Ltd		5,804,071
	839,959	Wipro Ltd		7,363,463
		Total India		163,596,786
		Japan — 0.9%
	32,800	Daikin Industries Ltd		8,185,127
		Mexico — 4.3%
	8,701,600	America Movil SAB de CV – Series L		8,530,895
	5,071,000	Cemex SAB de CV *		4,186,277
	643,800	Fomento Economico Mexicano SAB de CV		5,593,982
	1,955,500	Grupo Financiero Banorte SAB de CV – Class O		12,907,819
	2,597,024	Wal-Mart de Mexico SAB de CV		9,215,789
		Total Mexico		40,434,762
		Netherlands — 0.3%
	2,882	ASML Holding NV		2,403,551
		Philippines — 0.8%
	60,245	Globe Telecom Inc		3,297,904
	229,420	GT Capital Holdings Inc		2,486,863
	2,467,700	Puregold Price Club Inc		2,068,492
		Total Philippines		7,853,259
		Poland — 0.0%
	11,137	Allegro.eu SA *		206,654
		Qatar — 0.5%
	959,950	Qatar National Bank QPSC		5,052,368
		Russia — 3.2%
	250,779	Fix Price Group Ltd GDR * (c)		2,341,022
	292,883	Sberbank of Russia PJSC Sponsored ADR		5,230,568
	146,049	TCS Group Holding Plc GDR (Registered)		12,917,096
	124,200	Yandex NV – Class A *		9,550,980
		Total Russia		30,039,666
		Singapore — 0.4%
	10,600	Sea Ltd ADR *		3,586,192

Shares		Description	Value ($)
		South Africa — 1.4%
	36,880	Capitec Bank Holdings Ltd		4,826,609
	16,809	Naspers Ltd – N Shares		2,900,209
	291,111	Nedbank Group Ltd *		3,709,765
	160,049	Shoprite Holdings Ltd		2,022,769
		Total South Africa		13,459,352
		South Korea — 6.9%
	146,569	Cheil Worldwide Inc		2,915,378
	14,417	E-MART Inc		2,221,298
	16,082	Hyundai Mobis Co Ltd		3,838,820
	24,499	Kakao Corp		3,268,923
	173,803	KB Financial Group Inc		7,906,304
	3,330	LG Chem Ltd		2,169,848
	23,194	LG Electronics Inc		2,832,721
	9,187	NAVER Corp		3,478,537
	440,430	Samsung Electronics Co Ltd		29,076,409
	3,169	Samsung SDI Co Ltd		2,159,948
	43,761	SK Hynix Inc		4,006,776
	2,358	SK Telecom Co Ltd		606,264
		Total South Korea		64,481,226
		Switzerland — 0.4%
	31,359	Nestle SA (Registered)		3,960,288
		Taiwan — 11.9%
	2,464,000	AU Optronics Corp		1,553,535
	665,450	Chailease Holding Co Ltd		6,383,803
	6,409,000	CTBC Financial Holding Co Ltd		5,312,003
	535,000	Delta Electronics Inc		5,211,407
	981,000	E Ink Holdings Inc		2,756,035
	2,981,724	E.Sun Financial Holding Co Ltd		2,858,264
	443,000	Elan Microelectronics Corp		2,509,708
	973,000	Fubon Financial Holding Co Ltd		2,980,334
	301,000	Giant Manufacturing Co Ltd		3,637,890
	184,000	MediaTek Inc		5,966,609
	2,412,000	Mega Financial Holding Co Ltd		2,852,771
	109,000	Quanta Computer Inc		308,259
	16,000	Silergy Corp		2,288,296
	399,000	Sinbon Electronics Co Ltd		3,104,347
	2,488,800	Taiwan Semiconductor Manufacturing Co Ltd		54,592,378
	109,000	Yageo Corp		1,876,594
	7,027,000	Yuanta Financial Holding Co Ltd		6,330,087
		Total Taiwan		110,522,320
		Thailand — 0.5%
	1,339,900	CP ALL Pcl (Foreign Registered)		2,701,275
	425,200	Kasikornbank Pcl (Foreign Registered)		1,618,743
		Total Thailand		4,320,018

6 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — 6.1%
	60,000	Apple, Inc.		9,109,800
	60,300	Facebook, Inc. – Class A *		22,876,614
	99,500	PepsiCo, Inc.		15,560,805
	38,800	Visa, Inc. – Class A		8,889,080
		Total United States		56,436,299
		Vietnam — 0.6%
	1,200,000	Bank for Foreign Trade of Vietnam JSC		5,232,948
		TOTAL COMMON STOCKS (COST $744,025,770)		797,751,409
		PREFERRED STOCKS (d) — 0.4%
		Brazil — 0.4%
	668,900	Itau Unibanco Holding SA		4,002,430
		TOTAL PREFERRED STOCKS (COST $3,601,840)		4,002,430
		INVESTMENT FUNDS — 9.5%
		China — 1.9%
	241,400	iShares MSCI China ETF		17,088,706
		Russia — 3.3%
	1,044,700	VanEck Vectors Russia ETF		30,588,816
		Saudi Arabia — 1.2%
	273,500	iShares MSCI Saudi Arabia ETF		11,276,405

Shares		Description	Value ($)
		South Africa — 0.7%
	132,500	iShares MSCI South Africa ETF		6,548,150
		United States — 2.4%
	353,030	iShares Core MSCI Emerging Markets ETF		22,625,693
		TOTAL INVESTMENT FUNDS (COST $83,091,887)		88,127,770
		MUTUAL FUNDS — 2.7%
		United States — 2.7%
		Affiliated Issuers — 2.7%
	4,992,735	GMO U.S. Treasury Fund		25,163,385
		TOTAL MUTUAL FUNDS (COST $25,160,104)		25,163,385
		SHORT-TERM INVESTMENTS — 1.4%
		Money Market Funds — 1.4%
	12,718,217	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		12,718,217
		TOTAL SHORT-TERM INVESTMENTS (COST $12,718,217)		12,718,217
		TOTAL INVESTMENTS — 99.6% (Cost $868,597,818)		927,763,211
		Other Assets and Liabilities (net) — 0.4%		3,594,337
		TOTAL NET ASSETS — 100.0%		$931,357,548

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2021
Laxmi Organic Industries Ltd	03/02/21	$	1,924,110	0.71%	$	6,597,624

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
289	HSCEI Futures	September 2021	$	16,990,820	$	259,435
Sales
538	SGX Nifty 50	September 2021	$	18,377,779	$	(504,873	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

As of August 31, 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 security is restricted as to resale.

(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 August 31, 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 51.

8 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		92.5	%
Preferred Stocks		3.2
Debt Obligations		2.2
Investment Funds		1.1
Short-Term Investments		0.6
Swap Contracts		0.1
Futures Contracts		(0.6	)
Other		0.9
		100.0	%

Country/Region Summary¤	% of Investments
China		26.9	%
Taiwan		19.9
Russia		16.1
United States		14.4	*
South Korea		6.5
Mexico		4.0
India		3.1
Indonesia		2.2
Kuwait		1.7
Turkey		1.1
Brazil		0.7
Qatar		0.6
United Kingdom		0.5	*
Pakistan		0.4
Philippines		0.3
Thailand		0.3
South Africa		0.3
Czech Republic		0.2
Vietnam		0.2
Peru		0.2
Argentina		0.1
Poland		0.1
United Arab Emirates		0.1
Colombia		0.1
Egypt		0.0	^
Hong Kong		0.0	^
Sri Lanka		0.0	^
Chile		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		19.5	%
Materials		15.2
Technology Hardware & Equipment		15.1
Semiconductors & Semiconductor Equipment		8.8
Insurance		4.4
Energy		4.3
Media & Entertainment		4.3
Capital Goods		3.8
Real Estate		3.7
Food, Beverage & Tobacco		3.6
Consumer Durables & Apparel		2.6
Software & Services		2.5
Retailing		2.4
Diversified Financials		2.2
Utilities		2.0
Automobiles & Components		1.6
Food & Staples Retailing		1.2
Household & Personal Products		1.1
Transportation		0.8
Telecommunication Services		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.3
Consumer Services		0.2
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

9

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.5%
		Argentina — 0.1%
	213,900	Banco BBVA Argentina SA ADR *		930,465
	301,100	Grupo Financiero Galicia SA ADR		3,245,858
		Total Argentina		4,176,323
		Brazil — 0.8%
	890,100	Blau Farmaceutica SA		8,822,160
	5,175,200	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		15,222,943
		Total Brazil		24,045,103
		Chile — 0.0%
	40,197	Inversiones La Construccion SA		190,377
		China — 29.2%
	4,633,000	361 Degrees International Ltd *		2,211,435
	778,000	Agile Group Holdings Ltd		892,201
	15,023,800	Agricultural Bank of China Ltd – Class A		6,879,818
	102,007,590	Agricultural Bank of China Ltd – Class H		34,196,810
	198,926	Alibaba Group Holding Ltd Sponsored ADR *		33,218,653
	744,518	Anhui Conch Cement Co Ltd – Class A		4,603,460
	147,000	ANTA Sports Products Ltd		3,019,507
	71,600	Autohome Inc ADR		3,169,016
	34,800	Baidu Inc Sponsored ADR *		5,464,296
	24,756,000	Bank of China Ltd – Class A		11,605,333
	19,686,000	Bank of China Ltd – Class H		6,898,634
	595,300	Budweiser Brewing Co APAC Ltd		1,487,491
	3,540,000	BYD Electronic International Co Ltd (a)		16,193,364
	12,643,878	China Communications Services Corp Ltd – Class H		6,718,957
	5,257,000	China Construction Bank Corp – Class A		4,755,607
	104,209,148	China Construction Bank Corp – Class H		75,088,697
	5,515,000	China Dongxiang Group Co Ltd		652,087
	22,463,000	China Feihe Ltd		40,591,212
	716,600	China Gas Holdings Ltd		2,074,279
	860,800	China International Marine Containers Group Co Ltd		2,440,835
	1,564,000	China Lesso Group Holdings Ltd		3,347,499
	358,000	China Longyuan Power Group Corp Ltd – Class H		729,657
	1,311,805	China Merchants Bank Co Ltd – Class A		9,937,457
	2,562,000	China Oriental Group Co Ltd		946,720
	2,159,000	China Overseas Land & Investment Ltd		4,973,660
	1,187,911	China Pacific Insurance Group Co Ltd – Class A		4,836,196
	1,250,600	China Pacific Insurance Group Co Ltd – Class H		3,524,653
	3,783,541	China Railway Group Ltd – Class A		3,294,327
	3,314,240	China Railway Signal & Communication Corp Ltd – Class A		2,681,861

Shares		Description	Value ($)
		China — continued
	13,448,000	China Reinsurance Group Corp – Class H		1,399,282
	682,000	China Resources Gas Group Ltd		4,134,205
	5,134,000	China Resources Land Ltd		19,069,314
	98,600	China Shenhua Energy Co Ltd – Class A		305,015
	497,500	China Shenhua Energy Co Ltd – Class H		1,100,126
	326,751	China Tourism Group Duty Free Corp Ltd – Class A		11,554,462
	8,507,381	China Vanke Co Ltd – Class A		26,051,763
	1,040,176	Chinese Universe Publishing and Media Group Co Ltd – Class A		1,668,304
	3,777,714	Country Garden Holdings Co Ltd		4,175,506
	5,396,519	CSG Holding Co Ltd – Class A		9,797,647
	888,500	ENN Energy Holdings Ltd		17,581,318
	19,187,182	Fangda Special Steel Technology Co Ltd – Class A		24,094,748
	1,919,000	Greenland Hong Kong Holdings Ltd		532,541
	6,382,000	Guangdong Investment Ltd		8,863,184
	1,076,000	Guangdong Tapai Group Co Ltd – Class A		1,717,240
	338,922	Hangzhou Robam Appliances Co Ltd – Class A		1,871,978
	293,000	Hebei Construction Group Corp Ltd – Class H		89,564
	474,000	Hengan International Group Co Ltd		2,744,975
	8,047,038	Hisense Home Appliances Group Co Ltd – Class A		15,876,829
	313,000	Hisense Home Appliances Group Co Ltd – Class H		367,454
	237,300	Hollysys Automation Technologies Ltd		4,662,945
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		—
	478,400	Huayu Automotive Systems Co Ltd – Class A		1,716,165
	72,779,847	Industrial & Commercial Bank of China Ltd – Class H		40,529,235
	5,323,937	Inner Mongolia Eerduosi Resources Co Ltd – Class A		29,908,975
	86,000	Kingboard Laminates Holdings Ltd		169,116
	47,113	Kweichow Moutai Co Ltd – Class A		11,366,961
	2,252,000	KWG Group Holdings Ltd		2,370,892
	343,608	Lao Feng Xiang Co Ltd – Class A		2,471,674
	448,000	Lenovo Group Ltd		494,158
	2,533,000	Logan Group Co Ltd		3,019,239
	1,761,000	Longfor Group Holdings Ltd		7,620,403
	3,075,000	Lonking Holdings Ltd		963,998
	273,800	Lufax Holding Ltd ADR *		2,373,846
	243,700	Midea Group Co Ltd – Class A		2,490,433
	415,800	NetEase Inc		7,959,987
	124,900	NetEase Inc ADR		12,167,758
	1,032,000	PAX Global Technology Ltd		1,275,903
	29,079,000	PICC Property & Casualty Co Ltd – Class H		26,290,677
	816,883	Ping An Insurance Group Co of China Ltd – Class A		6,312,171
	20,450,410	Postal Savings Bank of China Co Ltd – Class A		16,245,888
	5,704,400	Qingling Motors Co Ltd – Class H		1,470,789

10 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	611,217	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		1,475,822
	3,016,789	Shenzhen Investment Ltd		895,450
	2,210,981	Shenzhen YUTO Packaging Technology Co Ltd – Class A		9,060,546
	316,100	Shenzhou International Group Holdings Ltd		6,851,822
	2,902,000	Shimao Group Holdings Ltd		5,996,456
	440,000	Shougang Fushan Resources Group Ltd		141,234
	3,273,000	Sinopec Engineering Group Co Ltd – Class H		1,734,247
	1,787,000	Sinotruk Hong Kong Ltd		3,520,862
	592,500	Sun Art Retail Group Ltd		359,457
	137,000	Sunny Optical Technology Group Co Ltd		4,145,835
	3,404,551	Suofeiya Home Collection Co Ltd – Class A		9,763,964
	1,197,065	Tencent Holdings Ltd		73,934,063
	129,000	Tencent Holdings Ltd ADR		7,954,140
	334,351	Tsingtao Brewery Co Ltd – Class A		4,464,806
	212,000	Tsingtao Brewery Co Ltd – Class H		1,734,676
	11,504,340	Weifu High-Technology Group Co Ltd – Class A		41,231,290
	1,638,000	Xinyi Glass Holdings Ltd		6,883,260
	9,909,100	Yangzijiang Shipbuilding Holdings Ltd		12,066,593
	40,800	Yum China Holdings Inc		2,511,648
	2,620,722	Yuzhou Group Holdings Co Ltd		505,107
	76,407	Zhejiang Supor Co Ltd – Class A		577,119
	911,429	Zhejiang Weixing New Building Materials Co Ltd – Class A		2,785,397
	7,585,386	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		15,327,262
	904,500	Zhongsheng Group Holdings Ltd		7,562,522
		Total China		852,793,968
		Czech Republic — 0.3%
	46,135	CEZ AS		1,454,266
	12,916	Komercni Banka AS *		496,632
	1,337,524	Moneta Money Bank AS *		5,430,648
	895	Philip Morris CR AS		649,939
		Total Czech Republic		8,031,485
		Egypt — 0.0%
	231,778	Commercial International Bank Egypt SAE *		681,894
	437,196	Eastern Co SAE		327,309
	124,412	ElSewedy Electric Co		68,780
	548,103	Medinet Nasr Housing		107,541
		Total Egypt		1,185,524
		Hong Kong — 0.0%
	1,003,500	WH Group Ltd (a)		870,402
		India — 5.0%
	245,203	Asian Paints Ltd		10,736,945

Shares		Description	Value ($)
		India — continued
	842,736	Axis Bank Ltd *		9,052,349
	4,347	Clean Science & Technology Ltd *		90,712
	11,567,064	Gayatri Projects Ltd *(c)		7,847,128
	1,096,132	HCL Technologies Ltd		17,676,541
	218,797	HDFC Bank Ltd		4,717,423
	249,600	Hindustan Unilever Ltd		9,281,996
	240,646	Housing Development Finance Corp Ltd		9,179,221
	1,272,959	ICICI Bank Ltd		12,448,606
	679,900	Infosys Ltd Sponsored ADR		16,195,218
	2,862,048	Jai Balaji Industries Ltd *		2,275,026
	1,261,207	Kiri Industries Ltd		8,573,566
	1,532	Larsen & Toubro Infotech Ltd		111,773
	233,954	Mindtree Ltd		11,598,740
	56,292	Redington India Ltd		120,028
	345,038	Tata Consultancy Services Ltd		17,915,404
	297,682	Titan Co Ltd		7,813,687
		Total India		145,634,363
		Indonesia — 2.5%
	11,820,100	Bank Central Asia Tbk PT		27,132,022
	10,563,200	Bank Mandiri Persero Tbk PT		4,515,668
	14,065,300	Bank Negara Indonesia Persero Tbk PT		5,314,772
	16,446,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		824,051
	71,679,300	Bank Rakyat Indonesia Persero Tbk PT		19,712,161
	18,757,900	Bukit Asam Tbk PT		2,773,975
	5,308,491	Indo Tambangraya Megah Tbk PT		5,951,251
	207,759,500	Panin Financial Tbk PT *		2,720,615
	24,412,100	Ramayana Lestari Sentosa Tbk PT		1,093,973
	10,425,100	Telkom Indonesia Persero Tbk PT		2,487,861
	242,700	United Tractors Tbk PT		341,154
		Total Indonesia		72,867,503
		Kuwait — 2.0%
	512,690	Alimtiaz Investment Group KSC *		211,427
	107,645	Burgan Bank SAK		81,249
	90,778	Gulf Cable & Electrical Industries Co KSCP		245,780
	258,845	Humansoft Holding Co KSC		2,931,935
	10,176,564	Kuwait Finance House KSCP		27,952,960
	1,675,438	Kuwait Projects Holding KSCP		857,627
	1,185,592	Mobile Telecommunications Co KSCP		2,406,988
	7,319,530	National Bank of Kuwait SAKP		22,775,861
	244,100	Qurain Petrochemical Industries Co		310,816
		Total Kuwait		57,774,643
		Mexico — 4.6%
	83,000	Arca Continental SAB de CV		534,640
	1,152,000	Banco del Bajio SA		2,195,706
	3,435,700	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander		4,009,799

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	13,500	Coca-Cola Femsa SAB de CV Sponsored ADR		781,650
	347,200	Concentradora Fibra Danhos SA de CV (REIT)		431,839
	1,431,700	Credito Real SAB de CV SOFOM ER *		1,089,244
	155,600	El Puerto de Liverpool SAB de CV – Class C1		691,461
	1,724,500	Fibra Uno Administracion SA de CV (REIT)		1,943,969
	252,200	Fomento Economico Mexicano SAB de CV		2,191,368
	56,300	Fomento Economico Mexicano SAB de CV Sponsored ADR		4,881,773
	57,644	Grupo Aeroportuario del Centro Norte SAB de CV *		347,431
	9,622,600	Grupo Financiero Banorte SAB de CV – Class O		63,516,634
	477,400	Grupo Financiero Inbursa SAB de CV – Class O *		458,764
	5,059,700	Grupo Mexico SAB de CV – Series B		23,459,434
	120,800	Industrias Bachoco SAB de CV – Series B		439,136
	181,400	Kimberly-Clark de Mexico SAB de CV – Class A		321,903
	437,127	Qualitas Controladora SAB de CV		2,068,104
	425,000	Regional SAB de CV		2,604,088
	74,900	Ternium SA Sponsored ADR		4,073,062
	478,821	Unifin Financiera SAB de CV SOFOM ENR *		679,466
	4,718,900	Wal-Mart de Mexico SAB de CV		16,745,469
		Total Mexico		133,464,940
		Pakistan — 0.4%
	426,620	Engro Corp Ltd		753,637
	6,556,459	Engro Fertilizers Ltd		3,044,664
	1,791,355	Fauji Fertilizer Co Ltd		1,140,776
	5,366,129	Oil & Gas Development Co Ltd		2,989,747
	834,516	Pakistan Oilfields Ltd		1,952,843
	3,383,334	Pakistan Petroleum Ltd		1,659,589
	1,092,534	United Bank Ltd		796,429
		Total Pakistan		12,337,685
		Peru — 0.2%
	20,200	Credicorp Ltd *		2,153,926
	64,400	Southern Copper Corp		4,030,796
		Total Peru		6,184,722
		Philippines — 0.4%
	112,170	GT Capital Holdings Inc		1,215,898
	349,070	Manila Electric Co		1,977,781
	31,756,800	Megaworld Corp		1,798,647
	17,018,000	Metro Pacific Investments Corp		1,315,996
	111,500	Metropolitan Bank & Trust Co		101,261
	1,813,800	Puregold Price Club Inc		1,520,376
	205,650	Security Bank Corp		467,577
	6,276,900	Semirara Mining & Power Corp		2,141,133
		Total Philippines		10,538,669

Shares		Description	Value ($)
		Poland — 0.1%
	45,641	Budimex SA		3,527,561
	16,334	Lubelski Wegiel Bogdanka SA *		109,305
		Total Poland		3,636,866
		Qatar — 0.7%
	1,357,979	Doha Bank QPSC		1,073,982
	195,018	Qatar Electricity & Water Co QSC		889,384
	2,974,326	Qatar National Bank QPSC		15,654,346
	1,062,466	Qatar National Cement Co QSC		1,461,206
		Total Qatar		19,078,918
		Russia — 14.7%
	32,786,470	Alrosa PJSC		65,267,118
	1,054,350	Detsky Mir PJSC		1,996,542
	66,973	Etalon Group Plc GDR (Registered)		112,366
	202,459	Evraz Plc		1,646,845
	1,676,790,000	Federal Grid Co Unified Energy System PJSC		4,511,257
	730,704	Fix Price Group Ltd GDR * (b)		6,821,122
	720,971	Globaltrans Investment Plc Sponsored GDR (Registered)		5,929,568
	108,496,300	Inter RAO UES PJSC		6,836,555
	268,532	LSR Group PJSC		2,847,880
	3	LSR Group PJSC GDR (Registered) (b)		6
	12,666	LUKOIL PJSC Sponsored ADR		1,072,797
	257,147	M.Video PJSC		2,193,080
	17,214	Magnit PJSC		1,304,318
	302,705	Magnit PJSC Sponsored GDR (Registered)		4,607,412
	12,284,630	Magnitogorsk Iron & Steel Works PJSC		12,419,012
	237,839	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		3,098,871
	978,075	MMC Norilsk Nickel PJSC ADR		32,183,323
	282,300	Mobile TeleSystems PJSC Sponsored ADR		2,647,974
	9,396,257	Moscow Exchange MICEX-RTS PJSC		23,510,417
	2,129,080	Novolipetsk Steel PJSC		7,178,525
	1,180,150	Novolipetsk Steel PJSC GDR		39,411,767
	16,998	PhosAgro PJSC GDR (Registered)		334,528
	1,724,317	Polymetal International Plc		34,355,626
	27,369	Polyus PJSC		4,938,383
	205,578	Polyus PJSC GDR (Registered)		18,234,367
	526,515	QIWI Plc Sponsored ADR (d)		5,033,483
	13,148	QIWI Plc Sponsored ADR (d)		125,263
	92,370	Raspadskaya OJSC		484,204
	17,833	Ros Agro Plc GDR (Registered)		286,051
	86,658,000	RusHydro PJSC		974,437
	75,360	Safmar Financial Investment *		456,594
	2,973,669	Sberbank of Russia PJSC Sponsored ADR		53,106,460
	197,557	Severstal PJSC		4,637,678
	853,306	Severstal PJSC GDR (Registered)		19,804,162
	29,854,700	Surgutneftegas PJSC		13,777,561
	4,762,114	Surgutneftegas PJSC Sponsored ADR		21,990,252

12 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	240,626	Tatneft PJSC Sponsored ADR		9,580,337
	799	TCS Group Holding Plc GDR (Registered) (d)		70,914
	47,455	TCS Group Holding Plc GDR (Registered) (d)		4,197,090
	62,065,000	Unipro PJSC		2,387,159
	252,414	X5 Retail Group NV GDR (Registered)		8,363,120
		Total Russia		428,734,424
		South Africa — 0.3%
	592,803	Investec Ltd		2,528,632
	44,073	Kumba Iron Ore Ltd (a)		1,979,288
	625,280	Lewis Group Ltd		1,838,029
	13,385,055	RMB Holdings Ltd		1,357,773
	124,496	Wilson Bayly Holmes-Ovcon Ltd *		1,026,815
		Total South Africa		8,730,537
		South Korea — 6.2%
	111,911	BNK Financial Group Inc		746,809
	20,918	Coway Co Ltd		1,410,403
	206,030	Daewoo Engineering & Construction Co Ltd *		1,303,055
	8,598	Daou Data Corp		103,875
	100,585	DB Insurance Co Ltd		5,085,544
	6,299	DL Holdings Co Ltd		391,731
	1,105,568	Dongwon Development Co Ltd		5,740,183
	79,931	GS Engineering & Construction Corp		3,076,354
	65,385	Hana Financial Group Inc		2,531,966
	171,129	HDC Hyundai Development Co-Engineering & Construction		4,399,030
	157,125	Hyundai Engineering & Construction Co Ltd		7,500,531
	86,740	KB Financial Group Inc		3,945,806
	21,349	Korea Asset In Trust Co Ltd		82,757
	2,988	Korea Petrochemical Ind Co Ltd		594,629
	377,502	KT&G Corp		26,550,375
	15,947	Kumho Petrochemical Co Ltd (a)		2,666,213
	37,810	LG Electronics Inc		4,617,797
	2,157	LG Household & Health Care Ltd		2,717,403
	3,231	Lotte Chemical Corp		694,901
	6,325	POSCO		1,820,526
	1,318,374	Samsung Electronics Co Ltd		87,036,717
	7,195	Samsung Electronics Co Ltd GDR		11,747,512
	42,790	Samsung Engineering Co Ltd *		822,156
	3,312	Samsung SDS Co Ltd		491,616
	85,066	Shinhan Financial Group Co Ltd		2,833,857
	261,061	Woori Financial Group Inc		2,525,732
		Total South Korea		181,437,478
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		520,722
		Taiwan — 22.6%
	206,000	Accton Technology Corp		2,087,058

Shares		Description	Value ($)
		Taiwan — continued
	893,000	Acer Inc		810,454
	76,532	Acter Group Corp Ltd		519,953
	1,153,035	Advantech Co Ltd		16,054,276
	104,000	Arcadyan Technology Corp		346,374
	2,031,689	Asustek Computer Inc		23,717,501
	452,000	Aten International Co Ltd		1,339,521
	129,200	Aurora Corp		412,522
	9,936,000	Catcher Technology Co Ltd		59,760,379
	8,595,153	Cathay Financial Holding Co Ltd		18,458,766
	2,798,808	Chailease Holding Co Ltd		26,849,557
	205,000	Chicony Electronics Co Ltd		579,746
	233,000	China Development Financial Holding Corp		119,078
	752,000	China Life Insurance Co Ltd		782,560
	746,000	Chong Hong Construction Co Ltd		2,143,553
	893,000	Chunghwa Telecom Co Ltd		3,612,399
	2,962,400	Coretronic Corp		5,971,624
	12,565,720	CTBC Financial Holding Co Ltd		10,414,907
	836,000	Delta Electronics Inc		8,143,432
	706,000	Elan Microelectronics Corp		3,999,670
	1,009,000	Elite Material Co Ltd		8,497,201
	1,610,000	Farglory Land Development Co Ltd		3,699,564
	55,000	Feng Hsin Steel Co Ltd		156,826
	4,390,000	FLEXium Interconnect Inc *		18,321,744
	440,000	Formosa Plastics Corp		1,624,637
	2,502,075	Foxconn Technology Co Ltd		5,967,170
	16,199,000	Fubon Financial Holding Co Ltd		49,618,127
	492,000	Gigabyte Technology Co Ltd		1,551,879
	2,540,000	Grand Pacific Petrochemical		2,781,641
	15,988,532	Hon Hai Precision Industry Co Ltd		63,847,140
	1,782,000	Huaku Development Co Ltd		5,659,958
	1,439,806	IEI Integration Corp		2,410,711
	80,900	Innodisk Corp		675,371
	303,000	International Games System Co Ltd		7,243,587
	300,000	Kung Long Batteries Industrial Co Ltd		1,498,524
	15,000	Largan Precision Co Ltd		1,446,232
	2,668,000	Lite-On Technology Corp		5,882,969
	120,000	MediaTek Inc		3,891,267
	162,000	Merry Electronics Co Ltd		562,086
	2,067,000	Micro-Star International Co Ltd		9,697,996
	71,000	Nan Liu Enterprise Co Ltd		329,833
	798,000	Nan Ya Plastics Corp		2,578,776
	538,000	Nantex Industry Co Ltd		2,084,287
	753,810	Novatek Microelectronics Corp		12,164,678
	410,000	Pegatron Corp		957,471
	329,000	Phison Electronics Corp		5,042,252
	169,000	Quanta Computer Inc		477,942
	10,415,870	Radiant Opto-Electronics Corp		37,154,495
	788,000	Shinkong Insurance Co Ltd		1,244,327
	454,468	Simplo Technology Co Ltd		5,167,618

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	114,000	Sitronix Technology Corp		1,210,305
	1,914,250	Syncmold Enterprise Corp		4,840,699
	159,300	Tah Hsin Industrial Corp		366,469
	3,570,000	Taiwan Cement Corp		6,233,185
	8,139,000	Taiwan Semiconductor Manufacturing Co Ltd		178,530,765
	27,710	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		3,297,767
	31,000	TCI Co Ltd		301,208
	261,000	Test Research Inc		531,678
	978,000	Transcend Information Inc		2,444,346
	1,093,160	Tripod Technology Corp		4,510,563
	503,000	Uni-President Enterprises Corp		1,310,966
	740,224	United Integrated Services Co Ltd		5,304,586
	782,000	Universal Inc		1,445,005
	117,000	Vanguard International Semiconductor Corp		622,343
	148,000	Yulon Nissan Motor Co Ltd		1,355,530
	323,000	Zeng Hsing Industrial Co Ltd		1,768,584
		Total Taiwan		662,433,638
		Thailand — 0.4%
	243,100	AP Thailand Pcl (Foreign Registered)		63,310
	700,700	CP ALL Pcl (Foreign Registered)		1,412,630
	373,300	Kasikornbank Pcl (Foreign Registered)		1,421,159
	3,621,300	Pruksa Holding Pcl (Foreign Registered)		1,482,562
	183,300	Siam Cement Pcl (The) (Foreign Registered)		2,443,644
	331,600	Siam Commercial Bank Pcl (The) (Foreign Registered)		1,093,945
	868,500	SPCG Pcl		487,583
	2,784,675	Supalai Pcl (Foreign Registered)		1,789,191
	602,300	TTW Pcl (Foreign Registered)		222,337
		Total Thailand		10,416,361
		Turkey — 1.2%
	2,244,921	Akbank TAS		1,593,385
	2,594,657	Arcelik AS		10,033,825
	24,560,699	Dogan Sirketler Grubu Holding AS		7,593,182
	938,316	Enerjisa Enerji AS		1,252,866
	1,881,846	Eregli Demir ve Celik Fabrikalari TAS		4,256,898
	734,663	Koza Altin Isletmeleri AS *		9,136,442
	454,544	Turkcell Iletisim Hizmetleri AS		898,809
	2,436,826	Yapi ve Kredi Bankasi AS		772,331
		Total Turkey		35,537,738
		United Arab Emirates — 0.1%
	162,097	Abu Dhabi Islamic Bank PJSC		248,819
	1,538,011	Dubai Islamic Bank PJSC		2,134,360
	146,864	Emirates NBD Bank PJSC		553,871
		Total United Arab Emirates		2,937,050

Shares		Description	Value ($)
		United Kingdom — 0.5%
	270,001	Unilever Plc		15,033,627
		Vietnam — 0.2%
	400,715	Hoa Phat Group JSC		866,991
	101,800	Petrovietnam Fertilizer & Chemicals JSC		164,290
	275,800	PetroVietnam Gas JSC		1,081,480
	184,500	PetroVietnam Nhon Trach 2 Power JSC		166,755
	1,826,100	PetroVietnam Technical Services Corp		2,075,489
	325,800	Pha Lai Thermal Power JSC		353,800
	284,500	Vietnam Dairy Products JSC		1,091,268
	380,800	Vinh Hoan Corp		827,742
		Total Vietnam		6,627,815
		TOTAL COMMON STOCKS (COST $2,549,968,752)		2,705,220,881
		PREFERRED STOCKS (e) — 3.2%
		Colombia — 0.1%
	24,246	Banco Davivienda SA		209,708
	4,610,742	Grupo Aval Acciones y Valores SA		1,370,078
		Total Colombia		1,579,786
		Russia — 1.8%
	232,210	Nizhnekamskneftekhim PJSC		379,450
	97,834,200	Surgutneftegas PJSC		51,606,598
	851	Transneft PJSC		1,835,450
		Total Russia		53,821,498
		South Korea — 1.2%
	596,573	Samsung Electronics Co Ltd		36,370,948
		Taiwan — 0.1%
	287,798	Chailease Holding Co Ltd		1,035,369
	605,412	CTBC Financial Holding Co Ltd		1,358,553
		Total Taiwan		2,393,922
		TOTAL PREFERRED STOCKS (COST $79,563,815)		94,166,154
		INVESTMENT FUNDS — 1.2%
		United States — 1.2%
	524,608	iShares Core MSCI Emerging Markets ETF		33,622,127
		TOTAL INVESTMENT FUNDS (COST $33,022,774)		33,622,127

14 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 2.2%
		United States — 2.2%
	14,547,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22		14,555,426
	49,100,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23(f)		49,103,451
		Total United States		63,658,877
		TOTAL DEBT OBLIGATIONS (COST $63,665,504)		63,658,877
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	18,726,699	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (g)		18,726,699
		TOTAL SHORT-TERM INVESTMENTS (COST $18,726,699)		18,726,699
		TOTAL INVESTMENTS — 99.7% (Cost $2,744,947,544)		2,915,394,738
		Other Assets and Liabilities (net) — 0.3%		9,727,358
		TOTAL NET ASSETS — 100.0%		$2,925,122,096

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
6,811	Mini MSCI Emerging Markets	September 2021	$	442,442,560	$	(16,182,826	)
Sales
1,238	SGX Nifty 50	September 2021	$	42,289,387	$	(1,203,433	)

+ 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

44,204,784

12/07/2021

At Maturity

$

—

$

2,121,883

$

2,121,883

As of August 31, 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.

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) 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 August 31, 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 51.

16 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.2	%
Short-Term Investments		4.0
Preferred Stocks		1.6
Futures Contracts		0.0	^
Other		(1.8	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		20.4	%
United Kingdom		17.6
Germany		10.4
France		9.4
Netherlands		7.3
Switzerland		6.2
Spain		5.5
Italy		4.5
Singapore		4.0
Australia		3.4
Hong Kong		2.4
Portugal		2.1
Norway		1.7
Ireland		1.5
Belgium		1.4
Other Developed		1.2	‡
Euro Region		1.0	§
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		13.6	%
Banks		12.2
Pharmaceuticals, Biotechnology & Life Sciences		11.1
Materials		10.4
Automobiles & Components		7.1
Telecommunication Services		6.6
Food, Beverage & Tobacco		6.2
Retailing		4.3
Consumer Durables & Apparel		3.9
Utilities		3.8
Insurance		3.2
Transportation		3.0
Diversified Financials		2.9
Food & Staples Retailing		2.4
Software & Services		2.0
Commercial & Professional Services		1.8
Technology Hardware & Equipment		1.7
Semiconductors & Semiconductor Equipment		1.5
Media & Entertainment		1.2
Energy		0.6
Household & Personal Products		0.3
Real Estate		0.1
Health Care Equipment & Services		0.1
Consumer 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.

‡ “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%.

17

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.2%
		Australia — 3.4%
	1,278,178	Fortescue Metals Group Ltd		19,486,146
	89,611	Pact Group Holdings Ltd		261,958
	661,134	Rio Tinto Ltd		53,793,230
	682,326	Sandfire Resources Ltd		3,214,791
		Total Australia		76,756,125
		Belgium — 1.3%
	160,761	Ageas SA/NV		8,033,706
	91,042	AGFA-Gevaert NV *		463,868
	13,610	Bekaert SA		647,962
	50,435	bpost SA *		487,486
	26,607	Groupe Bruxelles Lambert SA		3,048,258
	5,072	Solvay SA		663,878
	149,961	UCB SA		17,156,881
		Total Belgium		30,502,039
		Denmark — 0.1%
	9,627	Per Aarsleff Holding A/S		454,079
	6,561	Schouw & Co A/S		711,632
		Total Denmark		1,165,711
		Finland — 0.7%
	271,694	Kesko Oyj – B Shares		11,242,564
	108,262	UPM-Kymmene Oyj		4,410,439
		Total Finland		15,653,003
		France — 9.3%
	7,430	Alten SA		1,225,608
	518,223	ArcelorMittal SA		17,381,190
	836,740	BNP Paribas SA		53,007,360
	4,073	Christian Dior SE		3,078,905
	727,317	Cie de Saint-Gobain		52,725,347
	31,740	CNP Assurances		543,862
	1,205,708	Credit Agricole SA		17,402,846
	163,048	Derichebourg SA *		1,929,897
	42,941	Fnac Darty SA		2,925,394
	24,176	IPSOS		1,171,793
	22,479	Maisons du Monde SA		519,120
	120,932	Metropole Television SA		2,575,190
	264,580	Sanofi		27,420,704
	44,641	Schneider Electric SE		7,975,850
	13,871	SEB SA		2,183,460
	10,660	Societe BIC SA		709,702
	199,598	Societe Generale SA		6,282,169
	41,000	STMicroelectronics NV – NY Shares		1,821,630
	207,314	Television Francaise 1		2,081,053
	128,976	TotalEnergies SE (a)		5,704,946

Shares		Description	Value ($)
		France — continued
	14,633	TotalEnergies SE (a)		644,616
		Total France		209,310,642
		Germany — 8.6%
	96,481	ADVA Optical Networking SE *		1,599,096
	340,695	Bayerische Motoren Werke AG		32,338,340
	516,675	CECONOMY AG *		2,421,499
	654,988	Daimler AG (Registered)		55,251,349
	430,195	Deutsche Post AG (Registered)		30,246,616
	120,998	Dialog Semiconductor Plc *		9,617,588
	97,076	HeidelbergCement AG		8,419,059
	19,105	Henkel AG & Co KGaA		1,719,543
	23,846	Hornbach Holding AG & Co KGaA		2,550,893
	5,326	Indus Holding AG		214,885
	170,389	Kloeckner & Co SE *		2,300,586
	47,331	Merck KGaA		11,245,689
	133,655	ProSiebenSat.1 Media SE		2,551,701
	98,844	RTL Group SA		6,142,120
	23,518	Salzgitter AG *		886,518
	66,342	Traton SE		1,958,578
	76,088	Volkswagen AG		25,458,449
		Total Germany		194,922,509
		Hong Kong — 2.3%
	1,380,487	Champion (REIT)		786,012
	711,712	Chow Tai Fook Jewellery Group Ltd *		1,439,787
	251,000	CK Hutchison Holdings Ltd		1,829,816
	608,400	Dah Sing Banking Group Ltd		585,077
	357,269	Dah Sing Financial Holdings Ltd		1,111,483
	3,995,207	Esprit Holdings Ltd *		410,506
	6,247,585	IGG Inc		5,967,065
	754,401	Johnson Electric Holdings Ltd		1,727,697
	297,640	Kerry Logistics Network Ltd		945,821
	442,326	Luk Fook Holdings International Ltd		1,228,076
	1,232,331	Pacific Textiles Holdings Ltd		657,320
	1,301,023	Shun Tak Holdings Ltd *		372,818
	1,160,026	SmarTone Telecommunications Holdings Ltd		653,546
	331,288	Television Broadcasts Ltd *		281,297
	1,016,000	VSTECS Holdings Ltd		955,621
	341,700	VTech Holdings Ltd		3,319,035
	34,808,515	WH Group Ltd		30,191,724
	198,000	Xinyi Glass Holdings Ltd		832,042
		Total Hong Kong		53,294,743
		Ireland — 1.5%
	493,022	Bank of Ireland Group Plc *		3,085,958
	62,176	CRH Plc		3,293,832
	345,652	CRH Plc Sponsored ADR		18,361,034
	49,041	Kingspan Group Plc		5,600,242
	46,939	Smurfit Kappa Group Plc		2,690,348
		Total Ireland		33,031,414

18 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — 4.5%
	837,925	A2A SPA		1,840,888
	507,872	Anima Holding SPA		2,619,557
	198,971	Banca Mediolanum SPA		2,065,678
	773,431	Banco BPM SPA		2,564,973
	13,397	Buzzi Unicem SPA		355,654
	378,900	CNH Industrial NV (a)		6,248,061
	130,278	CNH Industrial NV (a)		2,153,604
	81,622	De’ Longhi SPA		3,693,972
	1,282,703	Enel SPA		11,685,986
	149,647	Esprinet SPA		2,860,061
	340,064	EXOR NV		28,372,704
	284,773	Italgas SPA		1,887,931
	36,751	La Doria SPA		791,071
	417,886	Mediobanca Banca di Credito Finanziario SPA*		4,926,253
	714,000	Poste Italiane SPA		9,680,366
	409,296	Snam SPA		2,420,005
	15,085,688	Telecom Italia SPA		6,834,862
	8,870,187	Telecom Italia SPA – RSP		4,285,464
	140,440	Unieuro SPA		3,669,584
	406,156	Unipol Gruppo SPA		2,408,949
		Total Italy		101,365,623
		Japan — 20.2%
	39,200	Advantest Corp		3,377,143
	43,100	Aisin Corp		1,645,193
	63,520	AOKI Holdings Inc		361,115
	1,793,415	Asahi Kasei Corp		18,490,246
	1,629,084	Astellas Pharma Inc		27,449,918
	492,096	Brother Industries Ltd		10,098,587
	93,700	Canon Inc		2,229,322
	39,584	Cawachi Ltd		825,927
	45,800	Daiwa House Industry Co Ltd		1,396,613
	345,890	Daiwabo Holdings Co Ltd		6,571,909
	70,674	Dexerials Corp		1,380,294
	53,748	Doutor Nichires Holdings Co Ltd		799,821
	32,743	Fuji Electric Co Ltd		1,416,503
	4,754	FUJIFILM Holdings Corp		391,217
	220,032	Fujitsu Ltd		40,504,999
	20,606	Fuyo General Lease Co Ltd		1,422,713
	90,436	Geo Holdings Corp		977,657
	17,653	Gunze Ltd		714,828
	539,304	Hitachi Ltd		29,805,445
	67,300	Iida Group Holdings Co Ltd		1,708,555
	177,600	Inpex Corp		1,220,270
	1,679,654	ITOCHU Corp		50,525,872
	248,860	Japan Post Insurance Co Ltd		4,519,317
	175,604	Japan Tobacco Inc		3,407,171
	32,058	K’s Holdings Corp		350,417
	112,900	Kajima Corp		1,458,697

Shares		Description	Value ($)
		Japan — continued
	127,444	Kanematsu Corp		1,638,988
	1,624,996	KDDI Corp		49,668,617
	8,481	Kohnan Shoji Co Ltd		279,606
	41,993	Komeri Co Ltd		962,911
	404,300	Konica Minolta Inc		2,051,865
	877,200	Marubeni Corp		6,979,277
	110,757	MCJ Co Ltd		1,234,134
	208,778	Mitsubishi Chemical Holdings Corp		1,833,083
	30,550	Mitsubishi Gas Chemical Co Inc		575,643
	3,953,618	Mitsubishi UFJ Financial Group Inc		21,450,119
	622,938	Mitsui & Co Ltd		13,739,259
	8,000	Mitsui OSK Lines Ltd		616,612
	39,684	Modec Inc		584,761
	145,933	NEC Networks & System Integration Corp		2,781,781
	97,226	Nichias Corp		2,578,610
	79,245	Nippo Corp		2,328,602
	59,031	Nippon Signal Co Ltd		497,327
	35,800	Nippon Steel Corp		731,684
	1,948,795	Nippon Telegraph & Telephone Corp		51,921,321
	143,900	Obayashi Corp		1,184,064
	85,066	Okinawa Electric Power Co (The)		1,105,657
	473,286	Panasonic Corp		5,658,166
	82,324	Press Kogyo Co Ltd		258,745
	63,319	Prima Meat Packers Ltd		1,715,269
	579,410	Renesas Electronics Corp *		6,204,262
	115,000	Ricoh Co Ltd		1,170,166
	29,783	San-A Co Ltd		1,095,804
	48,400	Seiko Epson Corp		901,439
	65,495	Seiko Holdings Corp		1,299,824
	254,312	Sekisui Chemical Co Ltd		4,352,346
	151,000	Sekisui House Ltd		3,008,403
	1,450,509	Sojitz Corp		4,258,624
	5,299,241	Sumitomo Chemical Co Ltd		26,865,118
	56,838	T-Gaia Corp		1,015,749
	26,977	Tokyo Seimitsu Co Ltd		1,178,387
	130,975	Tokyu Construction Co Ltd		892,822
	61,228	Towa Pharmaceutical Co Ltd		1,641,329
	252,855	Toyota Tsusho Corp		11,180,724
	24,269	TPR Co Ltd		327,647
	162,354	TS Tech Co Ltd		2,199,113
	93,769	Valor Holdings Co Ltd		2,093,481
	20,256	Warabeya Nichiyo Holdings Co Ltd		443,246
	21,608	Yahagi Construction Co Ltd		144,086
		Total Japan		455,698,420
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (b)		—
		Netherlands — 7.2%
	28,824	ASM International NV		11,183,500

See accompanying notes to the financial statements. 19

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	285,595	ASR Nederland NV		13,050,204
	780,173	ING Groep NV		10,762,000
	1,112,953	Koninklijke Ahold Delhaize NV		37,548,193
	181,906	NN Group NV		9,435,963
	3,424,004	PostNL NV		17,917,457
	416,683	Randstad NV		30,687,102
	441,203	Signify NV		24,717,387
	326,091	Stellantis NV		6,536,719
		Total Netherlands		161,838,525
		Norway — 1.7%
	80,239	Aker Solutions ASA *		148,390
	69,297	Bank Norwegian ASA		819,428
	515,649	BW LPG Ltd		2,745,585
	179,531	DNB Bank ASA		3,789,314
	247,146	Europris ASA		1,746,379
	3,347,788	Norsk Hydro ASA		23,110,586
	726,405	Orkla ASA		6,488,526
		Total Norway		38,848,208
		Portugal — 2.1%
	194,407	Altri SGPS SA		1,294,169
	20,928,065	Banco Comercial Portugues SA – Class R *		3,237,093
	252,554	CTT-Correios de Portugal SA		1,370,330
	6,776,781	EDP – Energias de Portugal SA		37,201,437
	187,890	Galp Energia SGPS SA		1,921,911
	2,055	Greenvolt-Energias Renovaveis SA *		12,957
	557,576	REN – Redes Energeticas Nacionais SGPS SA		1,633,049
	518,666	Sonae SGPS SA		564,756
		Total Portugal		47,235,702
		Singapore — 3.9%
	2,058,025	DBS Group Holdings Ltd		45,632,740
	247,687	Jardine Cycle & Carriage Ltd		3,571,058
	314,900	Keppel Corp Ltd		1,213,958
	1,305,000	Sembcorp Industries Ltd		1,868,117
	80,075	Venture Corp Ltd		1,138,130
	5,956,239	Wilmar International Ltd		18,291,606
	14,058,422	Yangzijiang Shipbuilding Holdings Ltd		17,119,340
		Total Singapore		88,834,949
		Spain — 5.5%
	289,074	Acerinox SA		3,939,782
	46,221	ACS Actividades de Construccion y Servicios SA		1,247,791
	5,224,462	Banco Bilbao Vizcaya Argentaria SA *		34,194,061
	3,065,248	Banco de Sabadell SA *		2,185,231
	14,130,287	Banco Santander SA *		52,101,949
	66,936	Cia de Distribucion Integral Logista Holdings SA		1,453,184

Shares		Description	Value ($)
		Spain — continued
	53,972	Ebro Foods SA		1,083,805
	12,544	Grupo Catalana Occidente SA		475,075
	1,863,843	Iberdrola SA		23,095,749
	318,657	Mediaset Espana Comunicacion SA *		1,943,889
	1,699,555	Unicaja Banco SA		1,568,053
		Total Spain		123,288,569
		Sweden — 0.4%
	23,233	JM AB		900,065
	182,071	Skanska AB – B Shares		5,248,750
	539,986	SSAB AB – A Shares *		2,948,048
		Total Sweden		9,096,863
		Switzerland — 6.1%
	95,520	Adecco Group AG (Registered)		5,313,524
	44,851	Ascom Holding AG (Registered) *		712,438
	823	dormakaba Holding AG		593,981
	1,472	Kardex Holding AG (Registered)		393,619
	486,821	Novartis AG (Registered)		45,026,496
	27,900	Novartis AG Sponsored ADR		2,577,681
	206,512	Roche Holding AG – Genusschein		82,925,903
	3,995	Zehnder Group AG – Class RG		431,935
		Total Switzerland		137,975,577
		United Kingdom — 17.4%
	863,250	3i Group Plc		15,876,104
	170,195	Anglo American Plc		7,188,271
	1,689,748	Aviva Plc		9,391,811
	509,169	Barclays Plc		1,290,952
	207,500	Barclays Plc Sponsored ADR		2,126,875
	2,393,671	Barratt Developments Plc		24,347,469
	141,555	Bellway Plc		6,860,307
	18,933	Berkeley Group Holdings Plc (The)		1,257,617
	1,059,142	British American Tobacco Plc		39,731,972
	430,758	British American Tobacco Plc Sponsored ADR		16,235,269
	13,375,389	BT Group Plc *		31,266,364
	213,190	Coca-Cola HBC AG *		7,716,392
	207,521	Electrocomponents Plc		3,036,776
	216,832	Ferguson Plc		31,340,508
	1,213,937	Ferrexpo Plc		6,362,429
	1,871,967	Firstgroup Plc *		2,323,565
	233,017	Galliford Try Holdings Plc		544,874
	1,468,120	GlaxoSmithKline Plc		29,532,121
	94,503	Grafton Group Plc		1,816,041
	103,137	Halfords Group Plc		516,154
	231,884	IG Group Holdings Plc		2,986,043
	77,089	Imperial Brands Plc		1,634,810
	88,807	Inchcape Plc		1,123,163
	393,221	ITV Plc *		626,709
	861,960	JD Sports Fashion Plc		11,969,388

20 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	40,985	Johnson Matthey Plc		1,656,974
	4,405,011	Kingfisher Plc		21,210,220
	3,532,639	Legal & General Group Plc		13,122,454
	197,108	M&G Plc		558,338
	292,107	Next Plc		31,766,920
	629,949	Persimmon Plc		25,494,945
	623,269	Pets at Home Group Plc		4,291,948
	230,080	Plus500 Ltd		4,730,075
	244,772	QinetiQ Group Plc		1,162,883
	110,213	Reach Plc		620,219
	1,702,332	Royal Mail Plc		11,594,154
	23,131	Savills Plc		434,630
	38,026	Schroders Plc		1,976,982
	385,599	Spirent Communications Plc		1,579,249
	901,793	Tate & Lyle Plc		8,758,320
	37,986	Travis Perkins Plc *		941,094
	254,152	Vesuvius Plc		1,964,185
	24,532	Vistry Group Plc		408,597
	233,907	WPP Plc		3,171,509
		Total United Kingdom		392,545,680
		TOTAL COMMON STOCKS (COST $1,999,910,840)		2,171,364,302
		PREFERRED STOCKS (c) — 1.6%
		Germany — 1.6%
	71,098	Bayerische Motoren Werke AG		5,952,175
	7,455	Draegerwerk AG & Co KGaA		629,592
	49,148	Henkel AG & Co KGaA		4,801,912
	108,783	Volkswagen AG		25,874,530
		Total Germany		37,258,209
		TOTAL PREFERRED STOCKS (COST $32,369,144)		37,258,209

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.0%
		Money Market Funds — 0.2%
	3,951,614	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		3,951,614
		U.S. Government — 3.8%
	17,400,000	U.S. Treasury Bill, 0.06%, due 05/19/22 (e)		17,393,088
	23,300,000	U.S. Treasury Bill, 0.06%, due 06/16/22 (e)		23,288,257
	44,900,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (e)		44,875,170
		Total U.S. Government		85,556,515
		TOTAL SHORT-TERM INVESTMENTS (COST $89,506,279)		89,508,129
		TOTAL INVESTMENTS — 101.8% (Cost $2,121,786,263)		2,298,130,640
		Other Assets and Liabilities (net) — (1.8%)		(40,407,839	)
		TOTAL NET ASSETS — 100.0%		$2,257,722,801

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 193	MSCI EAFE	September 2021	$	22,691,975	$	(79,325	)

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

As of August 31, 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) Securities are traded on separate exchanges for the same entity.

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

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

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

See accompanying notes to the financial statements. 21

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investments		2.7
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		21.9	%
Materials		10.0
Diversified Financials		9.5
Technology Hardware & Equipment		7.5
Food, Beverage & Tobacco		6.7
Banks		5.7
Commercial & Professional Services		5.2
Automobiles & Components		5.1
Semiconductors & Semiconductor Equipment		5.1
Consumer Durables & Apparel		4.7
Pharmaceuticals, Biotechnology & Life Sciences		3.5
Insurance		3.1
Telecommunication Services		2.8
Real Estate		2.6
Media & Entertainment		2.4
Transportation		2.2
Retailing		2.0
		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.

22

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Automobiles & Components — 5.0%
	157,600	Honda Motor Co Ltd		4,770,018
	43,000	Toyota Industries Corp		3,630,517
		Total Automobiles & Components		8,400,535
		Banks — 5.6%
	1,112,600	Mitsubishi UFJ Financial Group Inc		6,036,345
	101,600	Sumitomo Mitsui Trust Holdings Inc		3,318,581
		Total Banks		9,354,926
		Capital Goods — 21.3%
	358,600	Amada Co Ltd		3,635,190
	76,200	Ebara Corp		3,787,672
	196,900	Fuji Corp		5,097,141
	330,200	Hazama Ando Corp		2,462,895
	109,900	Hitachi Ltd		6,073,789
	185,200	Kyowa Exeo Corp		4,647,552
	132,600	Kyudenko Corp		4,767,900
	458,400	Penta-Ocean Construction Co Ltd		2,909,454
	158,500	Takuma Co Ltd		2,388,483
		Total Capital Goods		35,770,076
		Commercial & Professional Services — 5.1%
	53,700	Secom Co Ltd		4,072,218
	262,000	Toppan Inc		4,497,764
		Total Commercial & Professional Services		8,569,982
		Consumer Durables & Apparel — 4.5%
	240,000	Haseko Corp		3,319,215
	33,000	Sega Sammy Holdings Inc		445,091
	199,500	Sumitomo Forestry Co Ltd		3,892,884
		Total Consumer Durables & Apparel		7,657,190
		Diversified Financials — 9.3%
	78,000	JAFCO Group Co Ltd		4,710,780
	357,100	ORIX Corp		6,662,583
	88,700	Zenkoku Hosho Co Ltd		4,219,273
		Total Diversified Financials		15,592,636
		Food, Beverage & Tobacco — 6.5%
	114,900	Morinaga & Co Ltd		4,029,590
	99,300	NH Foods Ltd		3,853,156
	241,800	Takara Holdings Inc		3,133,748
		Total Food, Beverage & Tobacco		11,016,494
		Insurance — 3.0%
	155,600	MS&AD Insurance Group Holdings Inc		5,036,596

Shares		Description	Value ($)
		Materials — 9.7%
	122,300	Denka Co Ltd		4,286,647
	134,700	Maruichi Steel Tube Ltd		3,311,873
	289,500	Teijin Ltd		4,163,842
	254,400	Tosoh Corp		4,617,464
		Total Materials		16,379,826
		Media & Entertainment — 2.3%
	86,200	Kadokawa Corp		3,953,204
		Pharmaceuticals, Biotechnology & Life Sciences — 3.4%
	18,300	Sawai Group Holdings Co Ltd		827,021
	141,300	Tsumura & Co		4,858,376
		Total Pharmaceuticals, Biotechnology & Life Sciences		5,685,397
		Real Estate — 2.5%
	278,000	Aeon Mall Co Ltd		4,233,694
		Retailing — 2.0%
	303,900	K’s Holdings Corp		3,321,842
		Semiconductors & Semiconductor Equipment — 4.9%
	36,800	Rohm Co Ltd		3,537,838
	108,300	Tokyo Seimitsu Co Ltd		4,730,670
		Total Semiconductors & Semiconductor Equipment		8,268,508
		Technology Hardware & Equipment — 7.3%
	146,000	Amano Corp		3,706,233
	290,100	Daiwabo Holdings Co Ltd		5,511,899
	42,600	Horiba Ltd		3,044,434
		Total Technology Hardware & Equipment		12,262,566
		Telecommunication Services — 2.7%
	150,700	KDDI Corp		4,606,202
		Transportation — 2.1%
	75,700	Sankyu Inc		3,522,821
		TOTAL COMMON STOCKS (COST $144,314,485)		163,632,495
		SHORT-TERM INVESTMENTS — 2.7%
		Money Market Funds — 2.7%
	4,584,919	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		4,584,919
		TOTAL SHORT-TERM INVESTMENTS (COST $4,584,919)		4,584,919

See accompanying notes to the financial statements. 23

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares	Description	Value ($)
	TOTAL INVESTMENTS — 99.9% (Cost $148,899,404)		168,217,414
	Other Assets and Liabilities (net) — 0.1%		92,115
	TOTAL NET ASSETS — 100.0%		$168,309,529

Notes to Schedule of Investments:

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

24 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.3	%
Preferred Stocks		2.9
Mutual Funds		0.5
Short-Term Investments		0.2
Other		0.1
		100.0	%
Country/Region Summary¤	% of Investments
United States		47.9	%
United Kingdom		11.3
France		8.5
Mexico		6.2
Canada		5.2
Russia		4.6
Spain		4.4
Brazil		2.9
Ireland		2.7
Finland		2.5
Germany		2.2
China		1.6
		100.0	%
Industry Group Summary	% of Equity Investments#
Consumer Durables & Apparel		15.1	%
Energy		14.8
Consumer Services		10.3
Materials		10.0
Diversified Financials		8.5
Capital Goods		6.1
Banks		6.0
Transportation		5.7
Food, Beverage & Tobacco		5.0
Software & Services		4.1
Technology Hardware & Equipment		3.3
Automobiles & Components		2.6
Insurance		2.4
Retailing		2.3
Household & Personal Products		2.2
Media & Entertainment		1.6
		100.0	%

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

¤ 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.

25

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Canada — 5.2%
	74,734	Brookfield Asset Management Inc – Class A		4,151,474
	53,055	Nutrien Ltd		3,219,908
		Total Canada		7,371,382
		China — 1.6%
	37,002	Tencent Holdings Ltd		2,285,346
		Finland — 2.5%
	57,084	Neste Oyj		3,477,096
		France — 8.5%
	4,067	Kering SA		3,239,449
	5,187	LVMH Moet Hennessy Louis Vuitton SE		3,842,582
	38,923	Safran SA		4,882,719
		Total France		11,964,750
		Germany — 2.2%
	25,947	Beiersdorf AG		3,149,034
		Ireland — 2.7%
	202,900	Ryanair Holdings Plc *		3,795,537
		Mexico — 6.1%
	436,044	Fomento Economico Mexicano SAB de CV		3,788,789
	1,055,718	Grupo Mexico SAB de CV – Series B		4,894,865
		Total Mexico		8,683,654
		Russia — 4.6%
	33,831	LUKOIL PJSC Sponsored ADR		2,865,451
	15,375	Novatek PJSC Sponsored GDR (Registered)		3,644,086
		Total Russia		6,509,537
		Spain — 4.3%
	48,424	Amadeus IT Group SA *		2,957,635
	93,162	Industria de Diseno Textil SA		3,182,545
		Total Spain		6,140,180
		United Kingdom — 11.3%
	52,767	Berkeley Group Holdings Plc (The)		3,505,027
	237,381	Compass Group Plc *		4,904,280
	97,206	Persimmon Plc		3,934,067
	185,453	Royal Dutch Shell Plc – B Shares		3,649,271
		Total United Kingdom		15,992,645
		United States — 47.3%
	25,415	American Express Co.		4,217,873
	1,568	Booking Holdings, Inc. *		3,605,882
	85,193	BorgWarner, Inc.		3,636,037

Shares		Description	Value ($)
		United States — continued
	26,158	Chevron Corp.		2,531,310
	58,002	Coca-Cola Co. (The)		3,266,093
	53,599	EOG Resources, Inc.		3,619,004
	17,249	Global Payments, Inc.		2,805,377
	30,157	Green Plains, Inc. *		1,058,511
	30,787	Hasbro, Inc.		3,026,670
	28,993	Hilton Worldwide Holdings, Inc. *		3,620,066
	29,319	Intercontinental Exchange, Inc.		3,504,500
	50,952	Las Vegas Sands Corp. *		2,272,969
	87,337	Lyft, Inc. – Class A *		4,158,115
	2,707	Markel Corp. *		3,438,567
	42,880	Raytheon Technologies Corp.		3,634,509
	78,657	Sensata Technologies Holding Plc *		4,654,921
	80,662	US Bancorp		4,629,192
	90,412	Verso Corp. – Class A		1,722,349
	48,022	VF Corp.		3,672,242
	84,633	Wells Fargo & Co.		3,867,728
		Total United States		66,941,915
		TOTAL COMMON STOCKS (COST $102,929,531)		136,311,076
		PREFERRED STOCKS (a) — 2.9%
		Brazil — 2.9%
	340,560	Bradespar SA		4,159,195
		TOTAL PREFERRED STOCKS (COST $2,188,872)		4,159,195
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	125,645	GMO U.S. Treasury Fund		633,249
		TOTAL MUTUAL FUNDS (COST $633,249)		633,249
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	284,469	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		284,469
		TOTAL SHORT-TERM INVESTMENTS (COST $284,469)		284,469
		TOTAL INVESTMENTS — 99.9% (Cost $106,036,121)		141,387,989
		Other Assets and Liabilities (net) — 0.1%		149,919
		TOTAL NET ASSETS — 100.0%		$141,537,908

26 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

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

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

See accompanying notes to the financial statements. 27

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.8	%
Short-Term Investments		3.0
Mutual Funds		0.1
Other		0.1
		100.0	%
Country/Region Summary¤	% of Investments
United States		82.9	%
United Kingdom		3.9
Switzerland		3.4
Taiwan		3.4
France		3.2
Germany		3.2
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		22.9	%
Health Care Equipment & Services		14.5
Semiconductors & Semiconductor Equipment		9.8
Pharmaceuticals, Biotechnology & Life Sciences		8.8
Media & Entertainment		8.5
Banks		6.9
Technology Hardware & Equipment		6.8
Capital Goods		5.9
Food, Beverage & Tobacco		5.7
Retailing		2.6
Household & Personal Products		2.0
Consumer Services		1.9
Diversified Financials		1.9
Consumer Durables & Apparel		1.0
Transportation		0.8
		100.0	%

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

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

# 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.

28

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.8%
		Banks — 6.7%
	5,888,732	US Bancorp		337,954,330
	6,025,513	Wells Fargo & Co.		275,365,944
		Total Banks		613,320,274
		Capital Goods — 5.7%
	612,265	3M Co.		119,232,486
	624,613	Knorr-Bremse AG		75,000,939
	1,418,642	Otis Worldwide Corp.		130,827,165
	1,603,238	Safran SA		201,119,138
		Total Capital Goods		526,179,728
		Consumer Durables & Apparel — 1.0%
	120,049	LVMH Moet Hennessy Louis Vuitton SE		88,933,507
		Consumer Services — 1.9%
	8,331,828	Compass Group Plc *		172,135,162
		Diversified Financials — 1.8%
	994,127	American Express Co.		164,985,317
		Food, Beverage & Tobacco — 5.5%
	5,956,290	Coca-Cola Co. (The)		335,398,690
	388,820	Constellation Brands, Inc. – Class A		82,095,455
	725,815	Nestle SA (Registered)		91,662,260
		Total Food, Beverage & Tobacco		509,156,405
		Health Care Equipment & Services — 14.1%
	1,083,757	Abbott Laboratories		136,954,372
	661,213	Anthem, Inc.		248,040,833
	436,196	Cigna Corp.		92,320,883
	1,965,708	Medtronic Plc		262,382,704
	978,332	Quest Diagnostics, Inc.		149,518,480
	973,902	UnitedHealth Group, Inc.		405,406,185
		Total Health Care Equipment & Services		1,294,623,457
		Household & Personal Products — 1.9%
	2,943,099	Unilever Plc (a)		163,871,439
	209,571	Unilever Plc (a)		11,664,143
		Total Household & Personal Products		175,535,582
		Media & Entertainment — 8.2%
	107,460	Alphabet, Inc. – Class A *		310,983,867
	60,870	Alphabet, Inc. – Class C *		177,085,439
	707,188	Facebook, Inc. – Class A *		268,292,983
		Total Media & Entertainment		756,362,289

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 8.5%
	592,241	Eli Lilly & Co.		152,969,928
	1,536,616	Johnson & Johnson		266,034,328
	1,952,069	Merck & Co., Inc.		148,923,344
	188,176	Organon & Co.		6,377,285
	531,751	Roche Holding AG – Genusschein		213,527,213
		Total Pharmaceuticals, Biotechnology & Life Sciences		787,832,098
		Retailing — 2.6%
	3,239,735	TJX Cos, Inc. (The)		235,593,529
		Semiconductors & Semiconductor Equipment — 9.5%
	205,338	KLA Corp.		69,806,706
	434,778	Lam Research Corp.		262,962,430
	13,753,790	Taiwan Semiconductor Manufacturing Co Ltd		301,692,426
	1,255,549	Texas Instruments, Inc.		239,696,860
		Total Semiconductors & Semiconductor Equipment		874,158,422
		Software & Services — 22.1%
	1,126,095	Accenture Plc – Class A		378,998,533
	250,580	Adobe, Inc. *		166,309,946
	463,876	Global Payments, Inc.		75,444,793
	1,978,180	Microsoft Corp.		597,172,978
	4,063,203	Oracle Corp.		362,153,283
	487,276	salesforce.com, Inc. *		129,259,705
	1,376,467	SAP SE		206,759,037
	529,834	Visa, Inc. – Class A		121,384,969
		Total Software & Services		2,037,483,244
		Technology Hardware & Equipment — 6.6%
	2,559,841	Apple, Inc.		388,660,659
	3,743,742	Cisco Systems, Inc.		220,955,653
		Total Technology Hardware & Equipment		609,616,312
		Transportation — 0.7%
	1,436,309	Lyft, Inc. – Class A *		68,382,672
		TOTAL COMMON STOCKS (COST $4,721,771,015)		8,914,297,998
		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

See accompanying notes to the financial statements. 29

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.0%
		Money Market Funds — 0.2%
	17,806,072	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		17,806,072
		U.S. Government — 2.8%
	400,000	U.S. Treasury Bill, 0.06%, due 05/19/22 (c)		399,841
	107,600,000	U.S. Treasury Bill, 0.06%, due 06/16/22 (c)		107,545,770
	149,200,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (c)		149,117,492
		Total U.S. Government		257,063,103
		TOTAL SHORT-TERM INVESTMENTS (COST $274,862,194)		274,869,175
		TOTAL INVESTMENTS — 99.9% (Cost $5,006,386,110)		9,198,998,134
		Other Assets and Liabilities (net) — 0.1%		8,293,205
		TOTAL NET ASSETS — 100.0%		$9,207,291,339

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 August 31, 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 51.

30 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		88.6	%
Preferred Stocks		9.5
Short-Term Investments		1.7
Rights/Warrants		0.0	^
Other		0.2
		100.0	%
Country/Region Summary¤	% of Equity Investments
United States		27.4	%
United Kingdom		13.8
Russia		10.4
Brazil		9.0
Canada		7.9
Australia		5.5
Other Emerging		4.0	†
Mexico		3.0
China		3.0
India		2.7
Other Developed		2.6	‡
Norway		2.1
Japan		2.0
South Africa		1.7
Chile		1.7
France		1.6
Austria		1.6
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		51.6	%
Industrial Metals		35.6
Agriculture		11.6
Water		1.2
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%.

31

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.6%
		Argentina — 0.9%
	1,595,654	Adecoagro SA *		14,919,365
		Australia — 5.4%
	6,621,392	Beach Energy Ltd		5,044,690
	735,000	Clean TeQ Water Ltd *		384,448
	2,158,856	Fortescue Metals Group Ltd		32,912,304
	6,000,172	Jupiter Mines Ltd		1,116,503
	556,246	Mineral Resources Ltd		22,127,285
	7,971,535	Perenti Global Ltd		5,067,329
	2,612,744	Sandfire Resources Ltd		12,309,988
	1,470,000	Sunrise Energy Metals Ltd *		1,941,774
	476,888	Tassal Group Ltd (a)		1,245,937
	4,533,929	Western Areas Ltd		10,172,241
		Total Australia		92,322,499
		Austria — 1.5%
	468,910	OMV AG		25,973,267
		Brazil — 3.3%
	1,096,400	Enauta Participacoes SA		2,907,025
	7,449,300	Petroleo Brasileiro SA		40,222,878
	2,089,557	Sao Martinho SA		12,988,002
		Total Brazil		56,117,905
		Canada — 7.8%
	822,600	Anaergia Inc *		15,093,877
	782,555	Canadian Solar Inc * (a)		28,931,059
	343,900	Enerflex Ltd		2,090,685
	552,800	Enerplus Corp		3,272,576
	685,000	First Quantum Minerals Ltd		14,268,458
	1,617,600	Greenlane Renewables Inc *		1,871,911
	5,759,800	Ivanhoe Mines Ltd – Class A * (a)		46,474,667
	1,561,688	Largo Resources Ltd *(a)		21,550,341
		Total Canada		133,553,574
		China — 2.9%
	8,248,000	China High Speed Transmission Equipment Group Co Ltd *		5,966,183
	4,648,000	China Water Affairs Group Ltd (a)		4,635,778
	22,662,000	CNOOC Ltd		22,495,665
	346,212	Sungrow Power Supply Co Ltd – Class A		8,420,414
	4,690,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H (a)		8,992,306
		Total China		50,510,346
		Denmark — 0.4%
	184,793	Vestas Wind Systems A/S		7,456,548

Shares		Description	Value ($)
		Finland — 0.6%
	175,763	Kemira Oyj		2,968,112
	122,765	Neste Oyj		7,477,853
		Total Finland		10,445,965
		France — 1.6%
	147,188	Technip Energies NV *		1,926,942
	491,272	TotalEnergies SE		21,730,245
	58,741	Vilmorin & Cie SA		3,801,870
		Total France		27,459,057
		Hungary — 0.9%
	1,942,578	MOL Hungarian Oil & Gas Plc		15,927,228
		India — 2.6%
	10,518,370	Oil & Natural Gas Corp Ltd		17,284,970
	2,275,962	Oil India Ltd		5,591,249
	5,297,132	Vedanta Ltd		21,910,141
		Total India		44,786,360
		Israel — 0.5%
	24,377	Delek Group Ltd *		1,356,190
	79,215	Equital Ltd *		2,193,807
	16,178	Israel Corp Ltd (The) *		4,911,324
	119,107	Naphtha Israel Petroleum Corp Ltd *		546,870
		Total Israel		9,008,191
		Japan — 2.0%
	234,100	Ebara Corp		11,636,405
	1,843,700	Inpex Corp		12,667,862
	155,800	Japan Petroleum Exploration Co Ltd		2,680,307
	145,900	Mitsubishi Materials Corp		2,990,786
	67,400	Nittetsu Mining Co Ltd		4,083,702
		Total Japan		34,059,062
		Mexico — 3.0%
	11,008,240	Grupo Mexico SAB de CV – Series B		51,039,997
		Norway — 2.1%
	1,349,409	Austevoll Seafood ASA		17,330,526
	4,133,611	DNO ASA *		3,748,755
	681,181	Equinor ASA		14,437,039
		Total Norway		35,516,320
		Pakistan — 0.2%
	4,184,258	Fauji Fertilizer Co Ltd		2,664,631
	575,177	Pakistan Oilfields Ltd		1,345,967
		Total Pakistan		4,010,598

32 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.7%
	7,472,016	Polskie Gornictwo Naftowe i Gazownictwo SA		12,289,219
		Russia — 7.9%
	3,525,924	Gazprom Neft PJSC		20,506,156
	318,030	LUKOIL PJSC Sponsored ADR		26,936,814
	430,229	MMC Norilsk Nickel PJSC ADR		14,156,582
	113,392	Novatek PJSC Sponsored GDR (Registered)		26,875,463
	1,082,550	PhosAgro PJSC GDR (Registered)		21,305,079
	601,778	Ros Agro Plc GDR (Registered)		9,652,837
	2,440,627	Tatneft PJSC		16,136,355
		Total Russia		135,569,286
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd * (a) (b)		—
		South Africa — 1.7%
	470,330	African Rainbow Minerals Ltd		8,381,996
	716,766	Impala Platinum Holdings Ltd		10,981,355
	2,410,120	Sibanye Stillwater Ltd		9,843,056
		Total South Africa		29,206,407
		South Korea — 0.4%
	9,258	Korea Zinc Co Ltd		4,240,244
	4,769	Young Poong Corp		2,934,025
		Total South Korea		7,174,269
		Spain — 0.7%
	1,019,259	Repsol SA		11,696,156
		Switzerland — 0.3%
	2,618	Gurit Holding AG		5,409,621
		Turkey — 0.3%
	3,170,795	Koza Anadolu Metal Madencilik Isletmeleri AS *		6,060,388
		Ukraine — 0.4%
	501,341	Kernel Holding SA		7,492,652
		United Kingdom — 13.6%
	674,746	Anglo American Plc		28,498,235
	767,448	BHP Group Plc		23,864,512
	1,120,507	BP Plc		4,558,552
	1,461,402	Central Asia Metals Plc		5,030,165
	2,141,887	Ferrexpo Plc		11,225,957
	14,216,776	Glencore Plc *		64,085,418
	1,882,238	John Wood Group Plc *		6,467,079
	1,053,308	Petrofac Ltd * (a)		1,525,926
	4,462,954	Royal Dutch Shell Plc – B Shares		87,820,256
		Total United Kingdom		233,076,100

Shares		Description	Value ($)
		United States — 26.9%
	1,017,717	Aemetis, Inc. * (a)		11,317,013
	258,800	AGCO Corp.		35,616,056
	496,400	Ameresco, Inc. – Class A *		34,326,060
	259,000	Baker Hughes Co.		5,900,020
	6,703,666	Clean Energy Fuels Corp. *		53,160,071
	497,700	Darling Ingredients, Inc. *		37,078,650
	47,300	Deere & Co.		17,880,819
	737,982	Freeport-McMoRan, Inc.		26,855,165
	1,369,124	GrafTech International Ltd.		15,156,203
	365,100	Green Plains, Inc. *		12,815,010
	22,465,401	Kosmos Energy Ltd. * (c)		53,018,346
	1,334,700	Livent Corp. * (a)		33,193,989
	513,343	Montauk Renewables, Inc. * (a)		4,240,213
	1,438,621	Mosaic Co. (The)		46,294,824
	492,700	ProPetro Holding Corp. *		3,813,498
	596,946	Renewable Energy Group, Inc. *		28,904,125
	87,755	SolarEdge Technologies, Inc. *		25,429,644
	326,218	Sunrun, Inc. * (a)		14,435,147
	240,600	Talos Energy, Inc. *		2,983,440
		Total United States		462,418,293
		TOTAL COMMON STOCKS (COST $1,289,514,093)		1,523,498,673
		PREFERRED STOCKS (d) — 9.5%
		Brazil — 5.6%
	6,172,360	Bradespar SA		75,381,863
	3,845,300	Petroleo Brasileiro SA		20,220,025
		Total Brazil		95,601,888
		Chile — 1.6%
	530,395	Sociedad Quimica y Minera de Chile SA Sponsored ADR		27,660,099
		Russia — 2.3%
	94,186	Bashneft PJSC		1,379,512
	16,540,484	Surgutneftegas PJSC		8,724,946
	4,706,402	Tatneft PJSC		29,383,977
		Total Russia		39,488,435
		TOTAL PREFERRED STOCKS (COST $140,172,542)		162,750,422
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23* (a) (b)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—

See accompanying notes to the financial statements. 33

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 0.2%
	3,477,640	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		3,477,640
		U.S. Government — 1.5%
	14,600,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (f)		14,591,926
	11,200,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (f)		11,192,509
		Total U.S. Government		25,784,435
		TOTAL SHORT-TERM INVESTMENTS (COST $29,263,119)		29,262,075
		TOTAL INVESTMENTS — 99.8% (Cost $1,458,949,754)		1,715,511,170
		Other Assets and Liabilities (net) — 0.2%		3,149,679
		TOTAL NET ASSETS — 100.0%		$1,718,660,849

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 companies (Note 10).

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

(e) The rate disclosed is the 7 day net yield as of August 31, 2021.

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

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

34 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.9	%
Mutual Funds		2.8
Preferred Stocks		2.2
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		(1.0	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		19.1	%
United Kingdom		15.4
Germany		9.2
France		8.2
Netherlands		6.5
Switzerland		6.0
Spain		4.9
Singapore		3.7
Australia		3.4
Italy		3.2
United States		2.8
Other Emerging		2.6	†
China		2.0
Other Developed		2.0	‡
South Korea		1.9
Portugal		1.7
Hong Kong		1.6
Norway		1.5
Russia		1.3
Taiwan		1.2
Ireland		1.0
Euro Region		0.8	§
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		13.4	%
Banks		11.7
Pharmaceuticals, Biotechnology & Life Sciences		11.6
Materials		10.3
Automobiles & Components		7.3
Telecommunication Services		6.5
Food, Beverage & Tobacco		6.3
Consumer Durables & Apparel		4.7
Utilities		3.5
Retailing		3.4
Diversified Financials		2.9
Insurance		2.8
Food & Staples Retailing		2.5
Transportation		2.4
Software & Services		2.1
Technology Hardware & Equipment		2.1
Semiconductors & Semiconductor Equipment		1.8
Commercial & Professional Services		1.6
Energy		1.3
Media & Entertainment		0.8
Health Care Equipment & Services		0.5
Household & Personal Products		0.3
Real Estate		0.2
		100.0	%

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

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

† “Other 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.

# 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%.

35

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Australia — 3.4%
	6,116	Accent Group Ltd		9,587
	25,801	Fortescue Metals Group Ltd		393,343
	11,833	Rio Tinto Ltd		962,793
	6,930	Sandfire Resources Ltd		32,651
	1,383	Sims Ltd		15,196
		Total Australia		1,413,570
		Belgium — 0.9%
	2,087	Ageas SA/NV		104,294
	469	Groupe Bruxelles Lambert SA		53,731
	1,750	UCB SA		200,216
		Total Belgium		358,241
		Brazil — 0.6%
	14,900	Cielo SA		8,270
	6,700	EDP – Energias do Brasil SA		23,893
	3,600	Fleury SA		16,473
	30,100	Marfrig Global Foods SA		119,275
	32,300	TIM SA		77,833
		Total Brazil		245,744
		China — 2.1%
	38,000	China CITIC Bank Corp Ltd – Class H		17,470
	20,000	China Everbright Bank Co Ltd – Class H		7,168
	36,000	China Everbright Environment Group Ltd		24,889
	119,000	China Hongqiao Group Ltd		176,503
	50,000	China Lesso Group Holdings Ltd		107,017
	54,000	China Medical System Holdings Ltd		105,989
	290,000	China Railway Group Ltd – Class H		138,888
	72,500	China Resources Pharmaceutical Group Ltd		37,704
	48,000	China Traditional Chinese Medicine Holdings Co Ltd *		22,847
	30,000	Metallurgical Corp of China Ltd – Class H		11,933
	7,000	Nexteer Automotive Group Ltd		7,883
	11,000	PAX Global Technology Ltd		13,600
	50,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		99,787
	16,800	Sinopharm Group Co Ltd – Class H		43,235
	24,000	TCL Electronics Holdings Ltd *		12,714
	20,000	Tianneng Power International Ltd		26,767
		Total China		854,394
		Denmark — 0.1%
	2,425	Scandinavian Tobacco Group A/S		49,249
		Finland — 0.4%
	4,309	Kesko Oyj – B Shares		178,304

Shares		Description	Value ($)
		France — 8.3%
	136	Alten SA		22,434
	9,330	ArcelorMittal SA		312,928
	15,150	BNP Paribas SA		959,750
	65	Christian Dior SE		49,136
	13,001	Cie de Saint-Gobain		942,481
	17,357	Credit Agricole SA		250,526
	1,060	Derichebourg SA *		12,547
	432	Kaufman & Broad SA		20,120
	1,207	Quadient SA		34,276
	4,784	Sanofi		495,807
	753	Schneider Electric SE		134,536
	253	SEB SA		39,825
	195	Societe BIC SA		12,982
	2,817	Societe Generale SA		88,663
	2,470	Television Francaise 1		24,794
	806	TotalEnergies SE		35,651
		Total France		3,436,456
		Germany — 7.2%
	6,077	Bayerische Motoren Werke AG		576,821
	153	CECONOMY AG *		717
	11,266	Daimler AG (Registered)		950,341
	6,376	Deutsche Post AG (Registered)		448,291
	2,162	Dialog Semiconductor Plc *		171,848
	1,638	HeidelbergCement AG		142,058
	310	Hornbach Holding AG & Co KGaA		33,162
	883	Kloeckner & Co SE *		11,922
	809	Merck KGaA		192,216
	2,001	ProSiebenSat.1 Media SE		38,202
	1,958	RTL Group SA *		121,669
	401	Traton SE		11,838
	836	Volkswagen AG		279,719
		Total Germany		2,978,804
		Hong Kong — 1.6%
	3,000	CK Hutchison Holdings Ltd		21,870
	11,200	Dah Sing Banking Group Ltd		10,771
	96,000	IGG Inc		91,690
	9,500	Johnson Electric Holdings Ltd		21,756
	5,300	VTech Holdings Ltd		51,480
	524,000	WH Group Ltd		454,500
		Total Hong Kong		652,067
		Hungary — 0.2%
	3,883	Magyar Telekom Telecommunications Plc		5,661
	2,515	Richter Gedeon Nyrt		75,382
		Total Hungary		81,043

36 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		India — 0.7%
	1,120	Glenmark Pharmaceuticals Ltd		8,118
	7,920	Mahindra & Mahindra Ltd		85,803
	13,240	Power Finance Corp Ltd		23,295
	1,169	Rajesh Exports Ltd		9,357
	82,620	REC Ltd		171,218
		Total India		297,791
		Ireland — 1.1%
	4,661	Bank of Ireland Group Plc *		29,174
	2,694	CRH Plc		143,327
	3,460	CRH Plc Sponsored ADR		183,795
	349	Kingspan Group Plc		39,854
	668	Smurfit Kappa Group Plc		38,286
		Total Ireland		434,436
		Italy — 3.3%
	9,606	A2A SPA		21,104
	3,234	Anima Holding SPA		16,681
	3,466	Arnoldo Mondadori Editore SPA *		7,652
	2,203	Banca Mediolanum SPA		22,871
	6,600	CNH Industrial NV (a)		108,834
	917	CNH Industrial NV (a)		15,159
	1,103	De’ Longhi SPA		49,919
	22,108	Enel SPA		201,414
	1,257	Esprinet SPA		24,024
	5,556	EXOR NV		463,556
	3,668	Italgas SPA		24,317
	4,523	Mediobanca Banca di Credito Finanziario SPA *		53,319
	7,750	Poste Italiane SPA		105,074
	132,094	Telecom Italia SPA		59,848
	205,165	Telecom Italia SPA – RSP		99,122
	1,380	Unieuro SPA		36,058
	5,016	Unipol Gruppo SPA		29,750
		Total Italy		1,338,702
		Japan — 19.5%
	1,100	Advantest Corp		94,767
	1,100	Aisin Corp		41,989
	29,400	Asahi Kasei Corp		303,116
	30,500	Astellas Pharma Inc		513,922
	9,000	Brother Industries Ltd		184,694
	2,300	Canon Inc		54,722
	1,200	Daiwa House Industry Co Ltd		36,592
	5,900	Daiwabo Holdings Co Ltd		112,100
	1,200	Dexerials Corp		23,437
	1,000	Fuji Electric Co Ltd		43,261
	4,100	Fujitsu Ltd		754,756
	10,600	Hitachi Ltd		585,825
	1,300	Hitachi Zosen Corp		9,404
	2,200	Iida Group Holdings Co Ltd		55,852

Shares		Description	Value ($)
		Japan — continued
	2,700	Inpex Corp		18,551
	30,700	ITOCHU Corp		923,490
	3,800	Japan Post Insurance Co Ltd		69,008
	3,900	Japan Tobacco Inc		75,670
	100	K’s Holdings Corp		1,093
	3,900	Kajima Corp		50,389
	30,300	KDDI Corp		926,131
	200	Kohnan Shoji Co Ltd		6,594
	800	Komeri Co Ltd		18,344
	7,100	Konica Minolta Inc		36,033
	12,600	Marubeni Corp		100,250
	1,000	MCJ Co Ltd		11,143
	5,300	Mitsubishi Chemical Holdings Corp		46,534
	800	Mitsubishi Gas Chemical Co Inc		15,074
	74,500	Mitsubishi UFJ Financial Group Inc		404,195
	11,100	Mitsui & Co Ltd		244,817
	300	Mitsui OSK Lines Ltd		23,123
	3,100	NEC Networks & System Integration Corp		59,092
	1,000	Nichias Corp		26,522
	500	Nihon Jyoho Create Co Ltd		6,872
	34,400	Nippon Telegraph & Telephone Corp		916,512
	4,100	Obayashi Corp		33,736
	8,200	Panasonic Corp		98,032
	9,800	Renesas Electronics Corp *		104,937
	3,300	Ricoh Co Ltd		33,579
	4,200	Sekisui Chemical Co Ltd		71,880
	3,400	Sekisui House Ltd		67,739
	30,100	Sojitz Corp		88,372
	94,100	Sumitomo Chemical Co Ltd		477,051
	800	Tokyo Seimitsu Co Ltd		34,945
	200	Tosoh Corp		3,630
	4,400	Toyota Tsusho Corp		194,559
	700	TS Tech Co Ltd		9,482
		Total Japan		8,011,816
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (b)		—
		Netherlands — 6.6%
	504	ASM International NV		195,548
	4,538	ASR Nederland NV		207,363
	13,336	ING Groep NV		183,962
	19,912	Koninklijke Ahold Delhaize NV		671,780
	2,984	NN Group NV		154,788
	57,794	PostNL NV		302,430
	6,076	Randstad NV		447,474
	7,720	Signify NV		432,495
	5,251	Stellantis NV		105,260
	1,641	TomTom NV *		13,137
		Total Netherlands		2,714,237

See accompanying notes to the financial statements. 37

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Norway — 1.5%
	2,061	Aker Solutions ASA *		3,812
	5,392	BW LPG Ltd		28,710
	1,859	DNB Bank ASA		39,237
	58,148	Norsk Hydro ASA		401,410
	11,347	Orkla ASA		101,356
	1,503	SpareBank 1 Nord Norge		15,136
	2,652	SpareBank 1 SR-Bank ASA		35,768
	4,556	XXL ASA *		9,669
		Total Norway		635,098
		Poland — 0.2%
	233	Asseco Poland SA		5,105
	38,504	Polskie Gornictwo Naftowe i Gazownictwo SA		63,328
		Total Poland		68,433
		Portugal — 1.7%
	209,461	Banco Comercial Portugues SA – Class R *		32,399
	119,450	EDP – Energias de Portugal SA		655,726
	2,432	Galp Energia SGPS SA		24,877
		Total Portugal		713,002
		Russia — 1.3%
	42,966	Gazprom PJSC Sponsored ADR		356,231
	705,000	Inter RAO UES PJSC		44,423
	833	QIWI Plc Sponsored ADR		7,936
	6,100	Sberbank of Russia PJSC Sponsored ADR		108,939
	9,800	Surgutneftegas PJSC		4,523
		Total Russia		522,052
		Singapore — 3.8%
	37,199	DBS Group Holdings Ltd		824,816
	2,000	Jardine Cycle & Carriage Ltd		28,835
	7,300	Keppel Corp Ltd		28,142
	16,700	Sembcorp Industries Ltd		23,906
	1,300	Venture Corp Ltd		18,477
	97,800	Wilmar International Ltd		300,344
	252,000	Yangzijiang Shipbuilding Holdings Ltd		306,868
	16,000	Yanlord Land Group Ltd		14,129
		Total Singapore		1,545,517
		South Africa — 0.2%
	4,189	Aspen Pharmacare Holdings Ltd *		56,484
	882	Foschini Group Ltd (The) *		9,075
	11,423	Netcare Ltd *		13,254
	2,361	Truworths International Ltd		10,867
		Total South Africa		89,680
		South Korea — 1.9%
	7,163	BNK Financial Group Inc		47,800

Shares		Description	Value ($)
		South Korea — continued
	5,869	DGB Financial Group Inc		45,938
	994	E-MART Inc		153,151
	531	Hankook Tire & Technology Co Ltd		21,303
	30,548	Hanwha Life Insurance Co Ltd		87,733
	811	Hanyang Eng Co Ltd		11,434
	2,138	KT&G Corp		150,369
	606	LG Electronics Inc		74,012
	732	LG Uplus Corp		8,857
	447	LX Semicon Co Ltd		44,384
	1,490	SL Corp		35,253
	1,813	Yuhan Corp		97,563
		Total South Korea		777,797
		Spain — 5.0%
	4,352	Acerinox SA		59,313
	460	ACS Actividades de Construccion y Servicios SA		12,418
	93,604	Banco Bilbao Vizcaya Argentaria SA *		612,637
	38,859	Banco de Sabadell SA *		27,703
	244,882	Banco Santander SA *		902,942
	1,031	Cia de Distribucion Integral Logista Holdings SA		22,383
	480	Ebro Foods SA		9,639
	32,945	Iberdrola SA		408,237
	277	Mediaset Espana Comunicacion SA *		1,690
		Total Spain		2,056,962
		Sweden — 0.6%
	705	JM AB		27,312
	21	Mycronic AB		648
	3,325	Skanska AB – B Shares		95,853
	14,498	SSAB AB – A Shares *		79,152
	3,039	SSAB AB – B Shares *		14,502
	1,388	Volvo AB – A Shares		32,201
		Total Sweden		249,668
		Switzerland — 6.1%
	2,090	Adecco Group AG (Registered)		116,261
	160	ALSO Holding AG (Registered) *		51,497
	8,755	Novartis AG (Registered)		809,757
	400	Novartis AG Sponsored ADR		36,956
	85	Roche Holding AG		38,050
	3,604	Roche Holding AG – Genusschein		1,447,204
	165	Vetropack Holding AG (Registered)		11,269
		Total Switzerland		2,510,994
		Taiwan — 1.2%
	17,000	Asustek Computer Inc		198,455
	12,000	Chipbond Technology Corp		33,237
	32,000	Grand Pacific Petrochemical		35,044
	130,000	Pou Chen Corp		154,408
	18,000	Radiant Opto-Electronics Corp		64,208

38 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	5,302	TOPBI International Holdings Ltd		2,658
		Total Taiwan		488,010
		Thailand — 0.2%
	93,200	AP Thailand Pcl NVDR		24,272
	349,200	Sansiri Pcl NVDR		13,841
	3,600	Siam Cement Pcl NVDR (The)		47,993
		Total Thailand		86,106
		Turkey — 0.5%
	30,075	Arcelik AS		116,303
	244	Dogus Otomotiv Servis ve Ticaret AS		824
	11,821	Eregli Demir ve Celik Fabrikalari TAS		26,740
	1,930	Ford Otomotiv Sanayi AS		39,877
	6,615	KOC Holding AS		18,322
	1,488	Turk Telekomunikasyon AS		1,328
	1,982	Turkiye Sise ve Cam Fabrikalari AS		2,122
		Total Turkey		205,516
		United Kingdom — 15.7%
	14,934	3i Group Plc		274,652
	2,643	Anglo American Plc		111,628
	27,281	Aviva Plc		151,631
	42,370	Barratt Developments Plc		430,971
	2,149	Bellway Plc		104,149
	524	Berkeley Group Holdings Plc (The)		34,806
	9,590	British American Tobacco Plc		359,753
	17,200	British American Tobacco Plc Sponsored ADR		648,268
	227,619	BT Group Plc *		532,083
	2,994	Coca-Cola HBC AG *		108,368
	170	Dunelm Group Plc		3,005
	3,244	Electrocomponents Plc		47,471
	3,709	Ferguson Plc		536,092
	18,424	Ferrexpo Plc		96,563
	12,900	GlaxoSmithKline Plc Sponsored ADR		525,546
	578	Grafton Group Plc		11,107
	3,279	IG Group Holdings Plc		42,225
	4,839	Inchcape Plc		61,200
	5,816	ITV Plc *		9,269
	14,815	JD Sports Fashion Plc		205,725
	855	Johnson Matthey Plc		34,567
	78,114	Kingfisher Plc		376,121
	59,904	Legal & General Group Plc		222,521
	610	Morgan Sindall Group Plc		21,549
	4,455	Next Plc		484,486
	11,188	Persimmon Plc		452,795
	7,932	Pets at Home Group Plc		54,621
	4,012	Plus500 Ltd		82,480
	5,901	QinetiQ Group Plc		28,035
	24,422	Royal Mail Plc		166,332

Shares		Description	Value ($)
		United Kingdom — continued
	458	Schroders Plc		23,812
	3,905	Spirent Communications Plc		15,993
	14,722	Tate & Lyle Plc		142,982
	3,368	WPP Plc		45,666
		Total United Kingdom		6,446,472
		TOTAL COMMON STOCKS (COST $31,140,930)		39,440,161
		PREFERRED STOCKS (c) — 2.2%
		Brazil — 0.0%
	3,700	Cia Energetica de Minas Gerais		9,667
		Germany — 2.1%
	1,322	Bayerische Motoren Werke AG		110,675
	186	Draegerwerk AG & Co KGaA		15,708
	1,094	Henkel AG & Co KGaA		106,887
	2,649	Volkswagen AG		630,077
		Total Germany		863,347
		Russia — 0.0%
	100	Surgutneftegas PJSC		53
		South Korea — 0.1%
	282	LG Electronics Inc		16,945
		TOTAL PREFERRED STOCKS (COST $857,976)		890,012
		MUTUAL FUNDS — 2.8%
		United States — 2.8%
		Affiliated Issuers — 2.8%
	231,353	GMO U.S. Treasury Fund		1,166,020
		TOTAL MUTUAL FUNDS (COST $1,164,487)		1,166,020
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	56,770	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		56,770
		TOTAL SHORT-TERM INVESTMENTS (COST $56,770)		56,770
		TOTAL INVESTMENTS — 101.0% (Cost $33,220,163)		41,552,963
		Other Assets and Liabilities (net) — (1.0%)		(405,110	)
		TOTAL NET ASSETS — 100.0%		$41,147,853

See accompanying notes to the financial statements. 39

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
3	MSCI EAFE	September 2021	$	352,725	$	1,765

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 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 August 31, 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 51.

40 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Mutual Funds		0.3
Futures Contracts		0.0	^
Other		2.5
		100.0	%
Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		11.6	%
Retailing		10.7
Software & Services		10.1
Capital Goods		9.9
Pharmaceuticals, Biotechnology & Life Sciences		8.7
Diversified Financials		7.3
Food, Beverage & Tobacco		6.2
Media & Entertainment		5.5
Consumer Durables & Apparel		5.1
Materials		4.6
Insurance		4.3
Banks		2.9
Health Care Equipment & Services		2.6
Semiconductors & Semiconductor Equipment		2.2
Telecommunication Services		2.0
Commercial & Professional Services		1.2
Food & Staples Retailing		1.2
Energy		1.0
Household & Personal Products		0.9
Real Estate		0.9
Automobiles & Components		0.7
Consumer Services		0.4
		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%.

41

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Automobiles & Components — 0.7%
	17,782	BorgWarner, Inc.		758,936
	50,914	Dana, Inc.		1,184,259
	5,221	Lear Corp.		835,047
		Total Automobiles & Components		2,778,242
		Banks — 2.8%
	46,092	Associated Banc-Corp.		950,417
	3,000	Axos Financial, Inc. *		145,440
	27,141	Citizens Financial Group, Inc.		1,188,504
	2,300	Columbia Banking System, Inc.		83,628
	11,400	CVB Financial Corp.		232,104
	17,951	East West Bancorp, Inc.		1,316,526
	50,848	Fifth Third Bancorp		1,975,953
	5,649	Flagstar Bancorp, Inc.		279,400
	10,300	Fulton Financial Corp.		163,255
	12,300	Great Western Bancorp, Inc.		380,808
	8,098	Hilltop Holdings, Inc.		271,040
	20,069	KeyCorp.		407,802
	7,160	M&T Bank Corp.		1,002,472
	14,600	Old National Bancorp		243,236
	7,676	Popular, Inc.		582,915
	29,800	Radian Group, Inc.		704,174
	587	SVB Financial Group *		328,427
	3,300	Towne Bank		100,551
	2,400	TriCo Bancshares		94,920
	9,000	Trustmark Corp.		284,580
	4,000	UMB Financial Corp.		366,320
	3,600	Washington Federal, Inc.		119,880
	9,418	Wintrust Financial Corp.		704,843
		Total Banks		11,927,195
		Capital Goods — 9.6%
	4,674	3M Co.		910,215
	32,880	A O Smith Corp.		2,391,034
	13,453	AGCO Corp.		1,851,402
	5,300	Applied Industrial Technologies, Inc.		470,693
	10,200	Atkore, Inc. *		946,254
	8,047	Boise Cascade Co.		465,519
	1,202	Carlisle Cos, Inc.		253,309
	74,853	Carrier Global Corp.		4,311,533
	1,300	Caterpillar, Inc.		274,131
	12,106	Cummins, Inc.		2,856,774
	5,400	Deere & Co.		2,041,362
	8,900	Eaton Corp Plc		1,498,404
	13,750	EMCOR Group, Inc.		1,670,625
	9,343	Fortive Corp.		690,167
	3,000	Fortune Brands Home & Security, Inc.		292,110
	20,400	Gates Industrial Corp Plc *		334,152
	3,988	Moog, Inc. – Class A		316,807

Shares		Description	Value ($)
		Capital Goods — continued
	10,683	Mueller Industries, Inc.		476,569
	7,500	Otis Worldwide Corp.		691,650
	31,881	Owens Corning		3,046,230
	9,278	Parker-Hannifin Corp.		2,752,504
	10,500	Primoris Services Corp.		269,850
	1,000	Snap-on, Inc.		224,950
	2,963	Stanley Black & Decker, Inc.		572,659
	51,217	Textron, Inc.		3,721,939
	3,561	Timken Co. (The)		261,876
	22,848	Trane Technologies Plc		4,535,328
	34,536	UFP Industries, Inc.		2,592,963
	515	WW Grainger, Inc.		223,355
		Total Capital Goods		40,944,364
		Commercial & Professional Services — 1.2%
	42,500	ACCO Brands Corp.		398,225
	14,504	Brady Corp. – Class A		773,498
	2,646	Cimpress Plc *		251,317
	9,600	Deluxe Corp.		368,160
	2,700	Heidrick & Struggles International, Inc.		116,694
	6,028	HNI Corp.		228,401
	8,300	ICF International, Inc.		777,378
	10,900	Kforce, Inc.		636,778
	6,407	ManpowerGroup, Inc.		777,938
	4,000	Matthews International Corp. – Class A		148,120
	33,544	Steelcase, Inc. – Class A		472,635
		Total Commercial & Professional Services		4,949,144
		Consumer Durables & Apparel — 5.0%
	1,900	Century Communities, Inc.		133,190
	1,874	Deckers Outdoor Corp. *		784,175
	4,526	DR Horton, Inc.		432,776
	24,800	Ethan Allen Interiors, Inc.		595,696
	36,941	Garmin Ltd.		6,443,618
	13,181	La-Z-Boy, Inc.		461,467
	26,168	MDC Holdings, Inc.		1,367,278
	3,200	Meritage Homes Corp. *		356,928
	18,705	Mohawk Industries, Inc. *		3,699,101
	53,730	PulteGroup, Inc.		2,893,898
	44,800	Taylor Morrison Home Corp. *		1,258,432
	23,917	Tempur Sealy International, Inc.		1,069,090
	67,052	TRI Pointe Homes, Inc. *		1,593,826
	600	Whirlpool Corp.		132,918
		Total Consumer Durables & Apparel		21,222,393
		Consumer Services — 0.4%
	12,900	Adtalem Global Education, Inc. *		477,300
	900	Graham Holdings Co. – Class B		555,129
	17,275	Perdoceo Education Corp. *		189,680
	8,300	Service Corp. International		520,908
		Total Consumer Services		1,743,017

42 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — 7.1%
	56,507	Ally Financial, Inc.		2,989,220
	2,837	American Express Co.		470,829
	46,410	Bank of New York Mellon Corp. (The)		2,562,760
	3,200	Capital One Financial Corp.		531,104
	10,286	Discover Financial Services		1,318,871
	6,400	Donnelley Financial Solutions, Inc. *		213,440
	29,243	Enova International, Inc. *		964,434
	4,000	Equitable Holdings, Inc.		124,040
	1,000	FactSet Research Systems, Inc.		380,220
	32,511	Federated Hermes, Inc.		1,099,847
	9,300	Franklin Resources, Inc.		301,692
	3,900	Goldman Sachs Group, Inc. (The)		1,612,689
	15,500	Invesco Ltd.		392,460
	2,200	MSCI, Inc.		1,396,076
	900	Nasdaq, Inc.		176,202
	6,300	Nelnet, Inc. – Class A		509,544
	11,678	OneMain Holdings, Inc.		675,339
	3,247	PROG Holdings, Inc.		153,648
	36,980	Raymond James Financial, Inc.		5,173,502
	47,900	Santander Consumer USA Holdings, Inc.		1,998,867
	12,313	SEI Investments Co.		773,380
	20,723	State Street Corp.		1,925,374
	55,903	Synchrony Financial		2,781,174
	6,800	T. Rowe Price Group, Inc.		1,522,316
	12,700	Virtu Financial, Inc. – Class A		310,896
		Total Diversified Financials		30,357,924
		Energy — 1.0%
	19,016	CNX Resources Corp. *		216,022
	12,400	Denbury, Inc. *		872,092
	28,959	Exxon Mobil Corp.		1,578,844
	2,900	Hess Corp.		199,375
	11,700	Whiting Petroleum Corp. *		549,315
	25,019	World Fuel Services Corp.		809,615
		Total Energy		4,225,263
		Food & Staples Retailing — 1.1%
	105,145	Kroger Co. (The)		4,839,824
		Food, Beverage & Tobacco — 6.0%
	54,600	Altria Group, Inc.		2,742,558
	61,963	Archer-Daniels-Midland Co.		3,717,780
	125,329	Mondelez International, Inc. – Class A		7,779,171
	99,800	Philip Morris International, Inc.		10,279,400
	22,265	Universal Corp.		1,126,609
		Total Food, Beverage & Tobacco		25,645,518
		Health Care Equipment & Services — 2.6%
	17,141	AmerisourceBergen Corp.		2,094,802
	9,400	Cigna Corp.		1,989,510

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	5,100	Humana, Inc.		2,067,642
	788	Laboratory Corp. of America Holdings *		239,063
	20,881	McKesson Corp.		4,262,647
	1,300	Universal Health Services, Inc. – Class B		202,488
		Total Health Care Equipment & Services		10,856,152
		Household & Personal Products — 0.9%
	41,418	Colgate-Palmolive Co.		3,228,533
	8,600	Spectrum Brands Holdings, Inc.		671,316
		Total Household & Personal Products		3,899,849
		Insurance — 4.2%
	16,096	Aflac, Inc.		912,321
	36,486	Allstate Corp. (The)		4,935,826
	1,200	Chubb Ltd.		220,704
	15,100	CNA Financial Corp.		669,685
	78,822	Fidelity National Financial, Inc.		3,848,878
	55,515	First American Financial Corp.		3,915,473
	5,509	Principal Financial Group, Inc.		368,057
	22,244	Progressive Corp. (The)		2,142,987
	14,063	Stewart Information Services Corp.		885,266
		Total Insurance		17,899,197
		Materials — 4.5%
	5,053	Arconic Corp. *		174,278
	12,793	Avery Dennison Corp.		2,883,414
	15,069	Avient Corp.		784,944
	4,100	Ball Corp.		393,436
	8,653	Berry Global Group, Inc. *		581,222
	12,800	Cabot Corp.		683,520
	21,007	Crown Holdings, Inc.		2,306,359
	26,472	Eastman Chemical Co.		2,995,571
	7,693	FMC Corp.		720,296
	36,800	Huntsman Corp.		972,624
	11,257	LyondellBasell Industries NV – Class A		1,129,640
	3,673	NewMarket Corp.		1,284,558
	1,859	Nucor Corp.		218,544
	6,700	O-I Glass, Inc. *		101,371
	10,296	Reliance Steel & Aluminum Co.		1,544,812
	2,600	Schnitzer Steel Industries, Inc. – Class A		123,006
	19,748	Silgan Holdings, Inc.		837,908
	2,474	Stepan Co.		290,843
	7,400	Trinseo SA		384,282
	5,600	Westlake Chemical Corp.		489,160
		Total Materials		18,899,788
		Media & Entertainment — 5.3%
	3,427	Activision Blizzard, Inc.		282,282
	1,800	Alphabet, Inc. – Class A *		5,209,110
	1,873	Alphabet, Inc. – Class C *		5,449,006

See accompanying notes to the financial statements. 43

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Media & Entertainment — continued
	17,833	Comcast Corp. – Class A		1,082,106
	3,742	Electronic Arts, Inc.		543,376
	15,600	Facebook, Inc. – Class A *		5,918,328
	10,600	Fox Corp. – Class A		396,864
	2,900	Fox Corp. – Class B		100,427
	12,900	iHeartMedia, Inc. – Class A *		320,952
	48,594	Interpublic Group of Cos., Inc. (The)		1,809,155
	34,800	News Corp. – Class A		781,956
	5,100	News Corp. – Class B		112,353
	2,322	Omnicom Group, Inc.		170,017
	29,918	TEGNA, Inc.		530,147
		Total Media & Entertainment		22,706,079
		Pharmaceuticals, Biotechnology & Life Sciences — 8.4%
	66,841	Bristol-Myers Squibb Co.		4,468,989
	23,076	Eli Lilly & Co.		5,960,300
	18,100	Johnson & Johnson		3,133,653
	133,550	Merck & Co., Inc.		10,188,530
	243,676	Pfizer, Inc.		11,226,153
	13,295	Prestige Consumer Healthcare, Inc. *		763,000
		Total Pharmaceuticals, Biotechnology & Life Sciences		35,740,625
		Real Estate — 0.9%
	22,000	CBRE Group, Inc. – Class A *		2,118,600
	6,400	PotlatchDeltic Corp. (REIT)		332,480
	76,920	Realogy Holdings Corp. *		1,349,946
		Total Real Estate		3,801,026
		Retailing — 10.4%
	32,268	Abercrombie & Fitch Co. – Class A *		1,153,904
	1,874	Amazon.com, Inc. *		6,504,260
	7,748	Asbury Automotive Group, Inc. *		1,442,987
	17,466	AutoNation, Inc. *		1,905,366
	31,339	Bath & Body Works, Inc.		2,114,756
	16,863	Big Lots, Inc.		820,554
	23,389	Core-Mark Holding Co., Inc.		1,075,894
	51,956	Gap Inc. (The)		1,388,784
	10,700	Genuine Parts Co.		1,307,433
	6,554	Group 1 Automotive, Inc.		1,084,294
	5,900	Haverty Furniture Cos, Inc.		210,217
	11,900	Kohl’s Corp.		683,060
	3,700	LKQ Corp. *		194,953
	14,115	Lowe’s Cos., Inc.		2,877,907
	7,677	MarineMax, Inc. *		373,256
	12,267	Murphy U.S.A., Inc.		1,904,820
	25,196	Penske Automotive Group, Inc.		2,265,876
	47,978	Qurate Retail, Inc. – Series A		529,197
	7,179	Rent-A-Center, Inc.		452,851
	3,300	Shoe Carnival, Inc.		126,324

Shares		Description	Value ($)
		Retailing — continued
	18,000	Signet Jewelers Ltd.		1,425,600
	5,577	Sleep Number Corp. *		515,928
	43,804	Target Corp.		10,818,712
	1,500	Urban Outfitters, Inc. *		49,530
	10,446	Victoria’s Secret & Co. *		692,570
	11,910	Williams-Sonoma, Inc.		2,223,597
		Total Retailing		44,142,630
		Semiconductors & Semiconductor Equipment — 2.1%
	15,900	Amkor Technology, Inc.		436,773
	6,280	Applied Materials, Inc.		848,616
	1,392	Cirrus Logic, Inc. *		116,469
	63,243	Intel Corp.		3,418,917
	21,600	Kulicke & Soffa Industries, Inc.		1,516,104
	2,500	Micron Technology, Inc. *		184,250
	2,800	NVIDIA Corp.		626,780
	12,100	QUALCOMM, Inc.		1,774,949
		Total Semiconductors & Semiconductor Equipment		8,922,858
		Software & Services — 9.9%
	7,500	Accenture Plc – Class A		2,524,200
	37,747	Amdocs Ltd.		2,907,651
	16,322	Cadence Design Systems, Inc. *		2,668,321
	6,000	CSG Systems International, Inc.		289,260
	9,700	Dolby Laboratories, Inc. – Class A		961,367
	21,800	International Business Machines Corp.		3,059,412
	721	Intuit, Inc.		408,165
	1,300	Maximus, Inc.		113,217
	78,419	Microsoft Corp.		23,673,128
	63,846	NortonLifeLock, Inc.		1,695,750
	10,874	Synopsys, Inc. *		3,612,778
		Total Software & Services		41,913,249
		Technology Hardware & Equipment — 11.2%
	115,624	Apple, Inc.		17,555,192
	32,737	Arrow Electronics, Inc. *		3,968,379
	28,022	Avnet, Inc.		1,133,770
	86,752	Cisco Systems, Inc.		5,120,103
	5,100	CTS Corp.		178,908
	11,200	Dell Technologies – Class C *		1,091,552
	1,100	Fabrinet *		113,322
	209,044	HP, Inc.		6,216,969
	4,293	Insight Enterprises, Inc. *		441,707
	57,750	Juniper Networks, Inc.		1,673,595
	14,900	Methode Electronics, Inc.		693,893
	6,433	NETGEAR, Inc. *		229,851
	1,398	Sanmina Corp. *		55,193
	19,486	Seagate Technology Holdings Plc		1,706,779
	8,600	Super Micro Computer, Inc. *		314,244
	27,719	TE Connectivity Ltd.		4,163,948

44 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	74,600	Vishay Intertechnology, Inc.		1,638,962
	10,400	Western Digital Corp. *		657,280
	33,995	Xerox Holdings Corp.		765,227
		Total Technology Hardware & Equipment		47,718,874
		Telecommunication Services — 1.9%
	16,600	Liberty Global Plc – Class A *		477,084
	15,800	Liberty Global Plc – Class C *		457,884
	85,258	Telephone & Data Systems, Inc.		1,732,443
	8,100	United States Cellular Corp. *		258,795
	94,140	Verizon Communications, Inc.		5,177,700
		Total Telecommunication Services		8,103,906
		TOTAL COMMON STOCKS (COST $335,451,301)		413,237,117
		MUTUAL FUNDS — 0.3%
		Affiliated Issuers — 0.3%
	228,486	GMO U.S. Treasury Fund		1,151,569
		TOTAL MUTUAL FUNDS (COST $1,149,284)		1,151,569
		TOTAL INVESTMENTS — 97.5% (Cost $336,600,585)		414,388,686
		Other Assets and Liabilities (net) — 2.5%		10,596,514
		TOTAL NET ASSETS — 100.0%		$424,985,200

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 38	S&P 500 E-Mini	September 2021	$	8,588,950	$	30,671

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

As of August 31, 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.

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

See accompanying notes to the financial statements. 45

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.3	%
Mutual Funds		0.9
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Other		0.6
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		19.6	%
Capital Goods		12.3
Retailing		12.0
Technology Hardware & Equipment		8.1
Commercial & Professional Services		7.8
Consumer Durables & Apparel		6.6
Real Estate		6.6
Diversified Financials		5.6
Materials		5.1
Energy		3.5
Media & Entertainment		2.4
Pharmaceuticals, Biotechnology & Life Sciences		2.3
Telecommunication Services		2.0
Insurance		2.0
Food, Beverage & Tobacco		1.3
Health Care Equipment & Services		1.2
Food & Staples Retailing		0.5
Automobiles & Components		0.4
Consumer Services		0.3
Semiconductors & Semiconductor Equipment		0.3
Household & Personal Products		0.1
Software & 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).

# 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%.

46

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.3%
		Automobiles & Components — 0.4%
	49,600	Dana, Inc.		1,153,696
		Banks — 19.3%
	10,306	1st Source Corp.		484,382
	19,725	Amalgamated Financial Corp.		306,724
	2,571	Arrow Financial Corp.		94,741
	213,099	Associated Banc-Corp.		4,394,101
	22,865	Banner Corp.		1,307,878
	5,000	BCB Bancorp, Inc.		74,350
	46,291	Brookline Bancorp, Inc.		692,976
	53,676	Cathay General Bancorp		2,135,231
	2,335	Century Bancorp, Inc. – Class A		266,961
	4,670	Civista Bancshares, Inc.		109,838
	7,567	CNB Financial Corp.		185,997
	7,300	Columbia Banking System, Inc.		265,428
	8,996	Community Trust Bancorp, Inc.		374,773
	29,690	Customers Bancorp, Inc.*		1,229,463
	3,600	Eagle Bancorp, Inc.		207,720
	9,704	Enterprise Financial Services Corp.		435,807
	13,204	Financial Institutions, Inc.		419,359
	70,835	First BanCorp/Puerto Rico		901,730
	7,129	First Busey Corp.		168,957
	78,368	First Commonwealth Financial Corp.		1,059,535
	6,905	First Community Bankshares, Inc.		215,712
	56,598	First Financial Bancorp		1,330,619
	52,000	First Midwest Bancorp Inc/IL		973,960
	116,212	Flagstar Bancorp, Inc.		5,747,845
	24,253	Flushing Financial Corp.		556,121
	130,466	Fulton Financial Corp.		2,067,886
	4,912	Great Southern Bancorp, Inc.		267,557
	49,500	Great Western Bancorp, Inc.		1,532,520
	26,289	Hanmi Financial Corp.		506,852
	26,800	Heartland Financial USA, Inc.		1,260,404
	53,824	Hilltop Holdings, Inc.		1,801,489
	3,400	HomeTrust Bancshares, Inc.		94,588
	106,500	Hope Bancorp, Inc.		1,468,635
	14,791	Independent Bank Corp.		309,724
	55,351	International Bancshares Corp.		2,318,100
	5,636	Mercantile Bank Corp.		175,843
	4,348	Merchants Bancorp		159,441
	11,928	Meridian Bancorp, Inc.		247,864
	2,600	MidWestOne Financial Group, Inc.		76,336
	21,126	NBT Bancorp, Inc.		757,578
	16,484	Northfield Bancorp, Inc.		278,580
	89,680	OFG Bancorp		2,135,281
	54,985	Old National Bancorp		916,050
	2,496	Origin Bancorp, Inc.		102,710
	17,141	PacWest Bancorp		729,350
	12,500	Popular, Inc.		949,250

Shares		Description	Value ($)
		Banks — continued
	22,528	Premier Financial Corp.		684,851
	49,911	Provident Financial Services, Inc.		1,101,536
	7,000	QCR Holdings, Inc.		363,650
	22,100	Radian Group, Inc.		522,223
	5,395	RBB Bancorp		138,867
	2,013	Republic Bancorp, Inc. – Class A		100,912
	1,890	Sierra Bancorp		48,044
	19,229	Texas Capital Bancshares, Inc.*		1,307,380
	27,696	Towne Bank		843,897
	19,886	TriCo Bancshares		786,491
	12,720	TrustCo Bank Corp. NY		408,185
	39,343	Trustmark Corp.		1,244,026
	12,729	Univest Financial Corp.		344,701
	39,600	Washington Federal, Inc.		1,318,680
	4,899	Washington Trust Bancorp, Inc.		260,921
	38,567	Waterstone Financial, Inc.		782,139
	4,200	WesBanco, Inc.		142,800
	47,089	Wintrust Financial Corp.		3,524,141
		Total Banks		56,019,690
		Capital Goods — 12.1%
	16,598	Apogee Enterprises, Inc.		713,382
	19,171	Applied Industrial Technologies, Inc.		1,702,576
	28,500	Atkore, Inc.*		2,643,945
	3,100	Boise Cascade Co.		179,335
	5,300	Comfort Systems USA, Inc.		402,694
	19,081	Ducommun, Inc.*		1,005,569
	5,921	EMCOR Group, Inc.		719,401
	65,700	Gates Industrial Corp Plc*		1,076,166
	348	Hurco Cos, Inc.		11,613
	20,370	Hyster-Yale Materials Handling, Inc.		1,193,886
	10,547	Insteel Industries, Inc.		390,239
	6,068	Miller Industries, Inc.		225,851
	51,019	Moog, Inc. – Class A		4,052,949
	49,655	Mueller Industries, Inc.		2,215,110
	700	MYR Group, Inc.*		72,807
	11,352	Park-Ohio Holdings Corp.		292,655
	2,496	Preformed Line Products Co.		175,020
	78,395	Primoris Services Corp.		2,014,751
	15,300	Quanex Building Products Corp.		360,468
	133,035	Resideo Technologies, Inc.*		4,289,048
	1,600	Tennant Co.		118,368
	28,125	Terex Corp.		1,435,781
	25,226	Tutor Perini Corp.*		363,759
	77,619	UFP Industries, Inc.		5,827,635
	36,548	Vectrus, Inc.*		1,838,730
	20,235	Veritiv Corp.*		1,814,472
		Total Capital Goods		35,136,210

See accompanying notes to the financial statements. 47

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — 7.6%
	240,749	ACCO Brands Corp.		2,255,818
	73,735	Brady Corp. – Class A		3,932,287
	8,180	CRA International, Inc.		760,658
	43,979	Deluxe Corp.		1,686,595
	4,700	GP Strategies Corp.*		97,196
	17,471	Heidrick & Struggles International, Inc.		755,097
	57,735	Herman Miller, Inc.		2,426,602
	30,534	HNI Corp.		1,156,933
	1,700	Huron Consulting Group, Inc.*		83,929
	10,300	ICF International, Inc.		964,698
	48,318	Interface, Inc.		694,813
	44,200	Kelly Services, Inc. – Class A		859,248
	18,518	Kforce, Inc.		1,081,822
	77,773	Kimball International, Inc. – Class B		969,829
	19,160	Matthews International Corp. – Class A		709,495
	16,700	Pitney Bowes, Inc.		124,749
	48,790	Resources Connection, Inc.		770,882
	59,800	RR Donnelley & Sons Co.*		293,618
	159,893	Steelcase, Inc. – Class A		2,252,892
	13,093	TrueBlue, Inc.*		357,832
		Total Commercial & Professional Services		22,234,993
		Consumer Durables & Apparel — 6.5%
	11,200	Bassett Furniture Industries, Inc.		240,688
	4,600	Century Communities, Inc.		322,460
	4,852	Clarus Corp.		131,441
	109,977	Ethan Allen Interiors, Inc.		2,641,647
	73,233	G-III Apparel Group Ltd.*		2,265,097
	8,846	Hooker Furniture Corp.		275,641
	4,922	Johnson Outdoors, Inc. – Class A		564,996
	42,591	La-Z-Boy, Inc.		1,491,111
	53,045	MDC Holdings, Inc.		2,771,601
	42,435	Movado Group, Inc.		1,533,601
	3,592	Rocky Brands, Inc.		178,451
	17,900	Taylor Morrison Home Corp.*		502,811
	212,292	TRI Pointe Homes, Inc.*		5,046,181
	4,769	Universal Electronics, Inc.*		240,930
	64,551	Vera Bradley, Inc.*		739,754
		Total Consumer Durables & Apparel		18,946,410
		Consumer Services — 0.3%
	19,600	Adtalem Global Education, Inc.*		725,200
	52	Graham Holdings Co. – Class B		32,074
	20,100	Lincoln Educational Services Corp.*		128,841
		Total Consumer Services		886,115
		Diversified Financials — 5.5%
	13,000	Cowen, Inc. – Class A		468,520
	105,271	Curo Group Holdings Corp.		1,723,286
	1,208	Diamond Hill Investment Group, Inc.		221,100

Shares		Description	Value ($)
		Diversified Financials — continued
	92,104	Donnelley Financial Solutions, Inc.*		3,071,668
	147,509	Enova International, Inc.*		4,864,847
	108,702	Federated Hermes, Inc.		3,677,389
	8,000	Nelnet, Inc. – Class A		647,040
	2,800	Oppenheimer Holdings, Inc. – Class A		130,452
	5,300	Regional Management Corp.		314,979
	3,200	Sculptor Capital Management, Inc.		90,560
	1,300	StoneX Group, Inc.*		90,597
	10,000	Victory Capital Holdings, Inc. – Class A		350,300
	14,814	Westwood Holdings Group, Inc.		330,056
		Total Diversified Financials		15,980,794
		Energy — 3.5%
	47,260	Evolution Petroleum Corp.		197,074
	18,031	Geospace Technologies Corp.*		175,803
	199,892	SM Energy Co.		3,817,937
	56,800	W&T Offshore, Inc.*		185,168
	175,397	World Fuel Services Corp.		5,675,847
		Total Energy		10,051,829
		Food & Staples Retailing — 0.4%
	2,301	Ingles Markets, Inc. – Class A		156,215
	36,609	SpartanNash Co.		787,093
	2,800	Village Super Market, Inc. – Class A		62,692
	4,600	Weis Markets, Inc.		261,970
		Total Food & Staples Retailing		1,267,970
		Food, Beverage & Tobacco — 1.3%
	5,144	Seneca Foods Corp. – Class A*		251,902
	1,600	Turning Point Brands, Inc.		79,616
	62,959	Universal Corp.		3,185,725
	19,900	Vector Group Ltd.		298,898
		Total Food, Beverage & Tobacco		3,816,141
		Health Care Equipment & Services — 1.2%
	53,500	Brookdale Senior Living, Inc.*		390,550
	21,600	Cross Country Healthcare, Inc.*		469,800
	12,319	FONAR Corp.*		214,967
	10,459	LENSAR, Inc.*		92,876
	29,917	Meridian Bioscience, Inc.*		605,520
	21,700	Select Medical Holdings Corp.		750,169
	13,714	Triple-S Management Corp. – Class B*		486,847
	14,600	Varex Imaging Corp.*		425,882
		Total Health Care Equipment & Services		3,436,611
		Household & Personal Products — 0.1%
	29,143	Lifevantage Corp.*		226,441
		Insurance — 2.0%
	5,700	American National Group, Inc.		1,097,250

48 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Insurance — continued
	23,900	First American Financial Corp.		1,685,667
	49,500	Genworth Financial, Inc. – Class A*		185,625
	41,590	Stewart Information Services Corp.		2,618,090
	7,600	Universal Insurance Holdings, Inc.		108,224
		Total Insurance		5,694,856
		Materials — 5.0%
	29,648	AdvanSix, Inc.*		1,082,152
	11,608	American Vanguard Corp.		177,951
	8,800	Avient Corp.		458,392
	38,600	Cabot Corp.		2,061,240
	24,219	Koppers Holdings, Inc.*		796,805
	44,180	Mercer International, Inc.		502,768
	16,259	Neenah, Inc.		819,291
	3,100	NewMarket Corp.		1,084,163
	30,200	Schnitzer Steel Industries, Inc. – Class A		1,428,762
	76,224	Schweitzer-Mauduit International, Inc.		2,917,093
	63,443	Trinseo SA		3,294,595
		Total Materials		14,623,212
		Media & Entertainment — 2.3%
	11,500	AMC Networks, Inc.– Class A*		546,595
	59,951	Cars.com, Inc.*		762,577
	60,383	DHI Group, Inc.*		272,327
	3,300	iHeartMedia, Inc. – Class A*		82,104
	103,189	Liberty TripAdvisor Holdings, Inc. – Class A*		385,927
	6,200	Scholastic Corp.		206,088
	13,144	Sciplay Corp. – Class A*		245,924
	244,990	TEGNA, Inc.		4,341,223
		Total Media & Entertainment		6,842,765
		Pharmaceuticals, Biotechnology & Life Sciences — 2.3%
	46,719	Kezar Life Sciences, Inc.*		355,999
	107,320	Prestige Consumer Healthcare, Inc.*		6,159,095
	4,500	Supernus Pharmaceuticals, Inc.*		123,885
		Total Pharmaceuticals, Biotechnology & Life Sciences		6,638,979
		Real Estate — 6.5%
	12,700	Cedar Realty Trust, Inc. (REIT)		220,853
	14,975	Chatham Lodging Trust (REIT)*		179,700
	78,509	CorePoint Lodging, Inc. (REIT)*		1,135,240
	19,081	Five Point Holdings LLC – Class A*		152,457
	17,870	Forestar Group, Inc.*		371,517
	455,485	GEO Group, Inc. (The) (REIT)		3,530,009
	2,600	Marcus & Millichap, Inc.*		101,972
	367,014	Newmark Group, Inc. – Class A		4,998,731
	67,600	Piedmont Office Realty Trust, Inc. – Class A (REIT)		1,204,632
	27,200	PotlatchDeltic Corp. (REIT)		1,413,040
	271,082	Realogy Holdings Corp.*		4,757,489

Shares		Description	Value ($)
		Real Estate — continued
	18,251	Service Properties Trust (REIT)		208,609
	3,400	Urstadt Biddle Properties, Inc. – Class A (REIT)		64,872
	24,823	Xenia Hotels & Resorts, Inc. (REIT)*		432,417
		Total Real Estate		18,771,538
		Retailing — 11.8%
	86,000	Abercrombie & Fitch Co. – Class A*		3,075,360
	4,531	Asbury Automotive Group, Inc.*		843,854
	14,020	Cato Corp. (The) – Class A		241,985
	61,671	Core-Mark Holding Co., Inc.		2,836,866
	38,887	Genesco, Inc.*		2,412,161
	32,594	Group 1 Automotive, Inc.		5,392,352
	63,694	Haverty Furniture Cos, Inc.		2,269,417
	49,213	Penske Automotive Group, Inc.		4,425,725
	97,096	Shoe Carnival, Inc.		3,716,835
	64,200	Signet Jewelers Ltd.		5,084,640
	31,934	Sleep Number Corp.*		2,954,214
	2,094	Weyco Group, Inc.		48,099
	25,201	Zumiez, Inc.*		1,012,828
		Total Retailing		34,314,336
		Semiconductors & Semiconductor Equipment — 0.3%
	12,000	Kulicke & Soffa Industries, Inc.		842,280
		Software & Services — 0.0%
	738	BM Technologies, Inc.*		7,188
		Technology Hardware & Equipment — 7.9%
	56,790	ADTRAN, Inc.		1,173,281
	15,000	Avid Technology, Inc.*		387,150
	113,913	Avnet, Inc.		4,608,920
	35,219	Benchmark Electronics, Inc.		951,970
	34,861	CTS Corp.		1,222,924
	24,800	Daktronics, Inc.*		151,032
	4,500	DZS, Inc.*		62,145
	3,452	Insight Enterprises, Inc.*		355,176
	24,878	Kimball Electronics, Inc.*		601,301
	32,609	Methode Electronics, Inc.		1,518,601
	4,100	OSI Systems, Inc.*		405,654
	900	Plexus Corp.*		82,647
	8,600	Quantum Corp.*		53,664
	80,245	Sanmina Corp.*		3,168,073
	5,153	ScanSource, Inc.*		183,344
	12,444	Super Micro Computer, Inc.*		454,704
	166,500	Vishay Intertechnology, Inc.		3,658,005
	178,022	Xerox Holdings Corp.		4,007,275
		Total Technology Hardware & Equipment		23,045,866
		Telecommunication Services — 2.0%
	26,366	IDT Corp. – Class B*		1,146,394
	91,721	Spok Holdings, Inc.		908,955

See accompanying notes to the financial statements. 49

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Telecommunication Services — continued
	169,432	Telephone & Data Systems, Inc.		3,442,858
	8,852	United States Cellular Corp. *		282,821
		Total Telecommunication Services		5,781,028
		TOTAL COMMON STOCKS (COST $243,953,592)		285,718,948
		MUTUAL FUNDS — 0.9%
		Affiliated Issuers — 0.9%
	492,873	GMO U.S. Treasury Fund		2,484,079
		TOTAL MUTUAL FUNDS (COST $2,481,097)		2,484,079
		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 — 0.2%
		Money Market Funds — 0.2%
	731,931	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (b)		731,931
		TOTAL SHORT-TERM INVESTMENTS (COST $731,931)		731,931
		TOTAL INVESTMENTS — 99.4% (Cost $247,200,062)		288,971,308
		Other Assets and Liabilities (net) — 0.6%		1,606,959
		TOTAL NET ASSETS — 100.0%		$290,578,267

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 15	E-mini Russell 2000 Index	September 2021	$	1,703,400	$	(3,488	)

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

As of August 31, 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 August 31, 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 51.

50 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2021 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

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

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

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

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

See accompanying notes to the financial statements. 51

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited)

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		International Equity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	19,976,703	$	25,163,385	$	8,367,850	$	—
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		533,743,919		902,599,826		2,907,026,888		2,298,130,640
Foreign currency, at value (Note 2)(d)		264,154		4,709,455		18,417,160		555,408
Cash		1,143,279		—		160,000		—
Receivable for investments sold		4,334,207		5,612,261		89,289,286		—
Receivable for Fund shares sold		7,293,203		—		2,152,029		—
Dividends and interest receivable		292,358		496,736		8,450,759		8,259,379
Dividend withholding tax receivable		54,064		72,629		9,147		1,925,888
Foreign capital gains tax refund receivable (Note 2)		—		5,689,449		4,098,477		—
Due from broker (Note 2)		—		2,609,303		1,673,328		1,291,354
Receivable for variation margin on open futures contracts (Note 4)		—		159,167		6,470,450		—
Receivable for open OTC swap contracts (Note 4)		—		—		2,121,883		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		20,269		10,957		106,251		62,383
Total assets		567,122,156		947,123,168		3,048,343,508		2,310,225,052
Liabilities:
Payable for cash collateral from securities loaned (Note 2)		6,084,188		—		—		—
Payable for investments purchased		9,294,962		10,047,654		103,436,931		38
Payable for Fund shares repurchased		589,385		164,241		11,096,436		1,161,524
Accrued foreign capital gains tax payable (Note 2)		—		4,520,196		4,244,816		—
Payable for IRS closing agreement fees (Note 2)		—		—		—		49,512,686
Payable to affiliate for (Note 5):
Management fee		269,815		584,843		1,578,313		951,675
Shareholder service fee		67,454		99,811		234,506		192,196
Payable to agents unaffiliated with GMO		186		321		918		565
Payable for variation margin on open futures contracts (Note 4)		—		—		398,636		21,227
Payable to Trustees and related expenses		1,001		5,409		19,120		21,179
Accrued expenses		132,999		343,145		1,311,828		641,161
Miscellaneous payable		—		—		899,908		—
Total liabilities		16,439,990		15,765,620		123,221,412		52,502,251
Net assets	$	550,682,166	$	931,357,548	$	2,925,122,096	$	2,257,722,801
(a)  Cost of investments – affiliated issuers:	$	19,963,316	$	25,160,104	$	13,358,337	$	—
(b)  Cost of investments – unaffiliated issuers:	$	485,343,554	$	843,437,714	$	2,731,589,207	$	2,121,786,263
(c)  Includes securities on loan at value (Note 2):	$	43,982,270	$	—	$	18,748,263	$	—
(d)  Cost of foreign currency:	$	264,144	$	4,665,034	$	18,158,360	$	553,613

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund			International Equity Fund
Net assets consist of:
Paid-in capital	$	465,509,017	$	830,211,743	$	3,821,177,250		$	2,959,979,304
Distributable earnings (accumulated loss)		85,173,149		101,145,805		(896,055,154	)		(702,256,503	)
	$	550,682,166	$	931,357,548	$	2,925,122,096		$	2,257,722,801
Net assets attributable to:
Class II	$	—	$	289,644,319	$	283,645,543		$	6,042,963
Class III	$	259,111,859	$	—	$	481,086,040		$	396,367,657
Class IV	$	—	$	—	$	—		$	1,855,311,689
Class V	$	—	$	627,090,840	$	—		$	—
Class VI	$	—	$	—	$	1,982,488,850		$	—
Class R6	$	90,599,544	$	—	$	43,179,887		$	—
Class I	$	200,970,763	$	14,622,389	$	134,721,776		$	492
Shares outstanding:
Class II		—		10,907,600		7,624,576			242,272
Class III		7,572,824		—		12,892,703			15,689,002
Class IV		—		—		—			73,561,413
Class V		—		23,623,593		—			—
Class VI		—		—		53,705,577			—
Class R6		2,652,463		—		1,161,720			—
Class I		5,886,687		550,849		3,626,911			19
Net asset value per share:
Class II	$	—	$	26.55	$	37.20		$	24.94
Class III	$	34.22	$	—	$	37.31		$	25.26
Class IV	$	—	$	—	$	—		$	25.22
Class V	$	—	$	26.55	$	—		$	—
Class VI	$	—	$	—	$	36.91		$	—
Class R6	$	34.16	$	—	$	37.17		$	—
Class I	$	34.14	$	26.55	$	37.15		$	25.36

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Japan Value Creation Fund		Quality Cyclicals Fund (formerly Cyclical Focus Fund)		Quality Fund		Resources Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	633,249	$	9,830,961	$	53,018,346
Investments in unaffiliated issuers, at value (Note 2)(b) (c)		168,217,414		140,754,740		9,189,167,173		1,662,492,824
Foreign currency, at value (Note 2)(d)		—		91,727		16		2,468,742
Receivable for investments sold		367,657		—		—		228
Receivable for Fund shares sold		—		—		7,555,130		1,519,337
Dividends and interest receivable		193,219		144,038		9,405,707		4,090,457
Dividend withholding tax receivable		74,757		18,831		2,335,442		546,071
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,221		12,183		113,185		—
Total assets		168,862,268		141,654,768		9,218,407,614		1,724,136,005
Liabilities:
Payable for investments purchased		386,083		—		—		—
Payable for Fund shares repurchased		—		—		6,962,814		2,225,013
Accrued foreign capital gains tax payable (Note 2)		—		—		—		2,187,814
Payable to affiliate for (Note 5):
Management fee		70,712		40,096		2,555,386		720,055
Shareholder service fee		7,926		6,690		831,508		177,800
Payable to agents unaffiliated with GMO		73		56		2,759		515
Payable to Trustees and related expenses		357		541		39,417		2,846
Accrued expenses		87,588		69,477		724,391		161,113
Total liabilities		552,739		116,860		11,116,275		5,475,156
Net assets	$	168,309,529	$	141,537,908	$	9,207,291,339	$	1,718,660,849
(a)  Cost of investments – affiliated issuers:	$	—	$	633,249	$	9,752,901	$	39,565,421
(b)  Cost of investments – unaffiliated issuers:	$	148,899,404	$	105,402,872	$	4,996,633,209	$	1,419,384,333
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	—	$	74,329,231
(d)  Cost of foreign currency:	$	—	$	91,727	$	16	$	2,511,389

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Japan Value Creation Fund		Quality Cyclicals Fund (formerly Cyclical Focus Fund)		Quality Fund		Resources Fund
Net assets consist of:
Paid-in capital	$	146,480,949	$	95,680,965	$	4,824,368,103	$	1,430,828,738
Distributable earnings (accumulated loss)		21,828,580		45,856,943		4,382,923,236		287,832,111
	$	168,309,529	$	141,537,908	$	9,207,291,339	$	1,718,660,849
Net assets attributable to:
Class III	$	—	$	—	$	3,517,943,576	$	302,345,493
Class IV	$	—	$	—	$	1,117,220,686	$	907,667,097
Class VI	$	166,438,648	$	141,448,189	$	3,600,545,913	$	—
Class R6	$	—	$	—	$	495,460,999	$	9,063,305
Class I	$	1,870,881	$	89,719	$	476,120,165	$	499,584,954
Shares outstanding:
Class III		—		—		115,192,564		10,637,207
Class IV		—		—		36,486,924		32,028,436
Class VI		7,301,890		4,984,849		117,868,732		—
Class R6		—		—		16,239,102		318,867
Class I		82,167		3,163		15,622,874		17,580,576
Net asset value per share:
Class III	$	—	$	—	$	30.54	$	28.42
Class IV	$	—	$	—	$	30.62	$	28.34
Class VI	$	22.79	$	28.38	$	30.55	$	—
Class R6	$	—	$	—	$	30.51	$	28.42
Class I	$	22.77	$	28.37	$	30.48	$	28.42

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,166,020	$	1,151,569	$	2,484,079
Investments in unaffiliated issuers, at value (Note 2)(b)		40,386,943		413,237,117		286,487,229
Foreign currency, at value (Note 2)(c)		49,407		—		—
Cash		—		1,681,973		1,400,000
Receivable for investments sold		8		—		—
Receivable for Fund shares sold		—		10,000,000		—
Dividends and interest receivable		131,558		625,132		379,873
Dividend withholding tax receivable		29,473		—		—
Foreign capital gains tax refund receivable (Note 2)		2,185		—		—
Due from broker (Note 2)		21,167		112,000		108,000
Receivable for variation margin on open futures contracts (Note 4)		—		—		3,450
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		21,298		14,773		—
Total assets		41,808,059		426,822,564		290,862,631
Liabilities:
Due to broker (Note 2)		38		35		4
Payable for Fund shares repurchased		—		1,600,000		100,000
Accrued foreign capital gains tax payable (Note 2)		1,410		—		—
Payable for IRS closing agreement fees (Note 2)		468,294		—		—
Payable to affiliate for (Note 5):
Management fee		17,469		108,534		75,928
Shareholder service fee		5,241		28,430		13,471
Payable to agents unaffiliated with GMO		15		97		87
Payable for variation margin on open futures contracts (Note 4)		330		1,932		—
Payable to Trustees and related expenses		252		2,923		3,281
Accrued expenses		167,157		95,413		91,593
Total liabilities		660,206		1,837,364		284,364
Net assets	$	41,147,853	$	424,985,200	$	290,578,267
(a)  Cost of investments – affiliated issuers:	$	1,164,487	$	1,149,284	$	2,481,097
(b)  Cost of investments – unaffiliated issuers:	$	32,055,676	$	335,451,301	$	244,718,965
(c)  Cost of foreign currency:	$	49,080	$	—	$	—

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	29,562,459	$	297,946,194	$	193,438,497
Distributable earnings (accumulated loss)		11,585,394		127,039,006		97,139,770
	$	41,147,853	$	424,985,200	$	290,578,267
Net assets attributable to:
Class III	$	41,147,853	$	114,492,559	$	—
Class VI	$	—	$	310,492,641	$	290,578,267
Shares outstanding:
Class III		2,356,235		7,148,672		—
Class VI		—		19,588,892		11,198,268
Net asset value per share:
Class III	$	17.46	$	16.02	$	—
Class VI	$	—	$	15.85	$	25.95

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			International Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,815,675		$	8,848,346		$	84,664,192		$	59,701,933
Dividends from affiliated issuers (Note 10)		8,124			7,160			—			—
Interest		—			5,821			116,063			20,214
Securities lending income from affiliated issuers (net)		124,620			—			—			—
Securities lending income (net)		157,273			—			154,436			—
Other income (Note 2)		—			—			1,239,899			2,391,503
Less: IRS closing agreement fees (Note 2)		—			—			—			(1,286,532	)
Total investment income		4,105,692			8,861,327			86,174,590			60,827,118
Expenses:
Management fee (Note 5)		1,367,770			3,716,610			9,768,544			5,667,784
Shareholder service fee – Class II (Note 5)		—			334,444			322,483			6,683
Shareholder service fee – Class III (Note 5)		165,699			—			375,073			330,380
Shareholder service fee – Class IV (Note 5)		—			—			—			819,239
Shareholder service fee – Class V (Note 5)		—			284,263			40,320	*		—
Shareholder service fee – Class VI (Note 5)		—			—			540,958			—
Shareholder service fee – Class R6 (Note 5)		63,053			—			48,246			—
Shareholder service fee – Class I (Note 5)		113,190			20,021			117,249			—	**
Audit and tax fees		42,840			52,863			77,778			58,048
Custodian, fund accounting agent and transfer agent fees		140,608			321,472			1,100,021			299,981
Legal fees		5,668			10,030			26,455			21,838
Registration fees		21,513			28,185			54,593			39,822
Trustees’ fees and related expenses (Note 5)		6,783			17,081			52,402			42,862
Miscellaneous		5,672			9,361			31,213			27,484
Total expenses		1,932,796			4,794,330			12,555,335			7,314,121
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(94,735	)		(106,468	)		(643,435	)		(421,368	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(923	)		(1,477	)		—			—
Net expenses		1,837,138			4,686,385			11,911,900			6,892,753
Net investment income (loss)		2,268,554			4,174,942			74,262,690			53,934,365
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		46,865,316			55,408,853			99,929,504			148,699,610
Investments in affiliated issuers		(17,710	)		(64,625	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		10,446			3,722			—			—
Futures contracts		—			(1,336,394	)		13,164,622			(268,754	)
Swap contracts		—			—			6,001,631			—
Foreign currency and foreign currency related transactions		(78,346	)		(1,041,262	)		(760,584	)		(262,210	)
Net realized gain (loss)		46,779,706			52,970,294			118,335,173			148,168,646
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(23,970,973	)		(93,719,658	)		(120,689,640	)		16,374,834
Investments in affiliated issuers		13,387			3,281			1,393,444			—
Futures contracts		—			(245,438	)		(24,020,020	)		290,951
Swap contracts		—			—			1,896,557			—
Foreign currency and foreign currency related transactions		30,918			177,508			511,386			9,716
Net change in unrealized appreciation (depreciation)		(23,926,668	)		(93,784,307	)		(140,908,273	)		16,675,501
Net realized and unrealized gain (loss)		22,853,038			(40,814,013	)		(22,573,100	)		164,844,147
Net increase (decrease) in net assets resulting from operations	$	25,121,592		$	(36,639,071	)	$	51,689,590		$	218,778,512
(a)  Withholding tax:	$	198,833		$	1,347,072		$	10,834,257		$	4,837,411
(b)  Foreign capital gains tax on net realized gain (loss):	$	22,896		$	2,318,633		$	1,322,252		$	—
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(26,624	)	$	2,133,056		$	3,151,156		$	—

* Class V liquidated on April 29, 2021.

** Period from May 24, 2021 (commencement of operation) through August 31, 2021.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)

	Japan Value Creation Fund			Quality Cyclicals Fund (formerly Cyclical Focus Fund)			Quality Fund			Resources Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,265,185		$	1,922,667		$	73,881,413		$	30,163,219
Dividends from affiliated issuers (Note 10)		—			109			3,813			—
Interest		—			—			4,020,916			6,444
Securities lending income (net)		—			720			—			154,798
Total investment income		2,265,185			1,923,496			77,906,142			30,324,461
Expenses:
Management fee (Note 5)		421,424			244,843			13,916,485			3,493,172
Shareholder service fee – Class III (Note 5)		—			—			2,822,368			154,943
Shareholder service fee – Class IV (Note 5)		—			—			414,559			362,787
Shareholder service fee – Class VI (Note 5)		46,155			40,801			841,808			—
Shareholder service fee – Class R6 (Note 5)		—			—			316,599			4,358
Shareholder service fee – Class I (Note 5)		549	*		17	**		298,639			344,471
Organizational expenses		—			3,000			—			—
Audit and tax fees		33,270			32,523			67,912			39,759
Custodian, fund accounting agent and transfer agent fees		17,096			21,146			694,315			374,154
Legal fees		9,238			5,507			64,422			12,119
Registration fees		361			122			58,945			78,851
Trustees’ fees and related expenses (Note 5)		1,887			2,191			126,708			19,609
Miscellaneous		4,096			5,515			27,448			6,835
Total expenses		534,076			355,665			19,650,208			4,891,058
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(56,742	)		(56,767	)		(667,907	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(5	)		(840	)		—
Net expenses		477,334			298,893			18,981,461			4,891,058
Net investment income (loss)		1,787,851			1,624,603			58,924,681			25,433,403
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		6,440,387			10,930,055			142,713,216			42,902,571
Investments in affiliated issuers		—			(4,751	)		—			2,066,197
Realized gain distributions from affiliated issuers (Note 10)		—			212			4,876			—
Foreign currency and foreign currency related transactions		(54,150	)		15,613			49,340			74,486
Net realized gain (loss)		6,386,237			10,941,129			142,767,432			45,043,254
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(1,094,536	)		(759,460	)		1,269,380,211			(24,190,875	)
Investments in affiliated issuers		—			—			—			13,452,925
Foreign currency and foreign currency related transactions		2,863			(351	)		(131,429	)		(22,241	)
Net change in unrealized appreciation (depreciation)		(1,091,673	)		(759,811	)		1,269,248,782			(10,760,191	)
Net realized and unrealized gain (loss)		5,294,564			10,181,318			1,412,016,214			34,283,063
Net increase (decrease) in net assets resulting from operations	$	7,082,415		$	11,805,921		$	1,470,940,895		$	59,716,466
(a)  Withholding tax:	$	251,685		$	62,041		$	2,276,714		$	1,611,689
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	489,839
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	362,784
*   Period from June 7, 2021 (commencement of operations) through August 31, 2021.
**   Period from July 16, 2021 (commencement of operations) through August 31, 2021.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)

	Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	1,046,230		$	3,326,220		$	2,655,614
Dividends from affiliated issuers (Note 10)		352			1,880			1,441
Interest		45,909			—			—
Other income (Note 2)		590,688			—			—
Less: IRS closing agreement fees (Note 2)		(468,294	)		—			—
Total investment income		1,214,885			3,328,100			2,657,055
Expenses:
Management fee (Note 5)		104,689			583,531			501,294
Shareholder service fee – Class III (Note 5)		31,407			84,861			—
Shareholder service fee – Class VI (Note 5)		—			72,414			88,939
Audit and tax fees		63,471			29,577			27,786
Custodian, fund accounting agent and transfer agent fees		50,946			34,731			41,065
Legal fees		47,220	*		5,462			6,646
Registration fees		2,508			12,931			952
Trustees’ fees and related expenses (Note 5)		710			6,517			6,870
Miscellaneous		16,013	**		3,199			2,954
Total expenses		316,964			833,223			676,506
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(106,255	)		(82,836	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		(48	)		(400	)		(9	)
Net expenses		210,661			749,987			676,497
Net investment income (loss)		1,004,224			2,578,113			1,980,558
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		4,957,488			47,800,852			53,758,431
Investments in affiliated issuers		(636	)		18,988			—
Realized gain distributions from affiliated issuers (Note 10)		454			2,406			2,515
Futures contracts		32,704			653,471			19,813
Foreign currency and foreign currency related transactions		(1,945	)		—			—
Net realized gain (loss)		4,988,065			48,475,717			53,780,759
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(2,190,916	)		11,555,038			(14,033,504	)
Investments in affiliated issuers		1,491			2,285			2,982
Futures contracts		(5,754	)		23,687			105,732
Foreign currency and foreign currency related transactions		(4,446	)		—			—
Net change in unrealized appreciation (depreciation)		(2,199,625	)		11,581,010			(13,924,790	)
Net realized and unrealized gain (loss)		2,788,440			60,056,727			39,855,969
Net increase (decrease) in net assets resulting from operations	$	3,792,664		$	62,634,840		$	41,836,527
(a)  Withholding tax:	$	91,763		$	474		$	4,340
(b)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	136		$	—		$	—
*   Includes $44,625 of legal fees which are contingent in nature and attributed to EU tax reclaims (See Note 2).
**   Includes $13,396 of pricing related fees.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,268,554		$	2,313,784		$	4,174,942		$	7,624,834
Net realized gain (loss)		46,779,706			33,276,767			52,970,294			92,893,737
Change in net unrealized appreciation (depreciation)		(23,926,668	)		71,640,346			(93,784,307	)		152,551,097
Net increase (decrease) in net assets from operations		25,121,592			107,230,897			(36,639,071	)		253,069,668
Distributions to shareholders:
Class II		—			—			(679,355	)		(1,859,130	)
Class III		(15,024,425	)		(9,171,238	)		—			(84,526	)*
Class V		—			—			(1,854,001	)		(5,157,641	)
Class VI		—			—			—			—
Class R6		(5,379,610	)		(2,822,175	)		—			—
Class I		(10,190,684	)		(1,789,912	)		(47,543	)		—	**
Total distributions		(30,594,719	)		(13,783,325	)		(2,580,899	)		(7,101,297	)
Net share transactions (Note 9):
Class II		—			—			(8,185,102	)		(60,686,694	)
Class III		84,021,473			(6,186,295	)		—			(97,209,926	)*
Class V		—			—			(44,575,108	)		(42,006,078	)
Class VI		—			—			—			—
Class R6		16,209,266			54,335,435			—			—
Class I		104,043,088			87,130,973			(2,968,845	)		19,375,366	**
Increase (decrease) in net assets resulting from net share transactions		204,273,827			135,280,113			(55,729,055	)		(180,527,332	)
Total increase (decrease) in net assets		198,800,700			228,727,685			(94,949,025	)		65,441,039
Net assets:
Beginning of period		351,881,466			123,153,781			1,026,306,573			960,865,534
End of period	$	550,682,166		$	351,881,466		$	931,357,548		$	1,026,306,573
*   Class III liquidated on January 22, 2021.
**   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						International Equity Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	74,262,690		$	78,474,906		$	53,934,365		$	97,335,937
Net realized gain (loss)		118,335,173			141,192,809			148,168,646			50,571,653
Change in net unrealized appreciation (depreciation)		(140,908,273	)		413,173,731			16,675,501			318,580,148
Net increase (decrease) in net assets from operations		51,689,590			632,841,446			218,778,512			466,487,738
Distributions to shareholders:
Class II		(725,648	)		(12,199,534	)		(105,615	)		(236,321	)
Class III		(1,306,116	)		(17,045,072	)		(7,667,243	)		(20,929,248	)
Class IV		—			—			(30,999,301	)		(91,693,467	)
Class V		—	*		(5,655,265	)		—			—
Class VI		(6,503,925	)		(76,765,259	)		—			—
Class R6		(109,405	)		(936,435	)**		—			—
Class I		(293,279	)		(1,295,377	)		—	***		—
Total distributions		(8,938,373	)		(113,896,942	)		(38,772,159	)		(112,859,036	)
Net share transactions (Note 9):
Class II		(11,792,240	)		(168,183,437	)		38,120			(5,323,954	)
Class III		(27,720,476	)		89,373,406			(62,471,673	)		(100,462,179	)
Class IV		—			—			(54,414,174	)		(1,100,892,967	)
Class V		(315,869,299	)*		80,614,160			—			—
Class VI		172,587,389			(740,332,831	)		—			—
Class R6		(1,051,011	)		36,659,585	**		—			—
Class I		53,676,165			60,222,895			500	***		—
Increase (decrease) in net assets resulting from net share transactions		(130,169,472	)		(641,646,222	)		(116,847,227	)		(1,206,679,100	)
Total increase (decrease) in net assets		(87,418,255	)		(122,701,718	)		63,159,126			(853,050,398	)
Net assets:
Beginning of period		3,012,540,351			3,135,242,069			2,194,563,675			3,047,614,073
End of period	$	2,925,122,096		$	3,012,540,351		$	2,257,722,801		$	2,194,563,675
*   Class V liquidated on April 29, 2021.
**  Period from March 31, 2020 (commencement of operations) through February 28, 2021.
***  Period from May 24, 2021 (commencement of operations) through August 31, 2021.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Japan Value Creation Fund						Quality Cyclicals Fund (formerly Cyclical Focus Fund)
	Six Months Ended August 31, 2021 (Unaudited)			Period from September 14, 2020 (commencement of operations) through February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Period from May 12, 2020 (commencement of operations) through February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,787,851		$	1,196,636		$	1,624,603		$	1,985,274
Net realized gain (loss)		6,386,237			6,318,091			10,941,129			17,779,535
Change in net unrealized appreciation (depreciation)		(1,091,673	)		20,406,998			(759,811	)		36,112,885
Net increase (decrease) in net assets from operations		7,082,415			27,921,725			11,805,921			55,877,694
Distributions to shareholders:
Class VI		(10,986,099	)		(2,070,899	)		(14,310,820	)		(7,515,852	)
Class R6		—			—			—			—
Class I		(118,562	)*		—			—	**		—
Total distributions		(11,104,661	)		(2,070,899	)		(14,310,820	)		(7,515,852	)
Net share transactions (Note 9):
Class VI		6,485,569			138,021,194			1,964,035			93,626,955
Class R6		—			—			—			—
Class I		1,974,186	*		—			89,975	**		—
Increase (decrease) in net assets resulting from net share transactions		8,459,755			138,021,194			2,054,010			93,626,955
Total increase (decrease) in net assets		4,437,509			163,872,020			(450,889	)		141,988,797
Net assets:
Beginning of period		163,872,020			—			141,988,797			—
End of period	$	168,309,529		$	163,872,020		$	141,537,908		$	141,988,797
*   Period from June 7, 2021 (commencement of operations) through August 31, 2021.
**  Period from July 16, 2021 (commencement of operations) through August 31, 2021.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Fund						Resources Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	58,924,681		$	91,756,243		$	25,433,403		$	14,439,450
Net realized gain (loss)		142,767,432			799,447,332			45,043,254			61,197,799
Change in net unrealized appreciation (depreciation)		1,269,248,782			949,979,968			(10,760,191	)		277,875,438
Net increase (decrease) in net assets from operations		1,470,940,895			1,841,183,543			59,716,466			353,512,687
Distributions to shareholders:
Class III		(71,914,602	)		(448,796,803	)		(8,879,820	)		(13,864,334	)
Class IV		(12,020,601	)		(123,440,372	)		(31,180,839	)		(17,483,890	)
Class V		—			—			—			—
Class VI		(59,981,446	)		(317,805,859	)		—			—
Class R6		(8,660,021	)		(13,858,740	)		(220,946	)		—	*
Class I		(7,727,196	)		(21,984,988	)		(16,777,485	)		—	*
Total distributions		(160,303,866	)		(925,886,762	)		(57,059,090	)		(31,348,224	)
Net share transactions (Note 9):
Class III		(603,436,925	)		(122,543,739	)		206,471,545			(255,982,659	)
Class IV		236,485,694			(221,988,939	)		380,635,998			52,674,305
Class V		—			—			—			—
Class VI		679,164,029			70,585,435			—			—
Class R6		102,369,030			242,131,286			6,484,831			2,547,139	*
Class I		113,167,384			202,555,586			123,594,841			364,577,456	*
Increase (decrease) in net assets resulting from net share transactions		527,749,212			170,739,629			717,187,215			163,816,241
Total increase (decrease) in net assets		1,838,386,241			1,086,036,410			719,844,591			485,980,704
Net assets:
Beginning of period		7,368,905,098			6,282,868,688			998,816,258			512,835,554
End of period	$	9,207,291,339		$	7,368,905,098		$	1,718,660,849		$	998,816,258
*   Period from January 22, 2021 (commencement of operations) through February 28, 2021.

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Tax-Managed International Equities Fund						U.S. Equity Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,004,224		$	972,230		$	2,578,113		$	5,802,364
Net realized gain (loss)		4,988,065			2,843,717			48,475,717			40,584,781
Change in net unrealized appreciation (depreciation)		(2,199,625	)		5,048,731			11,581,010			58,549,878
Net increase (decrease) in net assets from operations		3,792,664			8,864,678			62,634,840			104,937,023
Distributions to shareholders:
Class III		(185,252	)		(882,340	)		(6,908,677	)		(8,735,355	)
Class VI		—			—			(16,154,361	)		(26,985,388	)
Total distributions		(185,252	)		(882,340	)		(23,063,038	)		(35,720,743	)
Net share transactions (Note 9):
Class III		(1,419,119	)		(5,250,369	)		(3,102,200	)		2,522,212
Class VI		—			—			37,313,175			(169,966,891	)
Increase (decrease) in net assets resulting from net share transactions		(1,419,119	)		(5,250,369	)		34,210,975			(167,444,679	)
Total increase (decrease) in net assets		2,188,293			2,731,969			73,782,777			(98,228,399	)
Net assets:
Beginning of period		38,959,560			36,227,591			351,202,423			449,430,822
End of period	$	41,147,853		$	38,959,560		$	424,985,200		$	351,202,423

See accompanying notes to the financial statements. 65

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Small Cap Value Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,980,558		$	6,865,015
Net realized gain (loss)		53,780,759			40,908,019
Change in net unrealized appreciation (depreciation)		(13,924,790	)		102,509,169
Net increase (decrease) in net assets from operations		41,836,527			150,282,203
Distributions to shareholders:
Class VI		(17,956,624	)		(6,891,863	)
Total distributions		(17,956,624	)		(6,891,863	)
Net share transactions (Note 9):
Class VI		(105,799,276	)		(186,401,008	)
Increase (decrease) in net assets resulting from net share transactions		(105,799,276	)		(186,401,008	)
Total increase (decrease) in net assets		(81,919,373	)		(43,010,668	)
Net assets:
Beginning of period		372,497,640			415,508,308
End of period	$	290,578,267		$	372,497,640

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,												Period from April 5, 2017 (commencement of operations) through February 28, 2018
					2021				2020				2019
Net asset value, beginning of period		$	34.39			$	22.36			$	22.04			$	23.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.35				0.41				0.36				0.23
Net realized and unrealized gain (loss)			1.81				13.43				0.87				(1.61	)			4.41
Total from investment operations			1.99				13.78				1.28				(1.25	)			4.64
Less distributions to shareholders:
From net investment income			(0.21	)			(0.30	)			(0.45	)			(0.26	)			(0.22	)
From net realized gains			(1.95	)			(1.45	)			(0.51	)			(0.26	)			(0.61	)
Total distributions			(2.16	)			(1.75	)			(0.96	)			(0.52	)			(0.83	)
Net asset value, end of period		$	34.22			$	34.39			$	22.36			$	22.04			$	23.81
Total Return(b)			5.88	%**			63.84	%			5.66	%			(5.22	)%			23.28	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	259,112			$	178,223			$	121,062			$	113,000			$	26,694
Net expenses to average daily net assets(c)			0.77	%*			0.77	%			0.77	%			0.75	%			0.78	%*
Net investment income (loss) to average daily net assets(a)			1.02	%*			1.39	%			1.84	%			1.61	%			1.09	%*
Portfolio turnover rate(d)			51	%**			84	%			62	%			29	%			44	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(e)*			0.13	%(e)			0.16	%(e)			0.26	%			0.73	%*

^(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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2018, including transactions in USTF, was 87%, 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.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from January 16, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	34.33			$	22.36			$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.31				0.01
Net realized and unrealized gain (loss)			1.80				13.43				(2.20	)
Total from investment operations			1.98				13.74				(2.19	)
Less distributions to shareholders:
From net investment income			(0.20	)			(0.32	)			—
From net realized gains			(1.95	)			(1.45	)			—
Total distributions			(2.15	)			(1.77	)			—
Net asset value, end of period		$	34.16			$	34.33			$	22.36
Total Return(b)			5.88	%**			63.71	%			(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	90,600			$	74,961			$	1,129
Net expenses to average daily net assets(c)			0.77	%*			0.77	%			0.77	%*
Net investment income (loss) to average daily net assets(a)			1.05	%*			1.04	%			0.40	%*
Portfolio turnover rate(d)			51	%**			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(e)*			0.11	%(e)			0.23	%(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 periods ended August 31, 2021 and the years ended February 28, 2021 and February 28, 2020, including transactions in USTF, was 87%, 145% and 173%, 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.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from February 25, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	34.33			$	22.36			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.21				0.01
Net realized and unrealized gain (loss)			1.80				13.53				(1.02	)
Total from investment operations			1.96				13.74				(1.01	)
Less distributions to shareholders:
From net investment income			(0.20	)			(0.32	)			—
From net realized gains			(1.95	)			(1.45	)			—
Total distributions			(2.15	)			(1.77	)			—
Net asset value, end of period		$	34.14			$	34.33			$	22.36
Total Return(b)			5.81	%**			63.67	%			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	200,971			$	98,697			$	962
Net expenses to average daily net assets(c)			0.87	%*			0.87	%			0.87	%*
Net investment income (loss) to average daily net assets(a)			0.93	%*			0.66	%			1.93	%*
Portfolio turnover rate(d)			51	%**			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(e)*			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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 87%, 145% and 173%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	27.68			$	21.14			$	21.61			$	28.86			$	22.64			$	19.36
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.10				0.17				0.40				0.24				0.25				0.25
Net realized and unrealized gain (loss)			(1.17	)			6.53				0.18				(4.58	)			6.33				3.68
Total from investment operations			(1.07	)			6.70				0.58				(4.34	)			6.58				3.93
Less distributions to shareholders:
From net investment income			(0.06	)			(0.16	)			(1.05	)			(0.17	)			(0.36	)			(0.65	)
From net realized gains			—				—				—				(2.74	)			—				—
Total distributions			(0.06	)			(0.16	)			(1.05	)			(2.91	)			(0.36	)			(0.65	)
Net asset value, end of period		$	26.55			$	27.68			$	21.14			$	21.61			$	28.86			$	22.64
Total Return(b)			(3.86	)%**			31.76	%			2.39	%			(15.48	)%			29.10	%			20.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	289,644			$	309,966			$	292,418			$	467,336			$	700,211			$	603,565
Net expenses to average daily net assets(c)			1.04	%*			1.03	%			1.03	%			1.04	%			1.06	%			1.06	%
Net investment income (loss) to average daily net assets(a)			0.75	%*			0.73	%			1.81	%			1.00	%			0.96	%			1.12	%
Portfolio turnover rate			104	%(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)			0.02	%(e)			0.01	%			0.02	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.05			$	0.05			$	0.03			$	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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 124%, 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.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class V Shares
	Six Months Ended August 31, 2021 (Unaudited)				February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	27.66			$	21.12			$	21.60			$	28.85			$	22.62			$	19.35
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.12				0.20				0.43				0.28				0.29				0.23
Net realized and unrealized gain (loss)			(1.15	)			6.53				0.17				(4.60	)			6.33				3.73
Total from investment operations			(1.03	)			6.73				0.60				(4.32	)			6.62				3.96
Less distributions to shareholders:
From net investment income			(0.08	)			(0.19	)			(1.08	)			(0.19	)			(0.39	)			(0.69	)
From net realized gains			—				—				—				(2.74	)			—				—
Total distributions			(0.08	)			(0.19	)			(1.08	)			(2.93	)			(0.39	)			(0.69	)
Net asset value, end of period		$	26.55			$	27.66			$	21.12			$	21.60			$	28.85			$	22.62
Total Return(b)			(3.74	)%**			31.95	%			2.50	%			(15.37	)%			29.31	%			20.78	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	627,091			$	697,864			$	565,384			$	755,613			$	1,280,851			$	948,052
Net expenses to average daily net assets(c)			0.90	%*			0.90	%			0.89	%			0.90	%			0.92	%			0.93	%
Net investment income (loss) to average daily net assets(a)			0.89	%*			0.87	%			1.94	%			1.19	%			1.09	%			1.04	%
Portfolio turnover rate			104	%(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)			0.02	%(e)			0.01	%			0.02	%			0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.04			$	0.05			$	0.03			$	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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 124%, 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.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	27.67			$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.10				0.02
Net realized and unrealized gain (loss)			(1.15	)			(1.23	)
Total from investment operations			(1.05	)			(1.21	)
Less distributions to shareholders:
From net investment income			(0.07	)			—
From net realized gains			—				—
Total distributions			(0.07	)			—
Net asset value, end of period		$	26.55			$	27.67
Total Return(b)			(3.82	)%**			(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	14,622			$	18,476
Net expenses to average daily net assets(c)			1.07	%*			1.04	%*
Net investment income (loss) to average daily net assets(a)			0.75	%*			0.82	%*
Portfolio turnover rate			104	%(d)**			216	%(d)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%(e)*			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 period ended August 31, 2021, and the year ended February 28, 2021, including transactions in USTF, was 124% and 236%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	36.70			$	30.75			$	32.23			$	36.42			$	29.98			$	22.80
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.92				0.86				1.13				1.01				0.75				0.57
Net realized and unrealized gain (loss)			(0.33	)			6.36				(1.02	)			(4.22	)			6.58				7.22
Total from investment operations			0.59				7.22				0.11				(3.21	)			7.33				7.79
Less distributions to shareholders:
From net investment income			(0.09	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)
Total distributions			(0.09	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)			(0.61	)
Net asset value, end of period		$	37.20			$	36.70			$	30.75			$	32.23			$	36.42			$	29.98
Total Return(c)			1.61	%**			23.89	%			(0.11	)%			(8.57	)%			24.66	%			34.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	283,646			$	291,833			$	397,798			$	451,720			$	479,640			$	498,564
Net expenses to average daily net assets(d)			0.92	%*			0.93	%			0.93	%			0.93	%			0.96	%			1.07	%
Net investment income (loss) to average daily net assets(b)			4.89	%*			2.73	%			3.44	%			3.09	%			2.25	%			2.08	%
Portfolio turnover rate			49	%**			102	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.07	%(f)			0.13	%(f)			0.13	%			0.13	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	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, 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 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 73

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	36.81			$	30.84			$	32.32			$	36.51			$	30.05			$	22.83
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.92				0.76				1.21				1.01				0.72				0.57
Net realized and unrealized gain (loss)			(0.32	)			6.51				(1.09	)			(4.21	)			6.64				7.27
Total from investment operations			0.60				7.27				0.12				(3.20	)			7.36				7.84
Less distributions to shareholders:
From net investment income			(0.10	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)
Total distributions			(0.10	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)			(0.62	)
Net asset value, end of period		$	37.31			$	36.81			$	30.84			$	32.32			$	36.51			$	30.05
Total Return(c)			1.63	%**			23.99	%			(0.08	)%			(8.51	)%			24.71	%			34.67	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	481,086			$	501,907			$	333,779			$	277,824			$	390,827			$	301,786
Net expenses to average daily net assets(d)			0.87	%*			0.88	%			0.88	%			0.88	%			0.91	%			1.01	%
Net investment income (loss) to average daily net assets(b)			4.85	%*			2.36	%			3.68	%			3.08	%			2.14	%			2.07	%
Portfolio turnover rate			49	%**			102	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			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)

^(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, 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 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.

* Annualized.

** Not annualized.

74 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	36.41			$	30.52			$	32.00			$	36.16			$	29.77			$	22.62
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.96				0.87				1.23				1.06				0.78				0.63
Net realized and unrealized gain (loss)			(0.34	)			6.36				(1.07	)			(4.19	)			6.56				7.17
Total from investment operations			0.62				7.23				0.16				(3.13	)			7.34				7.80
Less distributions to shareholders:
From net investment income			(0.12	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)
Total distributions			(0.12	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)			(0.65	)
Net asset value, end of period		$	36.91			$	36.41			$	30.52			$	32.00			$	36.16			$	29.77
Total Return(c)			1.70	%**			24.11	%			0.05	%			(8.39	)%			24.90	%			34.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,982,489			$	1,787,607			$	2,182,893			$	2,685,798			$	3,575,505			$	3,524,022
Net expenses to average daily net assets(d)			0.74	%*			0.75	%			0.75	%			0.75	%			0.78	%			0.89	%
Net investment income (loss) to average daily net assets(b)			5.16	%*			2.75	%			3.76	%			3.25	%			2.36	%			2.32	%
Portfolio turnover rate			49	%**			102	%			100	%(e)			98	%(e)			87	%(e)			62	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.08	%(f)			0.15	%(f)			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)  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, 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 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 75

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from March 31, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	36.67			$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.91				0.72
Net realized and unrealized gain (loss)			(0.32	)			11.20
Total from investment operations			0.59				11.92
Less distributions to shareholders:
From net investment income			(0.09	)			(1.30	)
Total distributions			(0.09	)			(1.30	)
Net asset value, end of period		$	37.17			$	36.67
Total Return(b)			1.62	%**			46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	43,180			$	43,664
Net expenses to average daily net assets(c)			0.92	%*			0.93	%*
Net investment income (loss) to average daily net assets(a)			4.84	%*			2.39	%*
Portfolio turnover rate			49	%**			102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.05	%(d)*

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

76 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from January 14, 2020 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	36.66			$	30.75			$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.97				0.52				0.00	(b)
Net realized and unrealized gain (loss)			(0.38	)			6.68				(4.54	)
Total from investment operations			0.59				7.20				(4.54	)
Less distributions to shareholders:
From net investment income			(0.10	)			(1.29	)			—
Total distributions			(0.10	)			(1.29	)			—
Net asset value, end of period		$	37.15			$	36.66			$	30.75
Total Return(c)			1.60	%**			23.83	%			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	134,722			$	79,824			$	16,158
Net expenses to average daily net assets(d)			0.97	%*			0.98	%			0.94	%*
Net investment income (loss) to average daily net assets(a)			5.16	%*			1.55	%			(0.05	)%*
Portfolio turnover rate			49	%**			102	%			100	%(e)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			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 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. 77

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	23.04			$	19.83			$	20.08			$	23.63			$	20.18			$	18.17
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.57				0.75	(b)			0.72				0.57				0.41				0.70
Net realized and unrealized gain (loss)			1.77				3.46				(0.22	)			(3.45	)			3.78				2.07
Total from investment operations			2.34				4.21				0.50				(2.88	)			4.19				2.77
Less distributions to shareholders:
From net investment income			(0.44	)			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)
Total distributions			(0.44	)			(1.00	)			(0.75	)			(0.67	)			(0.74	)			(0.76	)
Net asset value, end of period		$	24.94			$	23.04			$	19.83			$	20.08			$	23.63			$	20.18
Total Return(c)			10.16	%**			21.58	%(d)			2.19	%			(12.07	)%			20.85	%			15.45	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,043			$	5,546			$	10,802			$	18,202			$	23,736			$	10,302
Net expenses to average daily net assets(e)			0.73	%*			0.73	%			0.73	%			0.73	%			0.72	%			0.72	%
Net investment income (loss) to average daily net assets(a)			4.56	%*			3.82	%(b)			3.52	%			2.64	%			1.77	%			3.62	%
Portfolio turnover rate			31	%**			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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, if any (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.

* Annualized.

** Not annualized.

78 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	23.32			$	20.09			$	20.33			$	23.92			$	20.41			$	18.38
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.60				0.75	(b)			0.70				0.57				0.61				0.63
Net realized and unrealized gain (loss)			1.78				3.51				(0.17	)			(3.47	)			3.64				2.19
Total from investment operations			2.38				4.26				0.53				(2.90	)			4.25				2.82
Less distributions to shareholders:
From net investment income			(0.44	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)
Total distributions			(0.44	)			(1.03	)			(0.77	)			(0.69	)			(0.74	)			(0.79	)
Net asset value, end of period		$	25.26			$	23.32			$	20.09			$	20.33			$	23.92			$	20.41
Total Return(c)			10.23	%**			21.60	%(d)			2.29	%			(12.02	)%			20.96	%			15.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	396,368			$	423,332			$	452,165			$	507,195			$	485,782			$	731,060
Net expenses to average daily net assets(e)			0.66	%*			0.66	%			0.66	%			0.66	%			0.65	%			0.65	%
Net investment income (loss) to average daily net assets(a)			4.69	%*			3.70	%(b)			3.36	%			2.64	%			2.68	%			3.16	%
Portfolio turnover rate			31	%**			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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, if any (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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 79

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	23.28			$	20.05			$	20.29			$	23.87			$	20.38			$	18.36
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.61				0.77	(b)			0.74				0.63				0.56				0.63
Net realized and unrealized gain (loss)			1.78				3.50				(0.20	)			(3.51	)			3.69				2.19
Total from investment operations			2.39				4.27				0.54				(2.88	)			4.25				2.82
Less distributions to shareholders:
From net investment income			(0.45	)			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)
Total distributions			(0.45	)			(1.04	)			(0.78	)			(0.70	)			(0.76	)			(0.80	)
Net asset value, end of period		$	25.22			$	23.28			$	20.05			$	20.29			$	23.87			$	20.38
Total Return(c)			10.27	%**			21.71	%(d)			2.34	%			(11.95	)%			20.98	%			15.57	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,855,312			$	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	%			0.60	%			0.59	%			0.59	%
Net investment income (loss) to average daily net assets(a)			4.77	%*			3.81	%(b)			3.53	%			2.89	%			2.45	%			3.19	%
Portfolio turnover rate			31	%**			48	%			46	%(f)			41	%(f)			45	%(f)			27	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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, if any (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.

* Annualized.

** Not annualized.

80 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

INTERNATIONAL EQUITY FUND (continued)

	Class I Shares
	Period from May 24, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period		$	25.79
Income (loss) from investment operations:
Net investment income (loss) (a)†			0.17
Net realized and unrealized gain (loss)			(0.60	)
Total from investment operations			(0.43	)
Net asset value, end of period		$	25.36
Total Return(b)			(1.67	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	0	(c)
Net expenses to average daily net assets(d)			0.82	%*
Net investment income (loss) to average daily net assets(a)			2.40	%*
Portfolio turnover rate			31	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*

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

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

^(c)  Rounds to less than $1,000.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 81

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from September 14, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	23.47			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.26				0.17
Net realized and unrealized gain (loss)			0.68				3.59
Total from investment operations			0.94				3.76
Less distributions to shareholders:
From net investment income			(0.84	)			(0.28	)
From net realized gains			(0.78	)			(0.01	)
Total distributions			(1.62	)			(0.29	)
Net asset value, end of period		$	22.79			$	23.47
Total Return(b)			4.23	%**			18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	166,439			$	163,872
Net expenses to average daily net assets			0.57	%*			0.56	%*
Net investment income (loss) to average daily net assets(a)			2.13	%*			1.68	%*
Portfolio turnover rate			16	%**			28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%*			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.

82 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

JAPAN VALUE CREATION FUND (continued)

	Class I Shares
	Period from June 7, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period		$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.01	)
Net realized and unrealized gain (loss)			(0.54	)(b)
Total from investment operations			(0.55	)
Less distributions to shareholders:
From net investment income			(0.85	)
From net realized gains			(0.78	)
Total distributions			(1.63	)
Net asset value, end of period		$	22.77
Total Return(c)			(2.01	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,871
Net expenses to average daily net assets			0.77	%*
Net investment income (loss) to average daily net assets(a)			(0.22	)%*
Portfolio turnover rate			16	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%*

^(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.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 83

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (FORMERLY CYCLICAL FOCUS FUND)

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from May 12, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	29.06			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.34				0.38
Net realized and unrealized gain (loss)			2.15				10.23
Total from investment operations			2.49				10.61
Less distributions to shareholders:
From net investment income			(0.35	)			(0.60	)
From net realized gains			(2.82	)			(0.95	)
Total distributions			(3.17	)			(1.55	)
Net asset value, end of period		$	28.38			$	29.06
Total Return(b)			8.27	%**			53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	141,448			$	141,989
Net expenses to average daily net assets(c)			0.40	%*			0.40	%*
Net investment income (loss) to average daily net assets(a)			2.19	%*			1.92	%*
Portfolio turnover rate(d)			12	%**			65	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%(e)*			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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021 and the year ended February 28, 2021, including transactions in USTF was 14% and 70%, 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.

84 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

QUALITY CYCLICALS FUND (FORMERLY CYCLICAL FOCUS FUND) (continued)

	Class I Shares
	Period from July 16, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period		$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.06
Net realized and unrealized gain (loss)			(0.14	)(b)
Total from investment operations			(0.08	)
Net asset value, end of period		$	28.37
Total Return(c)			(0.28	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	90
Net expenses to average daily net assets(d)			0.59	%*
Net investment income (loss) to average daily net assets(a)			1.71	%*
Portfolio turnover rate(e)			12	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%(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 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, 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 period ended August 31, 2021, including transactions in USTF was 14%, 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. 85

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.98			$	22.77			$	22.28			$	25.13			$	22.05			$	18.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.32				0.35				0.35				0.36				0.35
Net realized and unrealized gain (loss)			4.92				6.37				2.15				1.21				4.70				3.44
Total from investment operations			5.12				6.69				2.50				1.56				5.06				3.79
Less distributions to shareholders:
From net investment income			(0.05	)			(0.35	)			(0.36	)			(0.39	)			(0.41	)			(0.35	)
From net realized gains			(0.51	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)
Total distributions			(0.56	)			(3.48	)			(2.01	)			(4.41	)			(1.98	)			(0.73	)
Net asset value, end of period		$	30.54			$	25.98			$	22.77			$	22.28			$	25.13			$	22.05
Total Return(b)			19.76	%**			30.83	%			10.64	%			6.86	%			23.32	%			20.25	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,517,944			$	3,519,473			$	3,195,240			$	3,065,461			$	3,524,103			$	3,587,627
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%
Net investment income (loss) to average daily net assets(a)			1.38	%*			1.33	%			1.44	%			1.42	%			1.48	%			1.72	%
Portfolio turnover rate(d)			5	%**			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	%(e)			0.02	%			0.02	%			0.02	%

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 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.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	26.04			$	22.82			$	22.32			$	25.17			$	22.08			$	19.01
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.34				0.37				0.36				0.37				0.36
Net realized and unrealized gain (loss)			4.94				6.37				2.14				1.22				4.70				3.45
Total from investment operations			5.14				6.71				2.51				1.58				5.07				3.81
Less distributions to shareholders:
From net investment income			(0.05	)			(0.36	)			(0.36	)			(0.41	)			(0.41	)			(0.36	)
From net realized gains			(0.51	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)
Total distributions			(0.56	)			(3.49	)			(2.01	)			(4.43	)			(1.98	)			(0.74	)
Net asset value, end of period		$	30.62			$	26.04			$	22.82			$	22.32			$	25.17			$	22.08
Total Return(b)			19.79	%**			30.86	%			10.70	%			6.91	%			23.37	%			20.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,117,221			$	750,632			$	852,866			$	1,139,024			$	957,900			$	1,222,874
Net expenses to average daily net assets(c)			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.35	%*			1.37	%			1.52	%			1.46	%			1.53	%			1.76	%
Portfolio turnover rate(d)			5	%**			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	%(e)			0.02	%			0.02	%			0.02	%

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 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.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.98			$	22.77			$	22.28			$	25.13			$	22.05			$	18.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.35				0.37				0.38				0.38				0.36
Net realized and unrealized gain (loss)			4.93				6.37				2.15				1.21				4.70				3.46
Total from investment operations			5.14				6.72				2.52				1.59				5.08				3.82
Less distributions to shareholders:
From net investment income			(0.06	)			(0.38	)			(0.38	)			(0.42	)			(0.43	)			(0.38	)
From net realized gains			(0.51	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)			(0.38	)
Total distributions			(0.57	)			(3.51	)			(2.03	)			(4.44	)			(2.00	)			(0.76	)
Net asset value, end of period		$	30.55			$	25.98			$	22.77			$	22.28			$	25.13			$	22.05
Total Return(b)			19.85	%**			30.95	%			10.73	%			6.96	%			23.43	%			20.39	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,600,546			$	2,465,066			$	2,077,277			$	2,227,287			$	3,561,976			$	3,359,025
Net expenses to average daily net assets(c)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(a)			1.45	%*			1.41	%			1.55	%			1.54	%			1.57	%			1.73	%
Portfolio turnover rate(d)			5	%**			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	%(e)			0.02	%			0.02	%			0.02	%

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 5%, 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.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from November 12, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	25.96			$	22.76			$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.30				0.10
Net realized and unrealized gain (loss)			4.91				6.39				(0.83	)
Total from investment operations			5.11				6.69				(0.73	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.36	)			(0.32	)
From net realized gains			(0.51	)			(3.13	)			(1.40	)
Total distributions			(0.56	)			(3.49	)			(1.72	)
Net asset value, end of period		$	30.51			$	25.96			$	22.76
Total Return(b)			19.76	%**			30.81	%			(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	495,461			$	330,287			$	77,375
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.49	%*
Net investment income (loss) to average daily net assets(a)			1.37	%*			1.22	%			1.31	%*
Portfolio turnover rate(d)(d)(d)			5	%**			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*			0.02	%(e)			0.02	%(e)*

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 5%, 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. 89

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from September 26, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	25.93			$	22.75			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.28				0.12
Net realized and unrealized gain (loss)			4.92				6.37				0.39
Total from investment operations			5.10				6.65				0.51
Less distributions to shareholders:
From net investment income			(0.04	)			(0.34	)			(0.31	)
From net realized gains			(0.51	)			(3.13	)			(1.40	)
Total distributions			(0.55	)			(3.47	)			(1.71	)
Net asset value, end of period		$	30.48			$	25.93			$	22.75
Total Return(b)			19.74	%**			30.66	%			1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	476,120			$	303,447			$	80,110
Net expenses to average daily net assets(c)			0.58	%*			0.58	%			0.57	%*
Net investment income (loss) to average daily net assets(a)			1.26	%*			1.12	%			1.13	%*
Portfolio turnover rate(d)(d)(d)			5	%**			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%(e)*			0.02	%(e)			0.02	%(e)*

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

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

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

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 5%, 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.

90 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	27.81			$	18.11			$	20.31			$	20.88			$	17.31			$	11.74
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.48				0.65				0.54				0.33				0.30
Net realized and unrealized gain (loss)			1.07				10.13				(2.22	)			(0.37	)			4.02				5.75
Total from investment operations			1.61				10.61				(1.57	)			0.17				4.35				6.05
Less distributions to shareholders:
From net investment income			(0.37	)			(0.47	)			(0.63	)			(0.74	)			(0.78	)			(0.48	)
From net realized gains			(0.63	)			(0.44	)			—				—				—				—
Total distributions			(1.00	)			(0.91	)			(0.63	)			(0.74	)			(0.78	)			(0.48	)
Net asset value, end of period		$	28.42			$	27.81			$	18.11			$	20.31			$	20.88			$	17.31
Total Return(b)			5.79	%**			59.36	%			(8.14	)%			0.99	%			26.00	%			51.75	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	302,345			$	96,091			$	201,320			$	169,523			$	54,037			$	22,562
Net expenses to average daily net assets(c)			0.69	%*			0.72	%			0.73	%			0.74	%(d)			0.76	%(d)			0.77	%
Net investment income (loss) to average daily net assets(e)			3.67	%*			2.44	%			3.24	%			2.68	%			1.77	%			1.99	%
Portfolio turnover rate(f)			29	%**			86	%			37	%			35	%			48	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.00	%(g)(h)			0.00	%(g)(h)			—				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

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

^(e)  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.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 29%, 89%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

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

^(h)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 91

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	27.73			$	18.06			$	20.24			$	20.81			$	17.25			$	11.71
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.47				0.68				0.62				0.38				0.34
Net realized and unrealized gain (loss)			1.08				10.12				(2.22	)			(0.46	)			3.97				5.68
Total from investment operations			1.62				10.59				(1.54	)			0.16				4.35				6.02
Less distributions to shareholders:
From net investment income			(0.38	)			(0.48	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)
From net realized gains			(0.63	)			(0.44	)			—				—				—				—
Total distributions			(1.01	)			(0.92	)			(0.64	)			(0.73	)			(0.79	)			(0.48	)
Net asset value, end of period		$	28.34			$	27.73			$	18.06			$	20.24			$	20.81			$	17.25
Total Return(b)			5.82	%**			59.42	%			(8.03	)%			0.98	%			26.12	%			51.72	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	907,667			$	531,006			$	311,515			$	336,954			$	296,196			$	190,260
Net expenses to average daily net assets(c)			0.64	%*			0.67	%			0.68	%			0.70	%(d)			0.71	%(d)			0.72	%
Net investment income (loss) to average daily net assets(e)			3.72	%*			2.33	%			3.40	%			3.06	%			2.04	%			2.26	%
Portfolio turnover rate(f)			29	%**			86	%			37	%			35	%			48	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.00	%(g)(h)			0.00	%(g)(h)			—				0.06	%			0.10	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	0.01			$	0.02			$	0.04			$	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, if any (Note 5).

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

^(e)  Interest expense was less than 0.01% to average daily net assets.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 29%, 89%, 101%, 69%, 85% and 40%, respectively, of the average value of its portfolio.

^(g)  Rounds to less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

92 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	27.82			$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.56				0.03
Net realized and unrealized gain (loss)			1.05				0.35
Total from investment operations			1.61				0.38
Less distributions to shareholders:
From net investment income			(0.38	)			—
From net realized gains			(0.63	)			—
Total distributions			(1.01	)			—
Net asset value, end of period		$	28.42			$	27.82
Total Return(b)			5.76	%**			1.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	9,063			$	2,617
Net expenses to average daily net assets(c)			0.69	%*			0.71	%*
Net investment income (loss) to average daily net assets(a)			3.84	%*			0.98	%*
Portfolio turnover rate(d)			29	%**			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 underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021 and the year ended February 28, 2021, including transactions in USTF was 29% and 89%, 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. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	27.81			$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.51				0.02
Net realized and unrealized gain (loss)			1.09				0.35
Total from investment operations			1.60				0.37
Less distributions to shareholders:
From net investment income			(0.36	)			—
From net realized gains			(0.63	)			—
Total distributions			(0.99	)			—
Net asset value, end of period		$	28.42			$	27.81
Total Return(b)			5.76	%**			1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	499,585			$	369,102
Net expenses to average daily net assets(c)			0.79	%*			0.81	%*
Net investment income (loss) to average daily net assets(a)			3.50	%*			0.74	%*
Portfolio turnover rate(d)			29	%**			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 underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021 and the year ended February 28, 2021, including transactions in USTF was 29% and 89%, respectively, of the average value of its portfolio.

† 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 each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	15.98			$	13.57			$	13.82			$	17.00			$	14.28			$	12.92
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.42				0.34				0.46				0.37				0.38				0.41
Net realized and unrealized gain (loss)			1.14				2.42				(0.10	)			(2.63	)			2.84				1.50
Total from investment operations			1.56				2.76				0.36				(2.26	)			3.22				1.91
Less distributions to shareholders:
From net investment income			(0.08	)			(0.35	)			(0.61	)			(0.39	)			(0.50	)			(0.55	)
From net realized gains			—				—				—				(0.53	)			—				—
Total distributions			(0.08	)			(0.35	)			(0.61	)			(0.92	)			(0.50	)			(0.55	)
Net asset value, end of period		$	17.46			$	15.98			$	13.57			$	13.82			$	17.00			$	14.28
Total Return(b)			9.75	%**			20.53	%			2.31	%			(13.50	)%			22.70	%			15.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	41,148			$	38,960			$	36,228			$	48,739			$	68,782			$	115,733
Net expenses to average daily net assets(c)			1.01	%(d)*			0.73	%			0.80	%			0.79	%			0.70	%			0.68	%
Net investment income (loss) to average daily net assets(a)			4.80	%*			2.47	%			3.28	%			2.47	%			2.35	%			2.95	%
Portfolio turnover rate			51	%(e)**			75	%(e)			52	%(e)			63	%(e)			43	%(e)			47	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.51	%(f)*			0.54	%(f)			0.54	%(f)			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, if any (Note 5).

^(d)  Net expenses have been annualized with the exception of non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.79% (See Note 2).

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and 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%, 77%, 65%, 117%, 80% and 54%, respectively, of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	14.39			$	11.89			$	13.07			$	15.41			$	15.14			$	13.79
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.10				0.18				0.22				0.23				0.27				0.27
Net realized and unrealized gain (loss)			2.53				3.56				0.21				(0.04	)(b)			1.73				2.89
Total from investment operations			2.63				3.74				0.43				0.19				2.00				3.16
Less distributions to shareholders:
From net investment income			(0.04	)			(0.21	)			(0.32	)			(0.26	)			(0.28	)			(0.34	)
From net realized gains			(0.96	)			(1.03	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)
Total distributions			(1.00	)			(1.24	)			(1.61	)			(2.53	)			(1.73	)			(1.81	)
Net asset value, end of period		$	16.02			$	14.39			$	11.89			$	13.07			$	15.41			$	15.14
Total Return(c)			18.55	%**			33.74	%			2.51	%			1.94	%			13.76	%			23.59	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	114,493			$	105,656			$	83,738			$	131,198			$	77,297			$	109,726
Net expenses to average daily net assets(d)			0.46	%*			0.47	%			0.46	%			0.46	%			0.46	%			0.46	%
Net investment income (loss) to average daily net assets(a)			1.31	%*			1.47	%			1.64	%			1.62	%			1.78	%			1.80	%
Portfolio turnover rate(e)			49	%**			66	%			72	%			89	%			79	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(f)*			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 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, 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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 56%, 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.

* Annualized.

** Not annualized.

96 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	14.25			$	11.78			$	12.97			$	15.31			$	15.06			$	13.73
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11				0.19				0.23				0.24				0.29				0.27
Net realized and unrealized gain (loss)			2.50				3.53				0.20				(0.04	)(b)			1.71				2.89
Total from investment operations			2.61				3.72				0.43				0.20				2.00				3.16
Less distributions to shareholders:
From net investment income			(0.05	)			(0.22	)			(0.33	)			(0.27	)			(0.30	)			(0.36	)
From net realized gains			(0.96	)			(1.03	)			(1.29	)			(2.27	)			(1.45	)			(1.47	)
Total distributions			(1.01	)			(1.25	)			(1.62	)			(2.54	)			(1.75	)			(1.83	)
Net asset value, end of period		$	15.85			$	14.25			$	11.78			$	12.97			$	15.31			$	15.06
Total Return(c)			18.57	%**			33.92	%			2.53	%			2.05	%			13.84	%			23.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	310,493			$	245,547			$	365,693			$	758,714			$	1,200,008			$	1,469,935
Net expenses to average daily net assets(d)			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.40	%*			1.56	%			1.75	%			1.68	%			1.88	%			1.87	%
Portfolio turnover rate(e)			49	%**			66	%			72	%			89	%			79	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%(f)*			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 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, 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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 56%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from July 2, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	24.99			$	18.06			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17				0.30				0.23
Net realized and unrealized gain (loss)			2.49				6.96				(1.99	)
Total from investment operations			2.66				7.26				(1.76	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.33	)			(0.18	)
From net realized gains			(1.64	)			—				—
Total distributions			(1.70	)			(0.33	)			(0.18	)
Net asset value, end of period		$	25.95			$	24.99			$	18.06
Total Return(b)			10.79	%**			40.64	%			(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	290,578			$	372,498			$	415,508
Net expenses to average daily net assets(c)			0.42	%*			0.41	%			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.22	%*			1.67	%			1.69	%*
Portfolio turnover rate(d)			28	%**			86	%			56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(e)(f)*			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, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 33%, 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.

98 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2021 (Unaudited)

1. Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus Fund), 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
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 Cyclicals Fund (formerly Cyclical Focus 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

Tax-Managed International Equities Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

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

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 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.

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

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 August 31, 2021:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,735,915	$	—	$	—	$	4,735,915
Australia		—		11,330,052		—		11,330,052
Brazil		—		6,871,435		—		6,871,435
Canada		60,031,409		—		—		60,031,409
China		2,939,640		26,796,397		—		29,736,037
Denmark		—		2,679,012		—		2,679,012
Finland		—		8,305,502		—		8,305,502
France		—		22,731,890		—		22,731,890
Germany		—		2,231,617		—		2,231,617
India		—		486,773		—		486,773
Italy		—		5,714,969		—		5,714,969
Japan		—		23,835,222		—		23,835,222
Mexico		14,447,826		—		—		14,447,826
Netherlands		—		4,644,130		—		4,644,130
Norway		—		7,413,586		—		7,413,586
Pakistan		—		747,208		—		747,208
Philippines		—		527,980		—		527,980
Russia		—		15,672,735		—		15,672,735
South Korea		—		7,666,145		—		7,666,145
Spain		—		13,852,205		—		13,852,205
Switzerland		—		3,543,735		—		3,543,735
Taiwan		—		2,104,045		—		2,104,045
Thailand		—		1,118,438		—		1,118,438
Ukraine		—		3,287,859		—		3,287,859
United Kingdom		—		10,156,189		—		10,156,189
United States		260,493,453		—		—		260,493,453
TOTAL COMMON STOCKS		342,648,243		181,717,124		—		524,365,367
Preferred Stocks
Chile		9,378,552		—		—		9,378,552
TOTAL PREFERRED STOCKS		9,378,552		—		—		9,378,552

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	19,976,703	$	—	$	—	$	19,976,703
TOTAL MUTUAL FUNDS		19,976,703		—		—		19,976,703
Total Investments		372,003,498		181,717,124		—		553,720,622
Total	$	372,003,498	$	181,717,124	$	—	$	553,720,622
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	4,295,135	$	29,961,935	$	—	$	34,257,070
China		26,849,450		203,733,984		—		230,583,434
Greece		—		2,973,867		—		2,973,867
Hong Kong		—		6,151,861		—		6,151,861
Hungary		—		4,014,361		—		4,014,361
India		—		156,999,162		6,597,624		163,596,786
Japan		—		8,185,127		—		8,185,127
Mexico		40,434,762		—		—		40,434,762
Netherlands		—		2,403,551		—		2,403,551
Philippines		—		7,853,259		—		7,853,259
Poland		—		206,654		—		206,654
Qatar		—		5,052,368		—		5,052,368
Russia		9,550,980		18,147,664		2,341,022		30,039,666
Singapore		3,586,192		—		—		3,586,192
South Africa		—		13,459,352		—		13,459,352
South Korea		—		64,481,226		—		64,481,226
Switzerland		—		3,960,288		—		3,960,288
Taiwan		—		110,522,320		—		110,522,320
Thailand		—		4,320,018		—		4,320,018
United States		56,436,299		—		—		56,436,299
Vietnam		—		5,232,948		—		5,232,948
TOTAL COMMON STOCKS		141,152,818		647,659,945		8,938,646		797,751,409
Preferred Stocks
Brazil		—		4,002,430		—		4,002,430
TOTAL PREFERRED STOCKS		—		4,002,430		—		4,002,430
Investment Funds
China		17,088,706		—		—		17,088,706
Russia		30,588,816		—		—		30,588,816
Saudi Arabia		11,276,405		—		—		11,276,405
South Africa		6,548,150		—		—		6,548,150
United States		22,625,693		—		—		22,625,693
TOTAL INVESTMENT FUNDS		88,127,770		—		—		88,127,770
Mutual Funds
United States		25,163,385		—		—		25,163,385
TOTAL MUTUAL FUNDS		25,163,385		—		—		25,163,385
Short-Term Investments		12,718,217		—		—		12,718,217
Total Investments		267,162,190		651,662,375		8,938,646		927,763,211

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	—	$	259,435		$	—		$	259,435
Total	$	267,162,190	$	651,921,810		$	8,938,646		$	928,022,646
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	—	$	(504,873	)	$	—		$	(504,873	)
Total	$	—	$	(504,873	)	$	—		$	(504,873	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,176,323	$	—		$	—		$	4,176,323
Brazil		—		24,045,103			—			24,045,103
Chile		—		190,377			—			190,377
China		71,522,302		781,271,666			0	§		852,793,968
Czech Republic		—		8,031,485			—			8,031,485
Egypt		—		1,185,524			—			1,185,524
Hong Kong		—		870,402			—			870,402
India		16,195,218		129,439,145			—			145,634,363
Indonesia		—		72,867,503			—			72,867,503
Kuwait		—		57,774,643			—			57,774,643
Mexico		133,464,940		—			—			133,464,940
Pakistan		—		12,337,685			—			12,337,685
Peru		6,184,722		—			—			6,184,722
Philippines		—		10,538,669			—			10,538,669
Poland		—		3,636,866			—			3,636,866
Qatar		—		19,078,918			—			19,078,918
Russia		7,681,457		414,231,839			6,821,128			428,734,424
South Africa		—		8,730,537			—			8,730,537
South Korea		—		181,437,478			—			181,437,478
Sri Lanka		—		520,722			—			520,722
Taiwan		3,297,767		659,135,871			—			662,433,638
Thailand		—		10,416,361			—			10,416,361
Turkey		—		35,537,738			—			35,537,738
United Arab Emirates		—		2,937,050			—			2,937,050
United Kingdom		—		15,033,627			—			15,033,627
Vietnam		—		6,627,815			—			6,627,815
TOTAL COMMON STOCKS		242,522,729		2,455,877,024			6,821,128			2,705,220,881
Preferred Stocks
Colombia		1,579,786		—			—			1,579,786
Russia		—		53,821,498			—			53,821,498
South Korea		—		36,370,948			—			36,370,948
Taiwan		—		2,393,922			—			2,393,922
TOTAL PREFERRED STOCKS		1,579,786		92,586,368			—			94,166,154
Investment Funds
United States		33,622,127		—			—			33,622,127
TOTAL INVESTMENT FUNDS		33,622,127		—			—			33,622,127

103

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	63,658,877		$	—		$	—		$	63,658,877
TOTAL DEBT OBLIGATIONS		63,658,877			—			—			63,658,877
Short-Term Investments		18,726,699			—			—			18,726,699
Total Investments		360,110,218			2,548,463,392			6,821,128			2,915,394,738
Derivatives^
Swap Contracts
Equity Risk	$	—		$	2,121,883		$	—		$	2,121,883
Total	$	360,110,218		$	2,550,585,275		$	6,821,128		$	2,917,516,621
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(16,182,826	)	$	(1,203,433	)	$	—		$	(17,386,259	)
Total	$	(16,182,826	)	$	(1,203,433	)	$	—		$	(17,386,259	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	76,756,125		$	—		$	76,756,125
Belgium		—			30,502,039			—			30,502,039
Denmark		—			1,165,711			—			1,165,711
Finland		—			15,653,003			—			15,653,003
France		1,821,630			207,489,012			—			209,310,642
Germany		—			194,922,509			—			194,922,509
Hong Kong		—			53,294,743			—			53,294,743
Ireland		18,361,034			14,670,380			—			33,031,414
Italy		6,248,061			95,117,562			—			101,365,623
Japan		—			455,698,420			—			455,698,420
Malta		—			—			0	§		0	§
Netherlands		—			161,838,525			—			161,838,525
Norway		—			38,848,208			—			38,848,208
Portugal		—			47,235,702			—			47,235,702
Singapore		—			88,834,949			—			88,834,949
Spain		—			123,288,569			—			123,288,569
Sweden		—			9,096,863			—			9,096,863
Switzerland		2,577,681			135,397,896			—			137,975,577
United Kingdom		18,362,144			374,183,536			—			392,545,680
TOTAL COMMON STOCKS		47,370,550			2,123,993,752			0	§		2,171,364,302
Preferred Stocks
Germany		—			37,258,209			—			37,258,209
TOTAL PREFERRED STOCKS		—			37,258,209			—			37,258,209
Short-Term Investments		89,508,129			—			—			89,508,129
Total Investments		136,878,679			2,161,251,961			—			2,298,130,640
Total	$	136,878,679		$	2,161,251,961		$	0	§	$	2,298,130,640

104

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
International Equity Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(79,325	)	$	—	$	—	$	(79,325	)
Total	$	(79,325	)	$	—	$	—	$	(79,325	)
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—		$	163,632,495	$	—	$	163,632,495
Short-Term Investments		4,584,919			—		—		4,584,919
Total Investments		4,584,919			163,632,495		—		168,217,414
Total	$	4,584,919		$	163,632,495	$	—	$	168,217,414
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Asset Valuation Inputs
Common Stocks
Canada	$	7,371,382		$	—	$	—	$	7,371,382
China		—			2,285,346		—		2,285,346
Finland		—			3,477,096		—		3,477,096
France		—			11,964,750		—		11,964,750
Germany		—			3,149,034		—		3,149,034
Ireland		—			3,795,537		—		3,795,537
Mexico		8,683,654			—		—		8,683,654
Russia		—			6,509,537		—		6,509,537
Spain		—			6,140,180		—		6,140,180
United Kingdom		—			15,992,645		—		15,992,645
United States		66,941,915			—		—		66,941,915
TOTAL COMMON STOCKS		82,996,951			53,314,125		—		136,311,076
Preferred Stocks
Brazil		—			4,159,195		—		4,159,195
TOTAL PREFERRED STOCKS		—			4,159,195		—		4,159,195
Mutual Funds
United States		633,249			—		—		633,249
TOTAL MUTUAL FUNDS		633,249			—		—		633,249
Short-Term Investments		284,469			—		—		284,469
Total Investments		83,914,669			57,473,320		—		141,387,989
Total	$	83,914,669		$	57,473,320	$	—	$	141,387,989
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	290,052,645	$	—	$	290,052,645
Germany		—			281,759,976		—		281,759,976
Switzerland		—			305,189,473		—		305,189,473
Taiwan		—			301,692,426		—		301,692,426
United Kingdom		—			347,670,744		—		347,670,744
United States		7,387,932,734			—		—		7,387,932,734
TOTAL COMMON STOCKS		7,387,932,734			1,526,365,264		—		8,914,297,998

105

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	9,830,961	$	—	$	—		$	9,830,961
TOTAL MUTUAL FUNDS		9,830,961		—		—			9,830,961
Short-Term Investments		274,869,175		—		—			274,869,175
Total Investments		7,672,632,870		1,526,365,264		—			9,198,998,134
Total	$	7,672,632,870	$	1,526,365,264	$	—		$	9,198,998,134
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	14,919,365	$	—	$	—		$	14,919,365
Australia		—		92,322,499		—			92,322,499
Austria		—		25,973,267		—			25,973,267
Brazil		—		56,117,905		—			56,117,905
Canada		133,553,574		—		—			133,553,574
China		—		50,510,346		—			50,510,346
Denmark		—		7,456,548		—			7,456,548
Finland		—		10,445,965		—			10,445,965
France		—		27,459,057		—			27,459,057
Hungary		—		15,927,228		—			15,927,228
India		—		44,786,360		—			44,786,360
Israel		—		9,008,191		—			9,008,191
Japan		—		34,059,062		—			34,059,062
Mexico		51,039,997		—		—			51,039,997
Norway		—		35,516,320		—			35,516,320
Pakistan		—		4,010,598		—			4,010,598
Poland		—		12,289,219		—			12,289,219
Russia		—		135,569,286		—			135,569,286
Singapore		—		—		0	§		0	§
South Africa		—		29,206,407		—			29,206,407
South Korea		—		7,174,269		—			7,174,269
Spain		—		11,696,156		—			11,696,156
Switzerland		—		5,409,621		—			5,409,621
Turkey		—		6,060,388		—			6,060,388
Ukraine		—		7,492,652		—			7,492,652
United Kingdom		—		233,076,100		—			233,076,100
United States		462,418,293		—		—			462,418,293
TOTAL COMMON STOCKS		661,931,229		861,567,444		0	§		1,523,498,673
Preferred Stocks
Brazil		—		95,601,888		—			95,601,888
Chile		27,660,099		—		—			27,660,099
Russia		—		39,488,435		—			39,488,435
TOTAL PREFERRED STOCKS		27,660,099		135,090,323		—			162,750,422
Rights/Warrants
Singapore		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§
Short-Term Investments		29,262,075		—		—			29,262,075
Total Investments		718,853,403		996,657,767		—			1,715,511,170
Total	$	718,853,403	$	996,657,767	$	0	§	$	1,715,511,170

106

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,413,570	$	—		$	1,413,570
Belgium		—		358,241		—			358,241
Brazil		—		245,744		—			245,744
China		—		854,394		—			854,394
Denmark		—		49,249		—			49,249
Finland		—		178,304		—			178,304
France		—		3,436,456		—			3,436,456
Germany		—		2,978,804		—			2,978,804
Hong Kong		—		652,067		—			652,067
Hungary		—		81,043		—			81,043
India		—		297,791		—			297,791
Ireland		183,795		250,641		—			434,436
Italy		108,834		1,229,868		—			1,338,702
Japan		—		8,011,816		—			8,011,816
Malta		—		—		0	§		0	§
Netherlands		—		2,714,237		—			2,714,237
Norway		—		635,098		—			635,098
Poland		—		68,433		—			68,433
Portugal		—		713,002		—			713,002
Russia		—		522,052		—			522,052
Singapore		—		1,545,517		—			1,545,517
South Africa		—		89,680		—			89,680
South Korea		—		777,797		—			777,797
Spain		—		2,056,962		—			2,056,962
Sweden		—		249,668		—			249,668
Switzerland		36,956		2,474,038		—			2,510,994
Taiwan		—		488,010		—			488,010
Thailand		—		86,106		—			86,106
Turkey		—		205,516		—			205,516
United Kingdom		1,173,814		5,272,658		—			6,446,472
TOTAL COMMON STOCKS		1,503,399		37,936,762		0	§		39,440,161
Preferred Stocks
Brazil		—		9,667		—			9,667
Germany		—		863,347		—			863,347
Russia		—		53		—			53
South Korea		—		16,945		—			16,945
TOTAL PREFERRED STOCKS		—		890,012		—			890,012
Mutual Funds
United States		1,166,020		—		—			1,166,020
TOTAL MUTUAL FUNDS		1,166,020		—		—			1,166,020
Short-Term Investments		56,770		—		—			56,770
Total Investments		2,726,189		38,826,774		0	§		41,552,963
Derivatives^
Futures Contracts
Equity Risk		1,765		—		—			1,765
Total	$	2,727,954	$	38,826,774	$	0	§	$	41,554,728

107

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	413,237,117		$	—	$	—	$	413,237,117
Mutual Funds		1,151,569			—		—		1,151,569
Total Investments		414,388,686			—		—		414,388,686
Derivatives^
Futures Contracts
Equity Risk	$	30,671		$	—	$	—	$	30,671
Total	$	414,419,357		$	—	$	—	$	414,419,357
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	285,718,948		$	—	$	—	$	285,718,948
Mutual Funds		2,484,079			—		—		2,484,079
Rights/warrants		—			—		36,350		36,350
Short-Term Investments		731,931			—		—		731,931
Total Investments		288,934,958			—		36,350		288,971,308
Total	$	288,934,958		$	—	$	36,350	$	288,971,308
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(3,488	)	$	—	$	—	$	(3,488	)
Total	$	(3,488	)	$	—	$	—	$	(3,488	)

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 August 31, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Emerging Domestic Opportunities Fund’s Level 3 holdings includes one common stock that was purchased prior to the initial public offering (“IPO”) that is restricted from trading until March 22, 2022 and is being valued based on the post-IPO shares trading in the market. Emerging Domestic Opportunities Fund and Emerging Markets Fund holdings also include a common stock of 144A shares that is thinly traded and is being priced off the Reg S shares of the same security. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2021.

108

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August 31, 2021 (Unaudited)

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

	Balances as of February 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3			Balances as of August 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021
Emerging Domestic Opportunities Fund
Common Stocks
India	$	265,151	$	1,924,111	$	—		$	—	$	—		$	6,226,476		$	—		$	(1,818,114	)‡	$	6,597,624	$	4,673,513
Russia		—		2,445,095		—			—		—			(104,073	)		—			—			2,341,022		(104,073	)
Total Investments	$	265,151	$	4,369,206	$	—		$	—	$	—		$	6,122,403		$	—		$	(1,818,114	)	$	8,938,646	$	4,569,440
Emerging Markets Fund
Common Stocks
Russia	$	—	$	7,148,534	$	(19,572	)	$	—	$	(4,598	)	$	(303,242	)	$	6	‡	$	—		$	6,821,128	$	(303,242	)
Total Investments	$	—	$	7,148,534	$	(19,572	)	$	—	$	(4,598	)	$	(303,242	)	$	6		$	—		$	6,821,128	$	(303,242	)

‡ 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 period ended August 31, 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)
Emerging Domestic Opportunities Fund
Common Stock		2,341,022	Fair Value	Price of comparable equity	(N/A)
Emerging Markets Fund
Common Stock		6,821,122	Fair Value	Price of comparable equity	(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketabilty	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2021, the value of these securities and/or derivatives for Emerging Domestic Opportunities Fund and Emerging Markets Fund was $6,597,624, and $6, 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

109

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Rights and warrants

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

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

At August 31, 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		43,982,270		6,084,188		39,674,915		45,759,103
Emerging Markets Fund		18,748,263		—		18,895,083		18,895,083
Resources Fund		74,329,231		—		77,400,904		77,400,904

* 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.

110

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August 31, 2021 (Unaudited)

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

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

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. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees 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 and Tax-Managed International Equity Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and Tax-Managed International Equity Fund’s closing agreement liabilities are presented as a reduction of Other income in the Statements of Operations and their estimated closing agreement liabilities are 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 period ended August 31, 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.

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

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As of February 28, 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)
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 Cyclicals Fund (formerly Cyclical Focus Fund)		—		—
Quality Fund		—		—
Resources Fund		—		—
Tax-Managed International Equities Fund		(2,732,322)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

As of August 31, 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		510,807,362		63,773,638		(20,860,378)		42,913,260		—
Emerging Domestic Opportunities Fund		895,675,840		64,438,367		(32,350,996)		32,087,371		(245,438)
Emerging Markets Fund		2,774,306,020		388,208,252		(247,119,534)		141,088,718		(15,264,376)
International Equity Fund		2,125,411,527		281,283,016		(108,563,903)		172,719,113		(79,325)
Japan Value Creation Fund		154,519,846		17,771,741		(4,074,173)		13,697,568		—
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		107,998,427		34,302,872		(913,310)		33,389,562		—
Quality Fund		5,011,222,409		4,248,244,891		(60,469,166)		4,187,775,725		—
Resources Fund		1,494,739,658		258,746,621		(37,975,109)		220,771,512		—
Tax-Managed International Equities Fund		33,482,592		8,514,703		(444,332)		8,070,371		1,765
U.S. Equity Fund		336,770,577		81,070,455		(3,452,346)		77,618,109		30,671
U.S. Small Cap Value Fund		247,628,242		51,147,817		(9,804,751)		41,343,066		(3,488)

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

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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 August 31, 2021, each Fund has determined that no tax liability is required to be accrued 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. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Japan Value Creation Fund, Quality Cyclicals Fund (formerly Cyclical Focus 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 increase or decrease 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.

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

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

As of August 31, 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.

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.12% of the Fund’s total net assets as of August 31, 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.

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3. Investment and other risks

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

	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	International Equity Fund	Japan Value Creation Fund	Quality Cyclicals Fund (formerly Cyclical Focus 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
Event-Driven Risk	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
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
Non-Diversified Funds		X			X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X	X	X

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

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

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

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

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

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

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

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intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.

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.

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 investment is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “high yield” or “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and typically involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund is likely to lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

Some Funds are permitted to lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, resulting among other things in the Fund’s inability to vote the securities, or realize on its 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 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 any). 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 be able to do so only 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. The use of derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

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

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A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., 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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.

OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to an OTC 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. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and an 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

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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 OTC 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 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 will be executed successfully and others 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 OTC 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.

In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.

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 OTC derivatives. The cost of derivatives transactions could 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. 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.

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 exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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.

• EVENT-DRIVEN RISK. While implementing an event-driven strategy, a Fund may purchase securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, acquisition, exchange offer, tender offer or other similar transaction (“event-driven transactions”). The purchase price paid by the Fund may substantially exceed the consideration received upon the closing of the transaction, resulting in losses to the Fund.

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

Event-driven 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 an event-driven strategy 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 participation in event-driven transactions could result in tax inefficiencies.

• 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.

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

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

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

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 those fees and expenses.

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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.

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• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.

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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. 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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.

A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request 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 (if any). In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

For many Funds, GMO uses quantitative models as part of its investment process. Those Funds run the risk that GMO’s models will not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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, corrupting, or preventing access to data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential

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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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. 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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may adversely affect the value of a Fund’s investments. 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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela). These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.

A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.

• 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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. 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.”

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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. 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:

• Emerging Domestic Opportunities Fund

• Japan Value Creation Fund

• Quality Cyclicals Fund (formerly Cyclical Focus Fund)

• Quality 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.

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.

GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund. For information on possible special Singapore tax consequences of an investment in a Fund, see the Funds’ Prospectus and Statement of Additional Information.

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

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

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

Funds that invest a significant portion of their assets in securities of companies 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

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exchange rates and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign 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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.

• 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.

4. Derivative financial instruments

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

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

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

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

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

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

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

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

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

For Funds that held derivatives during the period ended August 31, 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

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

Achieve returns comparable to holding and lending a direct equity position

X

Forward currency contracts

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

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

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded

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by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

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

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

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

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.

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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.

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

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2021 and the Statements of Operations for the period ended August 31, 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
Emerging Domestic Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	259,435
Total	$	259,435
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(504,873	)
Total	$	(504,873	)
Net Realized Gain (Loss) on
Futures Contracts	$	(1,336,394	)
Total	$	(1,336,394	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(245,438	)
Total	$	(245,438	)

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	Equity Contracts
Emerging Markets Fund
Asset Derivatives
Swap Contracts, at value¤	$	2,121,883
Total	$	2,121,883
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(17,386,259	)
Total	$	(17,386,259	)
Net Realized Gain (Loss) on
Futures Contracts	$	13,164,622
Swap Contracts		6,001,631
Total	$	19,166,253
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(24,020,020	)
Swap Contracts		1,896,557
Total	$	(22,123,463	)
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(79,325	)
Total	$	(79,325	)
Net Realized Gain (Loss) on
Futures Contracts	$	(268,754	)
Total	$	(268,754	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	290,951
Total	$	290,951
Tax-Managed International Equities Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	1,765
Total	$	1,765
Net Realized Gain (Loss) on
Futures Contracts	$	32,704
Total	$	32,704
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(5,754	)
Total	$	(5,754	)
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	30,671
Total	$	30,671
Net Realized Gain (Loss) on
Futures Contracts	$	653,471
Total	$	653,471

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	Equity Contracts
U.S. Equity Fund (continued)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	23,687
Total	$	23,687
U.S. Small Cap Value Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(3,488	)
Total	$	(3,488	)
Net Realized Gain (Loss) on
Futures Contracts	$	19,813
Total	$	19,813
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	105,732
Total	$	105,732

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 2021, if any.

134

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August 31, 2021 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 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	$	2,121,883	$	(1,920,000	)	$	—	$	201,883
Total	$	2,121,883	$	(1,920,000	)	$	—	$	201,883

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 period ended August 31, 2021:

Fund Name	Futures Contracts ($)		Swap Contracts ($)
Emerging Domestic Opportunities Fund		12,353,527		—
Emerging Markets Fund		384,159,030		41,472,548
International Equity Fund		14,829,868		—
Tax-Managed International Equities Fund		305,248		—
U.S. Equity Fund		4,643,459		—
U.S. Small Cap Value Fund		3,578,177		—

5. Fees and other transactions with affiliates

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

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund (formerly Cyclical Focus 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)

0.75%

0.65%(b)

0.50%

0.50%

0.33%

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%.

135

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August 31, 2021 (Unaudited)

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

Fund Name	Class II		Class III			Class IV			Class V			Class VI			Class R6			Class I
Climate Change Fund				0.15%			0.10%	*		0.085%	*		0.055%	*		0.15%			0.15%
Emerging Domestic Opportunities Fund		0.22%		0.15%	*		0.105%	*		0.085%			0.055%	*		0.22%	*		0.22%
Emerging Markets Fund		0.22%		0.15%			0.105%	*		0.085%	*		0.055%			0.22%			0.22%
International Equity Fund		0.22%		0.15%			0.09%									0.22%	*		0.22%
Japan Value Creation Fund				0.15%	*		0.10%	*		0.085%	*		0.055%			0.15%	*		0.15%
Quality Cyclicals Fund (formerly Cyclical Focus Fund)				0.15%	*		0.105%	*		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 August 31, 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 for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Resources Fund and U.S Small Cap Value Fund, GMO is permitted to recover from the Fund, on a class-by-class basis 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 to recover the expenses.

For the period starting September 25, 2018, GMO has contractually agreed to waive its fees with respect to and/or reimburse 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

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

“non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

For the period ended August 31, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.

As of August 31, 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, 2022 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

137

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		6,783		513
Emerging Domestic Opportunities Fund		17,081		1,706
Emerging Markets Fund		52,402		5,294
International Equity Fund		42,862		4,403
Japan Value Creation Fund		1,887		212
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		2,191		220
Quality Fund		126,708		13,064
Resources Fund		19,609		1,629
Tax-Managed International Equities Fund		710		65
U.S. Equity Fund		6,517		676
U.S. Small Cap Value Fund		6,870		654

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 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 period ended August 31, 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 period ended August 31, 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		—		568,785,656		—		396,777,092
Emerging Domestic Opportunities Fund		—		1,202,486,795		—		1,251,473,216
Emerging Markets Fund		87,419,912		1,345,668,990		41,262,362		1,434,786,901
International Equity Fund		—		683,061,872		—		791,188,561
Japan Value Creation Fund		—		25,084,037		—		27,596,634
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		—		20,605,443		—		31,801,117
Quality Fund		—		684,363,112		—		421,344,913
Resources Fund		—		1,041,261,985		—		384,059,958
Tax-Managed International Equities Fund		—		23,080,916		—		22,587,564
U.S. Equity Fund		—		212,325,483		—		207,489,606
U.S. Small Cap Value Fund		—		103,416,231		—		220,968,607

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the period ended August 31, 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 ($)
Japan Value Creation Fund		5,354,572		—		—

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 as of August 31, 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
Climate Change Fund		3		41.96%
Emerging Domestic Opportunities Fund*		1		56.74%
Emerging Markets Fund*		3#		35.93%
International Equity Fund		3#		63.60%
Japan Value Creation Fund		3§		76.37%
Quality Cyclicals Fund (formerly Cyclical Focus Fund)		3#		87.89%
Quality Fund		—		—
Resources Fund		2		61.05%
Tax-Managed International Equities Fund		1		82.95%
U.S. Equity Fund		3#		63.86%
U.S. Small Cap Value Fund		2#		71.90%

* The Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2021.

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

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

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		2,067,622		$	73,276,840			814,512		$	23,807,446
Shares issued to shareholders in reinvestment of distributions		441,655			14,852,845			333,433			9,073,794
Shares repurchased		(118,227	)		(4,108,212	)		(688,426	)		(14,748,239	)
Shares repurchased in connection with reorganization(a)		—			—			(691,250	)		(24,319,296	)
Net increase (decrease)		2,391,050		$	84,021,473			(231,731	)	$	(6,186,295	)
Class R6:
Shares sold		337,013		$	11,780,957			2,115,846		$	53,282,325
Shares issued to shareholders in reinvestment of distributions		160,251			5,379,610			96,807			2,822,175
Shares repurchased		(28,028	)		(951,301	)		(79,939	)		(1,769,065	)
Net increase (decrease)		469,236		$	16,209,266			2,132,714		$	54,335,435
Class I:
Shares sold		3,017,966		$	104,505,793			2,287,524		$	67,483,965
Shares issued to shareholders in reinvestment of distributions		286,694			9,621,458			59,254			1,739,936
Shares issued to shareholders in connection with reorganization(a)		—			—			696,975			24,478,649
Shares repurchased		(292,752	)		(10,084,163	)		(212,005	)		(6,571,577	)
Net increase (decrease)		3,011,908		$	104,043,088			2,831,748		$	87,130,973
Emerging Domestic Opportunities Fund
Class II:
Shares sold		184,499		$	4,999,600			2,559,887		$	63,321,505
Shares issued to shareholders in reinvestment of distributions		23,100			631,087			66,747			1,732,754
Shares repurchased		(500,052	)		(13,815,789	)		(5,260,674	)		(125,740,953	)
Net increase (decrease)		(292,453	)	$	(8,185,102	)		(2,634,040	)	$	(60,686,694	)
Class III:(b)
Shares sold								317,759		$	6,587,104
Shares issued to shareholders in reinvestment of distributions								3,255			84,526
Shares repurchased								(4,653,377	)		(88,118,115	)
Shares repurchased in connection with reorganization(a)								(545,433	)		(15,763,441	)
Net increase (decrease)								(4,877,796	)	$	(97,209,926	)
Class V:
Shares sold		—		$	—			138,555		$	3,005,148
Shares issued to shareholders in reinvestment of distributions		67,910			1,853,934			198,807			5,157,051
Shares repurchased		(1,671,466	)		(46,429,042	)		(1,874,733	)		(50,168,277	)
Net increase (decrease)		(1,603,556	)	$	(44,575,108	)		(1,537,371	)	$	(42,006,078	)

140

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class I:(c)
Shares sold		204,980		$	5,671,181			116,224		$	3,449,122
Shares issued to shareholders in reinvestment of distributions		1,741			47,542			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			551,407			15,926,244
Shares repurchased		(323,503	)		(8,687,568	)		—			—
Net increase (decrease)		(116,782	)	$	(2,968,845	)		667,631		$	19,375,366
Emerging Markets Fund
Class II:
Shares sold		830,701		$	31,033,555			1,648,844		$	53,161,685
Shares issued to shareholders in reinvestment of distributions		12,894			481,859			284,900			9,549,283
Shares repurchased		(1,170,434	)		(43,307,654	)		(6,920,252	)		(230,894,405	)
Net increase (decrease)		(326,839	)	$	(11,792,240	)		(4,986,508	)	$	(168,183,437	)
Class III:
Shares sold		16,828		$	625,000			4,370,676		$	146,164,042
Shares issued to shareholders in reinvestment of distributions		20,652			774,038			298,873			10,087,950
Shares repurchased		(779,563	)		(29,119,514	)		(812,877	)		(27,463,504	)
Shares repurchased in connection with reorganization(a)		—			—			(1,043,359	)		(39,415,082	)
Net increase (decrease)		(742,083	)	$	(27,720,476	)		2,813,313		$	89,373,406
Class V:(d)
Shares sold		—		$	—			5,421,878		$	199,958,895
Shares issued to shareholders in reinvestment of distributions		—			—			169,700			5,655,265
Shares repurchased		(8,449,876	)		(315,869,299	)		(3,845,713	)		(125,000,000	)
Net increase (decrease)		(8,449,876	)	$	(315,869,299	)		1,745,865		$	80,614,160
Class VI:
Shares sold		11,535,512		$	429,486,518			8,650,691		$	256,039,952
Shares issued to shareholders in reinvestment of distributions		173,385			6,427,374			2,248,634			74,845,061
Shares repurchased		(7,095,450	)		(263,326,503	)		(33,325,115	)		(1,071,217,844	)
Net increase (decrease)		4,613,447		$	172,587,389			(22,425,790	)	$	(740,332,831	)
Class R6:(e)
Shares sold		60,840		$	2,276,384			813,354		$	22,128,535
Shares issued to shareholders in reinvestment of distributions		2,931			109,405			27,888			936,435
Shares issued to shareholders in connection with reorganization(a)		—			—			439,317			16,534,284
Shares repurchased		(92,757	)		(3,436,800	)		(89,853	)		(2,939,669	)
Net increase (decrease)		(28,986	)	$	(1,051,011	)		1,190,706		$	36,659,585
Class I:
Shares sold		1,523,724		$	56,468,423			1,160,474		$	41,034,616
Shares issued to shareholders in reinvestment of distributions		6,733			251,218			28,672			965,150
Shares issued to shareholders in connection with reorganization(a)		—			—			614,858			23,134,094
Shares repurchased		(81,045	)		(3,043,476	)		(151,985	)		(4,910,965	)
Net increase (decrease)		1,449,412		$	53,676,165			1,652,019		$	60,222,895

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares issued to shareholders in reinvestment of distributions		1,855		$	46,110			4,663		$	100,614
Shares repurchased		(328	)		(7,990	)		(308,564	)		(5,424,568	)
Net increase (decrease)		1,527		$	38,120			(303,901	)	$	(5,323,954	)
Class III:
Shares sold		293,221		$	7,380,023			3,720,329		$	66,916,245
Shares issued to shareholders in reinvestment of distributions		304,497			7,667,243			960,872			20,929,248
Shares repurchased		(3,058,478	)		(77,518,939	)		(9,040,551	)		(188,307,672	)
Net increase (decrease)		(2,460,760	)	$	(62,471,673	)		(4,359,350	)	$	(100,462,179	)
Class IV:
Shares sold		5,698,115		$	144,436,035			12,892,796		$	240,379,292
Shares issued to shareholders in reinvestment of distributions		1,233,067			30,999,301			4,223,138			91,652,733
Shares repurchased		(9,203,461	)		(229,849,510	)		(70,171,356	)(f)		(1,432,924,992	)(f)
Net increase (decrease)		(2,272,279	)	$	(54,414,174	)		(53,055,422	)	$	(1,100,892,967	)
Class I:(g)
Shares sold		19		$	500
Net increase (decrease)		19		$	500
Japan Value Creation Fund
Class VI:(h)
Shares sold		442,979	(i)	$	10,831,949	(i)		8,189,635		$	164,396,732
Shares issued to shareholders in reinvestment of distributions		494,672			10,897,624			90,304			2,043,576
Shares repurchased		(618,347	)		(15,244,004	)		(1,297,353	)		(28,419,114	)
Net increase (decrease)		319,304		$	6,485,569			6,982,586		$	138,021,194
Class I:(j)
Shares sold		77,131		$	1,863,458
Shares issued to shareholders in reinvestment of distributions		5,265			115,886
Shares repurchased		(229	)		(5,158	)
Net increase (decrease)		82,167		$	1,974,186
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Class VI:(k)
Shares sold		4,504		$	133,246			6,591,975		$	138,002,053
Shares issued to shareholders in reinvestment of distributions		490,937			14,310,820			272,615			7,428,754
Shares repurchased		(396,594	)		(12,480,031	)		(1,978,588	)		(51,803,852	)
Net increase (decrease)		98,847		$	1,964,035			4,886,002		$	93,626,955
Class I:(l)
Shares sold		3,163		$	89,975
Net increase (decrease)		3,163		$	89,975

142

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		5,930,963		$	171,417,346			32,026,815	(m)	$	786,417,726	(m)
Shares issued to shareholders in reinvestment of distributions		2,205,239			65,297,117			16,255,824			396,418,267
Shares repurchased		(28,436,290	)		(840,151,388	)		(42,127,119	)		(1,019,341,255	)
Shares repurchased in connection with reorganization(a)		—			—			(10,985,195	)		(286,038,477	)
Net increase (decrease)		(20,300,088	)	$	(603,436,925	)		(4,829,675	)	$	(122,543,739	)
Class IV:
Shares sold		19,293,509		$	577,257,052			6,158,990		$	150,155,647
Shares issued to shareholders in reinvestment of distributions		405,007			12,020,601			5,043,483			123,440,372
Shares repurchased		(12,042,176	)		(352,791,959	)		(19,751,036	)		(495,584,958	)
Net increase (decrease)		7,656,340		$	236,485,694			(8,548,563	)	$	(221,988,939	)
Class VI:
Shares sold		25,494,147		$	749,702,163			9,304,601		$	207,464,992
Shares issued to shareholders in reinvestment of distributions		2,020,447			59,825,432			12,982,294			316,855,443
Shares repurchased		(4,533,629	)		(130,363,566	)		(18,610,905	)(n)		(453,735,000	)(n)
Net increase (decrease)		22,980,965		$	679,164,029			3,675,990		$	70,585,435
Class R6:
Shares sold		3,817,072		$	111,204,658			2,926,477		$	76,021,273
Shares issued to shareholders in reinvestment of distributions		229,612			6,791,920			99,528			2,458,364
Shares issued to shareholders in connection with reorganization(a)		—			—			6,739,160			175,346,775
Shares repurchased		(532,950	)		(15,627,548	)		(439,543	)		(11,695,126	)
Net increase (decrease)		3,513,734		$	102,369,030			9,325,622		$	242,131,286
Class I:
Shares sold		4,450,800		$	128,490,591			4,848,696		$	115,110,578
Shares issued to shareholders in reinvestment of distributions		224,890			6,645,505			869,086			21,195,796
Shares issued to shareholders in connection with reorganization(a)		—			—			4,273,468			111,094,880
Shares repurchased		(755,347	)		(21,968,712	)		(1,810,113	)		(44,845,668	)
Net increase (decrease)		3,920,343		$	113,167,384			8,181,137		$	202,555,586
Resources Fund
Class III:
Shares sold		6,925,632		$	199,200,000			5,566,651		$	104,471,696
Shares issued to shareholders in reinvestment of distributions		302,008			8,619,313			567,771			13,774,201
Shares repurchased		(45,166	)		(1,347,768	)		(1,016,432	)		(23,560,174	)
Shares repurchased in connection with reorganization(a)		—			—			(12,778,315	)		(350,668,382	)
Purchase premiums		—			—			—			—
Redemption fees		—			—			—			—
Net increase (decrease)		7,182,474		$	206,471,545			(7,660,325	)	$	(255,982,659	)
Class IV:
Shares sold		11,812,844		$	350,267,118			4,555,504		$	107,109,178
Shares issued to shareholders in reinvestment of distributions		1,095,987			31,180,839			704,295			17,024,643
Shares repurchased		(27,005	)		(811,959	)		(3,363,546	)		(71,459,516	)
Net increase (decrease)		12,881,826		$	380,635,998			1,896,253		$	52,674,305

143

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class R6:(o)
Shares sold		271,725		$	7,815,591			40,259		$	1,068,906
Shares issued to shareholders in reinvestment of distributions		7,742			220,946			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			54,721			1,501,686
Shares repurchased		(54,692	)		(1,551,706	)		(888	)		(23,453	)
Net increase (decrease)		224,775		$	6,484,831			94,092		$	2,547,139
Class I:(o)
Shares sold		5,451,916		$	156,661,326			695,863		$	19,518,024
Shares issued to shareholders in reinvestment of distributions		275,959			7,873,113			—			—
Shares issued to shareholders in connection with reorganization(a)		—			—			12,718,172			349,017,891
Shares repurchased		(1,417,579	)		(40,939,598	)		(143,755	)		(3,958,459	)
Net increase (decrease)		4,310,296		$	123,594,841			13,270,280		$	364,577,456
Tax-Managed International Equities Fund
Class III:
Shares sold		—		$	—			1,805,115		$	20,617,208
Shares issued to shareholders in reinvestment of distributions		1,689			29,446			9,074			135,500
Shares repurchased		(83,569	)		(1,448,565	)		(2,045,534	)		(26,003,077	)
Net increase (decrease)		(81,880	)	$	(1,419,119	)		(231,345	)	$	(5,250,369	)
U.S. Equity Fund
Class III:
Shares sold		—		$	—			390,012		$	4,296,146
Shares issued to shareholders in reinvestment of distributions		448,282			6,903,548			721,214			8,728,187
Shares repurchased		(640,356	)		(10,005,748	)		(815,138	)		(10,502,121	)
Net increase (decrease)		(192,074	)	$	(3,102,200	)		296,088		$	2,522,212
Class VI:
Shares sold		5,167,565		$	81,366,735			3,501,114		$	44,086,437
Shares issued to shareholders in reinvestment of distributions		1,059,501			16,146,800			2,251,552			26,876,326
Shares repurchased		(3,866,195	)		(60,200,360	)		(19,564,469	)(p)		(240,929,654	)(p)
Net increase (decrease)		2,360,871		$	37,313,175			(13,811,803	)	$	(169,966,891	)
U.S. Small Cap Value Fund
Class VI:
Shares sold		92,539		$	2,508,172			4,758,720		$	67,971,759
Shares issued to shareholders in reinvestment of distributions		708,348			17,956,624			337,635			6,843,929
Shares repurchased		(4,510,139	)		(126,264,072	)		(13,194,884	)(q)		(261,216,696	)(q)
Net increase (decrease)		(3,709,252	)	$	(105,799,276	)		(8,098,529	)	$	(186,401,008	)

^(a) A plan of reorganization was completed on January 22, 2021.

^(b) Class III liquidated on January 22, 2021.

^(c) The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(d) Class V liquidated on April 29, 2021.

^(e) The period under the heading “Year Ended February 28, 2021” represents the period from March 31, 2020 (commencement of operations) through February 28, 2021.

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August 31, 2021 (Unaudited)

^(f) 13,244,102 shares and $293,635,824 were redeemed in-kind.

^(g) The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from May 24, 2021 (commencement of operations) through August 31, 2021.

^(h) The period under the heading “Year Ended February 28, 2021” represents the period from September 14, 2020 (commencement of operations) through February 28, 2021.

⁽ⁱ⁾ 351,218 shares and $5,354,572 were purchased in-kind.

^(j) The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from June 7, 2021 (commencement of operations) through August 31, 2021.

^(k) The period under the heading “Year Ended February 28, 2021” represents the period from May 12, 2020 (commencement of operations) through February 28, 2021.

^(l) The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 16, 2021 (commencement of operations) through August 31, 2021.

^(m) 1,161,256 shares and $26,431,152 were purchased in-kind.

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

^(o) The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

^(p) 3,849,646 shares and $51,936,295 were redeemed in-kind.

^(q) 3,680,987 shares and $83,728,845 were redeemed in-kind.

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

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 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	$	18,563,731		$	174,282,909	$	172,865,614	$	8,124	**	$	10,446	$	(17,710	)	$	13,387		$	19,976,703
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	—		$	212,580,729	$	187,356,000	$	7,160		$	3,722	$	(64,625	)	$	3,281		$	25,163,385
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	678,007		$	—	$	—	$	—		$	—	$	—		$	(157,285	)	$	520,722
Gayatri Projects Ltd		6,296,399			—		—		—			—		—			1,550,729			7,847,128
Totals	$	6,974,406		$	—	$	—	$	—		$	—	$	—		$	1,393,444		$	8,367,850
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
GMO U.S. Treasury Fund	$	528,000		$	3,300,000	$	3,190,000	$	109		$	212	$	(4,751	)	$	—		$	633,249
Quality Fund
GMO U.S. Treasury Fund	$	9,830,961		$	—	$	—	$	3,813		$	4,876	$	—		$	—		$	9,830,961
Resources Fund
Kosmos Energy Ltd.	$	—	#	$	23,603,930	$	13,303,476	$	—		$	—	$	2,066,197		$	13,452,925		$	53,018,346
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,165		$	2,420,000	$	1,260,000	$	352		$	454	$	(636	)	$	1,491		$	1,166,020

145

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
U.S. Equity Fund
GMO U.S. Treasury Fund	$	2,850,296	$	26,200,000	$	27,920,000	$	1,880	$	2,406	$	18,988	$	2,285	$	1,151,569
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	101,097	$	15,790,000	$	13,410,000	$	1,441	$	2,515	$	—	$	2,982	$	2,484,079

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

** 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 $124,620 in Climate Change Fund during the period.

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

11. Subsequent events

Effective October 15, 2021, Josh White is no longer involved in the portfolio management of GMO International Equity Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Fund and GMO U.S. Small Cap Value Fund.

146

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2021 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the

147

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicle and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and that account, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and that account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

148

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Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO Emerging Markets Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

149

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service, to fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund, and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund, to the third-party fund, and to those other vehicles and accounts, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to the third-party fund and managing those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

150

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

151

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

GMO-Usonian Japan Value Creation Fund

Approval of renewal of management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last

152

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Quality Cyclicals Fund

Approval of renewal of management agreement for GMO Quality Cyclicals Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

153

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

154

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

155

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO Tax-Managed International Equity Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equity Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

156

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and discussed the advantages and disadvantages of various ways of calculating profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered whether breakpoints were embedded in that fee.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent

157

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

GMO U.S. Small Cap Value Fund

Approval of renewal of management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

158

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

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

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

159

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2021 (Unaudited)

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

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

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

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

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

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

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

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2021 addressing the Program’s operation, adequacy and effectiveness.

160

GMO Trust Funds

Fund Expenses

August 31, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2021.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2021 through August 31, 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 March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$1,058.80		$4.00		$1,000.00		$1,021.32		$3.92		0.77%
Class R6		$1,000.00		$1,058.80		$4.00		$1,000.00		$1,021.32		$3.92		0.77%
Class I		$1,000.00		$1,058.10		$4.51		$1,000.00		$1,020.82		$4.43		0.87%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$961.40		$5.14		$1,000.00		$1,019.96		$5.30		1.04%
Class V		$1,000.00		$962.60		$4.45		$1,000.00		$1,020.67		$4.58		0.90%
Class I		$1,000.00		$961.80		$5.29		$1,000.00		$1,019.81		$5.45		1.07%
Emerging Markets Fund
Class II		$1,000.00		$1,016.10		$4.68		$1,000.00		$1,020.57		$4.69		0.92%
Class III		$1,000.00		$1,016.30		$4.42		$1,000.00		$1,020.82		$4.43		0.87%
Class VI		$1,000.00		$1,017.00		$3.76		$1,000.00		$1,021.48		$3.77		0.74%
Class R6		$1,000.00		$1,016.20		$4.68		$1,000.00		$1,020.57		$4.69		0.92%
Class I		$1,000.00		$1,016.00		$4.93		$1,000.00		$1,020.32		$4.94		0.97%
International Equity Fund
Class II		$1,000.00		$1,101.60		$3.87		$1,000.00		$1,021.53		$3.72		0.73%
Class III		$1,000.00		$1,102.30		$3.50		$1,000.00		$1,021.88		$3.36		0.66%
Class IV		$1,000.00		$1,102.70		$3.18		$1,000.00		$1,022.18		$3.06		0.60%
Class I(a)		$1,000.00		$983.30		$2.21		$1,000.00		$1,021.07		$4.18		0.82%
Japan Value Creation Fund
Class VI		$1,000.00		$1,042.30		$2.93		$1,000.00		$1,022.33		$2.91		0.57%
Class I(b)		$1,000.00		$979.90		$1.78		$1,000.00		$1,021.32		$3.92		0.77%

161

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2021 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Quality Cyclicals Fund (formerly Cyclical Focus Fund)
Class VI		$1,000.00		$1,082.70		$2.10		$1,000.00		$1,023.19		$2.04		0.40%
Class I(c)		$1,000.00		$997.20		$0.74		$1,000.00		$1,022.23		$3.01		0.59%
Quality Fund
Class III		$1,000.00		$1,197.60		$2.66		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,197.90		$2.44		$1,000.00		$1,022.99		$2.24		0.44%
Class VI		$1,000.00		$1,198.50		$2.16		$1,000.00		$1,023.24		$1.99		0.39%
Class R6		$1,000.00		$1,197.60		$2.66		$1,000.00		$1,022.79		$2.45		0.48%
Class I		$1,000.00		$1,197.40		$3.21		$1,000.00		$1,022.28		$2.96		0.58%
Resources Fund
Class III		$1,000.00		$1,057.90		$3.58		$1,000.00		$1,021.73		$3.52		0.69%
Class IV		$1,000.00		$1,058.20		$3.32		$1,000.00		$1,021.98		$3.26		0.64%
Class R6		$1,000.00		$1,057.60		$3.58		$1,000.00		$1,021.73		$3.52		0.69%
Class I		$1,000.00		$1,057.60		$4.10		$1,000.00		$1,021.22		$4.02		0.79%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,097.50		$5.34		$1,000.00		$1,020.11		$5.14		1.01%
U.S. Equity Fund
Class III		$1,000.00		$1,185.50		$2.53		$1,000.00		$1,022.89		$2.35		0.46%
Class VI		$1,000.00		$1,185.70		$2.04		$1,000.00		$1,023.34		$1.89		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$1,107.90		$2.23		$1,000.00		$1,023.09		$2.14		0.42%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

^(a)  For the period May 24, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 99 days in the period, divided by 365 days in the year.

^(b)  For the period June 7, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 85 days in the period, divided by 365 days in the year.

^(c)  For the period July 16, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 46 days in the period, divided by 365 days in the year.

162

SR-083121-EQ

GMO Trust

Semiannual Report

August 31, 2021

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income 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
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Country Debt Fund
Investment Concentration Summary	3
Schedule of Investments	4
High Yield Fund
Investment Concentration Summary	16
Schedule of Investments	17
Multi-Sector Fixed Income Fund
Investment Concentration Summary	21
Schedule of Investments	22
Opportunistic Income Fund
Investment Concentration Summary	28
Schedule of Investments	29
U.S. Treasury Fund
Investment Concentration Summary	40
Schedule of Investments	41
Portfolio, Counterparty and Currency Abbreviations	42
Fund Financial Statements:
Statements of Assets and Liabilities	43
Statements of Operations	47
Statements of Changes in Net Assets	49
Financial Highlights	52
Notes to Financial Statements	63
Board Review of Investment Management Agreements	108
Liquidity Risk Management Program	115
Fund Expenses	116

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		99.3	%
Mutual Funds		0.4
Short-Term Investments		0.3
Other		0.0	^
		100.0	%

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

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.3%
		U.S. Government — 99.3%
	34,800,000	U.S. Treasury Note, 1.25%, due 04/30/28		35,271,703
	41,000,000	U.S. Treasury Note, 1.13%, due 02/15/31		40,449,063
		Total U.S. Government		75,720,766
		TOTAL DEBT OBLIGATIONS (COST $73,859,639)		75,720,766
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	61,837	GMO U.S. Treasury Fund		311,657
		TOTAL MUTUAL FUNDS (COST $311,655)		311,657
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	190,223	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		190,223
		TOTAL SHORT-TERM INVESTMENTS (COST $190,223)		190,223
		TOTAL INVESTMENTS — 100.0% (Cost $74,361,517)		76,222,646
		Other Assets and Liabilities (net) — 0.00%		26,375
		TOTAL NET ASSETS — 100.0%		$76,249,021

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of August 31, 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 42.

2 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		94.3	%
Short-Term Investments		2.1
Loan Assignments		1.3
Loan Participations		0.9
Rights/Warrants		0.4
Swap Contracts		0.1
Written Options/Credit Linked Options		0.0	^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.4	)
Other		1.3
		100.0	%
Country/Region Summary‡	% of Investments
Other Emerging		17.0	%*
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
Other Developed		1.2	¤
India		1.1
Philippines		1.1
El Salvador		1.0
Nigeria		1.0
Romania		1.0
		100.0	%

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

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

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

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

^ Rounds to 0.0%.

3

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.9%
		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		45,854,980
		Angola — 0.3%
		Foreign Government Obligations
	7,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		8,382,888
	5,500,000	Angolan Government International Bond, Reg S, 9.13%, due 11/26/49		5,727,906
		Total Angola		14,110,794
		Argentina — 2.9%
		Foreign Government Obligations
	11,490,713	Republic of Argentina, 1.00%, due 07/09/29		4,621,975
	25,333,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		9,842,062
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d)		1,000,055
	56,547,942	Republic of Argentina, Step Up, 1.13%, due 07/09/35		19,650,410
	72,008,994	Republic of Argentina, Step Up, 2.00%, due 01/09/38		28,967,823
JPY	334,073,000	Republic of Argentina, 0.67%, due 12/31/38 (c) (d)		584,548
EUR	6,760,000	Republic of Argentina, Step Up, 1.50%, due 07/09/41		2,705,855
	136,001,240	Republic of Argentina, Step Up, 2.50%, due 07/09/41		53,040,484
	34,047,000	Republic of Argentina, Step Up, 1.13%, due 07/09/46		11,865,379
		Total Argentina		132,278,591
		Armenia — 0.6%
		Corporate Debt — 0.5%
	20,000,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		19,828,750
		Foreign Government Obligations — 0.1%
	5,700,000	Republic of Armenia International Bond, Reg S, 3.60%, due 02/02/31		5,417,850
		Total Armenia		25,246,600
		Azerbaijan — 1.0%
		Foreign Government Agency — 0.5%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		11,501,880
	8,750,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		8,957,812
				20,459,692

Par Value†		Description	Value ($)
		Azerbaijan — continued
		Foreign Government Obligations — 0.5%
	20,300,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		22,807,050
		Total Azerbaijan		43,266,742
		Bahamas — 0.8%
		Foreign Government Obligations
	10,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		10,577,807
	15,600,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		16,958,175
	7,900,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		7,475,375
		Total Bahamas		35,011,357
		Bahrain — 1.6%
		Foreign Government Obligations
	68,990,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		72,711,148
		Barbados — 0.3%
		Foreign Government Obligations
	14,000,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29 (e)		14,072,625
		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		7,722,720
		Foreign Government Obligations — 0.2%
	9,800,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		8,540,700
		Total Belarus		16,263,420
		Belize — 0.5%
		Foreign Government Obligations
	53,485,866	Republic of Belize, Reg S, 4.94%, due 02/20/34		20,892,916
		Bermuda — 0.2%
		Foreign Government Obligations
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		8,223,298
		Bolivia — 0.2%
		Foreign Government Obligations
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 (e)		8,342,100

4 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Bosnia & Herzegovina — 0.3%
		Foreign Government Obligations
EUR	9,600,000	Republic of Srpska Treasury Bond, Reg S, 4.75%, due 04/27/26		11,666,759
		Brazil — 2.3%
		Corporate Debt — 0.6%
	24,128,617	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		26,274,556
		Foreign Government Agency — 1.4%
	57,439,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		63,640,976
		Foreign Government Obligations — 0.3%
	16,300,000	Republic of Brazil, 4.75%, due 01/14/50		15,432,025
		Total Brazil		105,347,557
		Cameroon — 0.2%
		Foreign Government Obligations
EUR	7,500,000	Republic of Cameroon International Bond, 144A, 5.95%, due 07/07/32		8,827,955
		Chile — 1.9%
		Corporate Debt — 1.0%
	20,411,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		26,985,383
	17,200,000	Inversiones Latin America Power Ltda, 144A, 5.13%, due 06/15/33		17,157,000
				44,142,383
		Foreign Government Agency — 0.7%
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		9,132,750
	23,750,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		24,556,016
				33,688,766
		Foreign Government Obligations — 0.2%
	7,500,000	Chile Government International Bond, 3.10%, due 05/07/41		7,635,000
		Total Chile		85,466,149
		China — 0.5%
		Corporate Debt — 0.2%
	7,500,000	CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30		7,571,719
		Foreign Government Agency — 0.3%
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		14,176,037
		Total China		21,747,756

Par Value†		Description	Value ($)
		Colombia — 2.7%
		Foreign Government Agency — 1.3%
	35,811,000	Ecopetrol SA, 7.38%, due 09/18/43		43,796,853
	2,800,000	Ecopetrol SA, 5.88%, due 05/28/45		2,993,830
COP	30,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		7,606,788
COP	26,700,000,000	PA Autopista Rio Magdalena, 144A, 6.05%, due 06/15/36		6,800,472
				61,197,943
		Foreign Government Obligations — 1.4%
	1,392,000	Colombia Government International Bond, 8.38%, due 02/15/27		1,706,505
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (c)		5,908,240
	26,100,000	Colombia Government International Bond, 6.13%, due 01/18/41		30,468,488
	12,800,000	Colombia Government International Bond, 4.13%, due 02/22/42		12,288,000
	12,900,000	Colombia Government International Bond, 3.88%, due 02/15/61		11,261,700
				61,632,933
		Total Colombia		122,830,876
		Congo Republic (Brazzaville) — 1.0%
		Foreign Government Obligations
	59,851,596	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		46,833,874
		Costa Rica — 0.9%
		Foreign Government Agency — 0.1%
	3,798,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,342,240
		Foreign Government Obligations — 0.8%
	34,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		36,213,580
		Total Costa Rica		39,555,820
		Czech Republic — 0.2%
		Foreign Government Agency
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		6,940,061
		Dominican Republic — 2.2%
		Asset-Backed Securities — 0.2%
	8,025,668	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		8,271,454
		Foreign Government Obligations — 2.0%
	16,587,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,280,718
	9,100,000	Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41		9,263,800

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Dominican Republic — continued
		Foreign Government Obligations — continued
	61,900,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		62,936,825
				92,481,343
		Total Dominican Republic		100,752,797
		Ecuador — 3.1%
		Foreign Government Obligations
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		900,000
	18,576,250	Ecuador Government International Bond, Reg S, Step Up, 5.00%, due 07/31/30		16,625,744
	112,987,125	Ecuador Government International Bond, Reg S, Step Up, 1.00%, due 07/31/35		81,491,964
	36,603,750	Ecuador Government International Bond, Reg S, Step Up, 0.50%, due 07/31/40		23,426,400
	8,246,892	Ecuador Government International Bond, Zero Coupon, Reg S, due 07/31/30		4,649,185
	16,931,372	Ecuador Social Bond Sarl, Zero Coupon, Reg S, due 01/30/35		13,640,336
		Total Ecuador		140,733,629
		Egypt — 2.3%
		Foreign Government Obligations
	26,800,000	Egypt Government International Bond, Reg S, 7.90%, due 02/21/48		26,511,900
	23,500,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		24,730,812
	38,364,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		38,155,396
	15,200,000	Egypt Government International Bond, Reg S, 7.50%, due 02/16/61		14,402,000
		Total Egypt		103,800,108
		El Salvador — 0.6%
		Foreign Government Obligations
	9,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		8,467,594
	22,100,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		18,039,125
	2,200,000	El Salvador Government International Bond, Reg S, 9.50%, due 07/15/52		2,051,500
		Total El Salvador		28,558,219
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		3,633,198

Par Value†		Description	Value ($)
		Gabon — 0.6%
		Foreign Government Obligations
	24,600,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		24,950,550
		Ghana — 1.1%
		Foreign Government Agency — 0.3%
	11,235,530	Saderea DAC, Reg S, 12.50%, due 11/30/26		12,134,373
		Foreign Government Obligations — 0.8%
	13,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		12,738,375
	26,900,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61		25,795,419
				38,533,794
		Total Ghana		50,668,167
		Grenada — 0.2%
		Foreign Government Obligations
	10,351,125	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		9,435,051
		Guatemala — 0.4%
		Foreign Government Obligations
	1,965,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		2,731,350
	13,500,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		16,215,188
		Total Guatemala		18,946,538
		Honduras — 0.4%
		Foreign Government Obligations
	16,100,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		17,063,988
		India — 1.4%
		Corporate Debt
	10,750,000	Cliffton Ltd, Reg S, 6.25%, due 10/25/25		10,615,625
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 (e)		29,217,078
	1,000,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		1,004,563
	21,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		20,371,032
		Total India		61,208,298

6 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 3.6%
		Foreign Government Agency — 3.1%
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		10,035,475
	3,700,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30		4,312,350
	20,900,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		24,985,950
	13,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		17,550,181
	8,100,000	Pertamina Persero PT, Reg S, 5.63%, due 05/20/43		9,789,863
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		8,419,350
	4,100,000	Perusahaan Listrik Negara PT, Reg S, 6.15%, due 05/21/48		5,184,450
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		18,285,162
	46,000,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		43,263,000
				141,825,781
		Foreign Government Obligations — 0.5%
	8,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		11,323,860
	7,900,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/08/47		10,241,857
				21,565,717
		Total Indonesia		163,391,498
		Israel — 0.4%
		Foreign Government Agency
	13,183,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		19,156,011
		Ivory Coast — 0.8%
		Foreign Government Obligations
EUR	29,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		36,773,514
		Jamaica — 0.8%
		Corporate Debt — 0.1%
	6,582,391	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		6,589,796
		Foreign Government Agency — 0.3%
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		13,366,500
		Foreign Government Obligations — 0.4%
	11,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		16,076,430
		Total Jamaica		36,032,726

Par Value†		Description	Value ($)
		Jordan — 1.1%
		Foreign Government Obligations
	47,395,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		50,840,024
		Kazakhstan — 1.0%
		Foreign Government Agency
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		12,598,875
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		4,740,500
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		26,135,864
		Total Kazakhstan		43,475,239
		Kenya — 0.8%
		Foreign Government Obligations
	30,400,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		34,367,200
		Kuwait — 0.3%
		Corporate Debt
	4,100,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		4,161,500
	9,200,000	MEGlobal Canada ULC, Reg S, 5.88%, due 05/18/30		11,447,100
		Total Kuwait		15,608,600
		Lebanon — 0.4%
		Foreign Government Obligations
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		2,550,000
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		678,814
	53,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		6,543,160
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		2,583,000
	50,114,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		6,164,022
		Total Lebanon		18,518,996
		Malaysia — 0.9%
		Foreign Government Agency
	16,700,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		16,868,837
	6,000,000	Dua Capital Ltd, Reg S, 2.78%, due 05/11/31		6,053,100
	8,400,000	Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60		11,377,044
	4,200,000	Petronas Capital Ltd, Reg S, 3.40%, due 04/28/61		4,394,376
		Total Malaysia		38,693,357

See accompanying notes to the financial statements. 7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Mexico — 5.9%
		Foreign Government Agency — 3.9%
	27,884,000	Petroleos Mexicanos, 6.35%, due 02/12/48		23,489,482
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 09/29/49		5,351,200
	131,800,000	Petroleos Mexicanos, 7.69%, due 01/23/50		125,921,720
	22,986,000	Petroleos Mexicanos, 6.95%, due 01/28/60		20,105,854
				174,868,256
		Foreign Government Obligations — 2.0%
GBP	56,796,000	United Mexican States, 5.63%, due 03/19/2114		88,471,425
		Total Mexico		263,339,681
		Mongolia — 0.1%
		Foreign Government Obligations
	3,700,000	Mongolia Government International Bond, 144A, 4.45%, due 07/07/31		3,640,282
		Montenegro — 0.2%
		Foreign Government Obligations
EUR	9,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		10,288,174
		Morocco — 0.6%
		Foreign Government Agency
	14,500,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		17,661,000
	10,500,000	Office Cherifien des Phosphates SA, 144A, 5.13%, due 06/23/51		10,600,406
		Total Morocco		28,261,406
		Mozambique — 0.2%
		Foreign Government Obligations
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		7,993,593
		Nigeria — 0.8%
		Foreign Government Obligations
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		10,952,787
	15,550,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		15,596,650
	7,600,000	Nigeria Government International Bond, Reg S, 9.25%, due 01/21/49		8,720,050
		Total Nigeria		35,269,487

Par Value†		Description	Value ($)
		Oman — 2.6%
		Foreign Government Agency — 0.2%
	7,300,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		7,719,750
		Foreign Government Obligations — 2.4%
	4,600,000	Oman Government International Bond, Reg S, 6.50%, due 03/08/47		4,610,925
	96,800,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		98,996,150
	5,400,000	Oman Government International Bond, Reg S, 7.00%, due 01/25/51		5,616,000
				109,223,075
		Total Oman		116,942,825
		Pakistan — 0.3%
		Foreign Government Obligations
	14,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		14,681,732
		Panama — 1.7%
		Foreign Government Agency — 0.6%
	26,200,000	Aeropuerto Internacional de Tocumen SA, 144A, 5.13%, due 08/11/61		27,772,000
		Foreign Government Obligations — 1.1%
	12,651,000	Panama Government International Bond, 8.13%, due 04/28/34		18,355,810
	9,000,000	Panama Government International Bond, 4.30%, due 04/29/53		10,067,625
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		19,155,150
				47,578,585
		Total Panama		75,350,585
		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		1,394,750
		Peru — 2.1%
		Foreign Government Agency — 1.1%
	48,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		50,479,271
		Foreign Government Obligations — 1.0%
PEN	90,000,000	Peru Government Bond, 6.15%, due 08/12/32		21,698,882
	26,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		23,409,225
				45,108,107
		Total Peru		95,587,378

8 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Philippines — 1.8%
		Foreign Government Agency — 1.5%
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		8,695,000
	40,012,000	Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28		58,617,580
				67,312,580
		Foreign Government Obligations — 0.3%
	13,500,000	Philippine Government International Bond, 3.20%, due 07/06/46		13,889,610
		Total Philippines		81,202,190
		Qatar — 1.6%
		Foreign Government Agency — 0.5%
	7,600,000	Qatar Petroleum, 144A, 3.13%, due 07/12/41		7,818,500
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		14,597,070
				22,415,570
		Foreign Government Obligations — 1.1%
	38,200,000	Qatar Government International Bond, Reg S, 4.40%, due 04/16/50		47,368,000
		Total Qatar		69,783,570
		Republic of North Macedonia — 0.2%
		Foreign Government Obligations
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		9,175,317
		Romania — 0.5%
		Foreign Government Obligations
EUR	7,100,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		10,564,565
EUR	10,900,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		13,594,128
		Total Romania		24,158,693
		Russia — 2.5%
		Foreign Government Agency — 0.6%
	21,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		23,045,512
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28		5,525,000
				28,570,512
		Foreign Government Obligations — 1.9%
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35		41,369,500

Par Value†		Description	Value ($)
		Russia — continued
		Foreign Government Obligations — continued
	3,800,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35		4,623,650
	29,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		37,782,975
				83,776,125
		Total Russia		112,346,637
		Saudi Arabia — 2.8%
		Corporate Debt — 0.7%
	26,521,592	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39 (e)		31,428,086
		Foreign Government Agency — 0.5%
	21,400,000	Saudi Arabian Oil Co, Reg S, 3.50%, due 11/24/70		20,891,750
		Foreign Government Obligations — 1.6%
	5,600,000	Saudi Government International Bond, Reg S, 3.75%, due 01/21/55		5,965,050
	67,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		67,837,500
				73,802,550
		Total Saudi Arabia		126,122,386
		Senegal — 0.2%
		Foreign Government Obligations
	8,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		9,142,650
		South Africa — 3.4%
		Foreign Government Agency — 0.8%
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		14,346,300
	13,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		15,463,200
ZAR	191,150,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,742,717
ZAR	27,300,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		2,261,617
				34,813,834
		Foreign Government Obligations — 2.6%
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		25,443,971
	8,600,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48 (e)		9,262,738
	84,800,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		85,213,400
				119,920,109
		Total South Africa		154,733,943

See accompanying notes to the financial statements. 9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Sri Lanka — 1.3%
		Foreign Government Obligations
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		4,731,090
	11,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,479,814
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28		22,043,344
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29		5,617,150
	27,900,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30		17,730,450
		Total Sri Lanka		57,601,848
		SupraNational — 0.4%
		Foreign Government Agency
TRY	263,000,000	International Finance Corp., Zero Coupon, Reg S, due 02/15/29		10,323,932
BRL	225,000,000	International Finance Corp., Zero Coupon, due 02/25/41		9,077,192
		Total SupraNational		19,401,124
		Suriname — 0.5%
		Foreign Government Obligations
	14,000,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		9,003,750
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		11,444,078
		Total Suriname		20,447,828
		Tajikistan — 0.3%
		Foreign Government Obligations
	13,874,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		12,558,571
		Trinidad And Tobago — 1.0%
		Foreign Government Agency — 0.9%
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29		10,463,031
	6,127,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		6,291,663
	22,788,000	Trinidad Petroleum Holdings Ltd., Reg S, 9.75%, due 06/15/26		25,556,742
				42,311,436
		Foreign Government Obligations — 0.1%
	3,800,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 06/26/30		4,018,500
		Total Trinidad And Tobago		46,329,936

Par Value†		Description	Value ($)
		Tunisia — 1.3%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		42,045,794
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		13,639,049
JPY	900,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		4,294,869
		Total Tunisia		59,979,712
		Turkey — 3.6%
		Foreign Government Obligations
	20,100,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		20,225,625
	10,002,000	Republic of Turkey, 6.00%, due 01/14/41		9,241,223
	23,600,000	Republic of Turkey, 6.63%, due 02/17/45		23,110,300
	125,313,000	Republic of Turkey, 5.75%, due 05/11/47		111,199,623
		Total Turkey		163,776,771
		Ukraine — 2.3%
		Foreign Government Agency — 0.6%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24		4,649,500
	15,500,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26		15,914,625
	7,500,000	State Agency of Roads of Ukraine, 144A, 6.25%, due 06/24/28		7,526,250
				28,090,375
		Foreign Government Obligations — 1.7%
	10,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		11,138,623
	3,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		4,303,779
	30,200,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		32,272,475
	26,500,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/33		28,045,282
				75,760,159
		Total Ukraine		103,850,534
		United Arab Emirates — 1.9%
		Foreign Government Agency — 0.5%
	4,500,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		5,400,000
	6,000,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		6,210,000

10 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Foreign Government Agency — continued
	3,100,000	DAE Sukuk Difc Ltd, Reg S, 3.75%, due 02/15/26		3,289,875
	6,300,000	DP World Ltd., Reg S, 4.70%, due 09/30/49		7,015,837
				21,915,712
		Foreign Government Obligations — 1.4%
	10,700,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		10,996,256
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		8,427,738
	18,700,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		16,993,625
	28,300,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		27,026,500
				63,444,119
		Total United Arab Emirates		85,359,831
		United States — 8.1%
		Asset-Backed Securities — 0.3%
	1,475,991	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35		1,425,011
	608,297	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 0.34%, due 12/15/35		600,634
	1,075,098	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 0.30%, due 05/15/36		1,023,843
	8,818,034	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 0.23%, due 11/25/36		3,990,230
	8,935,608	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 0.30%, due 11/25/36		4,090,699
	4,603,068	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 0.44%, due 04/25/37		2,307,589
				13,438,006
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2169		543,417

Par Value†		Description	Value ($)
		U.S. Government — 7.8%
	80,500,000	U.S. Treasury Note, 0.13%, due 05/31/22		80,531,445
	183,600,000	U.S. Treasury Note, 0.13%, due 11/30/22		183,643,032
	57,200,000	U.S. Treasury Note, 0.13%, due 03/31/23 (f)		57,170,953
	6,500,000	U.S. Treasury Note, 1.63%, due 05/15/31		6,702,109
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 07/31/22		20,009,370
				348,056,909
		Total United States		362,038,332
		Uruguay — 0.8%
		Foreign Government Obligations
	27,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		37,275,765
		Uzbekistan — 0.4%
		Foreign Government Obligations
	8,000,000	Republic of Uzbekistan International Bond, Reg S, 5.38%, due 02/20/29		8,868,000
	7,600,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		7,554,400
		Total Uzbekistan		16,422,400
		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)		2,229,300
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		7,744,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		2,726,548
				12,699,848
		Foreign Government Obligations — 0.7%
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,902,800
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,660,000
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,375,000
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		17,279,300
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		6,955,875
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		708,750
				32,881,725
		Total Venezuela		45,581,573

See accompanying notes to the financial statements. 11

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Vietnam — 0.7%
		Foreign Government Agency — 0.5%
	22,558,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		20,405,121
		Foreign Government Obligations — 0.2%
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.06%, due 03/13/28 (c)		9,322,920
		Total Vietnam		29,728,041
		Zambia — 0.5%
		Foreign Government Obligations
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		2,736,000
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		21,575,090
		Total Zambia		24,311,090
		TOTAL DEBT OBLIGATIONS (COST $4,420,326,416)		4,226,177,721
		LOAN ASSIGNMENTS — 1.4%
		Chad — 0.4%
	6,509,091	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 2.12%, due 09/30/25 (c)		5,288,637
	20,227,267	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 2.37%, due 12/31/27 (c)		13,299,428
		Total Chad		18,588,065
		Kenya — 0.1%
	4,866,667	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 6.91%, due 04/10/25 (a)		5,033,481
		Turkey — 0.9%
EUR	31,700,000	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (c)		37,055,492
		TOTAL LOAN ASSIGNMENTS (COST $60,584,776)		60,677,038
		LOAN PARTICIPATIONS — 0.9%
		Angola — 0.6%
	585,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 4.66%, due 12/07/23 (c)		576,225
	3,928,571	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		3,653,571

Shares / Par Value†		Description	Value ($)
		Angola — continued
	9,093,750	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.40%, due 12/13/23 (c)		8,730,000
	5,202,981	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.40%, due 12/20/23 (c)		4,994,862
	9,500,000	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		9,215,000
		Total Angola		27,169,658
		Egypt — 0.0%
CHF	577	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		541
		Iraq — 0.3%
EUR	727,635	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		716,649
JPY	1,159,438,713	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		8,180,043
JPY	246,124,274	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,740,173
JPY	104,615,448	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		739,663
		Total Iraq		11,376,528
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3
		TOTAL LOAN PARTICIPATIONS (COST $54,422,723)		38,546,730
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	14,838,144	GMO U.S. Treasury Fund		74,784,247
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,784,247
		RIGHTS/WARRANTS — 0.4%
		Argentina — 0.1%
EUR	335,089,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (g)		2,547,044

12 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Argentina — continued
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (g)		21,656
		Total Argentina		2,568,700
		Ukraine — 0.3%
	14,446,000	Government of Ukraine GDP Linked, Reg S, Variable Rate, Expires 05/31/40 (g)		16,426,005
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		18,994,705
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	37,431,780	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		37,431,780
		TOTAL SHORT-TERM INVESTMENTS (COST $37,431,780)		37,431,780
		TOTAL INVESTMENTS — 99.1% (Cost $4,696,440,844)		4,456,612,221
		Other Assets and Liabilities (net) — 0.9%		41,913,301
		TOTAL NET ASSETS — 100.0%		$4,498,525,522

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/26/2021	JPM		COP	65,583,000,000		USD	16,892,169		(458,853	)
10/21/2021	MSCI		EUR	100,499,300		USD	118,661,684		(116,570	)
10/21/2021	MSCI		GBP	66,311,000		USD	90,872,594		(304,994	)
11/19/2021	BOA		JPY	8,000,000,000		USD	73,282,232		519,198
11/18/2021	JPM		PEN	73,900,000		USD	18,142,093		96,444
11/18/2021	MSCI		PEN	10,600,000		USD	2,575,316		(13,099	)
10/29/2021	JPM		ZAR	230,000,000		USD	15,328,735		(386,763	)
								$	(664,637	)

Reverse Repurchase Agreements⁽ⁱ⁾

Face Value		Description	Value ($)
USD	6,442,075	J.P. Morgan Securities Plc, (0.50)%, dated 07/08/21, (collateral: Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(6,442,075	)
USD	9,431,514	J.P. Morgan Securities Plc, (0.25)%, dated 07/22/21, (collateral: Republic of South Africa Government International Bond, 6.30%, due 06/22/48), to be repurchased on demand at face value plus accrued interest.		(9,431,514	)
USD	516,441	J.P. Morgan Securities Plc, (0.25)%, dated 08/02/21, (collateral: Barbados Government International Bond, Reg S, 6.50%, due 10/01/29), to be repurchased on demand at face value plus accrued interest.		(516,441	)
USD	2,475,464	J.P. Morgan Securities Plc, (0.25)%, dated 08/02/21, (collateral: Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29), to be repurchased on demand at face value plus accrued interest.		(2,475,464	)
USD	1,191,442	J.P. Morgan Securities Plc, (0.05)%, dated 08/02/21, (collateral: ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39), to be repurchased on demand at face value plus accrued interest.		(1,191,442	)
			$	(20,056,936	)
		Average balance outstanding	$	(11,893,723	)
		Average interest rate (net)		0.52	%
		Maximum balance outstanding	$	(26,079,125	)

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.

See accompanying notes to the financial statements. 13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums Paid/ (Received) ($)			Value ($)
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)		(105,176	)		61,580
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)		(1,171,312	)		290,959
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)		(3,936,778	)		201,311
					$	(5,213,266	)	$	553,850

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%		0.89%		N/A		06/20/2024		Quarterly		4,376,875		(411,776	)		(4,788,651	)
CDX-EMS.35.V1-5Y	USD	143,000,000		1.00%		1.52%		N/A		06/20/2026		Quarterly		4,242,750		3,404,401			(838,349	)
													$	8,619,625	$	2,992,625		$	(5,627,000	)

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^:
Banque Centrale de Tunisie SA	JPM	USD	19,500,000		1.00%		7.41%		N/A		06/20/2022		Quarterly		2,109,320			977,375			(1,131,945	)
Republic of Ghana	JPM	USD	3,700,000		5.00%		4.35%		N/A		06/20/2023		Quarterly		(112,514	)		(41,382	)		71,132
Republic of Ghana	JPM	USD	3,700,000		5.00%		4.35%		N/A		06/20/2023		Quarterly		(112,260	)		(41,381	)		70,879
Republic of South Africa	CITI	USD	35,900,000		1.00%		0.79%		N/A		06/20/2023		Quarterly		120,140			(138,895	)		(259,035	)
Petrobras Global Finance BV	CITI	USD	13,000,000		1.00%		1.10%		N/A		06/20/2024		Quarterly		371,175			35,052			(336,123	)
Petrobras Global Finance BV	CITI	USD	37,000,000		1.00%		1.10%		N/A		06/20/2024		Quarterly		1,923,458			99,764			(1,823,694	)
Republic of Ghana	JPM	USD	7,500,000		5.00%		5.06%		N/A		06/20/2024		Quarterly		58,680			12,194			(46,486	)
Commonwealth of Bahamas	DB	EUR	37,970,815		1.00%		3.65%		N/A		06/20/2025		Quarterly		5,153,296			2,442,111			(2,711,185	)
Republic of South Africa	GS	USD	41,800,000		1.00%		1.85%		N/A		06/20/2026		Quarterly		2,604,622			1,640,315			(964,307	)
Republic of Turkey	GS	USD	17,000,000		1.00%		3.63%		N/A		06/20/2026		Quarterly		2,834,788			1,937,605			(897,183	)
Republic of Turkey	MORD	USD	15,000,000		1.00%		3.63%		N/A		06/20/2026		Quarterly		2,501,284			1,709,651			(791,633	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.33%		N/A		06/20/2029		Quarterly		1,589,641			478,276			(1,111,365	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.51%		N/A		09/20/2031		Quarterly		2,640,655			912,456			(1,728,199	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		3.48%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(154,116	)		487,347
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		3.48%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(308,275	)		955,640
Commonwealth of Bahamas	DB	USD	50,827,085		1.00%		3.64%		50,827,085 USD		06/20/2025		Quarterly		(5,838,385	)		(2,730,482	)		3,107,903
														$	13,938,522		$	6,830,268		$	(7,108,254	)

14 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

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

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

⁽¹⁾  As of August 31, 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) ($)
0.48%	6 Month EURIBOR	EUR	34,600,000		06/14/2051	Semi-Annually		57,183		(2,129,128	)		(2,186,311	)
0.90%	GBP — SONIA-COMPOUND	GBP	24,000,000		06/10/2051	Annually		7,086		(1,857,560	)		(1,864,646	)
							$	64,269	$	(3,986,688	)	$	(4,050,957	)

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

18,860,000

10/13/2021

At Maturity

$

—

$

(175,529

)

$

(175,529

)

As of August 31, 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 August 31, 2021.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 42.

See accompanying notes to the financial statements. 15

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		64.2	%
Debt Obligations		33.6
Swap Contracts		2.5
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.1	)
Other		(0.2	)
		100.0	%
Industry Group Summary¤	% of Investments
Consumer Cyclical		22.1	%
Communications		14.1
Consumer Non-Cyclical		14.0
Energy		11.9
Basic Industry		6.2
Capital Goods		6.7
Finance Companies		4.9
Technology		4.6
Other Industrial		3.9
REITS		2.5
Transportation		1.6
Other Utility		1.6
Banking		1.7
Insurance		1.4
Electric		1.0
Other Financial		0.4
Brokerage/Asset Managers/Exchanges		0.1
		98.7	%

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

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

^ Rounds to 0.0%.

16

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 33.6%
		Corporate Debt — 33.5%
		Canada — 1.6%
	825,000	Methanex Corp., 5.25%, due 12/15/29		899,935
	125,000	Mountain Province Diamonds, Inc., 144A, 8.00%, due 12/15/22		110,000
	500,000	Quebecor Media, Inc., 5.75%, due 01/15/23		530,625
		Total Canada		1,540,560
		Luxembourg — 0.3%
	225,000	ArcelorMittal SA, 7.00%, due 10/15/39		323,438
		New Zealand — 0.2%
	175,035	Trilogy International South Pacific LLC / TISP Finance, Inc., 144A, 8.88%, due 05/15/23		173,503
		United Kingdom — 1.3%
	350,000	Avon Products, Inc., 6.50%, due 03/15/23		372,750
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		190,950
	725,000	Rolls-Royce Plc, 144A, 3.63%, due 10/14/25		737,833
		Total United Kingdom		1,301,533
		United States — 30.1%
	125,000	Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		128,618
	375,000	Ally Financial, Inc., 5.75%, due 11/20/25		429,616
	375,000	Altera Infrastructure LP / Teekay Offshore Finance Corp., 144A, 8.50%, due 07/15/23		344,302
	250,000	American Airlines Group, Inc., 144A, 5.00%, due 06/01/22		252,188
	250,000	American Airlines Inc. / AAdvantage Loyalty IP Ltd, 144A, 5.75%, due 04/20/29		269,966
	373,000	AmeriGas Partners LP / AmeriGas Finance Corp., 5.63%, due 05/20/24		407,969
	325,000	Apache Corp., 5.35%, due 07/01/49		362,440
	625,000	Arconic Corp., 144A, 6.00%, due 05/15/25		661,594
	250,000	Bausch Health Cos Inc, 144A, 5.75%, due 08/15/27		262,500
	250,000	Brinker International, Inc., 3.88%, due 05/15/23		257,625
	250,000	Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, due 04/15/23		246,250
	80,000	Carnival Corp., 144A, 11.50%, due 04/01/23		89,822
	375,000	CDW LLC / CDW Finance Corp., 5.50%, due 12/01/24		414,637
	625,000	CIT Group, Inc., 5.00%, due 08/15/22		649,812
	275,000	Cleaver-Brooks, Inc., 144A, 7.88%, due 03/01/23		271,205
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		255,800
	375,000	Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, due 01/15/23		392,981
	625,000	CSC Holdings LLC, 6.75%, due 11/15/21		631,500

Par Value†		Description	Value ($)
		Corporate Debt — Continued
		United States — continued
	250,000	CSC Holdings LLC, 5.88%, due 09/15/22		260,000
	425,000	DISH DBS Corp., 5.88%, due 07/15/22		439,526
	125,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 02/15/23		130,469
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		432,000
	675,000	Fluor Corp., 3.50%, due 12/15/24		709,452
	1,050,000	Ford Motor Credit Co. LLC, 4.13%, due 08/04/25		1,120,875
	1,177,000	Ford Motor Credit Co. LLC, 3.82%, due 11/02/27		1,238,734
	250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		258,437
	375,000	G-III Apparel Group Ltd., 144A, 7.88%, due 08/15/25		405,469
	500,000	Gap, Inc. (The), 144A, 8.88%, due 05/15/27		574,375
	670,000	Hexcel Corp., 4.20%, due 02/15/27		733,897
	250,000	iStar, Inc., REIT, 5.50%, due 02/15/26		261,875
	875,000	JBS Finance Luxembourg Sarl, 144A, 3.63%, due 01/15/32		905,459
	500,000	KB Home, 4.80%, due 11/15/29		553,750
	625,000	Kraft Heinz Foods Co., 3.88%, due 05/15/27		688,878
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, REIT, 4.25%, due 02/01/27		628,125
	375,000	LSB Industries, Inc., 144A, 9.63%, due 05/01/23		388,935
	750,000	Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29		733,125
	207,000	Macy’s Retail Holdings LLC, 2.88%, due 02/15/23		210,623
	375,000	Netflix, Inc., 4.38%, due 11/15/26		424,219
	525,000	Newell Brands, Inc., 4.70%, due 04/01/26		586,687
	500,000	Occidental Petroleum Corp., 4.30%, due 08/15/39		508,750
	775,000	Occidental Petroleum Corp., 4.40%, due 08/15/49		781,053
	375,000	Olin Corp., 144A, 9.50%, due 06/01/25		470,062
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		432,836
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		283,125
	375,000	Ovintiv, Inc., 7.38%, due 11/01/31		502,170
	250,000	Owens-Brockway Glass Container, Inc., 144A, 5.88%, due 08/15/23		265,625
	250,000	PBF Logistics LP / PBF Logistics Finance Corp., 6.88%, due 05/15/23		242,613
	375,000	Pilgrim’s Pride Corp., 144A, 5.88%, due 09/30/27		400,226
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		405,689
	250,000	Quad/Graphics, Inc., 7.00%, due 05/01/22		254,687
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		450,167
	625,000	Sealed Air Corp., 144A, 5.25%, due 04/01/23		656,250
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		267,527
	250,000	Service Properties Trust, REIT, 4.50%, due 03/15/25		251,250
	600,000	Service Properties Trust, REIT, 4.38%, due 02/15/30		576,333
	336,000	Southwestern Energy Co., 6.45%, due 01/23/25		366,203
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		850,000
	600,000	Sprint Corp., 7.88%, due 09/15/23		679,770

See accompanying notes to the financial statements. 17

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

	Par Value†		Description	Value ($)
			Corporate Debt — Continued
			United States — continued
		625,000	Tenet Healthcare Corp., 6.75%, due 06/15/23		677,344
		251,250	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		238,688
		252,500	Vericast Corp., 144A, 11.00%, due 09/15/26		267,650
		375,000	W&T Offshore, Inc., 2018 Term Loan, 144A, 9.75%, due 11/01/23		351,094
		500,000	Western Midstream Operating LP, 5.30%, due 02/01/30		560,305
		925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		949,078
			Total United States		29,702,230
			Total Corporate Debt		33,041,264
			U.S. Government — 0.1%
		150,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22		150,087
			TOTAL DEBT OBLIGATIONS (COST $31,538,715)		33,191,351
			SHORT-TERM INVESTMENTS — 64.2%
			Foreign Government Obligations — 9.2%
JPY		1,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/18/21		9,090,984
			Money Market Funds — 1.2%
		1,159,609	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		1,159,609
			U.S. Government — 53.8%
		27,700,000	U.S. Treasury Bill, 0.04%, due 01/27/22 (b)		27,695,160
		2,315,000	U.S. Treasury Bill, 0.06%, due 02/24/22 (b)		2,314,378
		3,000,000	U.S. Treasury Bill, 0.06%, due 05/19/22 (b)		2,998,808
		2,000,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (b)		1,998,894
		18,100,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (b) (c)		18,087,893
			Total U.S. Government		53,095,133
			TOTAL SHORT-TERM INVESTMENTS (COST $63,339,253)		63,345,726
			TOTAL INVESTMENTS — 97.8% (Cost $94,877,968)		96,537,077
			Other Assets and Liabilities (net) — 2.2%		2,187,176
			TOTAL NET ASSETS — 100.0%		$98,724,253

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/18/2021	MSCI		JPY	1,000,000,000		USD	9,083,821	$	(9,318	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
80	U.S. Treasury Note 10 Yr. (CBT)		December 2021		10,676,250		9,980
20	U.S. Treasury Note 5 Yr. (CBT)		December 2021		2,474,375		5,299
17	U.S. Treasury Note 2 Yr. (CBT)		December 2021		3,745,578		2,522
				$	16,896,203	$	17,801
Sales
3	U.S. Long Bond (CBT)		December 2021		488,906		(206	)
44	U.S. Treasury Note 5 Yr. (CBT)		December 2021		5,443,625		(8,414	)
6	U.S. Ultra Bond (CBT)		December 2021		1,183,687		3,059
				$	7,116,218	$	(5,561	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

18 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps — Puts

CDX.NA.HYS.36.V1-5Y

GS

107.00%

10/20/21

USD

(28,930,000

)

Fixed Spread

Pay

$(82,538)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $181,391)

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.36.V1-5Y	USD	6,636,000		5.00%		2.76%		N/A		06/20/2026		Quarterly		(611,589	)		(651,005	)		(39,416	)
Sell Protection^:
CDX.NA.HYS.36.V1-5Y	USD	26,096,000		5.00%		2.76%		26,096,000 USD		06/20/2026		Quarterly		2,239,298			2,560,070			320,772
													$	1,627,709		$	1,909,065		$	281,356

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

⁽¹⁾  As of August 31, 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.

See accompanying notes to the financial statements. 19

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI	USD	1,310,000		09/20/2021	Quarterly		(215	)		12,351		12,566
1 Month USD LIBOR minus a spread of 1.35%	Total Return on iShares iBoxx High Yield Corporate Bond ETF	GS	USD	983,551		09/24/2021	At Maturity		—			3,585		3,585
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BOA	USD	400,002		09/20/2021	Quarterly		—			8,061		8,061
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BOA	USD	270,000		09/20/2021	Quarterly		(61	)		2,880		2,941
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY	USD	2,199,999		09/20/2021	Quarterly		—			37,196		37,196
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MORD	USD	28,919,999		09/20/2021	Quarterly		—			516,223		516,223
3 Month USD LIBOR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI	USD	920,002		09/20/2021	Quarterly		—			19,325		19,325
								$	(276	)	$	599,621	$	599,897

As of August 31, 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 August 31, 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 42.

20 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		62.1	%
Investment Funds		27.7
Short-Term Investments		23.7
Loan Assignments		0.1
Loan Participations		0.0	^
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Written Options/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(0.2	)
Forward Currency Contracts		(0.3	)
Swap Contracts		(0.6	)
Other		(12.5	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		82.0	%
Canada		19.7
Switzerland		8.4
New Zealand		6.4
Other Emerging		4.8	*
Sweden		4.0
Japan		0.1
Australia		(1.3	)
Euro Region		(4.5	)§
United Kingdom		(19.6	)
		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.

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

^ Rounds to 0.0%.

.   21

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 42.9%
		Brazil — 0.7%
		Corporate Debt
	400,000	Fibria Overseas Finance Ltd., 5.50%, due 01/17/27		461,820
	300,000	Suzano Austria GmbH, 6.00%, due 01/15/29		357,525
	200,000	Suzano Austria GmbH, 5.00%, due 01/15/30		226,950
	300,000	Suzano Austria GmbH, 3.75%, due 01/15/31		314,494
		Total Brazil		1,360,789
		Canada — 0.3%
		Corporate Debt
	400,000	Cenovus Energy, Inc., 5.40%, due 06/15/47		492,674
		Chile — 0.5%
		Corporate Debt
	450,000	Celulosa Arauco y Constitucion SA, 4.50%, due 08/01/24		485,392
	400,000	Enel Americas SA, 4.00%, due 10/25/26		437,825
		Total Chile		923,217
		Germany — 1.2%
		Corporate Debt
	1,250,000	Deutsche Bank AG, 3.95%, due 02/27/23		1,310,506
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		434,180
	450,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		486,715
		Total Germany		2,231,401
		Ireland — 0.4%
		Corporate Debt
	200,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.88%, due 01/23/28		214,374
	400,000	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, due 07/15/25		466,706
		Total Ireland		681,080
		United Kingdom — 0.3%
		Corporate Debt
	200,000	AstraZeneca Plc, 2.38%, due 06/12/22		203,000
	350,000	CNH Industrial NV, 4.50%, due 08/15/23		375,232
		Total United Kingdom		578,232
		United States — 39.5%
		Corporate Debt — 25.3%
	400,000	Abbott Laboratories, 2.55%, due 03/15/22		404,997
	200,000	Abbott Laboratories, 2.95%, due 03/15/25		214,258
	400,000	Ally Financial, Inc., 4.13%, due 02/13/22		406,652
	450,000	Alphabet, Inc., 0.45%, due 08/15/25		446,181
	450,000	Alphabet, Inc., 0.80%, due 08/15/27		439,786
	100,000	American Express Co., 4.05%, due 12/03/42		121,518

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	American Financial Group Inc/OH, 4.50%, due 06/15/47		248,127
	400,000	Apple, Inc., 2.50%, due 02/09/22		403,351
	450,000	Apple, Inc., 0.75%, due 05/11/23		453,870
	350,000	Ares Capital Corp., 2.15%, due 07/15/26		352,553
	400,000	Avnet, Inc., 4.63%, due 04/15/26		448,642
	150,000	Bank of America Corp., Variable Rate, 4.44%, due 01/20/48		189,396
	300,000	Bank of America Corp., Variable Rate, 4.33%, due 03/15/50		375,005
	400,000	Bank of America Corp., Variable Rate, 2.83%, due 10/24/51		393,753
	400,000	Block Financial LLC, 3.88%, due 08/15/30		436,809
	350,000	Boeing Co. (The), 5.04%, due 05/01/27		403,494
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		259,012
	450,000	Brighthouse Financial, Inc., 4.70%, due 06/22/47		510,097
	400,000	Caterpillar Financial Services Corp., 1.90%, due 09/06/22		406,466
	450,000	Caterpillar Financial Services Corp., 0.45%, due 09/14/23		451,090
	300,000	Caterpillar, Inc., 4.75%, due 05/15/64		437,193
	400,000	CBRE Services, Inc., 4.88%, due 03/01/26		460,377
	250,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		373,245
	150,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45		209,176
	350,000	Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25		397,628
	350,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		396,924
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		465,201
	200,000	CNH Industrial Capital LLC, 1.45%, due 07/15/26		199,957
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		460,942
	400,000	Constellation Brands, Inc., 4.25%, due 05/01/23		423,897
	350,000	Corning, Inc., 5.45%, due 11/15/79		496,398
	350,000	Deere & Co., 3.75%, due 04/15/50		428,714
	400,000	DH Europe Finance II Sarl, 2.60%, due 11/15/29		421,187
	400,000	DH Europe Finance II Sarl, 3.25%, due 11/15/39		435,649
	400,000	DH Europe Finance II Sarl, 3.40%, due 11/15/49		445,392
	200,000	Discover Bank, 2.45%, due 09/12/24		208,943
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		462,626
	300,000	DuPont de Nemours, Inc., 5.42%, due 11/15/48		424,434
	400,000	DXC Technology Co., 4.13%, due 04/15/25		438,818
	400,000	Energy Transfer LP, 6.50%, due 02/01/42		523,391
	400,000	Energy Transfer LP, 6.25%, due 04/15/49		529,545
	400,000	Estee Lauder Cos, Inc. (The), 2.60%, due 04/15/30		425,663
	100,000	Exelon Generation Co. LLC, 5.60%, due 06/15/42		119,183
	250,000	Expedia Group, Inc., 3.25%, due 02/15/30		259,263
	400,000	Expedia Group, Inc., 5.00%, due 02/15/26		452,684

22 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	450,000	Expedia Group, Inc., 3.80%, due 02/15/28		486,889
	400,000	FedEx Corp., 4.10%, due 04/15/43		461,277
	350,000	FedEx Corp., 5.10%, due 01/15/44		458,554
	300,000	FedEx Corp., 5.25%, due 05/15/50		413,420
	350,000	Fortive Corp., 4.30%, due 06/15/46		420,990
	400,000	FS KKR Capital Corp., 3.40%, due 01/15/26		417,304
	400,000	GLP Capital LP / GLP Financing II, Inc., REIT, 4.00%, due 01/15/31		433,480
	400,000	Halliburton Co., 4.85%, due 11/15/35		473,358
	300,000	Halliburton Co., 5.00%, due 11/15/45		360,491
	350,000	HCA, Inc., 4.75%, due 05/01/23		373,220
	300,000	HCA, Inc., 5.50%, due 06/15/47		396,320
	350,000	HCA, Inc., 4.50%, due 02/15/27		396,644
	350,000	Hewlett Packard Enterprise Co., 6.35%, due 10/15/45		483,908
	200,000	Host Hotels & Resorts LP, REIT, 3.38%, due 12/15/29		208,165
	450,000	Host Hotels & Resorts LP, REIT, 3.50%, due 09/15/30		474,018
	350,000	International Paper Co., 4.80%, due 06/15/44		451,113
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		411,988
	450,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		472,840
	450,000	Las Vegas Sands Corp., 3.20%, due 08/08/24		467,601
	350,000	Marathon Petroleum Corp., 6.50%, due 03/01/41		487,082
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		471,776
	400,000	Marriott International Inc/MD, 5.75%, due 05/01/25		459,532
	300,000	Morgan Stanley, Variable Rate, 5.60%, due 03/24/51		451,842
	300,000	Morgan Stanley, 6.38%, due 07/24/42		464,176
	350,000	Mosaic Co. (The), 5.45%, due 11/15/33		443,781
	350,000	Mosaic Co. (The), 5.63%, due 11/15/43		465,291
	350,000	NIKE, Inc., 3.38%, due 03/27/50		402,415
	450,000	Office Properties Income Trust, REIT, 4.50%, due 02/01/25		486,551
	400,000	Old Republic International Corp., 3.85%, due 06/11/51		438,569
	250,000	ONEOK, Inc., 4.95%, due 07/13/47		294,265
	700,000	PacifiCorp, 4.15%, due 02/15/50		852,400
	350,000	Plains All American Pipeline LP / PAA Finance Corp., 4.90%, due 02/15/45		378,896
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		422,588
	400,000	Sabra Health Care LP, REIT, 5.13%, due 08/15/26		451,309
	450,000	Santander Holdings USA, Inc., 3.24%, due 10/05/26		482,478
	450,000	Santander Holdings USA, Inc., 3.45%, due 06/02/25		483,102
	250,000	Simon Property Group LP, REIT, 4.75%, due 03/15/42		313,370
	300,000	Simon Property Group LP, REIT, 4.25%, due 11/30/46		356,826

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	300,000	Simon Property Group LP, REIT, 3.80%, due 07/15/50		335,924
	350,000	Starbucks Corp., 4.45%, due 08/15/49		441,086
	400,000	Starbucks Corp., 3.50%, due 11/15/50		438,425
	400,000	Synchrony Financial, 4.38%, due 03/19/24		432,957
	150,000	Synchrony Financial, 5.15%, due 03/19/29		177,626
	400,000	Synchrony Financial, 2.85%, due 07/25/22		408,341
	300,000	Synchrony Financial, 4.25%, due 08/15/24		325,603
	232,000	Sysco Corp., 5.95%, due 04/01/30		299,022
	272,000	Sysco Corp., 6.60%, due 04/01/50		435,323
	400,000	Tapestry, Inc., 4.13%, due 07/15/27		437,848
	300,000	Tapestry, Inc., 4.25%, due 04/01/25		325,276
	400,000	Thermo Fisher Scientific, Inc., 4.13%, due 03/25/25		441,704
	350,000	Thermo Fisher Scientific, Inc., 4.50%, due 03/25/30		417,661
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		422,150
	350,000	Union Pacific Corp., 144A, 3.80%, due 04/06/71		401,137
	400,000	United Parcel Service, Inc., 2.35%, due 05/16/22		405,389
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		409,552
	400,000	United Parcel Service, Inc., 3.90%, due 04/01/25		441,615
	350,000	Verizon Communications, Inc., 4.33%, due 09/21/28		408,689
	400,000	VMware, Inc., 4.50%, due 05/15/25		446,377
	400,000	Walt Disney Co. (The), 1.75%, due 01/13/26		413,268
	400,000	Walt Disney Co. (The), 2.20%, due 01/13/28		416,744
	400,000	Walt Disney Co. (The), 2.65%, due 01/13/31		424,882
	350,000	Wells Fargo & Co., Variable Rate, 4.48%, due 04/04/31		414,600
	400,000	Wells Fargo & Co., 3.90%, due 05/01/45		477,696
	350,000	Wells Fargo & Co., Variable Rate, 5.01%, due 04/04/51		487,358
	450,000	Welltower, Inc., REIT, 2.80%, due 06/01/31		470,785
	350,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		467,503
	400,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		499,436
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		509,594
				46,362,887
		U.S. Government Agency — 14.2%
	2,700,000	Federal National Mortgage Association, TBA, 2.50%, due 09/16/36		2,823,430
	5,600,000	Federal National Mortgage Association, TBA, 2.00%, due 09/14/51		5,676,781
	5,800,000	Federal National Mortgage Association, TBA, 2.50%, due 09/14/51		6,023,844
	6,200,000	Federal National Mortgage Association, TBA, 3.00%, due 09/14/51		6,485,539
	4,800,000	Government National Mortgage Association, TBA, 3.00%, due 09/21/51		5,018,063
		Total U.S. Government Agency		26,027,657

See accompanying notes to the financial statements. 23

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
		Total United States		72,390,544
		TOTAL DEBT OBLIGATIONS (COST $77,094,375)		78,657,937
		INVESTMENT FUNDS — 27.7%
		United States — 27.7%
USD	112,100	iShares Core S&P 500 ETF		50,860,891
		TOTAL INVESTMENT FUNDS (COST $42,720,499)		50,860,891
		MUTUAL FUNDS — 26.0%
		United States — 26.0%
		Affiliated Issuers
	375,284	GMO Emerging Country Debt Fund, Class VI		9,843,700
	1,228,449	GMO Opportunistic Income Fund, Class VI		31,939,675
	1,169,898	GMO U.S. Treasury Fund		5,896,288
		TOTAL MUTUAL FUNDS (COST $48,976,330)		47,679,663

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 17.4%
		Foreign Government Obligations — 13.5%
JPY	2,725,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/04/21		24,771,807
		Money Market Funds — 0.6%
	1,146,470	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		1,146,470
		U.S. Government — 3.3%
	3,398,000	U.S. Treasury Bill, 0.04%, due 12/02/21 (b) (c)		3,397,631
	2,602,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (b)		2,600,260
		TOTAL SHORT-TERM INVESTMENTS (COST $31,689,038)		31,916,168
		TOTAL INVESTMENTS — 114.0% (Cost $200,480,244)		209,114,659
		Other Assets and Liabilities (net) — (14.0%)		(25,705,901	)
		TOTAL NET ASSETS — 100.0%	$	183,408,758

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
11/09/2021	JPM	AUD	3,180,000	USD	2,344,650		17,499
11/09/2021	MSCI	AUD	11,761,000	USD	8,707,750		100,951
09/02/2021	GS	BRL	1,308,183	USD	250,000		(2,994	)
09/02/2021	MSCI	BRL	10,600,899	USD	2,041,402		(8,745	)
11/03/2021	JPM	CAD	3,611,975	USD	2,840,000		(22,616	)
10/13/2021	MSCI	CHF	11,395,687	USD	12,478,961		22,090
11/18/2021	MSCI	CLP	137,205,500	USD	174,895		(1,827	)
10/26/2021	JPM	COP	355,455,000	USD	91,554		(2,487	)
10/26/2021	MSCI	COP	2,467,490,000	USD	630,000		(22,813	)
10/18/2021	GS	CZK	2,161,021	USD	100,000		(312	)
10/18/2021	MSCI	CZK	1,295,965	USD	59,987		(170	)
09/30/2021	JPM	EUR	600,000	USD	705,769		(3,074	)
10/13/2021	BCLY	GBP	1,370,000	USD	1,910,058		26,328
10/13/2021	JPM	GBP	580,000	USD	803,464		5,972
09/14/2021	BCLY	HUF	42,356,467	USD	148,862		5,609
09/14/2021	CITI	HUF	70,561,944	USD	240,000		1,354
09/14/2021	DB	HUF	225,908,403	USD	750,000		(14,041	)
09/13/2021	JPM	INR	11,243,400	USD	150,967		(2,898	)
09/09/2021	JPM	JPY	131,097,194	USD	1,190,000		(1,690	)
10/04/2021	DB	JPY	2,725,000,000	USD	24,503,135		(273,039	)
11/12/2021	CITI	KRW	385,904,400	USD	330,000		(2,758	)
11/12/2021	MSCI	KRW	679,251,287	USD	591,868		6,163
10/21/2021	BOA	MXN	3,692,616	USD	180,000		(2,661	)
10/05/2021	MSCI	NZD	15,450,000	USD	10,824,038		(62,726	)
09/16/2021	JPM	PHP	21,057,880	USD	417,799		(6,161	)
10/29/2021	JPM	RON	4,665,686	USD	1,109,636		(3,863	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
10/15/2021	JPM	SGD	555,494	USD	410,201		(2,942	)
10/18/2021	MSCI	THB	35,875,608	USD	1,097,113		(15,743	)
09/02/2021	GS	USD	254,347	BRL	1,308,183		(1,352	)
09/02/2021	MSCI	USD	2,016,983	BRL	10,600,899		33,164
12/02/2021	MSCI	USD	871,132	BRL	4,646,358		14,859
11/03/2021	JPM	USD	11,828,752	CAD	14,704,263		(175,110	)
11/18/2021	MSCI	USD	174,015	CLP	137,205,500		2,708
09/30/2021	BOA	USD	576,848	EUR	490,000		2,041
09/30/2021	DB	USD	4,187,914	EUR	3,509,000		(42,366	)
09/30/2021	JPM	USD	739,131	EUR	630,000		5,154
10/13/2021	JPM	USD	1,092,958	GBP	800,000		7,031
10/13/2021	MSCI	USD	8,201,695	GBP	5,931,000		(46,655	)
09/14/2021	CITI	USD	220,000	HUF	65,625,648		1,951
09/14/2021	DB	USD	190,000	HUF	56,714,962		1,815
11/08/2021	CITI	USD	160,000	IDR	2,318,544,000		2,039
11/08/2021	JPM	USD	937,805	IDR	13,546,599,000		8,940
10/29/2021	BOA	USD	220,000	ILS	709,162		1,169
09/09/2021	JPM	USD	7,929,320	JPY	865,251,371		(64,078	)
10/21/2021	MSCI	USD	1,107,792	MXN	22,371,409		(1,157	)
09/14/2021	BCLY	USD	1,986,430	NOK	16,475,802		(91,353	)
09/14/2021	JPM	USD	4,090,000	NOK	35,840,167		32,403
10/05/2021	BCLY	USD	1,110,535	NZD	1,570,000		(4,242	)
10/05/2021	JPM	USD	806,774	NZD	1,150,000		3,567
11/18/2021	JPM	USD	329,319	PEN	1,341,450		(1,751	)
11/18/2021	MSCI	USD	150,000	PEN	610,500		(922	)
09/16/2021	JPM	USD	230,000	PHP	11,657,340		4,698
11/18/2021	MSCI	USD	67,043	PLN	260,607		1,002
11/10/2021	CITI	USD	1,258,606	RUB	93,928,520		11,207
11/05/2021	MSCI	USD	11,239,683	SEK	96,517,182		(50,008	)
10/15/2021	BOA	USD	150,000	SGD	203,699		1,499
10/15/2021	DB	USD	149,469	SGD	203,031		1,533

24 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Forward Currency Contracts — (continued)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/15/2021	GS	USD	110,000		SGD	148,764		641
10/18/2021	CITI	USD	450,000		THB	15,038,470		16,491
10/25/2021	BCLY	USD	710,000		TRY	6,480,677		48,228
10/25/2021	DB	USD	160,000		TRY	1,431,816		7,520
10/29/2021	JPM	USD	1,070,554		ZAR	16,063,120		27,011
10/29/2021	CITI	ZAR	3,676,495		USD	240,000		(11,208	)
							$	(521,125	)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
37	U.S. Long Bond (CBT)		December 2021		6,029,844		(323	)
66	U.S. Treasury Note 10 Yr. (CBT)		December 2021		8,807,906		4,110
110	U.S. Treasury Note 2 Yr. (CBT)		December 2021		24,236,094		16,317
211	U.S. Treasury Note 5 Yr. (CBT)		December 2021		26,104,656		55,903
43	U.S. Treasury Ultra 10 Yr. (CBT)		December 2021		6,364,672		5,160
75	U.S. Ultra Bond (CBT)		December 2021		14,796,094		(26,853	)
				$	86,339,266	$	54,314
Sales
4	U.S. Treasury Note 2 Yr. (CBT)		December 2021		881,312		(603	)
26	U.S. Ultra Bond (CBT)		December 2021		5,129,313		13,256
				$	6,010,625	$	12,653

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 25

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

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) ($)
(0.67)%	6 Month CHF LIBOR	CHF	5,120,000		09/15/2023	Semi-Annually		—			249			249
(0.60)%	6 Month CHF LIBOR	CHF	4,130,000		09/15/2023	Semi-Annually		—			(5,592	)		(5,592	)
0.29%	3 Month AUD BBSW	AUD	7,320,000		12/15/2023	Quarterly		—			2,872			2,872
0.29%	3 Month AUD BBSW	AUD	28,060,000		12/15/2023	Quarterly		—			9,372			9,372
0.32%	3 Month AUD BBSW	AUD	430,000		12/15/2023	Quarterly		122			(20	)		(142	)
0.32%	3 Month AUD BBSW	AUD	4,630,000		12/15/2023	Quarterly		—			(212	)		(212	)
GBP – SONIA – COMPOUND	0.35%	GBP	41,990,000		12/15/2023	Annually		(132	)		14,293			14,425
GBP – SONIA – COMPOUND	0.32%	GBP	37,430,000		12/15/2023	Annually		—			(14,921	)		(14,921	)
3 Month NZD Bank Bill Rate	1.36%	NZD	8,090,000		12/15/2023	Quarterly		—			(11,499	)		(11,499	)
3 Month NZD Bank Bill Rate	1.37%	NZD	29,770,000		12/15/2023	Quarterly		—			(37,979	)		(37,979	)
3 Month NZD Bank Bill Rate	1.45%	NZD	4,820,000		12/15/2023	Quarterly		—			(1,371	)		(1,371	)
3 Month NZD Bank Bill Rate	1.45%	NZD	20,140,000		12/15/2023	Quarterly		(1,079	)		(4,333	)		(3,254	)
0.08%	3 Month SEK STIBOR	SEK	38,700,000		12/15/2023	Quarterly		—			1,198			1,198
0.08%	3 Month SEK STIBOR	SEK	302,000,000		12/15/2023	Quarterly		—			10,748			10,748
0.08%	3 Month SEK STIBOR	SEK	108,700,000		12/15/2023	Quarterly		—			4,624			4,624
0.09%	3 Month SEK STIBOR	SEK	5,350,000		12/15/2023	Quarterly		18			66			48
0.98%	3 Month CAD LIBOR	CAD	34,850,000		12/18/2023	Semi-Annually		1,154			(22,054	)		(23,208	)
(0.48)%	6 Month EURIBOR	EUR	1,570,000		12/20/2023	Semi-Annually		274			734			460
0.45%	3 Month USD LIBOR	USD	25,530,000		12/20/2023	Quarterly		3,631			(21,754	)		(25,385	)
6 Month CHF LIBOR	0.03%	CHF	830,000		09/15/2031	Semi-Annually		—			11,551			11,551
6 Month CHF LIBOR	(0.04)%	CHF	1,580,000		09/15/2031	Semi-Annually		—			8,689			8,689
6 Month CHF LIBOR	(0.03)%	CHF	3,240,000		09/15/2031	Semi-Annually		1,077			22,515			21,438
6 Month CHF LIBOR	(0.09)%	CHF	9,420,000		09/15/2031	Semi-Annually		(3,259	)		3,493			6,752
6 Month CHF LIBOR	(0.12)%	CHF	1,020,000		09/15/2031	Semi-Annually		—			(3,375	)		(3,375	)
6 Month CHF LIBOR	(0.15)%	CHF	1,470,000		09/15/2031	Semi-Annually		—			(9,125	)		(9,125	)
1.28%	6 Month AUD BBSW	AUD	3,910,000		12/15/2031	Semi-Annually		9,440			25,880			16,440
6 Month AUD BBSW	1.28%	AUD	6,310,000		12/15/2031	Semi-Annually		(17,308	)		(43,973	)		(26,665	)
6 Month AUD BBSW	1.30%	AUD	770,000		12/15/2031	Semi-Annually		—			(3,857	)		(3,857	)
6 Month AUD BBSW	1.31%	AUD	780,000		12/15/2031	Semi-Annually		—			(3,307	)		(3,307	)
6 Month AUD BBSW	1.37%	AUD	980,000		12/15/2031	Semi-Annually		—			(452	)		(452	)
3 Month CAD LIBOR	1.77%	CAD	7,790,000		12/15/2031	Semi-Annually		(2,711	)		7,954			10,665
3 Month CAD LIBOR	1.69%	CAD	27,460,000		12/15/2031	Semi-Annually		—			(133,355	)		(133,355	)
3 Month CAD LIBOR	1.71%	CAD	22,160,000		12/15/2031	Semi-Annually		—			(71,346	)		(71,346	)
3 Month CAD LIBOR	1.73%	CAD	1,760,000		12/15/2031	Semi-Annually		(1,179	)		(3,179	)		(2,000	)
0.56%	GBP – SONIA – COMPOUND	GBP	15,140,000		12/15/2031	Annually		—			198,941			198,941
0.56%	GBP – SONIA – COMPOUND	GBP	7,700,000		12/15/2031	Annually		—			100,460			100,460
0.59%	GBP – SONIA – COMPOUND	GBP	12,910,000		12/15/2031	Annually		—			111,100			111,100
0.60%	GBP – SONIA – COMPOUND	GBP	790,000		12/15/2031	Annually		339			6,166			5,827
0.64%	GBP – SONIA – COMPOUND	GBP	9,080,000		12/15/2031	Annually		(2,358	)		19,288			21,646
0.64%	GBP – SONIA – COMPOUND	GBP	540,000		12/15/2031	Annually		870			1,334			464
1.96%	3 Month NZD Bank Bill Rate	NZD	1,740,000		12/15/2031	Quarterly		—			7,520			7,520
1.97%	3 Month NZD Bank Bill Rate	NZD	1,040,000		12/15/2031	Quarterly		—			3,990			3,990
2.00%	3 Month NZD Bank Bill Rate	NZD	10,640,000		12/15/2031	Quarterly		8,492			16,740			8,248
3 Month NZD Bank Bill Rate	1.96%	NZD	1,620,000		12/15/2031	Quarterly		219			(6,739	)		(6,958	)
3 Month NZD Bank Bill Rate	2.00%	NZD	850,000		12/15/2031	Quarterly		—			(1,502	)		(1,502	)
3 Month NZD Bank Bill Rate	2.00%	NZD	16,470,000		12/15/2031	Quarterly		(7,345	)		(23,782	)		(16,437	)
3 Month SEK STIBOR	0.56%	SEK	7,900,000		12/15/2031	Quarterly		—			(8,220	)		(8,220	)
3 Month SEK STIBOR	0.56%	SEK	61,870,000		12/15/2031	Quarterly		—			(66,129	)		(66,129	)
3 Month SEK STIBOR	0.59%	SEK	22,150,000		12/15/2031	Quarterly		—			(16,525	)		(16,525	)
3 Month SEK STIBOR	0.64%	SEK	70,470,000		12/15/2031	Quarterly		(453	)		(11,866	)		(11,413	)
3 Month SEK STIBOR	0.64%	SEK	2,760,000		12/15/2031	Quarterly		(21	)		(465	)		(444	)
(0.08)%	6 Month EURIBOR	EUR	7,980,000		12/17/2031	Semi-Annually		3,790			80,665			76,875

26 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month EURIBOR		(0.08)%	EUR	380,000		12/17/2031	Semi-Annually		(95	)		(3,795	)		(3,700	)
1.36%		3 Month USD LIBOR	USD	440,000		12/17/2031	Quarterly		—			438			438
3 Month USD LIBOR		1.42%	USD	5,740,000		12/17/2031	Quarterly		(620	)		22,836			23,456
1.41%		3 Month USD LIBOR	USD	13,770,000		12/17/2031	Quarterly		8,005			(48,198	)		(56,203	)
								$	871		$	114,791		$	113,920

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 0.17%	GS	USD	22,942,422		09/01/2021	At Maturity		—		(741,240	)		(741,240	)
Total Return on iShares Core S&P 500 ETF	1 Month USD LIBOR plus a spread of 0.05%	GS	USD	26,424,286		09/17/2021	At Maturity		—		(752,943	)		(752,943	)
								$	—	$	(1,494,183	)	$	(1,494,183	)

As of August 31, 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 August 31, 2021.

(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 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 42.

See accompanying notes to the financial statements. 27

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investments Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		77.2	%
Short-Term Investments		20.0
Mutual Funds		1.1
Swap Contracts		1.0
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Written Options		0.0	^
Securities Sold Short		(1.0	)
Other		1.7
		100.0	%
Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		17.1	%
Student Loans – Private		14.1
Collateralized Loan Obligations		13.8
U.S. Government		12.1
Small Balance Commercial Mortgages		9.4
Student Loans – Federal Family Education Loan Program		8.6
Residential Mortgage-Backed Securities – Other		7.8
Residential Mortgage-Backed Securities –Prime		5.6
Residential Mortgage-Backed Securities – Subprime		3.2
U.S. Government Agency		2.4
Collateralized Debt Obligations		2.0
Residential Mortgage-Backed Securities – Alt-A		1.7
Airlines		1.1
CMBS Collateralized Debt Obligations		0.6
Residential Mortgage-Backed Securities – Performing Loans		0.5
		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).

^ Rounds to 0.0%.

28

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 77.2%
		Asset-Backed Securities — 65.2%
		CMBS Collateralized Debt Obligations — 0.5%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,935,822
	1,121,553	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		1,005,472
		Total CMBS Collateralized Debt Obligations		4,941,294
		Collateralized Debt Obligations — 1.5%
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.48%, due 07/20/28		4,320,134
	11,149,005	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 1.14%, due 07/17/29		11,153,141
		Total Collateralized Debt Obligations		15,473,275
		Collateralized Loan Obligations — 10.7%
	1,762,100	610 Funding CLO 3 Ltd., Series 18-3A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 1.78%, due 07/17/28		1,762,255
	1,905,000	Apex Credit CLO II Ltd., Series 15-2A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.03%, due 10/17/26		1,905,114
	5,718,682	Apex Credit CLO II Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 3.33%, due 10/17/26		5,714,856
	3,146,741	B&M CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.73%, due 04/16/26		3,147,037
	4,955,040	Benefit Street Partners CLO XII Ltd., Series 17-12A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 10/15/30		4,959,980
	801,470	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28		801,544
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 1.25%, due 01/20/30		6,087,595
	1,443,676	Flagship CLO VIII Ltd., Series 14-8A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 1.53%, due 01/16/26		1,443,728
	9,210,627	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.18%, due 01/21/28		9,211,908
	2,305,659	Gallatin CLO VIII Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 1.43%, due 07/15/27		2,306,572
	1,520,087	Halcyon Loan Advisors Funding Ltd., Series 14-3A, Class B1R, 144A, Variable Rate, 3 mo. LIBOR + 1.70%, 1.84%, due 10/22/25		1,520,297

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	6,810,000	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 2.83%, due 10/18/26		6,810,361
	1,327,600	Jamestown CLO V Ltd., Series 14-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.75%, 3.88%, due 01/17/27		1,328,754
	1,207,453	Madison Park Funding XII Ltd., Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 2.48%, due 07/20/26		1,207,776
	4,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 1.27%, due 04/22/30		4,160,987
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 1.20%, due 04/22/31		3,898,207
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.73%, due 06/22/30		1,991,260
	2,000,000	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 2.73%, due 07/17/26		2,000,028
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.28%, due 04/17/28		4,335,578
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 1.61%, due 04/17/28		7,737,570
	2,010,000	Trinitas CLO III Ltd., Series 15-3A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 2.80%, 2.93%, due 07/15/27		2,006,772
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 1.23%, due 07/18/31		4,991,497
	3,352,500	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 1.35%, due 10/15/29		3,353,579
	1,141,198	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR + 1.90%, 2.03%, due 07/25/26		1,142,359
	4,919,467	Wellfleet CLO Ltd., Series 15-1A, Class AR3,144A, Variable Rate, 3 mo. LIBOR + 1.28%, 1.41%, due 07/20/29		4,919,994
	4,057,600	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 3.58%, due 05/01/26		4,053,011
	4,453,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 10/15/31		4,452,350
	6,750,000	Zais CLO 1 Ltd., Series 14-1A, Class A1BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.63%, due 04/15/28		6,751,485
	3,878,665	Zais CLO 1 Ltd., Series 14-1A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 1.28%, due 04/15/28		3,879,960

See accompanying notes to the financial statements. 29

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	140,810	Zais CLO 2 Ltd., Series 14-2A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 1.98%, due 07/25/26		140,848
	1,772,125	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.08%, due 04/15/29		1,771,579
		Total Collateralized Loan Obligations		109,794,841
		Commercial Mortgage-Backed Securities — 13.2%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		10,417,134
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,570,336
	1,269,812	Bear Stearns Commercial Mortgage Securities Trust, Series 06-PW13, Class D, 144A, Variable Rate, 5.75%, due 09/11/41		1,276,073
	5,055,490	BX Commercial Mortgage Trust, Series 19-XL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.92%, 1.02%, due 10/15/36		5,063,603
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		8,466,574
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		8,318,169
	4,305,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,688,622
	5,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		5,217,488
	151,245	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 04/15/37		151,204
	119,494	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		119,876
	6,372,761	CSAIL Commercial Mortgage Trust, Series 15-C3, Class A4, 3.72%, due 08/15/48		6,954,920
	5,783,937	CSAIL Commercial Mortgage Trust, Series 16-C5, Class A5, 3.76%, due 11/15/48		6,345,575
	315,992	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		317,107
	1,057,146	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		1,071,284
	1,897,699	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		1,922,928
	4,213,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40		4,141,874

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	2,505,000	MKT Mortgage Trust, Series 20-525M, Class F, 144A, Variable Rate, 3.04%, due 02/12/40		2,365,311
	3,710,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 13-C10, Class A4, Variable Rate, 4.22%, due 07/15/46		3,899,225
	5,500,000	SLG Office Trust, Series 21-OVA, Class A, 144A, 2.59%, due 07/15/41		5,784,960
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,987,357
	15,433,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		17,787,276
	7,630,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, Variable Rate, 4.64%, due 05/13/38		6,634,750
	2,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.82%, due 11/23/43		2,520,335
	7,240,654	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.42%, due 03/23/45		7,257,415
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35(a)		8,284,702
	1,717,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		1,728,548
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,637,030
		Total Commercial Mortgage-Backed Securities		135,929,676
		Residential Mortgage-Backed Securities — Other — 6.0%
	845,612	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 02/25/36		177,725
	17,961,174	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 0.44%, due 02/25/36		654,140
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		6,160,254
	4,801,195	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,603,372
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,886,066
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		736,895

30 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	285,793	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.40%, due 02/25/37		264,614
	4,093,058	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		4,178,588
	2,709,915	Conseco Finance Corp., Series 97-5, Class B1, Variable Rate, 6.97%, due 05/15/29		2,692,908
	2,908,350	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,872,222
	5,185,718	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,154,481
	1,136,582	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		1,141,991
	950,704	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.58%, due 10/25/34		909,314
	4,645,613	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		4,571,989
	4,360,392	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		429,622
	28,777,084	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 0.34%, due 06/25/36		918,507
	10,569,499	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 5.72%, due 09/25/36		5,844,172
	10,642,411	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		3,544,980
	3,814,371	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 0.40%, due 03/25/36		434,910
	329,170	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34		285,654
	13,799,464	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 0.28%, due 03/25/36		648,179
	7,871,497	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 0.42%, due 03/25/36		372,542
	20,986,277	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 03/25/36		993,029
	339,052	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.98%, due 08/25/35		638,899

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	1,565,643	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,599,707
	1,564,780	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,639,381
	4,228,275	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,349,980
	10,304,352	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,822,408
	1,037,783	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		794,875
	634,865	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		647,767
		Total Residential Mortgage-Backed Securities — Other		61,969,171
		Residential Mortgage-Backed Securities — Performing Loans — 0.4%
	4,299,597	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		4,300,236
		Residential Mortgage-Backed Securities — Prime — 4.3%
	8,522,165	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 0.29%, due 10/25/46		5,485,341
	718,190	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 2.38%, due 10/25/35		733,596
	4,544,892	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		3,609,847
	1,681,119	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.04%, due 12/25/36		1,596,312
	1,230,612	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37		1,159,139
	9,144,975	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 0.52%, due 04/25/46		8,745,974
	1,729,863	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		1,217,369
	463,705	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.10%, due 09/25/35		450,746
	6,065,112	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 1.50%, due 05/25/35		5,090,895

See accompanying notes to the financial statements. 31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	965,270	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.91%, due 09/25/35		972,897
	1,296,399	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 1.53%, due 01/25/47		1,289,310
	2,778,060	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 0.53%, due 06/25/35		2,343,436
	11,660,833	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		11,957,840
		Total Residential Mortgage-Backed Securities — Prime		44,652,702
		Residential Mortgage-Backed Securities — Subprime — 2.4%
	1,728,763	Asset Backed Funding Certificates, Series 05-AQ1, Class A5, Step Up, 4.56%, due 06/25/35		1,807,797
	2,003,526	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 0.25%, due 05/26/37		1,950,593
	4,012,257	Bear Stearns Asset Backed Securities I Trust, Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.20%, due 04/25/31(a)(b)		4,012,257
	3,038,888	Bear Stearns Asset Backed Securities I Trust, Series 05-TC2, Class M4, Variable Rate, 1 mo. LIBOR + 1.88%, 1.96%, due 08/25/35		3,052,928
	9,026,544	Bravo Mortgage Asset Trust, Series 06-1A, Class M1,144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 07/25/36		8,722,878
	897,586	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 0.22%, due 12/25/36		872,876
	1,289,020	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.68%, due 11/20/34		1,332,174
	3,591,623	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 0.19%, due 09/25/36		3,409,693
		Total Residential Mortgage-Backed Securities — Subprime		25,161,196
		Residential Mortgage-Backed Securities — Alt-A — 1.3%
	521,256	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		544,902
	1,820,082	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.78%, due 05/25/36		838,936

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	1,824,795	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 0.78%, due 10/25/36		779,674
	2,108,743	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 0.98%, due 11/25/34		2,109,988
	2,539,479	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		2,567,583
	4,317,875	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 2.75%, due 07/25/36		2,923,611
	359,690	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		364,281
	3,092,884	RBSSP Resecuritization Trust, Series 09-6, Class 12A4, 144A, Variable Rate, 5.50%, due 05/26/35		3,098,809
		Total Residential Mortgage-Backed Securities — Alt-A		13,227,784
		Small Balance Commercial Mortgages — 7.3%
	2,366,076	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 0.62%, due 04/25/36		2,247,452
	248,423	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.84%, 0.92%, due 04/25/34		248,423
	224,984	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.88%, due 04/25/34		224,984
	250,043	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 2.93%, due 04/25/34		250,043
	4,026,261	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 0.55%, due 08/25/35		3,862,132
	2,020,517	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 0.67%, due 01/25/36		1,949,369
	1,043,220	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 0.65%, due 04/25/36		973,024
	1,567,080	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 0.43%, due 07/25/36		1,504,821

32 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	3,205,482	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 0.50%, due 07/25/36		3,087,059
	3,815,237	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.33%, due 10/25/36		3,671,710
	11,529,529	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 01/25/37		11,203,339
	2,170,148	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 0.30%, due 03/25/37		2,110,328
	1,749,264	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 0.32%, due 07/25/37		1,690,136
	6,907,849	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 0.35%, due 07/25/37		6,625,891
	308,885	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 0.93%, due 12/25/37		308,780
	2,643,469	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 1.33%, due 12/25/37		2,645,056
	97,355,157	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.31%, due 05/25/30		6,878,278
	41,898,840	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 1.09%, due 06/25/40		2,468,567
	2,467,604	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 09/25/30		2,439,027
	2,365,739	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 0.61%, due 04/25/31		2,358,098
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 04/25/31		1,990,063
	446,838	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 0.39%, 0.47%, due 09/25/36		445,355
	3,988,136	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 0.48%, due 06/25/37		3,908,856

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,728,620	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.29%, due 10/25/37		1,735,417
	3,300,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.29%, due 10/25/37		3,365,667
	1,415,320	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.25%, 0.33%, due 08/25/37		1,377,176
	1,846,302	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.20%, due 12/27/49		1,855,717
	3,176,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.35%, due 12/27/49		3,166,122
		Total Small Balance Commercial Mortgages		74,590,890
		Student Loans — Federal Family Education Loan Program — 6.7%
	3,678,471	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.19%, 0.32%, due 10/25/24		3,624,656
	7,125,964	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 0.83%, due 01/25/43		6,774,583
	5,777,068	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 0.19%, due 01/25/23		5,727,000
	3,646,650	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 0.47%, due 03/28/35(c)		3,239,455
	9,344,631	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 1.02%, due 06/15/21		9,207,144
	10,738,136	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 1.78%, due 07/25/22		10,835,168
	8,162,691	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 1.83%, due 07/25/23		8,240,632
	20,643,556	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 1.63%, due 04/25/23		20,788,699
		Total Student Loans — Federal Family Education Loan Program		68,437,337
		Student Loans — Private — 10.9%
	2,843,170	Access Group Inc, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 07/25/34		2,763,006
	8,561,112	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 0.63%, due 12/27/41		8,510,749
	1,790,530	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 04/28/42		1,784,264

See accompanying notes to the financial statements. 33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 1.38%, due 07/28/42		5,262,513
	792,311	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 0.60%, due 10/15/28		785,139
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuc + 0.00%, due 03/31/38 (a)		2,599,594
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		2,201,719
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (a)		945,656
	6,569,050	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.39%, due 05/25/32		6,390,252
	4,477,961	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 0.37%, due 01/25/33		4,258,442
	11,253,962	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 0.43%, due 03/25/33		10,937,010
	6,887,742	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 0.45%, due 06/25/33		6,613,800
	16,648,340	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 0.39%, due 10/25/33		15,816,888
	3,809,000	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 0.62%, due 12/26/33		3,697,378
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (c)		20,000
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 28-DayAuct + 0.00%, due 03/25/38 (c)		60,000
	4,714,933	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		4,729,552
	5,023,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 06/15/32 (a)		5,023,000
	2,550,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 28-DayAuct + 0.00%, due 09/15/32 (a)		2,550,000
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 1.72%, due 09/15/32		1,980,823
	9,080,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 0.55%, due 09/15/33		8,958,184
	562,111	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.28%, 0.40%, due 12/15/38		561,662

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	3,709,992	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 0.41%, due 06/15/39		3,638,102
	2,692,870	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 0.45%, due 06/15/39		2,642,801
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 0.51%, due 12/15/39		2,371,513
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 1.13%, due 01/25/46		6,879,750
		Total Student Loans — Private		111,981,797
		Total Asset-Backed Securities		670,460,199
		Corporate Debt — 0.9%
		Airlines — 0.9%
	2,734,375	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,843,312
	1,557,998	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,586,417
	3,958,974	Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27		4,485,902
		Total Airlines		8,915,631
		Total Corporate Debt		8,915,631
		U.S. Government — 9.3%
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (d)		30,002,109
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22		30,017,073
	36,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		36,008,437
		Total U.S. Government		96,027,619
		U.S. Government Agency — 1.8%
	3,456,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — 0.02%, 0.14%, due 02/01/25 (a)		3,375,523
	4,125,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 0.30%, due 10/29/26 (a)		4,009,970
	1,410,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR + 0.00%, 0.15%, due 07/01/23 (a)		1,391,533
	8,182,000	Federal National Mortgage Association, TBA, 2.00%, due 01/02/51		8,294,183
	1,818,000	Federal National Mortgage Association, TBA, 2.50%, due 01/02/51		1,888,163
		Total U.S. Government Agency		18,959,372
		TOTAL DEBT OBLIGATIONS (COST $822,311,206)		794,362,821

34 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	2,183,242	GMO U.S. Treasury Fund		11,003,541
		TOTAL MUTUAL FUNDS (COST $11,003,541)		11,003,541
		SHORT-TERM INVESTMENTS — 20.0%
		Money Market Funds — 0.6%
	6,380,540	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		6,380,540
		U.S. Government — 19.4%
	97,000,000	U.S. Treasury Bill, 0.04%, due 01/27/22 (f)		96,983,052
	7,000,000	U.S. Treasury Bill, 0.06%, due 02/24/22 (f)		6,998,118
	7,000,000	U.S. Treasury Bill, 0.05%, due 04/21/22 (f)		6,997,857
	19,300,000	U.S. Treasury Bill, 0.06%, due 06/16/22 (f)		19,290,273
	12,600,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (f)		12,593,032
	56,500,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (f)		56,462,208
		Total U.S. Government		199,324,540
		TOTAL SHORT-TERM INVESTMENTS (COST $205,695,024)		205,705,080

Par Value† / Shares			Description	Value ($)
			TOTAL INVESTMENTS — 98.3% (Cost $1,039,009,771)		1,011,071,442
			SECURITIES SOLD SHORT — (1.0)%
			DEBT OBLIGATIONS — (1.0)%
			U.S. Government Agency — (1.0)%
	(10,000,000	)	Federal National Mortgage Association, TBA, 3.00%, due 01/05/49		(10,462,109	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $10,464,063)		(10,462,109	)
			Other Assets and Liabilities (net) — 2.7%		28,300,691
			TOTAL NET ASSETS — 100.0%		$1,028,910,024

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/21/2021	MSCI	EUR	2,663,281		USD	3,144,593		(3,089	)
10/21/2021	MSCI	USD	2,834,355		EUR	2,400,528		2,784
							$	(305	)

Futures Contracts

Number of Contracts+	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	U.S. Treasury Note 2 Yr. (CBT)		December 2021		1,762,625		1,204
215	U.S. Treasury Note 5 Yr. (CBT)		December 2021		26,599,531		53,570
128	U.S. Treasury Note 10 Yr. (CBT)		December 2021		17,082,000		31,816

Futures Contracts — (continued)

Number of Contracts+	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys (continued)
82	U.S. Treasury Ultra 10 Yr. (CBT)		December 2021		12,137,281		7,934
				$	57,581,437	$	94,524
Sales
29	U.S. Treasury Note 2 Yr. (CBT)		December 2021		6,389,516		(4,370	)
39	U.S. Treasury Note 5 Yr. (CBT)		December 2021		4,825,031		(6,940	)
15	U.S. Treasury Ultra 10 Yr. (CBT)		December 2021		2,220,234		106
2	U.S. Ultra Bond (CBT)		December 2021		394,562		1,019
				$	13,829,343	$	(10,185	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 35

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.36.V1-5Y

GS

106.00

%

09/15/21 USD

(15,902,400

)

Fixed Spread

Pay

$(6,205)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $84,442)

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%		1.41%		N/A		12/20/2023		Quarterly		(2,273,176	)		(2,106,775	)		166,401
CDX.NA.IGS.33.V1-5Y	USD	49,070,000		1.00%		0.41%		N/A		12/20/2024		Quarterly		(417,805	)		(951,026	)		(533,221	)
ITRAXX.EUROPES.32.V1-5Y	EUR	29,470,000		1.00%		0.33%		N/A		12/20/2024		Quarterly		(859,948	)		(776,141	)		83,807
ITRAXX.EUROPES.34.V1-5Y	EUR	20,633,760		1.00%		0.38%		N/A		12/20/2025		Quarterly		(648,690	)		(658,443	)		(9,753	)
CDX.NA.HYS.36.V1-5Y	USD	15,902,400		5.00%		2.76%		N/A		06/20/2026		Quarterly		(1,439,962	)		(1,560,057	)		(120,095	)
CDX.NA.IGS.36.V1-5Y	USD	131,070,000		1.00%		0.46%		N/A		06/20/2026		Quarterly		(3,095,309	)		(3,323,673	)		(228,364	)
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.23%		17,200,000 USD		06/20/2022		Quarterly		300,982			107,638			(193,344	)
CDX.NA.HYS.33.V3-5Y	USD	2,300,650		5.00%		2.07%		2,300,650 USD		12/20/2024		Quarterly		78,900			213,337			134,437
													$	(8,355,008	)	$	(9,055,140	)	$	(700,132	)

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.27.V2-5Y	GS	USD	4,458,000		5.00%		0.07%		N/A		12/20/2021		Quarterly		11,145			(67,723	)		(78,868	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		0.07%		N/A		12/20/2021		Quarterly		(11,825	)		(65,323	)		(53,498	)
D.R. Horton, Inc.	BCLY	USD	17,200,000		1.00%		0.10%		N/A		06/20/2022		Quarterly		(165,250	)		(125,656	)		39,594
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		1.59%		N/A		12/20/2022		Quarterly		(282,711	)		(287,694	)		(4,983	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	3,450,800		5.00%		1.59%		N/A		12/20/2022		Quarterly		(188,414	)		(154,511	)		33,903
CDX.NA.HYS.29.V1-5Y	JPM	USD	870,000		5.00%		1.59%		N/A		12/20/2022		Quarterly		(51,765	)		(38,955	)		12,810
Navient Corp.	GS	USD	2,700,000		5.00%		1.09%		N/A		12/20/2022		Quarterly		(277,471	)		(138,250	)		139,221
Navient Corp.	BCLY	USD	3,435,200		5.00%		1.09%		N/A		12/20/2022		Quarterly		(264,646	)		(175,895	)		88,751
Navient Corp.	BCLY	USD	2,082,800		5.00%		1.09%		N/A		12/20/2022		Quarterly		(160,628	)		(106,648	)		53,980
Navient Corp.	GS	USD	4,050,000		5.00%		1.09%		N/A		12/20/2022		Quarterly		(421,122	)		(207,376	)		213,746
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,941,000		5.00%		3.50%		N/A		12/20/2023		Quarterly		(15,370	)		(134,432	)		(119,062	)
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	10,000,000		1.00%		1.14%		N/A		12/20/2024		Quarterly		748,704			54,969			(693,735	)
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	2,000,000		1.00%		1.14%		N/A		12/20/2024		Quarterly		28,258			10,994			(17,264	)
CMBX.NA.A.7	GS	USD	2,840,000		2.00%		4.57%		N/A		01/17/2047		Monthly		156,357			147,583			(8,774	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		4.57%		N/A		01/17/2047		Monthly		89,177			73,792			(15,385	)
CMBX.NA.AA.7	GS	USD	5,000,000		1.50%		2.16%		N/A		01/17/2047		Monthly		7,975			68,580			60,605

36 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

OTC Credit Default Swaps — (continued)

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		0.80%	N/A		01/17/2047		Monthly		205,783			(55,122	)		(260,905	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.80%	N/A		01/17/2047		Monthly		197,705			(69,278	)		(266,983	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.80%	N/A		01/17/2047		Monthly		47,352			(18,713	)		(66,065	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.80%	N/A		01/17/2047		Monthly		(119,899	)		(31,603	)		88,296
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.80%	N/A		01/17/2047		Monthly		112,812			(18,277	)		(131,089	)
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		1.14%	N/A		11/18/2054		Monthly		(63,740	)		(96,602	)		(32,862	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.14%	N/A		11/18/2054		Monthly		(61,372	)		(96,571	)		(35,199	)
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		1.14%	N/A		11/18/2054		Monthly		(67,280	)		(96,571	)		(29,291	)
CMBX.NA.BBB-.11	GS	USD	3,064,050		3.00%		3.86%	N/A		11/18/2054		Monthly		116,418			142,566			26,148
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.21%	N/A		10/17/2057		Monthly		247,717			(78,752	)		(326,469	)
CMBX.NA.AS.8	MORD	USD	3,384,000		1.00%		0.75%	N/A		10/17/2057		Monthly		140,432			(25,764	)		(166,196	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.75%	N/A		10/17/2057		Monthly		73,095			(67,698	)		(140,793	)
CMBX.NA.BBB-.8	GS	USD	6,889,000		3.00%		7.81%	N/A		10/17/2057		Monthly		1,034,609			910,621			(123,988	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		7.81%	N/A		10/17/2057		Monthly		400,908			558,348			157,440
CMBX.NA.AAA.9	GS	USD	10,000,000		0.50%		0.26%	N/A		09/17/2058		Quarterly		(102,116	)		(95,225	)		6,891
CMBX.NA.AAA.9	MORD	USD	630,300		0.50%		0.26%	N/A		09/17/2058		Monthly		(6,436	)		(6,002	)		434
CMBX.NA.BBB-.9	MORD	USD	2,585,000		3.00%		5.15%	N/A		09/17/2058		Monthly		63,490			205,216			141,726
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		5.15%	N/A		09/17/2058		Monthly		584,727			406,208			(178,519	)
CMBX.NA.BBB-.9	CGMI	USD	3,425,200		3.00%		5.15%	N/A		09/17/2058		Monthly		955,105			271,917			(683,188	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		5.15%	N/A		09/17/2058		Monthly		517,160			338,427			(178,733	)
CMBX.NA.BBB-.9	CGMI	USD	2,500,000		3.00%		5.15%	N/A		09/17/2058		Monthly		290,110			198,468			(91,642	)
CMBX.NA.BBB-.9	CGMI	USD	1,500,000		3.00%		5.15%	N/A		09/17/2058		Monthly		175,119			119,080			(56,039	)
CMBX.NA.BBB-.12	GS	USD	2,949,240		3.00%		3.81%	N/A		08/17/2061		Monthly		116,575			144,977			28,402
CMBX.NA.AA.6	GS	USD	5,000,000		1.50%		3.94%	N/A		05/11/2063		Monthly		35,145			117,010			81,865
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		35.05%	N/A		05/11/2063		Monthly		1,357,351			1,169,723			(187,628	)
CMBX.NA.BB.13	GS	USD	1,360,000		5.00%		6.54%	N/A		12/16/2072		Monthly		134,090			128,596			(5,494	)
CMBX.NA.BB.13	GS	USD	5,000,000		5.00%		6.54%	N/A		12/16/2072		Monthly		491,910			472,779			(19,131	)
CMBX.NA.BB.13	GS	USD	3,000,000		5.00%		6.54%	N/A		12/16/2072		Monthly		295,146			283,667			(11,479	)
CMBX.NA.BBB-.13	GS	USD	3,600,000		3.00%		3.77%	N/A		12/16/2072		Monthly		133,325			188,924			55,599
Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	2,084,000		5.00%		0.07%	2,084,000 USD		12/20/2021		Quarterly		268,315			31,659			(236,656	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.07%	8,600,000 USD		12/20/2021		Quarterly		1,143,800			130,646			(1,013,154	)
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.07%	8,545,000 USD		12/20/2021		Quarterly		1,369,764			129,811			(1,239,953	)
CDX.NA.HYS.27.V3-5Y	JPM	USD	7,735,000		5.00%		0.07%	7,735,000 USD		12/20/2021		Quarterly		1,096,050			117,506			(978,544	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000		5.00%		0.24%	4,264,000 USD		12/20/2022		Quarterly		644,717			267,459			(377,258	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		0.24%	5,115,600 USD		12/20/2022		Quarterly		742,274			320,876			(421,398	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100		5.00%		0.24%	5,994,100 USD		12/20/2022		Quarterly		229,274			375,979			146,705
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000		5.00%		0.55%	4,657,000 USD		12/20/2023		Quarterly		492,478			480,428			(12,050	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000		5.00%		0.55%	2,866,000 USD		12/20/2023		Quarterly		293,765			295,664			1,899
ITRAXX.XOVERS.30.V3-5Y	JPM	EUR	655,580		5.00%		27.98%	655,580 EUR		12/20/2023		Quarterly		(487,841	)		(314,312	)		173,529
ITRAXX.XOVERS.30.V4-5Y	JPM	EUR	158,684		5.00%		27.98%	158,684 EUR		12/20/2023		Quarterly		(110,801	)		(76,080	)		34,721
CDX.NA.HYS.33.V1-5Y	GS	USD	25,938,066		5.00%		0.18%	25,938,066 USD		12/20/2024		Quarterly		5,736,852			4,082,876			(1,653,976	)
CDX.NA.HYS.33.V12-5Y	JPM	USD	10,540,000		5.00%		0.18%	10,540,000 USD		12/20/2024		Quarterly		1,704,699			1,659,088			(45,611	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,840,000		5.00%		0.18%	2,840,000 USD		12/20/2024		Quarterly		481,872			447,041			(34,831	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,746,000		5.00%		0.18%	10,746,000 USD		12/20/2024		Quarterly		1,826,953			1,691,513			(135,440	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,185,325		5.00%		0.18%	4,185,325 USD		12/20/2024		Quarterly		442,876			658,806			215,930
CDX.NA.IGS.33.V1-5Y	CITI	USD	1,472,000		1.00%		9.78%	1,472,000 USD		12/20/2024		Quarterly		(820,051	)		(376,610	)		443,441
ITRAXX.EUROPES.32.V1-5Y	BOA	EUR	25,000,000		1.00%		0.45%	25,000,000 EUR		12/20/2024		Quarterly		114,434			547,665			433,231
ITRAXX.EUROPES.32.V1-5Y	GS	EUR	58,940,000		1.00%		0.10%	58,940,000 EUR		12/20/2024		Quarterly		2,667,689			2,106,250			(561,439	)
CDX.NA.HYS.35.V1-5Y	MSCI	USD	4,810,000		5.00%		3.00%	4,810,000 USD		12/20/2025		Quarterly		353,535			401,220			47,685
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	36,846,000		1.00%		0.14%	36,846,000 USD		12/20/2025		Quarterly		1,774,798			1,631,364			(143,434	)
CMBX.NA.A.9	GS	USD	6,822,400		2.00%		2.00%	6,822,400 USD		09/17/2058		Monthly		89,488			(919	)		(90,407	)
CMBX.NA.A.9	CGMI	USD	4,000,000		2.00%		2.00%	4,000,000 USD		09/17/2058		Monthly		(100,229	)		(539	)		99,690
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		2.00%	2,500,000 USD		09/17/2058		Monthly		(74,374	)		(337	)		74,037

See accompanying notes to the financial statements. 37

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

OTC Credit Default Swaps — (continued)

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AAA.10	GS	USD	7,540,000		0.50%		0.32%	7,540,000 USD		11/17/2059		Monthly		68,960		68,672		(288	)
CMBX.NA.AAA.13	GS	USD	5,650,000		0.50%		0.47%	5,650,000 USD		12/16/2072		Monthly		13,230		14,257		1,027
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%	7,399,200 USD		12/16/2072		Monthly		30,438		18,671		(11,767	)
CMBX.NA.AAA.13	MORD	USD	7,399,200		0.50%		0.47%	7,399,200 USD		12/16/2072		Monthly		30,438		18,671		(11,767	)
													$	26,531,058	$	18,481,129	$	(8,049,929	)

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

⁽¹⁾  As of August 31, 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	)		(9,018	)		(4,479	)
0.30%	3 Month USD LIBOR		USD	9,750,000	08/17/2024		Quarterly		—			63,421			63,421
0.33%	3 Month USD LIBOR		USD	6,880,000	10/20/2024		Quarterly		3,044			48,446			45,402
0.35%	3 Month USD LIBOR		USD	10,840,000	04/19/2025		Quarterly		10			116,839			116,829
0.40%	3 Month USD LIBOR		USD	26,300,000	10/08/2025		Quarterly		(3,685	)		347,323			351,008
0.82%	3 Month USD LIBOR		USD	5,480,000	01/12/2028		Quarterly		—			72,605			72,605
1.14%	3 Month USD LIBOR		USD	16,400,000	03/04/2028		Quarterly		29,413			(101,425	)		(130,838	)
0.88%	3 Month USD LIBOR		USD	8,345,000	03/06/2028		Quarterly		22,934			86,657			63,723
0.65%	3 Month USD LIBOR		USD	5,770,000	06/04/2028		Quarterly		(29,478	)		160,525			190,003
0.65%	3 Month USD LIBOR		USD	5,790,000	07/30/2028		Quarterly		(25,114	)		170,718			195,832
1.30%	3 Month USD LIBOR		USD	10,027,000	12/19/2029		Quarterly		—			(76,712	)		(76,712	)
0.75%	3 Month USD LIBOR		USD	5,100,000	02/11/2030		Quarterly		(22,015	)		194,683			216,698
0.95%	3 Month USD LIBOR		USD	7,160,000	12/11/2030		Quarterly		154,543			205,082			50,539
1.02%	3 Month USD LIBOR		USD	7,200,000	01/08/2031		Quarterly		24,436			165,676			141,240
1.47%	3 Month USD LIBOR		USD	5,230,000	06/17/2031		Quarterly		—			(80,898	)		(80,898	)
								$	149,549		$	1,363,922		$	1,214,373

38 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Total Return on Markit iBoxx USD Liquid Leveraged Loans Index

3 Month USD LIBOR

JPM

USD

12,000,000

09/20/2021

Quarterly

$

—

$

55,248

$

55,248

As of August 31, 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 in default.

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

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

(e) The rate disclosed is the 7 day net yield as of August 31, 2021.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 42.

See accompanying notes to the financial statements. 39

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investments Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		100.0	%
Other		0.0	^
		100.0	%

^ Rounds to 0.0%.

40

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government — 97.8%
	32,800,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (a)		32,778,060
	16,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.15%, 0.20%, due 01/31/22		16,009,268
	21,500,000	U.S. Treasury Note, 0.13%, due 04/30/22		21,508,398
	29,000,000	U.S. Treasury Note, 1.75%, due 05/15/22		29,344,375
	73,500,000	U.S. Treasury Note, 0.13%, due 06/30/22		73,528,711
	45,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22		45,025,609
	35,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23		35,017,364
	43,300,000	U.S. Treasury Note, 0.13%, due 06/30/23		43,267,863
		Total U.S. Government		296,479,648
		U.S. Government Agency — 1.6%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.09%, 0.14%, due 09/10/21		5,000,077
		Money Market Funds — 0.6%
	1,696,846	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 0.01% (b)		1,696,846
		TOTAL SHORT-TERM INVESTMENTS (COST $303,123,673)		303,176,571
		TOTAL INVESTMENTS — 100.0% (Cost $303,123,673)		303,176,571
		Other Assets and Liabilities (net) — 0.00%		122,309
		TOTAL NET ASSETS — 100.0%		$303,298,880

Notes to Schedule of Investments:

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

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

(b) The rate disclosed is the 7 day net yield as of August 31, 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 42.

See accompanying notes to the financial statements. 41

GMO Trust Funds

August 31, 2021 (Unaudited)

Portfolio Abbreviations:

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

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

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

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

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

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

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 August 31,

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

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

CZK - Czech Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippine Peso

PLN - Polish Zloty

RON - Romanian Leu

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

USD - United States Dollar

ZAR - South African Rand

42 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited)

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	311,657	$	74,784,247	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		75,910,989		4,381,827,974		96,537,077
Foreign currency, at value (Note 2)(c)		1		1,216,212		—
Cash		—		11,266,147		—
Receivable for investments sold		—		3,841,870		500
Receivable for Fund shares sold		—		58,992,500		—
Dividends and interest receivable		167,920		58,308,713		401,842
Unrealized appreciation on open forward currency contracts (Note 4)		—		615,642		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		956,912		—
Due from broker (Note 2)		—		20,605,881		2,803,320
Receivable for variation margin on open futures contracts (Note 4)		—		—		1,680
Receivable for open OTC swap contracts (Note 4)		—		10,244,799		599,621
Interest receivable for open OTC swap contracts (Note 4)		—		122,578		69
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,254		—		2,445
Receivable for options (Note 4)(d)		—		553,850		—
Miscellaneous receivable		—		9,262		270,000
Total assets		76,400,821		4,623,346,587		100,616,554
Liabilities:
Due to broker (Note 2)		—		841,572		—
Due to custodian		—		—		134,367
Payable for investments purchased		34		38,046,982		—
Payable for Fund shares repurchased		—		58,000,000		—
Payable to affiliate for (Note 5):
Management fee		16,381		1,322,023		29,138
Shareholder service fee		6,614		376,708		4,579
Payable to agents unaffiliated with GMO		3		1,325		18
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		1,540,969
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,280,279		9,318
Interest payable for open OTC swap contracts (Note 4)		—		677,068		—
Payable for open OTC swap contracts (Note 4)		—		3,590,060		—
Payable for reverse repurchase agreements (Note 2)		—		20,056,936		—
Payable for options (Note 4)(d)		—		—		82,538
Payable to Trustees and related expenses		1,907		28,217		1,492
Accrued expenses		126,861		599,895		89,882
Total liabilities		151,800		124,821,065		1,892,301
Net assets	$	76,249,021	$	4,498,525,522	$	98,724,253
(a)  Cost of investments – affiliated issuers:	$	311,655	$	74,296,430	$	—
(b)  Cost of investments – unaffiliated issuers:	$	74,049,862	$	4,622,144,414	$	94,877,968
(c)  Cost of foreign currency:	$	1	$	1,203,381	$	—
(d)  Premiums on options:	$	—	$	5,213,266	$	181,391

See accompanying notes to the financial statements. 43

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	119,675,303		$	4,901,813,353		$	93,045,856
Distributable earnings (accumulated loss)		(43,426,282	)		(403,287,831	)		5,678,397
	$	76,249,021		$	4,498,525,522		$	98,724,253
Net assets attributable to:
Class III	$	37,110,661		$	1,009,375,057		$	—
Class IV	$	—		$	2,365,034,998		$	—
Class VI	$	39,138,360		$	1,124,115,467		$	98,724,253
Shares outstanding:
Class III		1,493,164			38,412,177			—
Class IV		—			90,167,214			—
Class VI		1,569,885			42,852,740			4,885,501
Net asset value per share:
Class III	$	24.85		$	26.28		$	—
Class IV	$	—		$	26.23		$	—
Class VI	$	24.93		$	26.23		$	20.21

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited)

	Multi-Sector Fixed Income Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	47,679,663	$	11,003,541	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		161,434,996		1,000,067,901		303,176,571
Foreign currency, at value (Note 2)(c)		—		19		—
Receivable for investments sold		—		11,595,893		—
Receivable for Fund shares sold		—		648,980		—
Dividends and interest receivable		483,780		1,928,361		196,491
Unrealized appreciation on open forward currency contracts (Note 4)		422,637		2,784		—
Receivable for variation margin on open cleared swap contracts (Note 4)		156,180		—		—
Due from broker (Note 2)		2,131,984		16,204,602		—
Receivable for open OTC swap contracts (Note 4)		—		21,563,815		—
Interest receivable for open OTC swap contracts (Note 4)		5,382		1,394,897		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		41,555		31,714		10,448
Total assets		212,356,177		1,064,442,507		303,383,510
Liabilities:
Due to broker (Note 2)		—		47		—
Investments sold short, at value (Note 2)(d)		—		10,462,109		—
Due to custodian		150,070		234,675		—
Foreign currency due to custodian(c)		2,175		—		—
Payable for investments purchased		26,065,969		11,822,812		—
Payable for Fund shares repurchased		—		913,804		—
Payable to affiliate for (Note 5):
Management fee		39,132		346,967		660
Shareholder service fee		16,393		92,503		—
Payable to agents unaffiliated with GMO		15		310		124
Payable for variation margin on open futures contracts (Note 4)		89,616		26,881		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		7,852,848		—
Dividend payable		—		—		11,448
Unrealized depreciation on open forward currency contracts (Note 4)		943,762		3,089		—
Interest payable for open OTC swap contracts (Note 4)		—		478,531		—
Payable for open OTC swap contracts (Note 4)		1,494,183		3,027,438		—
Payable to Trustees and related expenses		4,044		3,893		3,546
Written options outstanding, at value (Note 4)(e)		—		6,205		—
Accrued expenses		142,060		260,371		68,852
Total liabilities		28,947,419		35,532,483		84,630
Net assets	$	183,408,758	$	1,028,910,024	$	303,298,880
(a)  Cost of investments – affiliated issuers:	$	48,976,330	$	11,003,541	$	—
(b)  Cost of investments – unaffiliated issuers:	$	151,503,914	$	1,028,006,230	$	303,123,673
(c)  Cost of foreign currency:	$	1,680	$	3,831	$	—
(d)  Proceeds from securities sold short:	$	—	$	10,464,063	$	—
(e)  Premiums on written options:	$	—	$	84,442	$	—

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	208,126,766		$	1,116,977,626		$	303,038,422
Distributable earnings (accumulated loss)		(24,718,008	)		(88,067,602	)		260,458
	$	183,408,758		$	1,028,910,024		$	303,298,880
Net assets attributable to:
Core Class	$	—		$	—		$	303,298,880
Class III	$	16,882,382		$	13,812,313		$	—
Class IV	$	166,526,376		$	—		$	—
Class VI	$	—		$	463,819,477		$	—
Class R6	$	—		$	70,829,410		$	—
Class I	$	—		$	480,448,824		$	—
Shares outstanding:
Core Class		—			—			60,225,378
Class III		840,078			532,932			—
Class IV		8,251,381			—			—
Class VI		—			17,839,156			—
Class R6		—			2,732,097			—
Class I		—			18,518,658			—
Net asset value per share:
Core Class	$	—		$	—		$	5.04
Class III	$	20.10		$	25.92		$	—
Class IV	$	20.18		$	—		$	—
Class VI	$	—		$	26.00		$	—
Class R6	$	—		$	25.92		$	—
Class I	$	—		$	25.94		$	—

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Interest	$	822,084		$	125,644,097		$	818,738
Dividends from unaffiliated issuers		—			515			10,358
Dividends from affiliated issuers (Note 10)		599			28,999			—
Total investment income		822,683			125,673,611			829,096
Expenses:
Management fee (Note 5)		89,678			7,674,995			170,588
Shareholder service fee – Class III (Note 5)		27,451			753,798			—
Shareholder service fee – Class IV (Note 5)		—			1,588,238			—
Shareholder service fee – Class VI (Note 5)		9,664			56,147	*		26,807
Audit and tax fees		39,366			71,277			35,053
Custodian, fund accounting agent and transfer agent fees		15,356			371,440			20,769
Legal fees		3,210			70,958			3,898
Registration fees		5,429			57,679			3,577
Trustees’ fees and related expenses (Note 5)		1,821			74,163			2,206
Interest expense (Note 2)		—			—			2,224
Miscellaneous		2,777			49,314			6,067
Total expenses		194,752			10,768,009			271,189
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(63,837	)		—			(17,632	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(241	)		(6,392	)		—
Net expenses		130,674			10,761,617			253,557
Net investment income (loss)		692,009			114,911,994			575,539
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		10,127,516			40,006,992			567,319
Investments in affiliated issuers		(597	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		819			37,095			—
Futures contracts		—			—			26,629
Options		—			637,313			—
Swap contracts		—			(5,481,858	)		1,618,115
Forward currency contracts		—			6,626,448			559,024
Foreign currency and foreign currency related transactions		—			65,434			(55,136	)
Net realized gain (loss)		10,127,738			41,891,424			2,715,951
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(7,740,252	)		93,518,345			457,312
Investments in affiliated issuers		2			—			—
Futures contracts		—			—			72,297
Options		—			(473,982	)		98,853
Swap contracts		—			(6,583,477	)		534,406
Forward currency contracts		—			(319,626	)		(273,716	)
Foreign currency and foreign currency related transactions		—			554,227			—
Net change in unrealized appreciation (depreciation)		(7,740,250	)		86,695,487			889,152
Net realized and unrealized gain (loss)		2,387,488			128,586,911			3,605,103
Net increase (decrease) in net assets resulting from operations	$	3,079,497		$	243,498,905		$	4,180,642

* Period from July 28, 2021 (commencement of operations) through August 31, 2021.

See accompanying notes to the financial statements. 47

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	665,749		$	16,984,450		$	165,608
Dividends from unaffiliated issuers		337,576			360			3,290
Dividends from affiliated issuers (Note 10)		261,753			4,267			—
Total investment income		1,265,078			16,989,077			168,898
Expenses:
Management fee (Note 5)		242,861			1,934,276			134,904
Shareholder service fee – Class III (Note 5)		21,697			2,079	*		—
Shareholder service fee – Class IV (Note 5)		82,680			—			—
Shareholder service fee – Class VI (Note 5)		—			131,278			—
Shareholder service fee – Class R6 (Note 5)		—			26,946	**		—
Shareholder service fee – Class I (Note 5)		—			338,298			—
Audit and tax fees		39,183			55,833			16,043
Custodian, fund accounting agent and transfer agent fees		80,010			316,585			31,938
Legal fees		5,872			41,766			5,493
Registration fees		3,675			45,929			2,152
Trustees’ fees and related expenses (Note 5)		4,779			14,910			6,245
Interest expense (Note 2)		120			8,800			—
Miscellaneous		4,005			19,022			3,059
Total expenses		484,882			2,935,722			199,834
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(129,036	)		(220,054	)		(157,918	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(83,462	)		(941	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(13,695	)		—			—
Net expenses		258,689			2,714,727			41,916
Net investment income (loss)		1,006,389			14,274,350			126,982
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		384,957			840,691			211,126
Investments in affiliated issuers		(145,221	)		—			—
Investments in securities sold short		—			(764,942	)		—
Realized gain distributions from affiliated issuers (Note 10)		178,327			5,458			—
Futures contracts		981,183			2,359,093			—
Written options		—			814,956			—
Swap contracts		(6,665,826	)		(3,420,413	)		—
Forward currency contracts		2,510,668			10,523			—
Foreign currency and foreign currency related transactions		(1,047	)		30,859			—
Net realized gain (loss)		(2,756,959	)		(123,775	)		211,126
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		9,357,025			(2,855,238	)		(114,217	)
Investments in affiliated issuers		613,194			—			—
Investments in securities sold short		—			(35,741	)		—
Futures contracts		254,406			381,137			—
Written options		—			(14,894	)		—
Swap contracts		(1,817,325	)		(2,121,321	)		—
Forward currency contracts		(1,559,028	)		396			—
Foreign currency and foreign currency related transactions		(34,764	)		(28,492	)		—
Net change in unrealized appreciation (depreciation)		6,813,508			(4,674,153	)		(114,217	)
Net realized and unrealized gain (loss)		4,056,549			(4,797,928	)		96,909
Net increase (decrease) in net assets resulting from operations	$	5,062,938		$	9,476,422		$	223,891

* Period from July 21, 2021 (commencement of operations) through August 31, 2021.

** Period from May 19, 2021 (commencement of operations) through August 31, 2021.

48 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Emerging Country Debt Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	692,009		$	1,685,489		$	114,911,994		$	234,615,368
Net realized gain (loss)		10,127,738			11,202,659			41,891,424			112,641,594
Change in net unrealized appreciation (depreciation)		(7,740,250	)		(4,762,322	)		86,695,487			(230,763,388	)
Net increase (decrease) in net assets from operations		3,079,497			8,125,826			243,498,905			116,493,574
Distributions to shareholders:
Class III		—			(403,791	)		(26,980,825	)		(110,457,805	)
Class IV		—			—			(93,571,940	)		(299,019,091	)
Class VI		—			(1,120,355	)		—	*		—
Total distributions		—			(1,524,146	)		(120,552,765	)		(409,476,896	)
Net share transactions (Note 9):
Class III		(26,296,734	)		18,928,517			(29,225,774	)		(59,256,916	)
Class IV		—			—			(933,644,723	)		222,010,887
Class VI		(20,989,814	)		(138,607,964	)		1,109,223,343	*		—
Increase (decrease) in net assets resulting from net share transactions		(47,286,548	)		(119,679,447	)		146,352,846			162,753,971
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			232,571			1,428,115
Class IV		—			—			756,090			3,980,122
Class VI		—			—			16,491	*		—
Increase (decrease) in net assets resulting from purchase premiums and redemption fees		—			—			1,005,152			5,408,237
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(47,286,548	)		(119,679,447	)		147,357,998			168,162,208
Total increase (decrease) in net assets		(44,207,051	)		(113,077,767	)		270,304,138			(124,821,114	)
Net assets:
Beginning of period		120,456,072			233,533,839			4,228,221,384			4,353,042,498
End of period	$	76,249,021		$	120,456,072		$	4,498,525,522		$	4,228,221,384

* Period from July 28, 2021 (commencement of operations) through August 31, 2021.

See accompanying notes to the financial statements. 49

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	High Yield Fund						Multi-Sector Fixed Income Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	575,539		$	4,744,456		$	1,006,389		$	5,442,597
Net realized gain (loss)		2,715,951			4,870,688			(2,756,959	)		19,749,096
Change in net unrealized appreciation (depreciation)		889,152			2,460,343			6,813,508			(17,582,435	)
Net increase (decrease) in net assets from operations		4,180,642			12,075,487			5,062,938			7,609,258
Distributions to shareholders:
Class III		—			—			(771,747	)		(8,300,596	)
Class IV		—			—			(4,376,860	)		(24,041,607	)
Class VI		(7,273,321	)		(3,588,431	)		—			—
Total distributions		(7,273,321	)		(3,588,431	)		(5,148,607	)		(32,342,203	)
Net share transactions (Note 9):
Class III		—			—			(14,751,182	)		(42,133,243	)
Class IV		—			—			32,781,157			(297,963,316	)
Class VI		7,271,601			(75,391,205	)		—			—
Increase (decrease) in net assets resulting from net share transactions		7,271,601			(75,391,205	)		18,029,975			(340,096,559	)
Total increase (decrease) in net assets		4,178,922			(66,904,149	)		17,944,306			(364,829,504	)
Net assets:
Beginning of period		94,545,331			161,449,480			165,464,452			530,293,956
End of period	$	98,724,253		$	94,545,331		$	183,408,758		$	165,464,452

50 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income Fund						U.S. Treasury Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,274,350		$	31,707,361		$	126,982		$	735,938
Net realized gain (loss)		(123,775	)		2,929,109			211,126			1,188,447
Change in net unrealized appreciation (depreciation)		(4,674,153	)		(12,603,709	)		(114,217	)		(507,093	)
Net increase (decrease) in net assets from operations		9,476,422			22,032,761			223,891			1,417,292
Distributions to shareholders:
Core Class		—			—			(284,624	)		(773,665	)
Class VI		(2,003,094	)		(24,129,562	)		—			—
Class R6		(285,266	)*		—			—			—
Class I		(1,634,106	)		(5,867,931	)		—			—
Total distributions		(3,922,466	)		(29,997,493	)		(284,624	)		(773,665	)
Net share transactions (Note 9):
Core Class		—			—			(79,095,085	)		159,049,444
Class III		13,800,000	**		—			—			—
Class VI		(16,468,783	)		(337,486,350	)		—			—
Class R6		70,679,914	*		—			—			—
Class I		60,737,705			391,498,422			—			—
Increase (decrease) in net assets resulting from net share transactions		128,748,836			54,012,072			(79,095,085	)		159,049,444
Total increase (decrease) in net assets		134,302,792			46,047,340			(79,155,818	)		159,693,071
Net assets:
Beginning of period		894,607,232			848,559,892			382,454,698			222,761,627
End of period	$	1,028,910,024		$	894,607,232		$	303,298,880		$	382,454,698

* Period from May 19, 2021 (commencement of operations) through August 31, 2021.

** Period from July 21, 2021 (commencement of operations) through August 31, 2021.

See accompanying notes to the financial statements. 51

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017								2021				2020				2019				2018				2017
Net asset value, beginning of period		$	23.82			$	22.66			$	21.61			$	21.95			$	22.15			$	22.16			$	23.88			$	22.72			$	21.67			$	22.02			$	22.23			$	22.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.26				0.55				0.54				0.33				0.18				0.23				0.27				0.56				0.57				0.36				0.21
Net realized and unrealized gain (loss)			0.79				1.18				1.52				0.18				(0.31	)			(0.19	)			0.82				1.18				1.53				0.18				(0.33	)			(0.19	)
Total from investment operations			1.03				1.44				2.07				0.72				0.02				(0.01	)			1.05				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		$	24.85			$	23.82			$	22.66			$	21.61			$	21.95			$	22.15			$	24.93			$	23.88			$	22.72			$	21.67			$	22.02			$	22.23
Total Return(b)			4.32	%**			6.33	%			9.74	%			3.37	%			0.07	%			(0.05	)%			4.40	%**			6.39	%			9.83	%			3.48	%			0.12	%			0.09	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	37,111			$	61,836			$	41,124			$	82,801			$	207,008			$	282,272			$	39,138			$	58,621			$	192,410			$	305,842			$	1,019,135			$	1,209,721
Net operating expenses to average daily net assets			0.41	%(c)*			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.32	%(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(e)			—				—				0.00	%(d)			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			0.41	%(c)*			0.41	%(c)			0.40	%(c)			0.41	%(c)			0.41	%			0.41	%(c)			0.32	%(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)			1.97	%*			1.11	%			2.49	%			2.48	%			1.50	%			0.81	%			1.89	%*			1.15	%			2.49	%			2.57	%			1.59	%			0.94	%
Portfolio turnover rate			99	%(f)**			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)			99	%(f)**			30	%(f)			16	%(f)			59	%(f)			89	%			130	%(f)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.18%(g)*				0.08%(g)				0.06%(g)				0.04%				0.02%				0.02%				0.18%	(g)*			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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019 and February 28, 2017, including transactions in USTF, was 97%, 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.

* Annualized.

** Not annualized.

52 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017(a)								2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	25.54			$	27.38			$	26.82			$	28.62			$	28.99			$	26.01			$	25.50			$	27.34			$	26.77			$	28.57			$	28.95			$	25.98
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.70				1.56				1.44				1.36				1.36				1.94				0.71				1.39				1.43				1.37				1.39				1.95
Net realized and unrealized gain (loss)			0.76				(0.85	)			0.91				(1.19	)			0.32				3.01	(c)			0.75				(0.66	)			0.94				(1.19	)			0.29				3.01	(c)
Total from investment operations			1.46				0.71				2.35				0.17				1.68				4.95				1.46				0.73				2.37				0.18				1.68				4.96
Less distributions to shareholders:
From net investment income			(0.29	)			(1.93	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(0.30	)			(1.95	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
From net realized gains			(0.43	)			(0.62	)			—				—				—				—				(0.43	)			(0.62	)			—				—				—				—
Total distributions			(0.72	)			(2.55	)			(1.79	)			(1.97	)			(2.05	)			(1.97	)			(0.73	)			(2.57	)			(1.80	)			(1.98	)			(2.06	)			(1.99	)
Net asset value, end of period		$	26.28			$	25.54			$	27.38			$	26.82			$	28.62			$	28.99			$	26.23			$	25.50			$	27.34			$	26.77			$	28.57			$	28.95
Total Return(d)			5.75	%**			2.67	%			8.97	%			0.97	%			5.81	%			19.47	%			5.75	%**			2.73	%			9.08	%			1.02	%			5.83	%			19.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,009,375			$	1,010,106			$	1,133,945			$	1,294,577			$	1,273,188			$	1,067,086			$	2,365,035			$	3,218,116			$	3,219,098			$	2,849,316			$	2,862,977			$	3,018,159
Net operating expenses to average daily net assets(e)			0.53	%*			0.54	%			0.53	%			0.52	%			0.53	%			0.54	%			0.48	%*			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)			0.53	%*			0.54	%			0.54	%			0.54	%			0.53	%			0.54	%			0.48	%*			0.49	%			0.49	%			0.49	%			0.48	%			0.49	%
Net investment income (loss) to average daily net assets(b)			5.36	%*			6.02	%			5.23	%			4.99	%			4.57	%			6.76	%			5.43	%*			5.38	%			5.22	%			5.04	%			4.67	%			6.81	%
Portfolio turnover rate(h)			14	%**			56	%			41	%			15	%			34	%			21	%			14	%**			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)			0.00	%(g)			0.00	%(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$0.01				$0.03				$0.03				$0.03				$0.03				$0.04(a)				$0.01				$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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 14%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 53

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

EMERGING COUNTRY DEBT FUND (continued)

	Class VI Shares
	Period from July 28, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period		$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.04
Net realized and unrealized gain (loss)			0.30
Total from investment operations			0.34
Net asset value, end of period		$	26.23
Total Return(b)			1.31	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,124,115
Net operating expenses to average daily net assets(c)			0.44	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—
Total net expenses to average daily net assets(c)			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.61	%*
Portfolio turnover rate(e)			14	%**

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

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (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)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, including transactions in USTF, was 14%, of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

54 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Year Ended February 29, 2020				Period From June 25, 2018 (commencement of operations) through February 28, 2019
Net asset value, beginning of period		$	20.90			$	19.94			$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.12				0.64				0.48				0.27
Net realized and unrealized gain (loss)			0.80				0.77				0.82				0.71
Total from investment operations			0.92				1.41				1.30				0.98
Less distributions to shareholders:
From net investment income			(0.14	)			(0.40	)			(1.57	)			(0.61	)
From net realized gains			(1.47	)			(0.05	)			—				(0.16	)
Total distributions			(1.61	)			(0.45	)			(1.57	)			(0.77	)
Net asset value, end of period		$	20.21			$	20.90			$	19.94			$	20.21
Total Return(b)			4.46	%**			7.21	%			6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	98,724			$	94,545			$	161,449			$	212,762
Net operating expenses to average daily net assets(c)			0.52	%*			0.52	%(d)			0.52	%(d)			0.51	%(d)*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f)*			0.00	%(f)			0.03	%			0.04	%*
Total net expenses to average daily net assets(c)			0.52	%*			0.52	%(d)			0.55	%(d)			0.55	%(d)*
Net investment income (loss) to average daily net assets(a)			1.18	%*			3.23	%			2.34	%			2.00	%*
Portfolio turnover rate(g)			25	%**			288	%			105	%			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020 and February 28, 2019, including transactions in USTF, was 25%, 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.

See accompanying notes to the financial statements. 55

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Year Ended February 29, 2020				Year Ended February 28, 2019				Year Ended February 28, 2018				Year Ended February 28, 2017(a)
Net asset value, beginning of period		$	20.13			$	22.19			$	20.88			$	20.93			$	21.10			$	21.39
Income (loss) from investment operations: Net investment income (loss)(b)†			0.10				0.43				0.53				0.51				0.41				0.26
Net realized and unrealized gain (loss)			0.44				(0.24	)(c)			2.01				0.49				(0.06	)			0.25
Total from investment operations			0.54				0.19				2.54				1.00				0.35				0.51
Less distributions to shareholders:
From net investment income			—				(0.93	)			(0.64	)			(1.05	)			(0.52	)			(0.80	)
From net realized gains			(0.57	)			(1.32	)			(0.59	)			—				—				—
Total distributions			(0.57	)			(2.25	)			(1.23	)			(1.05	)			(0.52	)			(0.80	)
Net asset value, end of period		$	20.10			$	20.13			$	22.19			$	20.88			$	20.93			$	21.10
Total Return(d)			2.70	%**			0.59%				12.38%				4.88	%			1.61	%			2.44	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	16,882			$	31,602			$	80,639			$	84,163			$	34,641			$	22,172
Net operating expenses to average daily net assets(e)			0.31	%*			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%
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)
Total net expenses to average daily net assets(e)			0.31	%*			0.30	%			0.29	%			0.29	%			0.29	%			0.35	%
Net investment income (loss) to average daily net assets(b)			1.03	%*			1.98	%			2.43	%			2.41	%			1.91	%			1.21	%
Portfolio turnover rate(h)			122	%**			262	%			215	%			201	%			198	%			216	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.23	%*			0.19	%			0.16	%			0.16	%			0.14	%			0.30	%

^(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 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, if any (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 period ended August 31, 2021, and the years ended August 31, 2021, February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 129%, 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.

* Annualized.

** Not annualized.

56 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Year Ended February 29, 2020				Year Ended February 28, 2019				Year Ended February 28, 2018				Year Ended February 28, 2017(a)
Net asset value, beginning of period		$	20.20			$	22.26			$	20.94			$	20.98			$	21.15			$	21.45
Income (loss) from investment operations: Net investment income (loss)(b)†			0.11				0.35				0.54				0.48				0.46				0.24
Net realized and unrealized gain (loss)			0.44				(0.16	)(c)			2.02				0.53				(0.10	)			0.29
Total from investment operations			0.55				0.19				2.56				1.01				0.36				0.53
Less distributions to shareholders:
From net investment income			—				(0.93	)			(0.65	)			(1.05	)			(0.53	)			(0.83	)
From net realized gains			(0.57	)			(1.32	)			(0.59	)			—				—				—
Total distributions			(0.57	)			(2.25	)			(1.24	)			(1.05	)			(0.53	)			(0.83	)
Net asset value, end of period		$	20.18			$	20.20			$	22.26			$	20.94			$	20.98			$	21.15
Total Return(d)			2.74	%**			0.59	%			12.44	%			4.93	%			1.68	%			2.55	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	166,526			$	133,862			$	449,655			$	580,456			$	920,637			$	566,433
Net operating expenses to average daily net assets(e)			0.26	%*			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)
Total net expenses to average daily net assets(e)			0.26	%*			0.24	%			0.24	%			0.24	%			0.24	%			0.30	%
Net investment income (loss) to average daily net assets(b)			1.04	%*			1.57	%			2.47	%			2.29	%			2.14	%			1.10	%
Portfolio turnover rate(h)			122	%**			262	%			215	%			201	%			198	%			216	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.23	%*			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, if any (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 period ended August 31, 2021, and the years ended August 31, 2021, February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 129%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 57

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

OPPORTUNISTIC INCOME FUND

	Class III Shares
	Period from July 21, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period	$	25.88
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.13
Net realized and unrealized gain (loss)		(0.09	)
Total from investment operations		0.04
Net asset value, end of period	$	25.92
Total Return(b)		0.15	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	13,812
Net operating expenses to average daily net assets(c)		0.56	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.00	%(e)*
Total net expenses to average daily net assets(c)		0.56	%*
Net investment income (loss) to average daily net assets(a)		4.61	%*
Portfolio turnover rate(f)		59	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%*

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

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

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

^(d) 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.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, including transactions in USTF, was 58% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Year Ended February 29, 2020				Year Ended February 28, 2019				Year Ended February 28, 2018				Year Ended February 28, 2017
Net asset value, beginning of period		$	25.84			$	26.15			$	26.21			$	26.41			$	25.78			$	24.57
Income (loss) from investment operations:
Net investment income (loss) (a)†			0.41				1.06				1.46				1.32				1.15				0.96
Net realized and unrealized gain (loss)			(0.14	)			(0.31	)			(0.06	)			(0.38	)			0.18				0.89
Total from investment operations			0.27				0.75				1.40				0.94				1.33				1.85
Less distributions to shareholders:
From net investment income			(0.11	)			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)
From net realized gains			—				0.00				—				—				—				—
Total distributions			(0.11	)			(1.06	)			(1.46	)			(1.14	)			(0.70	)			(0.64	)
Net asset value, end of period		$	26.00			$	25.84			$	26.15			$	26.21			$	26.41			$	25.78
Total Return(b)			1.05	%**			2.95	%			5.45	%			3.58	%			5.18	%			7.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	463,819			$	477,457			$	825,876			$	1,001,146			$	1,205,954			$	1,510,894
Net operating expenses to average daily net assets(c)			0.47	%*			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%
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)
Total net expenses to average daily net assets(c)			0.47	%*			0.47	%			0.47	%			0.49	%			0.47	%			0.33	%
Net investment income (loss) to average daily net assets(a)			3.16	%*			4.12	%			5.50	%			4.99	%			4.39	%			3.82	%
Portfolio turnover rate(f)			59	%**			43	%			47	%			75	%			152	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(g)*			0.05	%(g)			0.04	%(g)			0.04	%			0.03	%			0.04	%
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, if any (Note 5).

^(d) 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.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 58%, 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.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares
	Period from May 19, 2021 (commencement of operations) through August 31, 2021 (Unaudited)
Net asset value, beginning of period		$	25.86
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.23
Net realized and unrealized gain (loss)			(0.05	)
Total from investment operations			0.18
Less distributions to shareholders:
From net investment income			(0.12	)
From net realized gains			—
Total distributions			(0.12	)
Net asset value, end of period		$	25.92
Total Return(b)			0.68	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	70,829
Net operating expenses to average daily net assets(c)			0.56	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e)*
Total net expenses to average daily net assets(c)			0.56	%*
Net investment income (loss) to average daily net assets(a)			3.07	%*
Portfolio turnover rate(f)			59	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*

^(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)  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.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021 including transactions in USTF, was 58% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from November 5, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	25.80			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.89				0.54
Net realized and unrealized gain (loss)			(0.12	)			(0.18	)			(0.08	)
Total from investment operations			0.23				0.71				0.46
Less distributions to shareholders:
From net investment income			(0.09	)			(1.03	)			(1.19	)
From net realized gains			—				—				—
Total distributions			(0.09	)			(1.03	)			(1.19	)
Net asset value, end of period		$	25.94			$	25.80			$	26.12
Total Return(b)			0.90	%**			2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	480,449			$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.66	%*			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)*
Total net expenses to average daily net assets(c)			0.66	%*			0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			2.71	%*			3.47	%			6.55	%*
Portfolio turnover rate(f)			59	%**			43	%			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(g)*			0.07	%(g)			0.07	%(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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 58%, 45% and 48%, 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. 61

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Year Ended February 29, 2020				Year Ended February 28, 2019(a)				Year Ended February 28, 2018(a)				Year Ended February 28, 2017(a)
Net asset value, beginning of period		$	5.04			$	5.02			$	5.00			$	5.00			$	5.01			$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.00	(b)			0.01				0.10				0.10				0.05				0.02
Net realized and unrealized gain (loss)			0.00	(b)			0.02				0.02				0.01				(0.01	)			0.00	(b)
Total from investment operations			0.00	(b)			0.03				0.12				0.11				0.04				0.02
Less distributions to shareholders:
From net investment income			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
From net realized gains			(0.00	)(b)			(0.00	)(b)			—				—				—				(0.00	)(b)
Total distributions			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)			(0.05	)			(0.02	)
Net asset value, end of period		$	5.04			$	5.04			$	5.02			$	5.00			$	5.00			$	5.01
Total Return(c)			0.09	%**			0.63	%			2.47	%			2.16	%			0.96	%			0.54	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	303,299			$	382,455			$	222,762			$	635,777			$	2,324,706			$	2,666,697
Net expenses to average daily net assets			0.02	%*			0.08	%			0.06	%			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets			0.08	%*			0.20	%			2.03	%			1.97	%			1.06	%			0.47	%
Portfolio turnover rate(e)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			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.

* Annualized.

** Not annualized.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2021 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income 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	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

63

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 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

64

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2021:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	75,720,766	$	—	$	—	$	75,720,766
TOTAL DEBT OBLIGATIONS		75,720,766		—		—		75,720,766
Mutual Funds		311,657		—		—		311,657
Short-Term Investments		190,223		—		—		190,223
Total Investments		76,222,646		—		—		76,222,646
Total	$	76,222,646	$	—	$	—	$	76,222,646
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	21,709,460	$	—	$	21,709,460
Corporate Debt		—		186,210,222		26,985,383		213,195,605
Foreign Government Agency		6,053,100		1,051,228,662		90,446,191		1,147,727,953
Foreign Government Obligations		—		2,352,201,452		143,286,342		2,495,487,794
U.S. Government		348,056,909		—		—		348,056,909
TOTAL DEBT OBLIGATIONS		354,110,009		3,611,349,796		260,717,916		4,226,177,721
Loan Assignments		—		—		60,677,038		60,677,038
Loan Participations		—		—		38,546,730		38,546,730
Mutual Funds		74,784,247		—		—		74,784,247
Rights/Warrants		—		18,973,049		21,656		18,994,705
Short-Term Investments		37,431,780		—		—		37,431,780
Total Investments		466,326,036		3,630,322,845		359,963,340		4,456,612,221
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		615,642		—		615,642
Options
Credit Risk		—		—		553,850		553,850
Swap Contracts
Credit Risk		—		13,649,200		—		13,649,200
Total	$	466,326,036	$	3,644,587,687	$	360,517,190	$	4,471,430,913

65

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,280,279	)	$	—	$	(1,280,279	)
Swap Contracts
Credit Risk		—			(3,826,307	)		—		(3,826,307	)
Interest Rate Risk		—			(4,162,217	)		—		(4,162,217	)
Total	$	—		$	(9,268,803	)	$	—	$	(9,268,803	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	33,041,264		$	—	$	33,041,264
U.S. Government		150,087			—			—		150,087
TOTAL DEBT OBLIGATIONS		150,087			33,041,264			—		33,191,351
Short-Term Investments		54,254,742			9,090,984			—		63,345,726
Total Investments		54,404,829			42,132,248			—		96,537,077
Derivatives^
Futures Contracts
Interest Rate Risk	$	20,860		$	—		$	—	$	20,860
Swap Contracts
Credit Risk		—			2,560,070			—		2,560,070
Interest Rate Risk		—			599,621			—		599,621
Total	$	54,425,689		$	45,291,939		$	—	$	99,717,628
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(9,318	)	$	—	$	(9,318	)
Futures Contracts
Interest Rate Risk		(8,620	)		—			—		(8,620	)
Written Options
Credit Risk		—			(82,538	)		—		(82,538	)
Swap Contracts
Credit Risk		—			(651,005	)		—		(651,005	)
Total	$	(8,620	)	$	(742,861	)	$	—	$	(751,481	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	52,630,280		$	—	$	52,630,280
U.S. Government Agency		—			26,027,657			—		26,027,657
TOTAL DEBT OBLIGATIONS		—			78,657,937			—		78,657,937
Investment Funds		50,860,891			—			—		50,860,891
Mutual Funds		47,679,663			—			—		47,679,663
Short-Term Investments		7,144,361			24,771,807			—		31,916,168
Total Investments		105,684,915			103,429,744			—		209,114,659

66

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	422,637		$	—	$	422,637
Futures Contracts
Interest Rate Risk		94,746			—			—		94,746
Swap Contracts
Interest Rate Risk		—			693,716			—		693,716
Total	$	105,779,661		$	104,546,097		$	—	$	210,325,758
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(943,762	)	$	—	$	(943,762	)
Futures Contracts
Interest Rate Risk		(27,779	)		—			—		(27,779	)
Swap Contracts
Interest Rate Risk		—			(2,073,108	)		—		(2,073,108	)
Total	$	(27,779	)	$	(3,016,870	)	$	—	$	(3,044,649	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	641,523,816		$	28,936,383	$	670,460,199
Corporate Debt		—			8,915,631			—		8,915,631
U.S. Government		96,027,619			—			—		96,027,619
U.S. Government Agency		—			10,182,346			8,777,026		18,959,372
TOTAL DEBT OBLIGATIONS		96,027,619			660,621,793			37,713,409		794,362,821
Mutual Funds		11,003,541			—			—		11,003,541
Short-Term Investments		205,705,080			—			—		205,705,080
Total Investments		312,736,240			660,621,793			37,713,409		1,011,071,442
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,784			—		2,784
Futures Contracts
Interest Rate Risk		95,649			—			—		95,649
Swap Contracts
Credit Risk		—			21,829,542			—		21,829,542
Interest Rate Risk		—			1,687,223			—		1,687,223
Total	$	312,831,889		$	684,141,342		$	37,713,409	$	1,034,686,640

67

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(10,462,109	)	$	—	$	(10,462,109	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(3,089	)		—		(3,089	)
Futures Contracts
Interest Rate Risk		(11,310	)		—			—		(11,310	)
Written Options
Credit Risk		—			(6,205	)		—		(6,205	)
Swap Contracts
Credit Risk		—			(12,403,553	)		—		(12,403,553	)
Interest Rate Risk		—			(268,053	)		—		(268,053	)
Total	$	(11,310	)	$	(23,143,009	)	$	—	$	(23,154,319	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	303,176,571		$	—		$	—	$	303,176,571
Total Investments		303,176,571			—			—		303,176,571
Total	$	303,176,571		$	—		$	—	$	303,176,571

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds 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 August 31, 2021.

68

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

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

	Balances as of February 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3		Transfer out of Level 3			Balances as of August 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	27,230,315	$	—	$	—		$	(864	)	$	—		$	(244,068	)	$	—	$	—		$	26,985,383	$	(244,068	)
Foreign Government Agency		91,338,775		—		—			9,218,435			—			(10,111,019	)		—		—			90,446,191		(10,111,019	)
Foreign Government Obligations		141,279,144		17,664		(3,206,335	)		11,744,159			—			(6,548,290	)		—		—			143,286,342		(6,548,290	)
Loan Assignments		23,371,890		38,040,922		(2,185,729	)		765,029			(181	)		685,107			—		—			60,677,038		685,859
Loan Participations		39,866,840		3,975,000		(13,206,897	)		970,997			462,245			6,478,545			—		—			38,546,730		6,478,545
Rights/Warrants		34,800		—		—			—			—			(13,144	)		—		—			21,656		(13,144	)
Total Investments		323,121,764		42,033,586		(18,598,961	)		22,697,756			462,064			(9,752,869	)		—		—			359,963,340		(9,752,117	)
Derivatives
Options		390,519		—		—			—			637,313			(473,982	)		—		—			553,850		408,882
Total	$	323,512,283	$	42,033,586	$	(18,598,961	)#	$	22,697,756		$	1,099,377		$	(10,226,851	)	$	—	$	—		$	360,517,190	$	(9,343,235	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	42,612,548	$	—	$	(3,042,444	)	$	121,632		$	(84,260	)	$	1,474,589		$	—	$	(12,145,682	)‡	$	28,936,383	$	1,520,108
U.S. Government Agency		9,938,002		—		(1,221,250	)		—			16,405			43,869			—		—			8,777,026		43,869
Total	$	52,550,550	$	—	$	(4,263,694	)##	$	121,632		$	(67,855	)	$	1,518,458		$	—	$	(12,145,682	)	$	37,713,409	$	1,563,977

# Includes $12,468,847 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $4,263,695 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 period ended August 31, 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)
Emerging Country Debt Fund
Foreign Government Obligations		45,854,980	Fair Value	Discount for lack of liquidity/marketability	1.40% (N/A)
Corporate Debt		26,985,383	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations		8,180,584	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.00%)
Warrants		21,656	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options		553,850	Fair Value	Probability of CDS threshold event	<5% (N/A)

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Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Opportunistic Income Fund
Asset-Backed Securities		—	Fair Value	Probability and timing of cash flow receipt	10-90% (N/A)
Asset-Backed Securities		21,604,671	Fair Value	Broker mark of comparable bond	N/A
Government Agency		8,777,026	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 August 31, 2021, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $278,920,737 and $7,331,712, 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 party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of

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

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 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		20,056,936		19,923,002

As of August 31, 2021, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities Plc with a gross value of $20,056,936. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2021, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

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

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

	August 31, 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
Corporate Debt	$	—	$	—	$	—	$	—	$	3,666,906	$	3,666,906
Non-U.S. Government Debt Obligations		—		—		—		—		16,390,030		16,390,030
Total borrowings	$	—	$	—	$	—	$	—	$	20,056,936	$	20,056,936

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Inflation-indexed bonds

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

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

Delayed delivery commitments and when-issued securities

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

Short sales

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

Taxes and distributions

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

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant

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

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, certain Funds elected to defer to March 1, 2021 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Loss Deferral ($)
Asset Allocation Bond Fund		(12,156)		(64,953)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund		(2,819,162)		—
Opportunistic Income Fund		—		—
U.S. Treasury Fund		—		—

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		(291,118)		(23,318,639)
Opportunistic Income Fund		—		(59,208,878)
U.S. Treasury Fund		—		—

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As of August 31, 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		74,361,519		1,861,127		—			1,861,127			—
Emerging Country Debt Fund		4,877,186,175		277,925,196		(698,499,150	)		(420,573,954	)		(16,730,219	)
High Yield Fund		94,937,660		1,644,073		(44,656	)		1,599,417			983,028
Multi-Sector Fixed Income Fund		201,645,566		10,124,839		(2,655,746	)		7,469,093			(1,834,421	)
Opportunistic Income Fund		1,034,693,647		20,866,497		(54,950,811	)		(34,084,314	)		(7,318,169	)
U.S. Treasury Fund		303,123,673		54,896		(1,998	)		52,898			—

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 August 31, 2021, each Fund has determined that no tax liability is required to be accrued 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

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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 increase or decrease 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 purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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

⁽¹⁾  For the periods from July 31, 2020 to May 18, 2021, 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 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, 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	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
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 as a result of its investment in 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; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of the collateral held by the Fund (if any).

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

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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 (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.

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.”

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 investment 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.

• 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 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 any). 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 be able to do so only 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. The use of derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include, but are not limited to, futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts.

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

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A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., 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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.

OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared derivative positions. Also, as a general matter, in contrast to an OTC 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. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and an 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

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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 OTC 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 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 will be executed successfully and others 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 OTC 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.

In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.

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 OTC derivatives. The cost of derivatives transactions could 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. 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.

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

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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 exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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 have more exposure to regional and country economic risks than do funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”

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

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

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

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

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

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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.

• FUTURES CONTRACTS RISK. The 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 requires a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and as a result a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that 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 subject to 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 and that could occur 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 an increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and 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 and its affiliated entities may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it also may impose sanctions or restrictions. In addition, the CFTC recently adopted rules that, once effective, will expand materially the contracts subject to federal limits. As a result of those limits, positions held by other GMO clients or by GMO or its affiliates could prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

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Neither the contracts nor the foreign exchanges of futures contracts traded on exchanges outside the United States are subject to regulation by the CFTC or other U.S. regulators. U.S. regulators lack the power to compel enforcement of the rules of those exchanges or the laws of the country where they are located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. futures 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 or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests, or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.

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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. 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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.

A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request that ultimately is not received or differs in size

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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 (if any). 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, in relying on GMO to achieve its investment objective, it 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. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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, corrupting, or preventing access to 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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. 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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may

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adversely affect the value of a Fund’s investments. 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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela. These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations (such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.

A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.

• 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 on their payment obligations and the value of the principal payments they otherwise would have made 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.

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. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business likely would have a material impact on the many asset-backed securities it services. The obligations underlying an asset-backed security, particularly a security backed by a pool 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 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.

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.

During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, may result in increased delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.

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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. 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.”

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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. High Yield Fund and Multi-Sector Fixed Income 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.

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.

GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund.

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 companies 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 and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign investment), capital controls and limitations on repatriation of invested

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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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.

• 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.

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, 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

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ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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

For Funds that held derivatives during the period ended August 31, 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		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)
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				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
Hedge non-core equity exposure						X
Adjust portfolio beta		X
Generate long risk exposure to an index				X

Forward currency contracts

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

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

Futures contracts

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

Options

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

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

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

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

Swap contracts

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

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

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

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

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

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

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

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

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or

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

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

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2021 and the Statements of Operations for the period ended August 31, 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	$	—		$	615,642		$	—		$	615,642
Options, at value		553,850			—			—			553,850
Swap Contracts, at value¤		13,649,200			—			—			13,649,200
Total	$	14,203,050		$	615,642		$	—		$	14,818,692
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(1,280,279	)	$	—		$	(1,280,279	)
Swap Contracts, at value¤		(3,826,307	)		—			(4,162,217	)		(7,988,524	)
Total	$	(3,826,307	)	$	(1,280,279	)	$	(4,162,217	)	$	(9,268,803	)

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Emerging Country Debt Fund (continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	6,626,448		$	—		$	6,626,448
Options		637,313			—			—			637,313
Swap Contracts		(5,553,053	)		—			71,195			(5,481,858	)
Total	$	(4,915,740	)	$	6,626,448		$	71,195		$	1,781,903
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(319,626	)	$	—		$	(319,626	)
Options		(473,982	)		—			—			(473,982	)
Swap Contracts		(2,740,156	)		—			(3,843,321	)		(6,583,477	)
Total	$	(3,214,138	)	$	(319,626	)	$	(3,843,321	)	$	(7,377,085	)
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—		$	—		$	20,860		$	20,860
Swap Contracts, at value¤		2,560,070			—			599,621			3,159,691
Total	$	2,560,070		$	—		$	620,481		$	3,180,551
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(8,620	)	$	(8,620	)
Unrealized Depreciation on Forward Currency Contracts		—			(9,318	)		—			(9,318	)
Written Options, at value		(82,538	)		—			—			(82,538	)
Swap Contracts, at value¤		(651,005	)		—			—			(651,005	)
Total	$	(733,543	)	$	(9,318	)	$	(8,620	)	$	(751,481	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	26,629		$	26,629
Forward Currency Contracts		—			559,024			—			559,024
Swap Contracts		964,391			—			653,724			1,618,115
Total	$	964,391		$	559,024		$	680,353		$	2,203,768
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(273,716	)	$	—		$	(273,716	)
Futures Contracts		—			—			72,297			72,297
Written Options		98,853			—			—			98,853
Swap Contracts		(193,397	)		—			727,803			534,406
Total	$	(94,544	)	$	(273,716	)	$	800,100		$	431,840
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	422,637		$	—		$	422,637
Unrealized Appreciation on Futures Contracts¤		—			—			94,746			94,746
Swap Contracts, at value¤		—			—			693,716			693,716
Total	$	—		$	422,637		$	788,462		$	1,211,099
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(943,762	)	$	—		$	(943,762	)
Unrealized Depreciation on Futures Contracts¤		—			—			(27,779	)		(27,779	)
Swap Contracts, at value¤		—			—			(2,073,108	)		(2,073,108	)
Total	$	—		$	(943,762	)	$	(2,100,887	)	$	(3,044,649	)

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Multi-Sector Fixed Income Fund (continued)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	981,183		$	981,183
Forward Currency Contracts		—			2,510,668			—			2,510,668
Swap Contracts		—			—			(6,665,826	)		(6,665,826	)
Total	$	—		$	2,510,668		$	(5,684,643	)	$	(3,173,975	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	(1,559,028	)	$	—		$	(1,559,028	)
Futures Contracts		—			—			254,406			254,406
Swap Contracts		—			—			(1,817,325	)		(1,817,325	)
Total	$	—		$	(1,559,028	)	$	(1,562,919	)	$	(3,121,947	)
Opportunistic Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	2,784		$	—		$	2,784
Unrealized Appreciation on Futures Contracts¤		—			—			95,649			95,649
Swap Contracts, at value¤		21,829,542			—			1,687,223			23,516,765
Total	$	21,829,542		$	2,784		$	1,782,872		$	23,615,198
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(3,089	)	$	—		$	(3,089	)
Unrealized Depreciation on Futures Contracts¤		—			—			(11,310	)		(11,310	)
Swap Contracts, at value¤		(12,403,553	)		—			(268,053	)		(12,671,606	)
Written Options, at value		(6,205	)		—			—			(6,205	)
Total	$	(12,409,758	)	$	(3,089	)	$	(279,363	)	$	(12,692,210	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	2,359,093		$	2,359,093
Written Options		814,956			—			—			814,956
Forward Currency Contracts		—			10,523			—			10,523
Swap Contracts		(3,189,418	)		—			(230,995	)		(3,420,413	)
Total	$	(2,374,462	)	$	10,523		$	2,128,098		$	(235,841	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	396		$	—		$	396
Futures Contracts		—			—			381,137			381,137
Written Options		(14,894	)		—			—			(14,894	)
Swap Contracts		(756,728	)		—			(1,364,593	)		(2,121,321	)
Total	$	(771,622	)	$	396		$	(983,456	)	$	(1,754,682	)

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral 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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 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 August 31, 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
Bank of America, N.A.	$	519,198		$	(519,198	)	$	—		$	—	*
Citibank N.A.		134,816			—			(134,816	)		—
Deutsche Bank AG		2,995,961			—			(2,995,961	)		—
Goldman Sachs International		4,968,652			(4,819,231	)		—			149,421
JPMorgan Chase Bank, N.A.		1,086,013			—			(1,086,013	)		—
Morgan Stanley Capital Services LLC		1,709,651			(1,709,651	)		—			—	*
Total	$	11,414,291		$	(7,048,080	)	$	(4,216,790	)	$	149,421
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Citibank N.A.	$	(138,895	)	$	—		$	134,816		$	(4,079	)
Deutsche Bank AG		(3,192,873	)		196,912			2,995,961			—	*
JPMorgan Chase Bank, N.A.		(1,103,908	)		—			1,086,013			(17,895	)
Morgan Stanley & Co. International PLC		(434,663	)		224,903			—			(209,760	)
Total	$	(4,870,339	)	$	421,815		$	4,216,790		$	(231,734	)

98

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	10,941		$	—		$	—		$	10,941
Barclays Bank PLC		37,196			—			—			37,196
Goldman Sachs International		3,585			—			(3,585	)		—
Morgan Stanley & Co. International PLC		31,676			—			(9,318	)		22,358
Morgan Stanley Capital Services LLC		516,223			(270,000	)		—			246,223
Total	$	599,621		$	(270,000	)	$	(12,903	)	$	316,718
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	(82,538	)	$	—		$	3,585			(78,953	)
Morgan Stanley & Co. International PLC		(9,318	)		—			9,318			—
Total	$	(91,856	)	$	—		$	12,903		$	(78,953	)

Multi-Sector Fixed 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.	$	4,709		$	(2,048	)	$	(2,661	)	$	—	*
Barclays Bank PLC		80,165			—			(80,165	)		—
Citibank N.A.		33,042			—			(13,966	)		19,076
Deutsche Bank AG		10,868			—			(10,868	)		—
Goldman Sachs International		641			—			(641	)		—
JPMorgan Chase Bank, N.A.		112,275			—			(112,275	)		—
Morgan Stanley & Co. International PLC		180,937			—			(180,937	)		—
Total	$	422,637		$	(2,048	)	$	(401,513	)	$	19,076
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	(2,661	)	$	—		$	2,661		$	—
Barclays Bank PLC		(95,595	)		—			80,165			(15,430	)
Citibank N.A.		(13,966	)		—			13,966			—
Deutsche Bank AG		(329,446	)		318,578			10,868			—	*
Goldman Sachs International		(1,498,841	)		—			641			(1,498,200	)
JPMorgan Chase Bank, N.A.		(286,670	)		143,903			112,275			(30,492	)
Morgan Stanley & Co. International PLC		(210,766	)		—			180,937			(29,829	)
Total	$	(2,437,945	)	$	462,481		$	401,513		$	(1,573,951	)

99

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Opportunistic Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	2,684,685		$	(2,665,972	)	$	(18,713	)	$	—	*
Citigroup Global Markets Inc.		1,832,980			(1,667,804	)		(165,176	)		—	*
Citibank N.A.		3,502,390			(2,991,348	)		(511,042	)		—	*
Deutsche Bank AG		338,427			(237,546	)		(100,881	)		—	*
Goldman Sachs International		9,478,359			(8,944,384	)		(533,975	)		—	*
JPMorgan Chase Bank, N.A.		1,962,488			(1,180,124	)		(782,364	)		—	*
Morgan Stanley & Co. International PLC		404,004			(376,024	)		(3,089	)		24,891
Morgan Stanley Capital Services LLC		1,363,266			(928,725	)		(434,541	)		—	*
Total	$	21,566,599		$	(18,991,927	)	$	(2,549,781	)	$	24,891
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.	$	(18,713	)	$	—		$	18,713		$	—
Barclays Bank PLC		(408,199	)		408,199			—			—	*
Citigroup Global Markets Inc.		(165,176	)		—			165,176			—
Citibank N.A.		(511,042	)		—			511,042			—
Credit Suisse International		(78,752	)		—			—			(78,752	)
Deutsche Bank AG		(100,881	)		—			100,881			—
Goldman Sachs International		(533,975	)		—			533,975			—
JPMorgan Chase Bank, N.A.		(782,364	)		—			782,364			—
Morgan Stanley & Co. International PLC		(3,089	)		—			3,089			—
Morgan Stanley Capital Services LLC		(434,541	)		—			434,541			—
Total	$	(3,036,732	)	$	408,199		$	2,549,781		$	(78,752	)

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

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		301,272,826		—		168,209,667		680,140,849
High Yield Fund		9,090,180		25,381,518		24,826,167		66,942,671
Multi-Sector Fixed Income Fund		153,095,642		95,107,145		—		563,473,820
Opportunistic Income Fund		6,072,966		105,891,076		113,916,433		958,981,390

100

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

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

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)  Since April 9, 2021 and 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%					0.055%
High Yield Fund		0.15%	*		0.10%	*		0.085%*		0.055%		0.15%*		0.15%*
Multi-Sector Fixed Income Fund		0.15%			0.10%							0.15%*		0.15%*
Opportunistic Income Fund		0.15%								0.055%		0.15%		0.15%

* Class is offered but has no shareholders as of August 31, 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 for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For High Yield Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, “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 to recover the expenses.

For the period ended August 31, 2021, GMO did not recoup any previously recorded waivers and/or reimbursements.

101

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

On August 31, 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		Expiring the year ending February 28, 2025
High Yield Fund, Class VI		$72,033		$    —		$    —		$17,632

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, 2022 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		1,821		220
Emerging Country Debt Fund		74,163		7,460
High Yield Fund		2,206		209
Multi-Sector Fixed Income Fund		4,779		508
Opportunistic Income Fund		14,910		1,528
U.S. Treasury Fund		6,245		570

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 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		0.103%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 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 period ended August 31, 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		74,289,270		231,417		116,457,903		4,920,000
Emerging Country Debt Fund		212,992,695		583,251,195		74,830,188		528,235,787
High Yield Fund		–		8,610,630		–		12,865,970
Multi-Sector Fixed Income Fund		156,042,855		88,827,254		155,339,742		76,498,385
Opportunistic Income Fund		362,927,286		171,485,375		287,806,075		126,259,296
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.

103

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

8. Principal shareholders as of August 31, 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
Asset Allocation Bond Fund		3*		97.50%
Emerging Country Debt Fund		1		17.23%
High Yield Fund		2		99.99%
Multi-Sector Fixed Income Fund		3*		76.25%
Opportunistic Income Fund		4#		67.49%
U.S. Treasury Fund		3*		50.81%

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

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

9. Share transactions

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

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		231,090		$	5,615,500			1,248,070		$	29,430,309
Shares issued to shareholders in reinvestment of distributions		—			—			16,888			403,791
Shares repurchased		(1,334,111	)		(31,912,234	)		(483,688	)		(10,905,583	)
Net increase (decrease)		(1,103,021	)	$	(26,296,734	)		781,270		$	18,928,517
Class VI:
Shares sold		620,376		$	15,117,924			433,703		$	10,053,052
Shares issued to shareholders in reinvestment of distributions		—			—			33,513			802,127
Shares repurchased		(1,504,870	)		(36,107,738	)		(6,482,285	)		(149,463,143	)
Net increase (decrease)		(884,494	)	$	(20,989,814	)		(6,015,069	)	$	(138,607,964	)
Emerging Country Debt Fund
Class III:
Shares sold		354,242		$	9,187,605			11,064,651		$	283,435,647
Shares issued to shareholders in reinvestment of distributions		945,467			24,411,957			3,930,574			101,703,325
Shares repurchased		(2,437,194	)		(62,825,336	)		(16,856,375	)		(444,395,888	)
Purchase premiums		—			152,659			—			490,114
Redemption fees		—			79,912			—			938,001
Net increase (decrease)		(1,137,485	)	$	(28,993,203	)		(1,861,150	)	$	(57,828,801	)

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		19,348,127		$	502,024,366			23,275,901		$	606,562,660
Shares issued to shareholders in reinvestment of distributions		3,226,269			83,140,959			10,246,489			264,614,402
Shares repurchased		(58,630,318	)		(1,518,810,048	)		(25,052,203	)		(649,166,175	)
Purchase premiums		—			499,782			—			1,390,217
Redemption fees		—			256,308			—			2,589,905
Net increase (decrease)		(36,055,922	)	$	(932,888,633	)		8,470,187		$	225,991,009
Class VI:(a)
Shares sold		43,538,977		$	1,127,223,343
Shares repurchased		(686,237	)		(18,000,000	)
Purchase premiums		—			7,857
Redemption fees		—			8,634
Net increase (decrease)		42,852,740		$	1,109,239,834
High Yield Fund
Class VI:
Shares sold		—		$	—			2,201,261		$	42,312,765
Shares issued to shareholders in reinvestment of distributions		362,854			7,271,601			178,442			3,585,146
Shares repurchased		—			—			(5,954,398	)		(121,289,116	)
Net increase (decrease)		362,854		$	7,271,601			(3,574,695	)	$	(75,391,205	)
Multi-Sector Fixed Income Fund
Class III:
Shares sold		198,808		$	4,000,000			812,914		$	17,690,556
Shares issued to shareholders in reinvestment of distributions		38,703			771,747			382,203			8,066,426
Shares repurchased		(967,731	)		(19,522,929	)		(3,258,411	)		(67,890,225	)
Net increase (decrease)		(730,220	)	$	(14,751,182	)		(2,063,294	)	$	(42,133,243	)
Class IV:
Shares sold		2,554,018		$	51,559,631			3,063,305		$	64,755,408
Shares issued to shareholders in reinvestment of distributions		193,216			3,868,185			1,036,159			22,030,270
Shares repurchased		(1,121,714	)		(22,646,659	)		(17,672,884	)		(384,748,994	)
Net increase (decrease)		1,625,520		$	32,781,157			(13,573,420	)	$	(297,963,316	)
Opportunistic Income Fund
Class III:(b)
Shares sold		532,932		$	13,800,000
Net increase (decrease)		532,932		$	13,800,000
Class VI:
Shares sold		857,000		$	22,158,879			2,091,345		$	53,827,718
Shares issued to shareholders in reinvestment of distributions		68,419			1,771,362			855,202			21,741,055
Shares repurchased		(1,560,184	)		(40,399,024	)		(16,058,148	)		(413,055,123	)
Net increase (decrease)		(634,765	)	$	(16,468,783	)		(13,111,601	)	$	(337,486,350	)

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Opportunistic Income Fund (continued)
Class R6:(c)
Shares sold		2,784,949		$	72,048,075
Shares issued to shareholders in reinvestment of distributions		831			21,446
Shares repurchased		(53,683	)		(1,389,607	)
Net increase (decrease)		2,732,097		$	70,679,914
Class I:
Shares sold		3,368,945		$	87,161,418			16,150,520		$	413,015,196
Shares issued to shareholders in reinvestment of distributions		44,106			1,139,694			92,094			2,336,633
Shares repurchased		(1,065,070	)		(27,563,407	)		(940,346	)		(23,853,407	)
Net increase (decrease)		2,347,981		$	60,737,705			15,302,268		$	391,498,422
U.S. Treasury Fund
Core Class:
Shares sold		159,552,843		$	803,953,892			373,331,155		$	1,880,713,417
Shares issued to shareholders in reinvestment of distributions		28,144			141,686			72,372			364,660
Shares repurchased		(175,283,465	)		(883,190,663	)		(341,823,451	)		(1,722,028,633	)
Net increase (decrease)		(15,702,478	)	$	(79,095,085	)		31,580,076		$	159,049,444

^(a)  The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 28, 2021 (commencement of operations) through August 31, 2021.

^(b)  The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from July 21, 2021 (commencement of operations) through August 31, 2021.

^(c)  The period under the heading “Six Months Ended August 31, 2021 (Unaudited)” represents the period from May 19, 2021 (commencement of operations) through August 31, 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 period ended August 31, 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	$	5,000,835	$	231,417	$	4,920,000	$	599	$	819	$	(597	)	$	2	$	311,657
Emerging Country Debt Fund
GMO U.S. Treasury Fund	$	74,784,247	$	—	$	—	$	28,999	$	37,095	$	—		$	—	$	74,784,247

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class IV	$	8,584,702	$	2,000,000	$	11,866,039	$	123,288	$	176,281	$	(145,567	)	$	1,426,904		$	—
GMO Emerging Country Debt Fund, Class VI		—		10,866,039		—		—		—		—			(1,022,339	)		9,843,700
GMO Opportunistic Income Fund, Class VI		27,641,535		4,100,000		—		135,621		—		—			198,140			31,939,675
GMO U.S. Treasury Fund		14,825,453		15,510,000		24,450,000		2,844		2,046		346			10,489			5,896,288
Totals	$	51,051,690	$	32,476,039	$	36,316,039	$	261,753	$	178,327	$	(145,221	)	$	613,194		$	47,679,663
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	11,003,541	$	—	$	—	$	4,267	$	5,458	$	—		$	—		$	11,003,541

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

107

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2021 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

108

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

109

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO High Yield Fund

Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees

110

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Multi-Sector Fixed Income Fund

Approval of renewal of management agreement for GMO Multi-Sector Fixed Income Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

111

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the

112

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

113

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2021 (Unaudited)

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

114

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2021 (Unaudited)

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

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

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

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

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

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

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

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2021 addressing the Program’s operation, adequacy and effectiveness.

115

GMO Trust Funds

Fund Expenses

August 31, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 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, March 1, 2021 through August 31, 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 March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,043.20		$2.11		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,044.00		$1.65		$1,000.00		$1,023.59		$1.63		0.32%
Emerging Country Debt Fund
Class III		$1,000.00		$1,057.50		$2.75		$1,000.00		$1,022.53		$2.70		0.53%
Class IV		$1,000.00		$1,057.50		$2.49		$1,000.00		$1,022.79		$2.45		0.48%
Class VI(a)		$1,000.00		$1,013.10		$0.40		$1,000.00		$1,022.99		$2.24		0.44%
High Yield Fund
Class VI		$1,000.00		$1,044.60		$2.68		$1,000.00		$1,022.58		$2.65		0.52%
Multi-Sector Fixed Income Fund
Class III		$1,000.00		$1,027.00		$2.09		$1,000.00		$1,023.14		$2.09		0.41%
Class IV		$1,000.00		$1,027.40		$1.84		$1,000.00		$1,023.39		$1.84		0.36%
Opportunistic Income Fund
Class III(b)		$1,000.00		$1,001.50		$0.63		$1,000.00		$1,022.38		$2.85		0.56%
Class VI		$1,000.00		$1,010.50		$2.38		$1,000.00		$1,022.84		$2.40		0.47%
Class R6(c)		$1,000.00		$1,006.80		$1.60		$1,000.00		$1,022.38		$2.85		0.56%
Class I		$1,000.00		$1,009.00		$3.34		$1,000.00		$1,021.88		$3.36		0.66%
U.S. Treasury Fund
Core		$1,000.00		$1,000.90		$0.10		$1,000.00		$1,025.11		$0.10		0.02%

116

GMO Trust Funds

Fund Expenses

August 31, 2021 (Unaudited)

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

^(a)  For the period July 28, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 33 days in the period, divided by 365 days in the year.

^(b)  For the period July 21, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 41 days in the period, divided by 365 days in the year.

^(c)  For the period May 19, 2021 (commencement of operations) through August 31, 2021, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2021, multiplied by the average account value over the period, multiplied by 104 days in the period, divided by 365 days in the year.

117

SR-083121-FI

GMO Trust

Semiannual Report

August 31, 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
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	16
Schedule of Investments	17
Benchmark-Free Fund
Investment Concentration Summary	18
Schedule of Investments	19
Global Asset Allocation Fund
Investment Concentration Summary	42
Schedule of Investments	43
Global Developed Equity Allocation Fund
Investment Concentration Summary	44
Schedule of Investments	45
Global Equity Allocation Fund
Investment Concentration Summary	46
Schedule of Investments	47
Implementation Fund
Investment Concentration Summary	48
Schedule of Investments	49
International Developed Equity Allocation Fund
Investment Concentration Summary	77
Schedule of Investments	78
International Equity Allocation Fund
Investment Concentration Summary	79
Schedule of Investments	80
SGM Major Markets Fund
Investment Concentration Summary	81
Schedule of Investments	82
Strategic Opportunities Allocation Fund
Investment Concentration Summary	85
Schedule of Investments	86
Portfolio, Counterparty and Currency Abbreviations	97
Fund Financial Statements:
Statements of Assets and Liabilities	98
Statements of Operations	104
Statements of Changes in Net Assets	107
Financial Highlights	113
Notes to Financial Statements	126
Board Review of Investment Management Agreements	189
Liquidity Risk Management Program	202
Fund Expenses	203

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		66.0	%
Debt Obligations		23.0
Investment Funds		1.5
Short-Term Investments		0.4
Swap Contracts		0.4
Preferred Stocks		0.2
Rights/Warrants		0.1
Purchased Options		0.0	^
Written Options		(0.0	)^
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.5	)
Securities Sold Short		(42.6	)
Other		51.6
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		2.2	%
Other Developed		0.0	^‡
		2.2	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		17.8	%
China		2.1
Other Emerging		2.7	†
Germany		1.6
Canada		1.3
Other Developed		0.8	‡
		26.3	%

(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% .

1

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 66.5%
		Australia — 1.0%
	3,942	Afterpay Ltd *		383,436
	126	BHP Group Ltd		4,169
	28,580	BlueScope Steel Ltd		522,509
	13,081	Brambles Ltd		115,627
	115	Computershare Ltd		1,382
	54,568	Dexus (REIT)		424,649
	21,960	Fortescue Metals Group Ltd		334,786
	123,772	GPT Group (The) (REIT)		438,185
	98,612	Mirvac Group (REIT)		224,577
	4,665	Rio Tinto Ltd		379,568
	117,936	Scentre Group (REIT)		245,292
	52,203	Stockland (REIT)		175,918
		Total Australia		3,250,098
		Belgium — 0.2%
	8,759	Ageas SA/NV (a)		437,713
	3,102	UCB SA		354,897
		Total Belgium		792,610
		Canada — 2.0%
	7,100	Canadian Apartment Properties (REIT)		343,900
	1,100	Canadian Tire Corp Ltd – Class A		167,400
	100	Fairfax Financial Holdings Ltd (a)		44,265
	3,700	Imperial Oil Ltd		97,922
	1,800	Linamar Corp		101,981
	5,900	Magna International Inc		465,911
	4,300	Power Corp of Canada (a)		148,394
	700	RioCan Real Estate Investment Trust (REIT)		12,434
	181,041	Shaw Communications Inc – Class B		5,327,985
	800	West Fraser Timber Co Ltd		61,773
		Total Canada		6,771,965
		China — 1.2%
	64,000	Agile Group Holdings Ltd		73,394
	600	Autohome Inc ADR		26,556
	587,000	Bank of Communications Co Ltd – Class H		337,116
	26,000	Beijing Enterprises Holdings Ltd		89,477
	194,000	China Communications Services Corp Ltd – Class H		103,092
	4,506,000	China Huarong Asset Management Co Ltd – Class H * (b)		440,319
	151,000	China Overseas Land & Investment Ltd		347,857
	624,000	China Railway Group Ltd – Class H		298,849
	308,000	China Zhongwang Holdings Ltd *		66,841
	30,000	Chongqing Rural Commercial Bank Co Ltd – Class H		11,476
	84,000	CITIC Ltd		104,364
	396,000	Dongfeng Motor Group Co Ltd – Class H		433,616

Shares		Description	Value ($)
		China — continued
	44,000	Fosun International Ltd		55,656
	193,600	Guangzhou R&F Properties Co Ltd – Class H		165,065
	26,600	Hello Group Inc Sponsored ADR		349,524
	23,000	Kingboard Holdings Ltd		113,089
	38,000	Seazen Group Ltd *		33,656
	50,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		99,787
	110,500	Shimao Group Holdings Ltd		228,328
	93,600	Sinopharm Group Co Ltd – Class H		240,880
	246,000	Skyworth Group Ltd *		76,853
	57,000	Sunac China Holdings Ltd		145,739
	390,780	Yuzhou Group Holdings Co Ltd		75,317
		Total China		3,916,851
		Denmark — 0.4%
	35	AP Moller – Maersk A/S – Class A		94,848
	44	AP Moller – Maersk A/S – Class B		125,345
	179	Carlsberg A/S – Class B		31,265
	27,432	Danske Bank A/S		460,323
	3,807	Pandora A/S		456,323
		Total Denmark		1,168,104
		Finland — 0.1%
	74,786	Nokia Oyj *		449,249
		France — 0.4%
	744	ArcelorMittal SA		24,954
	4,541	BNP Paribas SA		287,672
	12,187	Orange SA		138,556
	6,000	Publicis Groupe SA		393,900
	15,840	Societe Generale SA		498,550
		Total France		1,343,632
		Germany — 2.4%
	7,150	Bayer AG (Registered)		397,760
	2,686	Bayerische Motoren Werke AG		254,952
	6,088	Daimler AG (Registered)		513,552
	49,604	Dialog Semiconductor Plc * (a)		3,942,799
	7,881	Fresenius SE & Co KGaA		409,759
	2,140	SAP SE		321,449
	14,429	Siltronic AG (a)		2,357,769
		Total Germany		8,198,040
		Hong Kong — 0.3%
	65,500	CK Hutchison Holdings Ltd		477,502
	122,000	First Pacific Co Ltd		45,484
	54,000	Kerry Properties Ltd		183,719
	454,000	PCCW Ltd		236,766
	500	Swire Pacific Ltd – Class A		3,385
		Total Hong Kong		946,856

2 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		India — 0.2%
	9,201	Hindustan Petroleum Corp Ltd		33,590
	21,314	Indian Oil Corp Ltd		32,328
	77,944	NTPC Ltd		123,449
	217,324	Oil & Natural Gas Corp Ltd		357,131
	66,616	REC Ltd		138,053
		Total India		684,551
		Israel — 0.2%
	2,400	Check Point Software Technologies Ltd *		301,512
	43,900	Teva Pharmaceutical Industries Ltd Sponsored ADR *		413,538
		Total Israel		715,050
		Italy — 0.4%
	5,396	EXOR NV (a)		450,207
	25,498	Leonardo SPA *		207,617
	289,452	Telecom Italia SPA		131,142
	833,317	Telecom Italia SPA – RSP		402,601
		Total Italy		1,191,567
		Japan — 2.1%
	800	Aisin Corp		30,537
	46,800	Asahi Kasei Corp		482,512
	10,200	Astellas Pharma Inc		171,869
	6,500	Daiwa House Industry Co Ltd		198,209
	7,100	Electric Power Development Co Ltd		106,064
	15,700	Honda Motor Co Ltd		475,186
	74,300	Inpex Corp		510,507
	16,800	ITOCHU Corp		505,363
	100	Kansai Electric Power Co Inc (The)		1,005
	13,000	KDDI Corp		397,350
	100	MEIJI Holdings Co Ltd		6,150
	20,100	Nippon Telegraph & Telephone Corp		535,520
	55,700	Obayashi Corp		458,321
	27,800	ORIX Corp (a)		518,678
	24,800	Sekisui House Ltd		494,095
	35,100	Shimizu Corp		251,877
	2,600	Subaru Corp		48,120
	36,500	Sumitomo Chemical Co Ltd		185,041
	26,700	Sumitomo Dainippon Pharma Co Ltd		479,267
	2,100	Suzuki Motor Corp		90,743
	8,300	Taisei Corp		259,670
	14,500	TIS Inc		409,329
	145,000	Tokyo Electric Power Co Holdings Inc *		380,858
	11,500	Tosoh Corp		208,730
		Total Japan		7,205,001
		Malaysia — 0.0%
	30,100	Top Glove Corp Bhd		28,961

Shares		Description	Value ($)
		Netherlands — 0.7%
	693	Aegon NV (a)		3,422
	8,200	AerCap Holdings NV *		442,226
	39,013	ING Groep NV		538,160
	2,697	JDE Peet’s NV		92,687
	1	Just Eat Takeaway.com NV Sponsored ADR *		18
	14,040	Koninklijke Ahold Delhaize NV		473,674
	11,585	Koninklijke KPN NV		37,111
	7,705	NN Group NV (a)		399,679
	1,027	Randstad NV		75,635
	1,751	Wolters Kluwer NV		201,366
		Total Netherlands		2,263,978
		New Zealand — 0.1%
	69,320	Meridian Energy Ltd		256,026
		South Africa — 0.1%
	23,340	Bidvest Group Ltd (The)		329,098
	5,138	Old Mutual Ltd		5,431
		Total South Africa		334,529
		South Korea — 0.0%
	665	Kia Corp		48,647
		Spain — 0.3%
	79,722	Banco Bilbao Vizcaya Argentaria SA *		521,780
	140,139	Banco Santander SA *		516,728
	36	Enagas SA		819
	3,462	Red Electrica Corp SA		69,045
		Total Spain		1,108,372
		Sweden — 0.1%
	11,259	Investor AB – B Shares (a)		269,300
	479	Kinnevik AB – Class B * (a)		18,768
	1,306	Skanska AB – B Shares		37,649
	1,280	Svenska Cellulosa AB SCA – Class B		22,622
		Total Sweden		348,339
		Switzerland — 0.1%
	6,808	Adecco Group AG (Registered)		378,711
	9	Swisscom AG (Registered)		5,282
		Total Switzerland		383,993
		Taiwan — 0.0%
	55,000	Ruentex Development Co Ltd		137,355
		United Kingdom — 1.5%
	82	AstraZeneca Plc Sponsored ADR		4,779
	228,512	Avast Plc		1,879,340
	25,334	Aviva Plc(a)		140,809

See accompanying notes to the financial statements. 3

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	7,350	Berkeley Group Holdings Plc (The)		488,221
	202,658	BT Group Plc *		473,734
	7,721	Coca-Cola HBC AG *		279,461
	67,601	Kingfisher Plc		325,500
	153,452	M&G Plc (a)		434,676
	58,947	Micro Focus International Plc		360,513
	1,715	Smiths Group Plc		34,038
	88,692	Taylor Wimpey Plc		223,263
	27,608	WPP Plc		374,333
		Total United Kingdom		5,018,667
		United States — 52.7%
	227,193	Aerojet Rocketdyne Holdings, Inc.		9,433,053
	2,700	Aflac, Inc. (a)		153,036
	200	Akamai Technologies, Inc. *		22,650
	4,700	Alliance Data Systems Corp.		461,117
	8,100	Ally Financial, Inc. (a)		428,490
	1	Analog Devices, Inc.		111
	1,100	Anthem, Inc.		412,643
	100	Archer-Daniels-Midland Co.		6,000
	4,300	Arrow Electronics, Inc. *		521,246
	15,200	AT&T, Inc.		416,784
	123,508	Athene Holding Ltd. – Class A * (a)		8,271,331
	100	Bank of New York Mellon Corp. (The) (a)		5,522
	5,100	Bed Bath & Beyond, Inc. *		140,454
	1,700	Best Buy Co., Inc.		198,067
	300	Bio-Rad Laboratories, Inc. – Class A *		241,446
	1,400	Biogen, Inc. *		474,474
	300	Booz Allen Hamilton Holding Corp.		24,573
	7,700	BorgWarner, Inc.		328,636
	3,200	Capital One Financial Corp. (a)		531,104
	2,700	Cardinal Health, Inc.		141,723
	9,100	Carrier Global Corp.		524,160
	5,200	CBRE Group, Inc. – Class A *		500,760
	6,200	Centene Corp. *		390,476
	470,315	Change Healthcare, Inc. *		10,266,977
	2,300	Cigna Corp.		486,795
	7,600	Citigroup, Inc.		546,516
	8,400	Citizens Financial Group, Inc.		367,836
	5,300	Cognizant Technology Solutions Corp. – Class A		404,443
	31,116	Coherent, Inc. *		7,862,080
	9,200	Comcast Corp. – Class A		558,256
	100	Consolidated Edison, Inc.		7,545
	8,700	Corteva, Inc.		382,539
	2,300	Coty Inc. – Class A *		22,471
	6,600	CVS Health Corp.		570,174
	1,700	Discover Financial Services (a)		217,974
	700	Discovery, Inc. – Class A *		20,188
	12,200	DISH Network Corp. – Class A *		531,798
	5,300	DR Horton, Inc.		506,786

Shares		Description	Value ($)
		United States — continued
	4,600	eBay, Inc.		353,004
	6,800	Exelon Corp.		333,336
	100	Exxon Mobil Corp.		5,452
	1,900	Fidelity National Financial, Inc. (a)		92,777
	17,891	Five9, Inc. *		2,830,893
	19,803	Flagstar Bancorp, Inc.		979,456
	1,200	FleetCor Technologies, Inc. *		315,936
	37,100	Ford Motor Co. *		483,413
	600	Fortune Brands Home & Security, Inc.		58,422
	2,900	Fox Corp. – Class A		108,576
	53,715	Fox Corp. – Class B		1,860,150
	2,100	Franklin Resources, Inc. (a)		68,124
	9,200	General Motors Co. *		450,892
	100	General Mills, Inc.		5,781
	6,700	Gilead Sciences, Inc.		487,626
	900	Goldman Sachs Group, Inc. (The) (a)		372,159
	100	Hartford Financial Services Group, Inc. (The) (a)		6,722
	15,300	HP, Inc.		455,022
	2,400	IAC/InterActiveCorp *		316,920
	130,460	IHS Markit Ltd.		15,733,476
	500	Incyte Corp. *		38,245
	8,600	Intel Corp. (a)		464,916
	100	International Paper Co.		6,009
	3,700	International Business Machines Corp.		519,258
	17,000	Invesco Ltd. (a)		430,440
	2,600	Jazz Pharmaceuticals Plc *		342,446
	31,978	Kansas City Southern		8,975,265
	30,200	Kinder Morgan, Inc.		491,354
	8,000	Kohl’s Corp.		459,200
	7,200	Kraft Heinz Co. (The)		259,128
	10,800	Kroger Co. (The)		497,124
	1,600	Laboratory Corp. of America Holdings *		485,408
	300	Lear Corp.		47,982
	2,800	Leidos Holdings, Inc.		274,708
	4,800	Lennar Corp. – Class A		515,088
	6,676	Liberty Broadband Corp. – Class C *		1,277,252
	7,700	Lincoln National Corp. (a)		528,605
	7,200	LKQ Corp. *		379,368
	36,600	Lumen Technologies, Inc.		450,180
	5,100	LyondellBasell Industries NV – Class A		511,785
	100	Masco Corp.		6,072
	1,000	Medical Properties Trust, Inc. (REIT)		20,480
	2,500	Merck & Co., Inc.		190,725
	8,600	MetLife, Inc. (a)		533,200
	5,800	Micron Technology, Inc. * (a)		427,460
	1,300	Mohawk Industries, Inc. *		257,088
	9,200	Molson Coors Brewing Co. – Class B		437,276
	206,806	Nuance Communications, Inc. *		11,384,670
	10	NVR, Inc. *		51,799
	700	Omnicom Group, Inc.		51,254

4 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	6,000	Oracle Corp.		534,780
	1,400	PACCAR, Inc.		114,618
	95,720	Pershing Square Tontine Holdings Ltd. – Class A *		1,888,556
	400	PG&E Corp. *		3,668
	162,771	PNM Resources, Inc.		8,057,165
	167,506	PPD, Inc. *		7,757,203
	2,400	PPL Corp.		70,440
	1,700	Principal Financial Group, Inc. (a)		113,577
	5,000	Prudential Financial, Inc. (a)		529,400
	8,100	PulteGroup, Inc.		436,266
	2,900	Quest Diagnostics, Inc.		443,207
	32,700	Qurate Retail, Inc. – Series A		360,681
	100	Raytheon Technologies Corp.		8,476
	800	Regeneron Pharmaceuticals, Inc. *		538,720
	3,370	Sanderson Farms, Inc.		662,205
	500	Snap-on, Inc.		112,475
	4,700	SS&C Technologies Holdings, Inc.		355,602
	10,500	Synchrony Financial (a)		522,375
	300	Synopsys, Inc. *		99,672
	26	Teledyne Technologies, Inc. *		12,048
	5,400	Textron, Inc.		392,418
	6,000	Tyson Foods, Inc. – Class A		471,120
	100	United Rentals, Inc. *		35,265
	3,300	Universal Health Services, Inc. – Class B		514,008
	240,580	VEREIT, Inc. (REIT)		12,156,507
	7,600	Verizon Communications, Inc.		418,000
	10,600	ViacomCBS, Inc. – Class B		439,370
	28,700	Viatris, Inc.		419,881
	7,100	VICI Properties, Inc. (REIT)		219,461
	2,700	VMware, Inc. – Class A *		401,949
	19,990	W R Grace & Co.		1,392,104
	8,500	Walgreens Boots Alliance, Inc.		431,375
	100	Wells Fargo & Co.		4,570
	17,600	Western Union Co. (The)		380,864
	5,800	Western Digital Corp. *		366,560
	1,600	Whirlpool Corp.		354,448
	70,944	Willis Towers Watson Plc (a)		15,658,760
	115,560	Xilinx, Inc. (a)		17,979,980
		Total United States		176,669,930
		TOTAL COMMON STOCKS (COST $214,480,849)		223,232,371
		PREFERRED STOCKS (c) — 0.1%
		Germany — 0.1%
	2,761	Bayerische Motoren Werke AG		231,145
		TOTAL PREFERRED STOCKS (COST $214,693)		231,145

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.1%
		United States — 0.1%
	195,149	Bristol-Myers Squibb Co., Expires 03/31/21 * (d)		263,451
		TOTAL RIGHTS/WARRANTS (COST $284,429)		263,451
		INVESTMENT FUNDS — 1.5%
		United States — 1.5%
	720,005	Altaba, Inc. (d)		5,040,035
		TOTAL INVESTMENT FUNDS (COST $4,914,097)		5,040,035
		DEBT OBLIGATIONS — 24.3%
		United States — 24.3%
		Asset-Backed Securities — 7.2%
	4,608,022	Apidos CLO XXI, Series 15-21A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 1.06%, due 07/18/27		4,611,580
	422,753	Catamaran CLO Ltd., Series 13-1A, Class AR, 144A, Variable Rate, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 01/27/28		422,793
	1,711,041	Denali Capital CLO X LLC, Series 13-1A, Class A1LR, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 1.18%, due 10/26/27		1,711,303
	2,077,699	Oaktree CLO Ltd., Series 15-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 1.00%, due 10/20/27		2,077,983
	1,037,233	Palmer Square Loan Funding Ltd., Series 18-4A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 1.02%, due 11/15/26		1,037,690
	2,760,440	Palmer Square Loan Funding Ltd., Series 19-3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 0.98%, due 08/20/27		2,761,135
	3,371,071	TICP CLO III-2 Ltd., Series 18-3R, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.84%, 0.97%, due 04/20/28		3,371,580
	3,591,036	Venture XX CLO Ltd., Series 15-20A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.82%, 0.95%, due 04/15/27		3,591,478
	4,619,240	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 1.08%, due 04/15/29		4,617,817
		Total Asset-Backed Securities		24,203,359
		U.S. Government — 17.1%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22		1,000,569
	29,670,000	U.S. Treasury Note, 0.13%, due 12/31/22		29,666,523
	16,600,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23 (a)		16,608,235

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)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	10,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		9,994,922
		Total U.S. Government		57,270,249
		Total United States		81,473,608
		TOTAL DEBT OBLIGATIONS (COST $81,377,097)		81,473,608
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	340,657	GMO Emerging Markets Fund, Class VI		12,573,638
		TOTAL MUTUAL FUNDS (COST $11,308,238)		12,573,638

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	1,140,056	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (e)		1,140,056
	200,882	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (f)		200,882
		TOTAL SHORT-TERM INVESTMENTS (COST $1,340,938)		1,340,938

PURCHASED OPTIONS — 0.1%

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options — Puts — 0.1%
Canadian National Railway Co.(g)	100.00		10/15/21		381	USD	4,481,703	32,385
Canadian Pacific Railway Ltd.	72.00		09/17/21		351	USD	2,414,529	136,890

TOTAL PURCHASED OPTIONS (COST $246,436)	169,275
TOTAL INVESTMENTS — 96.7% (Cost $314,166,777)	324,324,461

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (45.2)%
			Common Stocks — (45.0)%
			Australia — (0.5)%
	(4,916	)	Afterpay Ltd *		(478,176	)
	(59,794	)	APA Group		(400,385	)
	(3,426	)	ASX Ltd		(219,271	)
	(1,155	)	Cochlear Ltd		(196,184	)
	(10,264	)	Qantas Airways Ltd *		(38,005	)
	(9	)	Ramsay Health Care Ltd		(452	)
	(81,825	)	Sydney Airport *		(475,006	)
			Total Australia		(1,807,479	)
			Austria — (0.2)%
	(5,326	)	Verbund AG		(583,425	)
			Belgium — (0.0)%
	(1,094	)	Galapagos NV *		(64,710	)

Shares			Description	Value ($)
			Common Stocks — continued
			Canada — (0.7)%
	(5,200	)	AltaGas Ltd		(104,153	)
	(19,670	)	Canadian National Railway Co. (g)		(2,313,782	)
			Total Canada		(2,417,935	)
			Denmark — (0.1)%
	(6,981	)	Ambu A/S – Class B		(220,781	)
			France — (0.7)%
	(9,259	)	Accor SA *		(319,292	)
	(2,353	)	Aeroports de Paris *		(277,100	)
	(263	)	Eurazeo SE		(27,055	)
	(30,351	)	Getlink SE		(488,909	)
	(325	)	Hermes International		(478,338	)
	(291	)	Sartorius Stedim Biotech		(176,511	)
	(4,547	)	Ubisoft Entertainment SA *		(288,834	)
	(1,418	)	Wendel SE		(205,774	)
	(112	)	Worldline SA *		(9,973	)
			Total France		(2,271,786	)

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)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — (0.8)%
	(3,280	)	Delivery Hero SE *		(476,029	)
	(3	)	Deutsche Boerse AG		(517	)
	(171	)	MTU Aero Engines AG		(39,244	)
	(3,951	)	Puma SE		(479,710	)
	(3,424	)	QIAGEN NV *		(189,422	)
	(2,994	)	RWE AG		(116,909	)
	(1,089	)	Scout24 AG		(91,556	)
	(13	)	TeamViewer AG *		(433	)
	(177,641	)	Telefonica Deutschland Holding AG		(498,660	)
	(8,039	)	Uniper SE		(319,170	)
	(4,342	)	Zalando SE *		(481,418	)
			Total Germany		(2,693,068	)
			Israel — (0.1)%
	(1,000	)	CyberArk Software Ltd *		(167,940	)
	(1,500	)	Wix.com Ltd *		(333,120	)
			Total Israel		(501,060	)
			Italy — (0.5)%
	(3,820	)	Amplifon SPA		(199,814	)
	(13,951	)	Atlantia SPA *		(261,325	)
	(2,232	)	Ferrari NV		(484,167	)
	(27,258	)	FinecoBank Banca Fineco SPA *		(502,148	)
	(8,629	)	Infrastrutture Wireless Italiane SPA		(102,663	)
			Total Italy		(1,550,117	)
			Japan — (2.2)%
	(23,800	)	Acom Co Ltd		(91,983	)
	(4,200	)	ANA Holdings Inc *		(99,560	)
	(13,500	)	Asahi Intecc Co Ltd		(408,459	)
	(3,700	)	GMO Payment Gateway Inc		(485,435	)
	(1,400	)	Harmonic Drive Systems Inc		(77,300	)
	(14,600	)	Hitachi Metals Ltd *		(281,826	)
	(800	)	Ibiden Co Ltd		(43,045	)
	(23,400	)	Isetan Mitsukoshi Holdings Ltd		(156,716	)
	(4,000	)	Japan Airlines Co Ltd *		(85,219	)
	(5,500	)	Japan Airport Terminal Co Ltd *		(249,682	)
	(8,400	)	Japan Exchange Group Inc		(200,050	)
	(61	)	Japan Real Estate Investment Corp (REIT)		(376,988	)
	(17,500	)	JGC Holding Corp		(146,805	)
	(16,300	)	Keikyu Corp		(198,689	)
	(700	)	Keio Corp		(37,667	)
	(3,300	)	Kintetsu Group Holdings Co Ltd *		(112,715	)
	(2,200	)	Lasertec Corp		(478,520	)
	(4,600	)	Lion Corp		(78,273	)
	(11,100	)	LIXIL Corp		(323,029	)
	(5,900	)	M3 Inc		(395,698	)
	(100	)	McDonald’s Holdings Co Japan Ltd		(4,770	)
	(6,300	)	Mercari Inc *		(310,857	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(1,500	)	Mizuho Financial Group Inc		(21,018	)
	(19,000	)	MonotaRO Co Ltd		(421,093	)
	(600	)	Nidec Corp		(68,537	)
	(15,500	)	Nihon M&A Center Inc		(462,212	)
	(21,100	)	Nippon Paint Holdings Co Ltd		(262,045	)
	(4,000	)	Nissin Foods Holdings Co Ltd		(311,395	)
	(11,200	)	Odakyu Electric Railway Co Ltd		(260,956	)
	(2,500	)	ORIENTAL LAND CO LTD		(378,239	)
	(2,100	)	Shiseido Co Ltd		(139,186	)
	(1,800	)	Tokyu Corp		(24,751	)
	(400	)	Unicharm Corp		(17,833	)
	(1,000	)	West Japan Railway Co		(54,617	)
	(2,000	)	Yaskawa Electric Corp		(97,618	)
			Total Japan		(7,162,786	)
			Netherlands — (0.3)%
	(184	)	Adyen NV *		(594,702	)
	(1,052	)	Heineken Holding NV		(97,585	)
	(4,232	)	Just Eat Takeaway.com NV *		(383,446	)
			Total Netherlands		(1,075,733	)
			New Zealand — (0.0)%
	(1,016	)	Xero Ltd *		(112,373	)
			Norway — (0.0)%
	(1,091	)	Schibsted ASA – B Shares		(50,692	)
	(1,602	)	Schibsted ASA – Class A		(85,469	)
			Total Norway		(136,161	)
			Singapore — (0.1)%
	(12,700	)	Singapore Airlines Ltd *		(47,610	)
	(59,500	)	Singapore Exchange Ltd		(436,716	)
			Total Singapore		(484,326	)
			Spain — (0.4)%
	(7,548	)	Cellnex Telecom SA		(516,647	)
	(17,241	)	Ferrovial SA		(499,291	)
	(12,413	)	Siemens Gamesa Renewable Energy SA		(368,064	)
			Total Spain		(1,384,002	)
			Sweden — (0.2)%
	(8,030	)	Embracer Group AB *		(182,794	)
	(2,945	)	Evolution AB		(475,477	)
	(3,230	)	Sinch AB *		(72,615	)
			Total Sweden		(730,886	)
			Switzerland — (0.3)%
	(7	)	Chocoladefabriken Lindt & Spruengli AG		(82,349	)
	(290	)	Partners Group Holding AG		(514,171	)

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)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Switzerland — continued
	(267	)	Straumann Holding AG (Registered)		(515,909	)
			Total Switzerland		(1,112,429	)
			United Kingdom — (1.4)%
	(7,279	)	Admiral Group Plc		(361,665	)
	(12,816	)	Antofagasta Plc		(256,728	)
	(53,950	)	Auto Trader Group Plc		(466,539	)
	(76,113	)	ConvaTec Group Plc		(235,854	)
	(18,496	)	Entain Plc *		(491,546	)
	(5,174	)	Halma Plc		(213,664	)
	(21,942	)	Hargreaves Lansdown Plc		(455,682	)
	(65,373	)	Informa Plc *		(477,749	)
	(23,197	)	Land Securities Group Plc (REIT)		(226,557	)
	(4,054	)	London Stock Exchange Group Plc		(444,091	)
	(13,114	)	Melrose Industries Plc		(30,281	)
	(14,069	)	Ocado Group Plc *		(389,926	)
	(261,083	)	Rolls-Royce Holdings Plc *		(411,734	)
	(961	)	Spirax-Sarco Engineering Plc		(213,109	)
			Total United Kingdom		(4,675,125	)
			United States — (36.5)%
	(199,157	)	Advanced Micro Devices, Inc. *		(22,050,663	)
	(13,400	)	AES Corp. (The)		(319,858	)
	(2,200	)	Airbnb, Inc. – Class A *		(340,978	)
	(1,900	)	American Tower Corp. (REIT)		(555,123	)
	(1	)	Analog Devices, Inc.		(163	)
	(76,577	)	Aon Plc – Class A		(21,966,878	)
	(132,950	)	Apollo Global Management, Inc.		(7,947,751	)
	(4,400	)	Aramark		(153,076	)
	(2,500	)	Arthur J Gallagher & Co.		(359,050	)
	(1,600	)	Autodesk, Inc. *		(496,144	)
	(3,000	)	Avalara, Inc. *		(539,100	)
	(100	)	Bio-Techne Corp.		(49,914	)
	(1,600	)	BioMarin Pharmaceutical, Inc. *		(134,736	)
	(100	)	Black Knight, Inc. *		(7,567	)
	(1,800	)	Boeing Co. (The) *		(395,100	)
	(1	)	Bristol-Myers Squibb Co.		(67	)
	(1,500	)	Burlington Stores, Inc. *		(449,235	)
	(3,700	)	Caesars Entertainment, Inc. *		(376,031	)
	(1,400	)	Carvana Co. *		(459,284	)
	(2,700	)	Catalent, Inc. *		(352,188	)
	(3,400	)	Ceridian HCM Holding, Inc. *		(381,990	)
	(1,466	)	Charter Communications, Inc. – Class A *		(1,197,224	)
	(300	)	Chipotle Mexican Grill, Inc. *		(570,999	)
	(6,600	)	Clarivate Plc *		(166,254	)
	(3,700	)	Cloudflare, Inc. – Class A *		(446,738	)
	(1,600	)	CME Group, Inc.		(322,752	)
	(3,000	)	Cognex Corp.		(265,860	)
	(300	)	CoStar Group, Inc. *		(25,422	)
	(1,800	)	Coupa Software, Inc. *		(440,658	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,500	)	Crown Castle International Corp. (REIT)		(486,725	)
	(8,300	)	Delta Air Lines, Inc. *		(335,652	)
	(1,000	)	Dexcom, Inc. *		(529,420	)
	(1,700	)	DocuSign, Inc. *		(503,608	)
	(7,200	)	DraftKings Inc. – Class A *		(426,888	)
	(2,000	)	Dynatrace, Inc. *		(137,460	)
	(700	)	Equifax, Inc.		(190,582	)
	(600	)	Equinix, Inc. (REIT)		(506,070	)
	(6,000	)	Equity LifeStyle Properties, Inc. (REIT)		(510,420	)
	(300	)	Erie Indemnity Co. – Class A		(53,127	)
	(100	)	Essential Utilities, Inc.		(4,963	)
	(3,900	)	Exact Sciences Corp. *		(407,082	)
	(2,300	)	Expedia Group, Inc. *		(332,350	)
	(100	)	First Republic Bank		(19,894	)
	(35,971	)	Fox Corp. – Class A		(1,346,754	)
	(400	)	Gartner, Inc. *		(123,496	)
	(4,200	)	Guidewire Software, Inc. *		(497,532	)
	(2,000	)	Hess Corp.		(137,500	)
	(20,200	)	Host Hotels & Resorts, Inc. (REIT) *		(334,512	)
	(800	)	HubSpot, Inc. *		(547,576	)
	(700	)	IDEXX Laboratories, Inc. *		(471,632	)
	(28,317	)	II-VI, Inc. *		(1,783,405	)
	(2,700	)	Ingersoll Rand, Inc. *		(143,154	)
	(1,800	)	Insulet Corp. *		(536,058	)
	(1,100	)	Ionis Pharmaceuticals, Inc. *		(43,736	)
	(2,100	)	IQVIA Holdings, Inc. *		(545,433	)
	(4,600	)	Iron Mountain, Inc. (REIT)		(219,650	)
	(800	)	KKR & Co., Inc.		(51,432	)
	(6,500	)	Lamb Weston Holdings, Inc.		(423,475	)
	(1,200	)	Liberty Broadband Corp. – Class A *		(222,924	)
	(900	)	Liberty Broadband Corp. – Class C *		(172,188	)
	(10,600	)	Liberty Media Corp-Liberty Formula One – Class C *		(535,724	)
	(1,800	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(89,100	)
	(1,700	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(83,895	)
	(600	)	Linde Plc		(188,754	)
	(6,000	)	Live Nation Entertainment, Inc. *		(520,200	)
	(900	)	MarketAxess Holdings, Inc.		(428,328	)
	(700	)	Marriott International, Inc. – Class A *		(94,598	)
	(5,300	)	MGM Resorts International		(225,886	)
	(1,300	)	MongoDB, Inc. *		(509,379	)
	(700	)	Monolithic Power Systems, Inc.		(346,451	)
	(800	)	MSCI, Inc.		(507,664	)
	(79,512	)	New York Community Bancorp, Inc.		(995,490	)
	(2,800	)	NiSource, Inc.		(69,020	)
	(6,902	)	NortonLifeLock, Inc.		(183,317	)
	(2,700	)	Novocure Ltd. *		(362,367	)
	(2,500	)	Oak Street Health, Inc. *		(116,825	)
	(4,500	)	Occidental Petroleum Corp.		(115,605	)

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)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(2,000	)	Okta, Inc. *		(527,200	)
	(2,700	)	Palantir Technologies, Inc. – Class A *		(71,118	)
	(1,000	)	Paycom Software, Inc. *		(488,900	)
	(2,600	)	Peloton Interactive, Inc. – Class A *		(260,494	)
	(800	)	Public Storage (REIT)		(258,888	)
	(169,609	)	Realty Income Corp. (REIT)		(12,249,162	)
	(1,500	)	RingCentral, Inc. – Class A *		(378,390	)
	(1,300	)	Roku, Inc. *		(458,120	)
	(5,400	)	Rollins, Inc.		(210,168	)
	(4,700	)	Royal Caribbean Cruises Ltd. *		(388,831	)
	(37,025	)	S&P Global, Inc.		(16,432,436	)
	(7	)	salesforce.com, Inc. *		(1,857	)
	(5,000	)	Sarepta Therapeutics, Inc. *		(390,600	)
	(300	)	Seagen, Inc. *		(50,280	)
	(900	)	ServiceNow, Inc. *		(579,276	)
	(3,300	)	Simon Property Group, Inc. (REIT)		(443,685	)
	(6,700	)	Snap, Inc. – Class A *		(509,937	)
	(1,600	)	Snowflake, Inc. – Class A *		(486,960	)
	(3,000	)	Southwest Airlines Co. *		(149,340	)
	(4,264	)	Square, Inc. – Class A *		(1,143,050	)
	(2,400	)	Starbucks Corp.		(281,976	)
	(100	)	Sun Communities, Inc. (REIT)		(20,149	)
	(200	)	T-Mobile US, Inc. *		(27,404	)
	(2,500	)	Teladoc Health, Inc. *		(361,050	)
	(700	)	Tesla, Inc. *		(515,004	)
	(400	)	Trade Desk, Inc. (The) – Class A *		(32,020	)
	(1,400	)	Twilio, Inc. – Class A *		(499,744	)
	(5,300	)	Twitter, Inc. *		(341,850	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(8,400	)	Uber Technologies, Inc. *		(328,776	)
	(9,100	)	UDR, Inc. (REIT)		(491,582	)
	(1,500	)	Vail Resorts, Inc. *		(457,275	)
	(4,400	)	Vistra Corp.		(83,996	)
	(700	)	Wayfair, Inc. – Class A *		(196,525	)
	(18,300	)	Williams Cos, Inc. (The)		(451,827	)
	(2,700	)	Zendesk, Inc. *		(333,720	)
	(1,900	)	Zillow Group, Inc. – Class A *		(181,640	)
	(3,088	)	Zillow Group, Inc. – Class C *		(295,738	)
	(9,850	)	Zoom Video Communications, Inc. – Class A *		(2,851,575	)
	(2,000	)	Zscaler, Inc. *		(556,679	)
			Total United States		(121,975,326	)
			TOTAL COMMON STOCKS (PROCEEDS $132,214,748)		(150,959,508	)
			PREFERRED STOCKS (c) — (0.2)%
			Germany — (0.2)%
	(651	)	Sartorius AG		(428,887	)
			TOTAL PREFERRED STOCKS (PROCEEDS $308,236)		(428,887	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $132,522,984)		(151,388,395	)
			Other Assets and Liabilities (net) — 48.5%		162,599,524
			TOTAL NET ASSETS — 100.0%		$335,535,590

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/18/2021	DB	AUD	14,680,525		USD	10,818,299		76,028
10/18/2021	MSCI	AUD	836,068		USD	609,463		(2,318	)
11/09/2021	JPM	AUD	10,030,000		USD	7,395,104		55,066
11/09/2021	MSCI	AUD	35,789,000		USD	26,497,889		307,197
09/02/2021	CITI	BRL	1,328,683		USD	250,000		(6,959	)
09/02/2021	GS	BRL	2,305,755		USD	450,000		4,082
09/09/2021	GS	CAD	331,295		USD	261,688		(897	)
09/09/2021	JPM	CAD	843,982		USD	675,366		6,427
09/09/2021	UBSA	CAD	5,219,453		USD	4,159,414		22,480
11/03/2021	JPM	CAD	10,784,981		USD	8,480,000		(67,475	)
11/12/2021	BOA	CAD	1,748,628		USD	1,397,163		11,334
11/12/2021	JPM	CAD	5,205,830		USD	4,158,765		33,022
11/12/2021	MSCI	CAD	256,203		USD	203,066		19
11/12/2021	SSB	CAD	121,500		USD	95,772		(519	)
09/07/2021	BCLY	CHF	2,487,744		USD	2,693,089		(23,869	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/07/2021	GS	CHF	271,749		USD	300,344		3,556
10/13/2021	MSCI	CHF	37,703,896		USD	41,288,027		73,087
11/18/2021	MSCI	CLP	427,439,500		USD	544,856		(5,693	)
10/26/2021	JPM	COP	1,178,945,000		USD	303,660		(8,248	)
10/26/2021	MSCI	COP	7,594,030,000		USD	1,940,000		(69,122	)
10/18/2021	GS	CZK	6,915,267		USD	320,000		(998	)
10/18/2021	MSCI	CZK	4,048,661		USD	187,402		(532	)
09/07/2021	JPM	EUR	110,825		USD	130,131		(738	)
09/07/2021	UBSA	EUR	3,359,435		USD	3,987,205		20,192
09/30/2021	JPM	EUR	1,810,000		USD	2,129,069		(9,273	)
09/30/2021	MSCI	EUR	800,000		USD	952,134		7,010
10/21/2021	MSCI	EUR	6,300,211		USD	7,440,578		(5,524	)
10/13/2021	BCLY	GBP	4,180,000		USD	5,827,768		80,329
10/13/2021	GS	GBP	1,400,000		USD	1,955,317		30,337
10/13/2021	JPM	GBP	1,700,000		USD	2,354,981		17,506

See accompanying notes to the financial statements. 9

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/21/2021	UBSA	GBP	337,753		USD	464,091		(319	)
09/14/2021	BCLY	HUF	143,839,202		USD	505,524		19,048
09/14/2021	CITI	HUF	235,206,480		USD	800,000		4,512
09/14/2021	DB	HUF	729,044,453		USD	2,420,000		(45,689	)
09/13/2021	JPM	INR	35,978,880		USD	483,094		(9,272	)
09/07/2021	JPM	JPY	124,808,701		USD	1,136,226		1,715
09/07/2021	MSCI	JPY	84,893,207		USD	770,078		(1,601	)
09/07/2021	UBSA	JPY	379,990,853		USD	3,455,692		1,577
09/09/2021	GS	JPY	153,193,880		USD	1,400,000		7,449
09/09/2021	JPM	JPY	417,542,448		USD	3,790,000		(5,512	)
10/06/2021	JPM	JPY	209,799,140		USD	1,911,792		4,233
11/12/2021	CITI	KRW	1,157,777,500		USD	990,000		(8,328	)
11/12/2021	MSCI	KRW	2,106,848,677		USD	1,835,810		19,117
10/21/2021	BOA	MXN	14,975,611		USD	730,000		(10,791	)
09/14/2021	BOA	NOK	5,235,394		USD	600,000		(2,185	)
10/05/2021	MSCI	NZD	47,090,000		USD	32,990,548		(191,183	)
10/18/2021	UBSA	NZD	2,826,634		USD	1,986,985		(4,598	)
09/16/2021	JPM	PHP	70,421,925		USD	1,397,205		(20,604	)
10/29/2021	JPM	RON	15,253,957		USD	3,627,835		(12,629	)
10/15/2021	JPM	SGD	1,832,981		USD	1,353,553		(9,707	)
10/18/2021	MSCI	THB	117,103,563		USD	3,581,149		(51,387	)
10/18/2021	JPM	USD	1,840,587		AUD	2,544,422		21,259
09/02/2021	MSCI	USD	3,937,194		BRL	21,052,569		134,240
12/02/2021	MSCI	USD	2,702,792		BRL	14,415,884		46,101
11/03/2021	JPM	USD	36,180,049		CAD	44,975,238		(535,601	)
09/07/2021	UBSA	USD	381,025		CHF	349,313		473
10/13/2021	BOA	USD	2,700,000		CHF	2,441,600		(31,034	)
11/18/2021	MSCI	USD	542,113		CLP	427,439,500		8,436
09/07/2021	JPM	USD	2,764,768		EUR	2,322,378		(22,370	)
09/07/2021	UBSA	USD	8,762,283		EUR	7,382,590		(44,496	)
09/21/2021	SSB	USD	9,304,446		EUR	7,871,682		(6,507	)
09/30/2021	BOA	USD	1,777,632		EUR	1,510,000		6,289
09/30/2021	DB	USD	13,856,280		EUR	11,610,000		(140,174	)
09/30/2021	JPM	USD	2,240,858		EUR	1,910,000		15,625
10/18/2021	UBSA	USD	463,313		EUR	394,356		2,742
10/21/2021	SSB	USD	8,279,565		EUR	7,000,000		(6,395	)
10/21/2021	UBSA	USD	317,398		EUR	268,749		232
10/13/2021	JPM	USD	3,565,774		GBP	2,610,000		22,938
10/13/2021	MSCI	USD	26,683,512		GBP	19,296,000		(151,789	)
09/14/2021	CITI	USD	650,000		HUF	193,893,960		5,765
09/14/2021	DB	USD	810,000		HUF	241,784,838		7,736
11/08/2021	CITI	USD	300,000		IDR	4,347,270,000		3,822
11/08/2021	JPM	USD	3,075,982		IDR	44,432,562,000		29,323
10/29/2021	BOA	USD	670,000		ILS	2,159,721		3,562
09/07/2021	UBSA	USD	6,315,308		JPY	704,330,557		87,052
09/09/2021	JPM	USD	25,721,002		JPY	2,806,688,610		(207,854	)
10/06/2021	BCLY	USD	1,634,586		JPY	181,001,824		11,139
10/06/2021	JPM	USD	9,468,529		JPY	1,054,926,170		123,188
10/06/2021	MSCI	USD	839,645		JPY	92,132,014		(1,952	)
10/06/2021	UBSA	USD	572,003		JPY	63,307,312		3,607
10/21/2021	MSCI	USD	3,591,554		MXN	72,529,991		(3,752	)
09/14/2021	BCLY	USD	6,569,615		NOK	54,489,540		(302,127	)
09/14/2021	JPM	USD	12,750,000		NOK	111,678,274		95,443
10/05/2021	BCLY	USD	3,395,266		NZD	4,800,000		(12,970	)
10/05/2021	JPM	USD	2,287,030		NZD	3,260,000		10,112
11/18/2021	JPM	USD	1,007,917		PEN	4,105,650		(5,358	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
11/18/2021	MSCI	USD	470,000		PEN	1,912,900		(2,889	)
09/16/2021	JPM	USD	830,000		PHP	42,070,440		17,006
11/18/2021	MSCI	USD	202,150		PLN	785,789		3,022
11/10/2021	CITI	USD	5,607,129		RUB	418,454,450		49,929
11/05/2021	MSCI	USD	34,348,227		SEK	294,954,407		(152,823	)
10/15/2021	BOA	USD	460,000		SGD	624,678		4,597
10/15/2021	DB	USD	451,465		SGD	613,247		4,631
10/15/2021	GS	USD	440,000		SGD	595,055		2,566
10/18/2021	CITI	USD	1,580,000		THB	52,824,872		58,620
10/25/2021	BCLY	USD	2,100,000		TRY	19,223,018		149,059
10/25/2021	GS	USD	570,000		TRY	5,100,846		26,790
10/29/2021	JPM	USD	3,794,632		ZAR	56,936,549		95,743
10/29/2021	CITI	ZAR	18,842,039		USD	1,230,000		(57,444	)
							$	(405,135	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
62	Australian Government Bond 10 Yr.	September 2021		6,613,324		232,557
106	CAC40 10 Euro	September 2021		8,366,029		(103,708	)
43	Canadian Government Bond 10 Yr.	December 2021		4,980,454		796
22	DAX Index	September 2021		10,255,588		19,676
87	FTSE 100 Index	September 2021		8,489,691		4,303
3	Hang Seng Index	September 2021		496,451		3,013
400	Mini MSCI Emerging Markets	September 2021		25,984,000		(1,215,368	)
35	MSCI Singapore	September 2021		913,120		(17,741	)
47	S&P 500 E-Mini	September 2021		10,623,175		593,160
5	S&P/TSX 60	September 2021		974,835		27,946
103	U.S. Treasury Note 10 Yr. (CBT)	December 2021		13,745,672		30,427
			$	91,442,339	$	(424,939	)

10 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Futures Contracts — continued

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
148	E-mini Russell 2000 Index	September 2021	$	16,806,880	$	284,138
77	Euro Bund	September 2021		15,951,526		(305,992	)
10	Euro Bund	December 2021		2,037,267		(125	)
40	FTSE Taiwan Index	September 2021		2,419,488		(50,972	)
60	FTSE/JSE TOP 40	September 2021		2,499,431		24,575
3	Japanese Government Bond 10 Yr. (OSE)	September 2021		4,149,252		(19,305	)
30	NASDAQ 100 E-Mini	September 2021		9,349,500		(957,649	)
46	SPI 200 Futures	September 2021		6,258,559		(149,935	)
27	TOPIX Index	September 2021		4,816,936		(82,126	)
15	UK Gilt Long Bond	December 2021		2,644,662		16,504
			$	66,933,501	$	(1,240,887	)

+ 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
S&P 500 Index	4,465.00		09/03/21		(12	)		USD	(5,427,216	)		(4,440	)
S&P 500 Index	4,440.00		09/10/21		(13	)		USD	(5,879,484	)		(12,610	)
S&P 500 Index	4,510.00		09/17/21		(12	)		USD	(5,427,216	)		(40,320	)
					Total Index Options — Puts						$	(57,370	)

Description

Counterparty

Exercise Rate

Expiration Date

Principal / Notional Amount

Floating Rate Index

Pay/ Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.36.V1-5Y

GS

106.00

%

09/15/21

USD (7,115,000)

Fixed Spread

Pay

(2,776

)

CDX.NA.HYS.36.V1-5Y

GS

107.00

%

10/20/21

USD (10,000,000)

Fixed Spread

Pay

(28,531

)

Total Written Options on Credit Default Swaps — Puts

(31,307

)

TOTAL WRITTEN OPTIONS (Premiums $275,646)

$

(88,677

)

See accompanying notes to the financial statements. 11

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.EUROPES.34.V1-5Y	EUR	9,968,000		1.00%		0.38%		N/A		12/20/2025		Quarterly		(313,378	)		(318,090	)		(4,712	)
CDX.NA.HYS.36.V1-5Y	USD	2,294,000		5.00%		2.76%		N/A		06/20/2026		Quarterly		(209,788	)		(225,046	)		(15,258	)
CDX.NA.HYS.36.V1-5Y	USD	7,115,000		5.00%		2.76%		N/A		06/20/2026		Quarterly		(644,264	)		(697,996	)		(53,732	)
CDX.NA.IGS.36.V1-5Y	USD	22,250,000		1.00%		0.46%		N/A		06/20/2026		Quarterly		(519,824	)		(564,216	)		(44,392	)
													$	(1,687,254	)	$	(1,805,348	)	$	(118,094	)

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.31.V14-5Y	CITI	USD	1,631,000		5.00%		3.50%		N/A		12/20/2023		Quarterly		(6,361	)		(55,635	)		(49,274	)
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	9,600,000		1.00%		1.14%		N/A		12/20/2024		Quarterly		572,808			52,770			(520,038	)
CMBX.NA.BBB-.11	GS	USD	1,440,000		3.00%		3.86%		N/A		11/18/2054		Monthly		54,713			67,002			12,289
CMBX.NA.BBB-.9	MLCS	USD	2,750,000		3.00%		5.15%		N/A		09/17/2058		Monthly		221,087			218,314			(2,773	)
CMBX.NA.BBB-.9	CGMI	USD	1,110,000		3.00%		5.15%		N/A		09/17/2058		Monthly		128,809			88,120			(40,689	)
CMBX.NA.BBB-.9	CGMI	USD	666,000		3.00%		5.15%		N/A		09/17/2058		Monthly		77,753			52,872			(24,881	)
CMBX.NA.BBB-.12	GS	USD	1,260,000		3.00%		3.81%		N/A		08/17/2061		Monthly		49,804			61,938			12,134
CMBX.NA.BBB-.13	CGMI	USD	3,000,000		3.00%		3.77%		N/A		12/16/2072		Monthly		131,047			157,437			26,390
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000		5.00%		0.55%		1,187,000 USD		12/20/2023		Quarterly		121,668			122,454			786
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,928,000		5.00%		0.55%		1,928,000 USD		12/20/2023		Quarterly		203,886			198,897			(4,989	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,450,000		5.00%		0.18%		4,450,000 USD		12/20/2024		Quarterly		756,555			700,468			(56,087	)
ITRAXX.EUROPES.32.V1-5Y	JPM	EUR	20,000,000		1.00%		0.45%		20,000,000 EUR		12/20/2024		Quarterly		116,938			438,132			321,194
CDX.NA.HYS.35.V1-5Y	MSCI	USD	2,160,000		5.00%		3.00%		2,160,000 USD		12/20/2025		Quarterly		158,760			180,174			21,414
ITRAXX.EUROPES.34.V1-5Y	BOA	EUR	17,800,000		1.00%		0.14%		17,800,000 EUR		12/20/2025		Quarterly		857,391			788,099			(69,292	)
CMBX.NA.A.9	MLCS	USD	4,750,000		2.00%		2.00%		4,750,000 USD		09/17/2058		Monthly		9,294			(640	)		(9,934	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		2.00%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(240	)		44,362
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		2.00%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(150	)		32,946
CMBX.NA.AAA.10	GS	USD	4,610,000		0.50%		0.32%		4,610,000 USD		11/17/2059		Monthly		42,163			41,987			(176	)
CMBX.NA.AAA.13	GS	USD	3,460,000		0.50%		0.47%		3,460,000 USD		12/16/2072		Monthly		8,102			8,731			629
														$	3,426,719		$	3,120,730		$	(305,989	)

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

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

⁽¹⁾  As of August 31, 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.

12 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

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) ($)
(0.60)%	6 Month CHF LIBOR	CHF	13,730,000		09/15/2023	Semi-Annually		—			(18,591	)		(18,591	)
(0.67)%	6 Month CHF LIBOR	CHF	16,150,000		09/15/2023	Semi-Annually		—			785			785
0.32%	3 Month AUD BBSW	AUD	1,320,000		12/15/2023	Quarterly		374			(61	)		(435	)
0.32%	3 Month AUD BBSW	AUD	14,870,000		12/15/2023	Quarterly		—			(680	)		(680	)
0.29%	3 Month AUD BBSW	AUD	23,290,000		12/15/2023	Quarterly		—			9,139			9,139
0.29%	3 Month AUD BBSW	AUD	85,610,000		12/15/2023	Quarterly		—			28,592			28,592
GBP - SONIA - COMPOUND	0.32%	GBP	113,270,000		12/15/2023	Annually		—			(45,153	)		(45,153	)
GBP - SONIA - COMPOUND	0.35%	GBP	127,090,000		12/15/2023	Annually		(401	)		43,259			43,660
3 Month NZD Bank Bill Rate	1.36%	NZD	26,120,000		12/15/2023	Quarterly		—			(37,125	)		(37,125	)
3 Month NZD Bank Bill Rate	1.37%	NZD	90,510,000		12/15/2023	Quarterly		—			(115,468	)		(115,468	)
3 Month NZD Bank Bill Rate	1.45%	NZD	15,810,000		12/15/2023	Quarterly		—			(4,497	)		(4,497	)
3 Month NZD Bank Bill Rate	1.45%	NZD	61,220,000		12/15/2023	Quarterly		(3,277	)		(13,171	)		(9,894	)
0.08%	3 Month SEK STIBOR	SEK	120,400,000		12/15/2023	Quarterly		—			3,727			3,727
0.08%	3 Month SEK STIBOR	SEK	925,100,000		12/15/2023	Quarterly		—			32,924			32,924
0.08%	3 Month SEK STIBOR	SEK	333,100,000		12/15/2023	Quarterly		—			14,170			14,170
0.09%	3 Month SEK STIBOR	SEK	16,510,000		12/15/2023	Quarterly		56			205			149
0.98%	3 Month CAD LIBOR	CAD	106,880,000		12/18/2023	Semi-Annually		3,535			(67,635	)		(71,170	)
(0.48)%	6 Month EURIBOR	EUR	4,460,000		12/20/2023	Semi-Annually		778			2,084			1,306
0.45%	3 Month USD LIBOR	USD	77,960,000		12/20/2023	Quarterly		11,088			(66,429	)		(77,517	)
6 Month CHF LIBOR	(0.12)%	CHF	3,220,000		09/15/2031	Semi-Annually		—			(10,653	)		(10,653	)
6 Month CHF LIBOR	(0.15)%	CHF	1,090,000		09/15/2031	Semi-Annually		—			(6,766	)		(6,766	)
6 Month CHF LIBOR	0.03%	CHF	2,760,000		09/15/2031	Semi-Annually		—			38,412			38,412
6 Month CHF LIBOR	(0.04)%	CHF	4,510,000		09/15/2031	Semi-Annually		—			24,803			24,803
6 Month CHF LIBOR	(0.03)%	CHF	10,980,000		09/15/2031	Semi-Annually		3,652			76,301			72,649
6 Month CHF LIBOR	(0.09)%	CHF	31,270,000		09/15/2031	Semi-Annually		(10,819	)		11,597			22,416
6 Month AUD BBSW	1.28%	AUD	19,230,000		12/15/2031	Semi-Annually		(52,746	)		(134,009	)		(81,263	)
6 Month AUD BBSW	1.30%	AUD	2,460,000		12/15/2031	Semi-Annually		—			(12,323	)		(12,323	)
6 Month AUD BBSW	1.31%	AUD	2,470,000		12/15/2031	Semi-Annually		—			(10,472	)		(10,472	)
6 Month AUD BBSW	1.37%	AUD	3,150,000		12/15/2031	Semi-Annually		—			(1,453	)		(1,453	)
1.28%	6 Month AUD BBSW	AUD	11,950,000		12/15/2031	Semi-Annually		28,851			79,097			50,246
3 Month CAD LIBOR	1.69%	CAD	85,270,000		12/15/2031	Semi-Annually		—			(414,100	)		(414,100	)
3 Month CAD LIBOR	1.71%	CAD	67,450,000		12/15/2031	Semi-Annually		—			(217,162	)		(217,162	)
3 Month CAD LIBOR	1.73%	CAD	5,240,000		12/15/2031	Semi-Annually		(3,511	)		(9,464	)		(5,953	)
3 Month CAD LIBOR	1.77%	CAD	23,960,000		12/15/2031	Semi-Annually		(8,329	)		24,464			32,793
0.56%	GBP - SONIA - COMPOUND	GBP	46,670,000		12/15/2031	Annually		—			613,247			613,247
0.56%	GBP - SONIA - COMPOUND	GBP	23,310,000		12/15/2031	Annually		—			304,119			304,119
0.59%	GBP - SONIA - COMPOUND	GBP	39,770,000		12/15/2031	Annually		—			342,249			342,249
0.60%	GBP - SONIA - COMPOUND	GBP	2,620,000		12/15/2031	Annually		1,123			20,450			19,327
0.64%	GBP - SONIA - COMPOUND	GBP	27,470,000		12/15/2031	Annually		(7,108	)		58,353			65,461
0.64%	GBP - SONIA - COMPOUND	GBP	1,670,000		12/15/2031	Annually		2,690			4,127			1,437
1.97%	3 Month NZD Bank Bill Rate	NZD	3,410,000		12/15/2031	Quarterly		—			13,083			13,083
2.00%	3 Month NZD Bank Bill Rate	NZD	32,450,000		12/15/2031	Quarterly		25,900			51,053			25,153
3 Month NZD Bank Bill Rate	1.96%	NZD	5,300,000		12/15/2031	Quarterly		719			(22,046	)		(22,765	)
3 Month NZD Bank Bill Rate	2.00%	NZD	2,730,000		12/15/2031	Quarterly		—			(4,825	)		(4,825	)
3 Month NZD Bank Bill Rate	2.00%	NZD	50,320,000		12/15/2031	Quarterly		(22,431	)		(72,659	)		(50,228	)
1.96%	3 Month NZD Bank Bill Rate	NZD	5,620,000		12/15/2031	Quarterly		—			24,289			24,289
3 Month SEK STIBOR	0.56%	SEK	24,600,000		12/15/2031	Quarterly		—			(25,597	)		(25,597	)
3 Month SEK STIBOR	0.56%	SEK	189,900,000		12/15/2031	Quarterly		—			(202,971	)		(202,971	)
3 Month SEK STIBOR	0.59%	SEK	67,960,000		12/15/2031	Quarterly		—			(50,700	)		(50,700	)
3 Month SEK STIBOR	0.64%	SEK	218,450,000		12/15/2031	Quarterly		(1,403	)		(36,783	)		(35,380	)
3 Month SEK STIBOR	0.64%	SEK	8,490,000		12/15/2031	Quarterly		(65	)		(1,430	)		(1,365	)
(0.08)%	6 Month EURIBOR	EUR	24,580,000		12/17/2031	Semi-Annually		11,674			248,460			236,786
6 Month EURIBOR	(0.08)%	EUR	1,230,000		12/17/2031	Semi-Annually		(304	)		(12,285	)		(11,981	)

See accompanying notes to the financial statements. 13

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.36%	3 Month USD LIBOR	USD	1,460,000		12/17/2031	Quarterly		—			1,450			1,450
3 Month USD LIBOR	1.42%	USD	17,670,000		12/17/2031	Quarterly		(1,909	)		70,296			72,205
1.41%	3 Month USD LIBOR	USD	42,230,000		12/17/2031	Quarterly		24,550			(147,814	)		(172,364	)
							$	2,687		$	378,413		$	375,726

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Bloomberg Commodity Index (f)	(0.15)%	MSCI	USD	4,586,445		03/09/2022	Monthly		—		(141,338	)		(141,338	)
1 Month Federal Funds Rate plus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	USD	3,301,803		05/06/2022	Monthly		—		3,225			3,225
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	3,894,348		05/12/2022	Monthly		—		(43,992	)		(43,992	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	4,170,868		05/12/2022	Monthly		—		(32,457	)		(32,457	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA	USD	2,665,221		05/20/2022	Monthly		—		(30,063	)		(30,063	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	2,808,315		05/20/2022	Monthly		—		(21,912	)		(21,912	)
1 Month Federal Funds Rate plus 0.60%	Total Return on Equity Basket(h)	GS	USD	105,842		05/24/2022	Monthly		—		4,778			4,778
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.50%	GS	USD	611,700		05/24/2022	Monthly		—		12,109			12,109
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.50%	GS	USD	55,598		05/24/2022	Monthly		—		(1,771	)		(1,771	)
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.75%	GS	USD	56,104		05/24/2022	Monthly		—		(2,756	)		(2,756	)
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.50%	GS	USD	3,158		05/24/2022	Monthly		—		(235	)		(235	)
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 0.75%	MORD	USD	761,852		05/24/2022	Monthly		—		(14,616	)		(14,616	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	3,506,479		06/06/2022	Monthly		—		(44,560	)		(44,560	)
1 Month Federal Funds Rate plus 0.95%	Total Return on Equity Basket(h)	MORD	USD	103,721		10/18/2022	Monthly		—		7,922			7,922
Total Return on Equity Basket (i)	1 Month FED Funds Rate minus 0.40%	MORD	USD	3,642,794		10/18/2022	Monthly		—		(95,944	)		(95,944	)
Total Return on Equity Basket (h)	1 Month FED Funds Rate plus 0.10%	MORD	USD	72,107		12/19/2022	Monthly		—		(269	)		(269	)
Total Return on Equity Basket (h)	1 Month FED Funds Rate minus 2.55%	MORD	USD	1,205,169		06/20/2023	Monthly		—		(16,904	)		(16,904	)
								$	—	$	(418,783	)	$	(418,783	)

As of August 31, 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.

14 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

(e) The rate disclosed is the 7 day net yield as of August 31, 2021.

(f) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

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

(h) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(i) The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	1,900,000	Alibaba Pictures Group Ltd		5.4	%		202,503
	717,000	China Molybdenum Co Ltd – Class H		15.0	%		559,379
	38,000	China Resources Beer Holdings Co Ltd		8.4	%		312,488
	164,000	China Youzan Ltd		0.6	%		22,959
	400	Fuyao Glass Industry Group Co Ltd – Class H		0.1	%		2,461
	13,000	Galaxy Entertainment Group Ltd		2.2	%		83,351
	256,000	Greentown Service Group Co Ltd		7.3	%		273,763
	3,000	Haidilao International Holding Ltd		0.3	%		12,243
	7,800	Hong Kong Exchanges and Clearing Ltd		13.2	%		492,758
	123,000	Kingdee International Software Group Co Ltd		12.0	%		447,889
	14,000	New World Development Co Ltd		1.8	%		65,851
	78,400	Sands China Ltd		6.8	%		251,868
	117,000	SJM Holdings Ltd		2.7	%		101,815
	6,000	Venus Medtech Hangzhou Inc – Class H		0.8	%		28,400
	163,200	Wynn Macau Ltd		4.9	%		183,883
	34,000	Yihai International Holding Ltd.		4.9	%		183,941
	358,000	Zijin Mining Group Co Ltd – Class H		13.6	%		506,562
		TOTAL COMMON STOCKS				$	3,732,114

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 97.

See accompanying notes to the financial statements. 15

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		76.8	%
Debt Obligations		18.9
Short-Term Investments		1.7
Preferred Stocks		1.1
Investment Funds		0.5
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Swap Contracts		0.0	^
Written/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.6	)
Securities Sold Short		(24.5	)
Other		26.1
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		3.3	%
Other Emerging		2.4	†
Other Developed		0.2	‡
Euro Region		0.0	^#
		5.9	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		10.0	%
Japan		8.9
Other Developed		6.8	‡
United States		6.4
Taiwan		4.2
Other Emerging		3.9	†
Russia		3.4
South Korea		3.1
India		2.1
United Kingdom		1.9
Brazil		1.4
Canada		1.3
		53.4	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. 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 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%.

16

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	5,953,159	GMO Emerging Country Debt Fund, Class VI		156,151,350
	429,644,443	GMO Implementation Fund		5,568,191,979
	8,273,742	GMO Opportunistic Income Fund, Class VI		215,117,303
	5,617,366	GMO SGM Major Markets Fund, Class VI		167,116,627
		TOTAL MUTUAL FUNDS (COST $6,179,195,008)		6,106,577,259
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,706,724	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		4,706,724
		TOTAL SHORT-TERM INVESTMENTS (COST $4,706,724)		4,706,724
		TOTAL INVESTMENTS — 100.0% (Cost $6,183,901,732)		6,111,283,983
		Other Assets and Liabilities (net) — (0.0%)		(2,912,156	)
		TOTAL NET ASSETS — 100.0%	$	6,108,371,827

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

See accompanying notes to the financial statements. 17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		81.3	%
Debt Obligations		18.9
Short-Term Investments		1.7
Preferred Stocks		1.2
Investment Funds		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Written/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.8	)
Securities Sold Short		(20.2	)
Other		17.8
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		3.2	%†
United States		2.4
Other Developed		0.0	‡^
Euro Region		0.0	#^
		5.6	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		13.0	%
Japan		11.0
Other Developed		7.2	‡
Taiwan		5.7
Russia		4.4
South Korea		3.9
India		2.7
United Kingdom		2.5
Other Emerging		2.4	†
United States		1.9
Brazil		1.8
Mexico		1.3
Netherlands		1.3
Canada		1.3
South Africa		1.1
		61.5	%

& 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 may not total to 100%.

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

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

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

^ Rounds to 0.0%.

18

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 77.9%
		Argentina — 0.0%
	15,000	Banco BBVA Argentina SA ADR *		65,250
	22,800	Grupo Financiero Galicia SA ADR		245,784
		Total Argentina		311,034
		Australia — 1.5%
	113,700	Accent Group Ltd		178,218
	25,859	Adairs Ltd (a)		75,581
	60,850	Australian Pharmaceutical Industries Ltd (a)		59,804
	30,888	Aventus Group (REIT)		75,177
	161,506	Bank of Queensland Ltd		1,112,396
	545	BHP Group Ltd (a)		18,032
	180,298	BlueScope Steel Ltd		3,296,266
	104,520	Brambles Ltd		923,882
	13,033	Codan Ltd		142,919
	356,745	Dexus (REIT)		2,776,195
	353,113	Fortescue Metals Group Ltd		5,383,297
	39,768	GDI Property Group (REIT)		35,166
	149,150	Genworth Mortgage Insurance Australia Ltd		241,194
	952,999	GPT Group (The) (REIT)		3,373,861
	22,655	McMillan Shakespeare Ltd		206,035
	26,291	Metcash Ltd (a)		78,174
	5,691	Mineral Resources Ltd		226,386
	775,294	Mirvac Group (REIT)		1,765,644
	99,102	Mount Gibson Iron Ltd		44,028
	76,187	Rio Tinto Ltd		6,198,962
	136,209	Sandfire Resources Ltd		641,751
	795,757	Scentre Group (REIT) (a)		1,655,072
	24,820	Southern Cross Media Group Ltd *		40,378
	410,981	Stockland (REIT)		1,384,961
	9,792	Super Retail Group Ltd		87,760
	13,140	Virtus Health Ltd (a)		65,540
		Total Australia		30,086,679
		Austria — 0.0%
	2,199	Semperit AG Holding		88,310
	2,078	Vienna Insurance Group AG Wiener Versicherung Gruppe		60,194
		Total Austria		148,504
		Belgium — 0.5%
	107,012	Ageas SA/NV (a)		5,347,709
	6,073	Bekaert SA		289,131
	29,396	bpost SA *		284,131
	362	Cie d’Entreprises CFE		41,614
	1,705	Groupe Bruxelles Lambert SA		195,335
	2,423	Orange Belgium SA		57,079
	257	Sofina SA		113,611
	3,873	Telenet Group Holding NV (b)		147,365

Shares		Description	Value ($)
		Belgium — continued
	32,902	UCB SA		3,764,283
		Total Belgium		10,240,258
		Brazil — 1.4%
	234,900	Ambev SA		776,822
	1,087,040	Banco Bradesco SA		4,191,920
	134,900	Banco do Brasil SA		793,882
	137,400	Blau Farmaceutica SA		1,361,830
	137,600	Camil Alimentos SA		252,804
	74,200	Cia Siderurgica Nacional SA		500,234
	90,800	Dimed SA Distribuidora da Medicamentos		299,225
	115,100	EDP – Energias do Brasil SA		410,467
	62,700	Fleury SA		286,896
	59,300	Mahle-Metal Leve SA		453,684
	542,100	Marfrig Global Foods SA		2,148,145
	777,440	Petrobras Distribuidora SA		4,088,070
	113,800	Petroleo Brasileiro SA Sponsored ADR		1,233,592
	25,900	Ser Educacional SA		65,016
	87,000	Telefonica Brasil SA		735,768
	1,051,600	TIM SA		2,534,025
	415,200	Vale SA Sponsored ADR		7,917,864
	440,400	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		1,295,444
		Total Brazil		29,345,688
		Canada — 1.3%
	7,100	AGF Management Ltd – Class B		42,319
	19,200	Bank of Montreal		1,910,793
	31,700	Bank of Nova Scotia (The)		1,963,583
	42,140	Brookfield Asset Management Inc – Class A		2,340,877
	47,500	Canaccord Genuity Group Inc		567,372
	47,800	Canadian Apartment Properties (REIT)		2,315,268
	8,700	Canadian Tire Corp Ltd – Class A		1,323,981
	2,900	Canadian Western Bank		85,001
	50,300	Canfor Corp *		1,079,637
	42,600	Cascades Inc		529,440
	47,900	Celestica Inc * (c)		454,455
	17,400	Celestica Inc * (c)		165,300
	8,700	Cenovus Energy Inc		72,198
	5,103	Cogeco Inc		369,241
	116,400	Corus Entertainment Inc – B Shares (b)		576,626
	7,800	Enerplus Corp		46,121
	500	Fairfax Financial Holdings Ltd		221,325
	1,300	Finning International Inc		33,838
	8,300	iA Financial Corp Inc		460,245
	20,400	Imperial Oil Ltd (a) (c)		539,893
	16,500	Imperial Oil Ltd (c)		435,435
	16,500	Interfor Corp		350,363
	26,500	Intertape Polymer Group Inc		646,090
	3,700	Laurentian Bank of Canada		124,609

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	20,000	Linamar Corp		1,133,119
	37,000	Magna International Inc		2,921,817
	3,000	Morguard North American Residential Real Estate Investment Trust		42,563
	3,200	Mullen Group Ltd (a)		33,607
	29,916	Nutrien Ltd		1,815,602
	65,700	Power Corp of Canada		2,267,331
	9,200	Teck Resources Ltd – Class B		207,460
	11,600	Toronto-Dominion Bank (The)		753,290
	9,600	Tourmaline Oil Corp		256,731
	15,000	Transcontinental Inc – Class A (a)		290,334
	5,500	Wajax Corp		104,058
	6,700	West Fraser Timber Co Ltd		517,350
		Total Canada		26,997,272
		Chile — 0.0%
	13,003	CAP SA		184,834
	155,765	Falabella SA		616,945
	5,354	Inversiones La Construccion SA		25,357
		Total Chile		827,136
		China — 12.0%
	7,000	360 DigiTech Inc ADR *		159,600
	381,000	361 Degrees International Ltd *		181,860
	1,585,668	Agile Group Holdings Ltd		1,818,424
	1,264,300	Agricultural Bank of China Ltd – Class A		578,958
	27,586,800	Agricultural Bank of China Ltd – Class H		9,248,141
	18,900	Alibaba Group Holding Ltd *		395,758
	18,500	Alibaba Group Holding Ltd Sponsored ADR *		3,089,315
	1,294,000	Angang Steel Co Ltd – Class H (a)		988,603
	16,599	Anhui Conch Cement Co Ltd – Class A		102,634
	554,500	Anhui Conch Cement Co Ltd – Class H		3,000,187
	11,000	ANTA Sports Products Ltd		225,949
	32,500	Asia Cement China Holdings Corp		23,954
	13,100	Autohome Inc ADR (b)		579,806
	3,819,500	BAIC Motor Corp Ltd – Class H (a)		1,394,348
	25,600	Baidu Inc Sponsored ADR * (b)		4,019,712
	2,450,500	Bank of China Ltd – Class A		1,148,767
	26,177,000	Bank of China Ltd – Class H		9,173,298
	11,986,000	Bank of Communications Co Ltd – Class H		6,883,593
	173,500	Beijing Enterprises Holdings Ltd		597,090
	468,000	Beijing Enterprises Water Group Ltd *		193,020
	339,500	BYD Electronic International Co Ltd (a)		1,553,008
	149,000	China Aoyuan Group Ltd (a)		89,083
	5,420,000	China Cinda Asset Management Co Ltd – Class H		961,292
	106,000	China CITIC Bank Corp Ltd – Class H		48,731
	4,145,357	China Communications Services Corp Ltd – Class H		2,202,843
	230,800	China Construction Bank Corp – Class A		208,787

Shares		Description	Value ($)
		China — continued
	11,019,000	China Construction Bank Corp – Class H		7,939,825
	2,302,000	China Dongxiang Group Co Ltd		272,186
	1,267,000	China Everbright Bank Co Ltd – Class H		454,121
	614,000	China Everbright Environment Group Ltd		424,498
	2,283,000	China Feihe Ltd		4,125,439
	81,600	China Gas Holdings Ltd		236,200
	1,058,000	China Greenfresh Group Co Ltd * (d)		—
	5,235,000	China Hongqiao Group Ltd		7,764,662
	22,799,000	China Huarong Asset Management Co Ltd – Class H * (d)		2,227,882
	75,000	China International Marine Containers Group Co Ltd – Class A		212,666
	1,507,000	China Lesso Group Holdings Ltd		3,225,499
	448,000	China Lilang Ltd		279,538
	2,317,645	China Medical System Holdings Ltd		4,548,981
	43,858	China Merchants Bank Co Ltd – Class A		332,242
	6,382,000	China National Building Material Co Ltd – Class H		8,715,254
	928,000	China Oriental Group Co Ltd		342,918
	211,000	China Overseas Grand Oceans Group Ltd		140,222
	1,437,500	China Overseas Land & Investment Ltd		3,311,550
	108,890	China Pacific Insurance Group Co Ltd – Class A		443,310
	170,400	China Pacific Insurance Group Co Ltd – Class H		480,250
	18,538	China Petroleum & Chemical Corp ADR		889,639
	14,366,000	China Petroleum & Chemical Corp – Class H		6,912,020
	145,000	China Pioneer Pharma Holdings Ltd		29,612
	471,400	China Railway Group Ltd – Class A		410,448
	12,077,042	China Railway Group Ltd – Class H		5,783,991
	365,832	China Railway Signal & Communication Corp Ltd – Class A		296,029
	1,341,000	China Reinsurance Group Corp – Class H		139,533
	70,000	China Resources Gas Group Ltd		424,332
	492,000	China Resources Land Ltd		1,827,445
	2,434,000	China Resources Pharmaceutical Group Ltd		1,265,821
	93,000	China SCE Group Holdings Ltd		37,246
	33,000	China Shenhua Energy Co Ltd – Class A		102,084
	105,979	China Shenhua Energy Co Ltd – Class H		234,352
	210,000	China Shineway Pharmaceutical Group Ltd		227,084
	1,156,000	China South City Holdings Ltd		106,947
	2,474,000	China Traditional Chinese Medicine Holdings Co Ltd *		1,177,556
	786,391	China Vanke Co Ltd – Class A		2,408,129
	330,125	China Vanke Co Ltd – Class H		890,729
	84,400	China Yangtze Power Co Ltd – Class A		252,489
	183,000	China Yongda Automobiles Services Holdings Ltd		306,633
	2,900	China Yuchai International Ltd		41,325
	1,776,400	China Zhongwang Holdings Ltd * (a)		385,506
	154,400	Chinese Universe Publishing and Media Group Co Ltd – Class A		247,637
	104,000	CIMC Vehicles Group Co Ltd – Class H *		88,827

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	3,021,000	CITIC Ltd		3,753,387
	1,827,604	Country Garden Holdings Co Ltd		2,020,050
	564,397	CSG Holding Co Ltd – Class A		1,024,691
	720,000	CSPC Pharmaceutical Group Ltd		913,393
	5,292,000	Dongfeng Motor Group Co Ltd – Class H		5,794,684
	1,613,000	Dongyue Group Ltd (a)		5,548,411
	94,200	ENN Energy Holdings Ltd		1,863,996
	108,400	Everbright Securities Co Ltd – Class H (a)		86,258
	2,447,398	Fangda Special Steel Technology Co Ltd – Class A		3,073,377
	1,015,500	Fantasia Holdings Group Co Ltd *		92,496
	1,895,500	Fosun International Ltd		2,397,611
	267,000	Geely Automobile Holdings Ltd		967,668
	537,000	Genertec Universal Medical Group Co Ltd		436,887
	157,000	Greenland Hong Kong Holdings Ltd		43,569
	732,000	Guangdong Investment Ltd		1,016,586
	168,200	Guangdong Tapai Group Co Ltd – Class A		268,438
	206,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		525,788
	1,198,400	Guangzhou R&F Properties Co Ltd – Class H (a)		1,021,768
	31,200	Haier Smart Home Co Ltd – Class H		117,531
	101,000	Haitian International Holdings Ltd		386,178
	207,500	Hello Group Inc Sponsored ADR (b)		2,726,550
	52,000	Hengan International Group Co Ltd		301,136
	484,287	Hisense Home Appliances Group Co Ltd – Class A		955,500
	359,000	Hisense Home Appliances Group Co Ltd – Class H		421,456
	24,600	Hollysys Automation Technologies Ltd		483,390
	318,100	Hopson Development Holdings Ltd		1,239,223
	8,483,000	Industrial & Commercial Bank of China Ltd – Class H		4,723,966
	551,398	Inner Mongolia Eerduosi Resources Co Ltd – Class A		3,097,660
	365,000	Kingboard Holdings Ltd		1,794,677
	310,000	Kingboard Laminates Holdings Ltd		609,605
	316,000	Kunlun Energy Co Ltd		334,214
	259,000	KWG Group Holdings Ltd		272,674
	37,800	Lao Feng Xiang Co Ltd – Class A		271,907
	346,500	Legend Holdings Corp – Class H		557,870
	2,864,000	Lenovo Group Ltd		3,159,085
	246,981	Livzon Pharmaceutical Group Inc – Class H		912,520
	226,000	Logan Group Co Ltd		269,383
	178,500	Longfor Group Holdings Ltd		772,426
	3,513,000	Lonking Holdings Ltd		1,101,309
	50,100	Lufax Holding Ltd ADR *		434,367
	3,760,000	Metallurgical Corp of China Ltd – Class H		1,495,555
	55,200	NetEase Inc		1,056,737
	14,600	NetEase Inc ADR (b)		1,422,332
	1,256,000	Nexteer Automotive Group Ltd		1,414,493
	1,816,000	Nine Dragons Paper Holdings Ltd		2,480,872
	1,070,000	PAX Global Technology Ltd		1,322,884
	27,500	PetroChina Co Ltd ADR		1,199,275

Shares		Description	Value ($)
		China — continued
	4,142,000	PetroChina Co Ltd – Class H		1,809,308
	4,696,000	PICC Property & Casualty Co Ltd – Class H		4,245,711
	97,100	Ping An Insurance Group Co of China Ltd – Class A		750,305
	745,000	Poly Property Group Co Ltd		197,127
	2,150,100	Postal Savings Bank of China Co Ltd – Class A		1,708,048
	158,000	Postal Savings Bank of China Co Ltd – Class H		113,827
	1,435,000	Powerlong Real Estate Holdings Ltd		1,165,781
	144,000	Qingling Motors Co Ltd – Class H		37,128
	124,000	Road King Infrastructure Ltd		140,874
	202,000	Seazen Group Ltd *		178,908
	298,000	Shanghai Jin Jiang Capital Co Ltd – Class H		58,534
	64,100	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		154,773
	23,300	Shanghai Pharmaceuticals Holding Co Ltd – Class A		69,204
	1,209,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		2,399,441
	420,858	Shenzhen Investment Ltd		124,920
	39,300	Shenzhou International Group Holdings Ltd		851,872
	1,334,500	Shimao Group Holdings Ltd		2,757,502
	3,376,000	Sihuan Pharmaceutical Holdings Group Ltd		1,002,619
	1,228,000	Sinopec Engineering Group Co Ltd – Class H		650,674
	3,384,000	Sinopharm Group Co Ltd – Class H		8,708,740
	1,299,000	Sinotruk Hong Kong Ltd		2,559,373
	3,300,000	Skyworth Group Ltd *		1,030,961
	74,000	Sun Art Retail Group Ltd (a)		44,894
	448,000	Sunac China Holdings Ltd		1,145,454
	12,600	Sunny Optical Technology Group Co Ltd		381,296
	2,120,000	TCL Electronics Holdings Ltd *		1,123,078
	121,581	Tencent Holdings Ltd		7,509,181
	35,000	Tencent Holdings Ltd ADR (b)		2,158,100
	610,000	Tianjin Port Development Holdings Ltd		50,063
	1,686,000	Tianneng Power International Ltd (a)		2,256,463
	39,097	Tsingtao Brewery Co Ltd – Class A		522,088
	28,000	Tsingtao Brewery Co Ltd – Class H		229,108
	8,400	Vipshop Holdings Ltd ADR *		124,236
	38,000	Want Want China Holdings Ltd		25,823
	608,000	Weichai Power Co Ltd – Class H		1,534,196
	1,245,685	Weifu High-Technology Group Co Ltd – Class A		4,464,506
	2,160,000	West China Cement Ltd		344,464
	6,900	Yum China Holdings Inc		424,764
	2,978,596	Yuzhou Group Holdings Co Ltd (a)		574,082
	154,000	Zhejiang Expressway Co Ltd – Class H		135,046
	147,099	Zhejiang Weixing New Building Materials Co Ltd – Class A		449,546
	736,899	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		1,489,001
	491,500	Zhongsheng Group Holdings Ltd		4,109,430
	60,300	Zhuzhou CRRC Times Electric Co Ltd – Class H *		362,411
		Total China		245,186,111

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Czech Republic — 0.0%
	7,952	CEZ AS		250,663
	2,291	Komercni Banka AS *		88,091
	122,633	Moneta Money Bank AS *		497,917
	58	Philip Morris CR AS		42,119
		Total Czech Republic		878,790
		Denmark — 0.4%
	277	AP Moller – Maersk A/S – Class A		750,650
	349	AP Moller – Maersk A/S – Class B		994,217
	935	Carlsberg A/S – Class B		163,312
	176,900	Danske Bank A/S		2,968,472
	7,316	Matas A/S		151,533
	25,764	Pandora A/S		3,088,179
	26,761	Scandinavian Tobacco Group A/S		543,483
		Total Denmark		8,659,846
		Egypt — 0.0%
	39,913	Commercial International Bank Egypt SAE *		117,425
	33,697	Eastern Co SAE		25,227
		Total Egypt		142,652
		Finland — 0.3%
	2,416	Aktia Bank Oyj		34,619
	29,176	Kesko Oyj – B Shares		1,207,288
	32,188	Neste Oyj		1,960,633
	494,219	Nokia Oyj *		2,968,838
	5,810	Tokmanni Group Corp		167,617
	8,878	UPM-Kymmene Oyj		361,677
	6,956	Uponor Oyj		224,329
		Total Finland		6,925,001
		France — 1.7%
	18,514	ALD SA		260,750
	1,514	Amundi SA		143,290
	12,992	APERAM SA		797,074
	33,427	ArcelorMittal SA		1,121,141
	839	Axway Software SA (b)		28,458
	97,703	BNP Paribas SA		6,189,471
	721	Boiron SA		35,773
	680	Bonduelle SCA		18,407
	274	Christian Dior SE		207,125
	46,956	Cie de Saint-Gobain		3,403,978
	115,482	Credit Agricole SA		1,666,834
	48,796	Derichebourg SA *		577,568
	658	Fnac Darty SA		44,827
	337	Groupe Crit (a)		26,686
	389	HEXAOM		23,155
	14,558	IPSOS		705,615
	2,731	Kaufman & Broad SA		127,192

Shares		Description	Value ($)
		France — continued
	2,289	Kering SA		1,823,236
	2,920	LVMH Moet Hennessy Louis Vuitton SE		2,163,165
	1,440	Maisons du Monde SA		33,255
	23,776	Metropole Television SA		506,299
	7,408	Nexity SA		382,560
	82,321	Orange SA		935,924
	57,278	Publicis Groupe SA (b)		3,760,304
	19,038	Quadient SA		540,642
	1,204	Rothschild & Co		47,601
	21,948	Safran SA		2,753,280
	740	SEB SA		116,485
	3,225	Societe BIC SA		214,708
	133,748	Societe Generale SA		4,209,599
	695	Synergie SE		29,984
	58,885	Television Francaise 1		591,097
	10,535	TotalEnergies SE		465,991
	4,488	Vicat SA		223,646
	369	Vilmorin & Cie SA		23,883
		Total France		34,199,003
		Germany — 1.4%
	12,339	ADVA Optical Networking SE *		204,509
	137	Amadeus Fire AG		28,157
	45,211	Bayer AG (Registered)		2,515,127
	32,189	Bayerische Motoren Werke AG		3,055,339
	14,605	Beiersdorf AG		1,772,523
	37,461	CECONOMY AG *		175,568
	478	Cewe Stiftung & Co KGaA		71,362
	82,232	Daimler AG (Registered)		6,936,660
	1,712	Deutsche Pfandbriefbank AG		19,610
	12,837	Deutsche Post AG (Registered)		902,558
	6,949	Deutz AG *		63,462
	4,643	Dialog Semiconductor Plc *		369,051
	1,480	Draegerwerk AG & Co KGaA		125,700
	51,666	Fresenius SE & Co KGaA (b)		2,686,282
	4,219	Hamburger Hafen und Logistik AG		93,007
	30,139	HeidelbergCement AG		2,613,849
	1,895	Hornbach Baumarkt AG		75,819
	4,062	Hornbach Holding AG & Co KGaA		434,527
	45,353	Kloeckner & Co SE *		612,354
	3,509	Merck KGaA		833,727
	46,657	ProSiebenSat.1 Media SE (b)		890,761
	6,177	RTL Group SA		383,836
	1,623	Salzgitter AG *		61,179
	14,449	SAP SE (b)		2,170,384
	3,894	Takkt AG		64,871
	4,523	Traton SE		133,530
	5,643	Volkswagen AG		1,888,104
		Total Germany		29,181,856

22 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Greece — 0.0%
	12,055	FF Group * (d)		—
	6,201	Mytilineos SA		116,414
		Total Greece		116,414
		Hong Kong — 0.8%
	82,500	Budweiser Brewing Co APAC Ltd		206,145
	127,400	Champion (REIT)		72,538
	118,000	Chow Sang Sang Holdings International Ltd		179,502
	953,000	CITIC Telecom International Holdings Ltd		330,928
	4,000	CK Asset Holdings Ltd		26,048
	424,000	CK Hutchison Holdings Ltd		3,091,004
	550,000	CSI Properties Ltd		17,492
	100,500	Dah Sing Banking Group Ltd		96,647
	79,200	Dah Sing Financial Holdings Ltd		246,395
	1,820,000	First Pacific Co Ltd		678,529
	418,000	Giordano International Ltd		89,083
	75,000	HKT Trust & HKT Ltd – Class SS		102,269
	428,000	IGG Inc		408,783
	185,500	Johnson Electric Holdings Ltd		424,824
	113,000	K Wah International Holdings Ltd		49,550
	85,500	Kerry Logistics Network Ltd		271,696
	398,500	Kerry Properties Ltd		1,355,778
	24,800	Luk Fook Holdings International Ltd		68,855
	376,000	Pacific Textiles Holdings Ltd		200,557
	3,326,000	PCCW Ltd		1,734,549
	720,000	Shun Tak Holdings Ltd *		206,322
	60,500	SmarTone Telecommunications Holdings Ltd		34,085
	130,000	Sun Hung Kai & Co Ltd		71,184
	5,000	Sun Hung Kai Properties Ltd		70,520
	104,000	Swire Pacific Ltd – Class A		704,062
	180,000	Texwinca Holdings Ltd		38,870
	408,000	VSTECS Holdings Ltd		383,753
	126,500	VTech Holdings Ltd		1,228,733
	2,543,500	WH Group Ltd (a)		2,206,146
	159,000	Xinyi Glass Holdings Ltd		668,155
	355,500	Yue Yuen Industrial Holdings Ltd *		720,943
		Total Hong Kong		15,983,945
		Hungary — 0.0%
	75,431	Magyar Telekom Telecommunications Plc		109,973
	9,885	OTP Bank Nyrt *		596,973
		Total Hungary		706,946
		India — 2.5%
	191,629	Apollo Tyres Ltd		557,340
	61,691	Arvind Ltd *		76,391
	23,674	Asian Paints Ltd		1,036,637
	76,961	Axis Bank Ltd *		826,686
	6,380	Bajaj Electricals Ltd *		105,121

Shares		Description	Value ($)
		India — continued
	182,033	Balrampur Chini Mills Ltd		920,770
	9,635	Bombay Burmah Trading Co		156,642
	3,765	Clean Science & Technology Ltd *		78,567
	70,872	Dhampur Sugar Mills Ltd		302,655
	10,500	Dr Reddy’s Laboratories Ltd ADR		674,205
	93,685	Firstsource Solutions Ltd		232,200
	19,336	GAIL India Ltd		38,780
	44,323	Glenmark Pharmaceuticals Ltd		321,248
	646,209	HCL Technologies Ltd		10,420,953
	27,184	HDFC Bank Ltd		586,107
	141,504	Hindalco Industries Ltd		908,312
	74,449	Hindustan Petroleum Corp Ltd		271,790
	24,701	Hindustan Unilever Ltd		918,568
	23,498	Housing Development Finance Corp Ltd		896,310
	121,813	ICICI Bank Ltd		1,191,242
	505,780	Indiabulls Housing Finance Ltd		1,546,944
	173,068	Indian Oil Corp Ltd		262,503
	13,107	Infosys Ltd		307,084
	45,800	Infosys Ltd Sponsored ADR (b)		1,090,956
	377,848	IRCON International Ltd		222,160
	716,895	ITC Ltd		2,068,396
	127,481	Jai Balaji Industries Ltd *		101,334
	209,970	Karnataka Bank Ltd (The)		176,732
	288,603	LT Foods Ltd		265,021
	157,607	Mahindra & Mahindra Ltd		1,707,465
	21,215	Mindtree Ltd		1,051,776
	614,256	NTPC Ltd		972,866
	3,290,842	Oil & Natural Gas Corp Ltd		5,407,882
	1,677,073	Power Finance Corp Ltd		2,950,743
	356,414	PTC India Ltd		502,904
	56,068	Rajesh Exports Ltd		448,794
	2,633,422	REC Ltd		5,457,398
	53,858	Redington India Ltd		114,838
	29,934	Tata Consultancy Services Ltd		1,554,263
	780,914	Tata Motors Ltd *		3,078,563
	297,167	Tata Motors Ltd – Class A *		553,449
	29,542	Titan Co Ltd		775,431
	59,197	Wipro Ltd		518,948
		Total India		51,656,974
		Indonesia — 0.4%
	412,500	Astra International Tbk PT		151,014
	1,264,300	Bank Central Asia Tbk PT		2,902,092
	1,654,800	Bank Mandiri Persero Tbk PT		707,412
	1,465,458	Bank Negara Indonesia Persero Tbk PT		553,744
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		129,701
	7,837,800	Bank Rakyat Indonesia Persero Tbk PT		2,155,434
	223,700	Bank Tabungan Negara Persero Tbk PT *		21,991
	2,535,200	Bukit Asam Tbk PT		374,913
	243,500	Indo Tambangraya Megah Tbk PT		272,983

See accompanying notes to the financial statements. 23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	651,500	Pakuwon Jati Tbk PT *		20,884
	1,417,500	Panin Financial Tbk PT *		18,562
	1,911,200	Ramayana Lestari Sentosa Tbk PT		85,646
	1,353,600	Telkom Indonesia Persero Tbk PT		323,025
	43,600	United Tractors Tbk PT		61,287
		Total Indonesia		7,778,688
		Ireland — 0.5%
	172,287	AIB Group Plc *		517,673
	306,876	Bank of Ireland Group Plc *		1,920,820
	3,941	CRH Plc		208,778
	19,840	CRH Plc Sponsored ADR		1,053,901
	11,519	Dole Plc *		184,880
	9,518	Glanbia Plc		169,925
	207,649	Hibernia REIT Plc		310,763
	4,107	Kingspan Group Plc		468,999
	20,810	Origin Enterprises Plc		82,116
	32,738	Permanent TSB Group Holdings Plc *		53,986
	114,409	Ryanair Holdings Plc *		2,140,185
	7,869	Smurfit Kappa Group Plc (c)		451,019
	42,073	Smurfit Kappa Group Plc (c)		2,411,367
		Total Ireland		9,974,412
		Israel — 0.3%
	124,523	Bank Leumi Le-Israel BM		1,028,711
	18,700	Check Point Software Technologies Ltd *		2,349,281
	530	Fox Wizel Ltd		70,242
	37,750	Isracard Ltd		156,650
	458	Israel Corp Ltd (The) *		139,040
	1,604	Mizrahi Tefahot Bank Ltd		53,361
	477,592	Oil Refineries Ltd *		104,166
	283,200	Teva Pharmaceutical Industries Ltd Sponsored ADR *		2,667,744
		Total Israel		6,569,195
		Italy — 1.1%
	146,383	A2A SPA		321,598
	4,639	ACEA SPA		110,779
	38,002	Anima Holding SPA		196,011
	12,361	Banca IFIS SPA		214,536
	10,462	Banca Mediolanum SPA		108,614
	130,970	Banco BPM SPA (a)		434,343
	72,812	Buzzi Unicem SPA		1,932,959
	15,485	Cementir Holding NV		175,384
	14,900	CNH Industrial NV (c)		245,701
	10,648	CNH Industrial NV (c)		176,020
	55,960	Cofide SPA *		32,245
	22,116	Credito Emiliano SPA		148,247
	5,887	De’ Longhi SPA		266,428
	6,488	El.En. SPA (b)		99,935

Shares		Description	Value ($)
		Italy — continued
	42,164	Enel SPA		384,133
	8,873	Esprinet SPA		169,581
	94,420	EXOR NV		7,877,784
	61,401	Italgas SPA		407,064
	9,031	La Doria SPA		194,394
	184,464	Leonardo SPA *		1,501,994
	74,348	Mediobanca Banca di Credito Finanziario SPA *		876,452
	31,060	Poste Italiane SPA		421,109
	364	Sesa SPA *		72,613
	3,269,443	Telecom Italia SPA		1,481,284
	6,310,669	Telecom Italia SPA – RSP		3,048,881
	7,364	Unieuro SPA		192,415
	200,746	Unipol Gruppo SPA		1,190,643
		Total Italy		22,281,147
		Japan — 13.5%
	5,400	ADEKA Corp		117,884
	400	Advantest Corp		34,461
	29,200	Aeon Delight Co Ltd (a)		944,756
	237,900	Aeon Mall Co Ltd (a)		3,623,006
	3,100	AGC Inc		149,757
	6,100	Aichi Corp		41,065
	8,600	Aisin Corp		328,275
	311,400	Amada Co Ltd		3,156,716
	85,800	Amano Corp		2,178,047
	6,600	AOKI Holdings Inc		37,521
	300	Arata Corp		12,158
	18,200	Arcland Sakamoto Co Ltd		253,428
	67,400	Arcs Co Ltd (a)		1,370,166
	362,000	Asahi Kasei Corp		3,732,248
	155,000	Astellas Pharma Inc		2,611,736
	3,600	Bando Chemical Industries Ltd		30,185
	86,000	Brother Industries Ltd		1,764,856
	5,600	Bunka Shutter Co Ltd		59,300
	2,500	Canon Electronics Inc		36,287
	11,000	Canon Marketing Japan Inc		250,810
	1,600	Cawachi Ltd		33,384
	3,400	Central Glass Co Ltd		68,591
	1,600	Chiyoda Integre Co Ltd		27,942
	98,200	Chubu Electric Power Co Inc		1,187,474
	142,500	Chugoku Marine Paints Ltd		1,171,225
	4,300	CONEXIO Corp		59,546
	2,600	Credit Saison Co Ltd		29,574
	5,400	Dai Nippon Toryo Co Ltd		41,789
	1,500	Dai-Dan Co Ltd		36,837
	38,400	Daihen Corp		1,671,940
	1,900	Daiichi Jitsugyo Co Ltd		81,314
	1,900	Dainichiseika Color & Chemicals Manufacturing Co Ltd		43,777
	55,000	Daiwa House Industry Co Ltd		1,677,155

24 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,000	Daiwa Industries Ltd		22,188
	318,300	Daiwabo Holdings Co Ltd		6,047,699
	111,200	Denka Co Ltd		3,897,590
	4,400	DTS Corp (b)		102,202
	69,100	Ebara Corp		3,434,753
	3,200	Ehime Bank Ltd (The)		22,739
	4,400	Elecom Co Ltd		71,188
	46,600	Electric Power Development Co Ltd		696,136
	8,500	FAN Communications Inc		31,710
	113,900	Fuji Corp		2,948,524
	700	Fujimori Kogyo Co Ltd		29,142
	10,700	Fujitsu Ltd (b)		1,969,729
	2,600	Furuno Electric Co Ltd		25,808
	3,000	G-7 Holdings Inc (a)		108,332
	1,000	Hakuto Co Ltd		16,381
	9,300	Hanwa Co Ltd		278,873
	288,200	Haseko Corp		3,985,824
	370,400	Hazama Ando Corp		2,762,739
	1,800	Heiwado Co Ltd		35,789
	97,100	Hitachi Ltd		5,366,377
	45,100	Hogy Medical Co Ltd		1,410,459
	10,300	Hokuhoku Financial Group Inc		78,946
	213,700	Honda Motor Co Ltd		6,467,976
	43,500	Horiba Ltd		3,108,753
	4,400	Hyakujushi Bank Ltd (The)		63,650
	49,100	Iida Group Holdings Co Ltd		1,246,509
	105,500	Inabata & Co Ltd		1,613,872
	1,500	Information Services International-Dentsu Ltd (b)		58,511
	575,500	Inpex Corp		3,954,198
	18,300	Isuzu Motors Ltd		231,335
	210,800	ITOCHU Corp		6,341,100
	16,400	Itochu Enex Co Ltd		147,025
	600	Itochu-Shokuhin Co Ltd		28,862
	29,700	Itoham Yonekyu Holdings Inc		200,511
	11,600	Itoki Corp		37,810
	6,800	Jaccs Co Ltd		169,973
	74,400	JAFCO Group Co Ltd		4,493,360
	9,000	Japan Petroleum Exploration Co Ltd		154,832
	42,674	Japan Post Insurance Co Ltd		774,963
	6,100	Juroku Bank Ltd (The)		128,760
	173,800	JVCKenwood Corp		328,617
	330,800	K’s Holdings Corp		3,615,878
	92,600	Kadokawa Corp (b)		4,246,713
	3,900	Kaga Electronics Co Ltd		102,633
	132,100	Kajima Corp		1,706,766
	3,500	Kamei Corp		37,336
	42,800	Kanamoto Co Ltd		978,026
	23,500	Kandenko Co Ltd		201,913
	152,000	Kanematsu Corp		1,954,789
	700	Kansai Electric Power Co Inc (The)		7,034

Shares		Description	Value ($)
		Japan — continued
	2,600	Kato Sangyo Co Ltd		79,516
	286,300	KDDI Corp		8,750,868
	22,900	Kinden Corp		387,722
	2,697	Kohnan Shoji Co Ltd (a)		88,916
	15,700	Kokuyo Co Ltd		274,702
	17,001	Komeri Co Ltd		389,838
	236,274	Konica Minolta Inc		1,199,115
	98,600	Konoike Transport Co Ltd		1,227,075
	4,200	Kumagai Gumi Co Ltd		102,560
	7,100	Kyokuto Kaihatsu Kogyo Co Ltd		106,560
	185,200	Kyowa Exeo Corp		4,647,552
	111,900	Kyudenko Corp		4,023,590
	2,400	Macnica Fuji Electronics Holdings Inc		57,733
	131,400	Macromill Inc		902,643
	86,300	Mandom Corp		1,305,489
	34,700	Marubeni Corp		276,084
	1,400	Maruha Nichiro Corp		32,307
	130,700	Maruichi Steel Tube Ltd		3,213,525
	2,100	Maruzen Showa Unyu Co Ltd		64,912
	2,000	Matsuda Sangyo Co Ltd		53,087
	128,700	Maxell Holdings Ltd *		1,513,032
	20,500	MCJ Co Ltd		228,426
	83,900	Mebuki Financial Group Inc		187,499
	2,400	Megmilk Snow Brand Co Ltd		50,303
	4,500	Meidensha Corp		100,450
	700	Melco Holdings Inc		33,031
	63,500	Mitsubishi Gas Chemical Co Inc		1,196,509
	2,000	Mitsubishi Research Institute Inc (b)		77,588
	1,516,800	Mitsubishi UFJ Financial Group Inc		8,229,308
	4,400	Mitsuboshi Belting Ltd		80,434
	17,600	Mitsui & Co Ltd		388,178
	21,500	Mitsui Chemicals Inc		742,232
	6,200	Mitsui DM Sugar Holdings Co Ltd		109,057
	16,695	Mixi Inc (b)		383,429
	106,800	Morinaga & Co Ltd		3,745,519
	134,500	MS&AD Insurance Group Holdings Inc		4,353,613
	20,300	NEC Networks & System Integration Corp (b)		386,959
	103,800	NH Foods Ltd		4,027,771
	4,700	Nichias Corp		124,652
	5,500	Nichiha Corp		161,834
	6,100	Nichireki Co Ltd		71,286
	12,400	Nippn Corp		182,235
	18,500	Nippo Corp		543,620
	2,200	Nippon Soda Co Ltd		70,361
	800	Nippon Steel Trading Corp		36,547
	258,700	Nippon Telegraph & Telephone Corp		6,892,488
	42,900	Nippon Television Holdings Inc (b)		457,466
	17,800	Nishi-Nippon Financial Holdings Inc		112,333
	1,500	Nissin Corp		20,750
	9,000	Nojima Corp		221,588

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	12,800	Nomura Real Estate Holdings Inc		327,798
	485,100	Obayashi Corp		3,991,587
	17,800	Okamura Corp		273,798
	600	Okinawa Cellular Telephone Co		28,385
	4,000	Organo Corp		230,923
	555,900	ORIX Corp		10,371,688
	40,900	Osaka Gas Co Ltd		766,669
	1,700	Osaka Soda Co Ltd		41,202
	136,000	Pacific Industrial Co Ltd		1,552,673
	250,000	Penta-Ocean Construction Co Ltd		1,586,744
	4,300	Prima Meat Packers Ltd		116,484
	5,700	Proto Corp (b)		76,725
	7,600	Raito Kogyo Co Ltd		132,763
	197,700	Resona Holdings Inc		764,534
	2,500	Restar Holdings Corp		43,707
	900	Rion Co Ltd		21,497
	20,900	Rohm Co Ltd		2,009,261
	2,800	Roland DG Corp		72,732
	1,300	Ryobi Ltd		15,376
	23,500	San-A Co Ltd		864,634
	9,200	San-Ai Oil Co Ltd		114,696
	14,000	San-In Godo Bank Ltd (The)		72,869
	12,700	Sanki Engineering Co Ltd		172,493
	72,200	Sankyu Inc		3,359,943
	8,300	Sanwa Holdings Corp		110,230
	19,100	Sawai Group Holdings Co Ltd		863,175
	45,300	Secom Co Ltd		3,435,223
	33,200	Sega Sammy Holdings Inc		447,789
	9,500	Seiko Epson Corp		176,935
	3,500	Seiko Holdings Corp		69,462
	19,700	Sekisui Chemical Co Ltd		337,150
	166,900	Sekisui House Ltd		3,325,182
	4,300	Sekisui Jushi Corp		85,400
	5,400	Shimamura Co Ltd		475,959
	355,200	Shimizu Corp		2,548,905
	600	Shindengen Electric Manufacturing Co Ltd *		22,112
	6,600	Shizuoka Gas Co Ltd (a)		76,766
	800	Sinanen Holdings Co Ltd		25,405
	7,400	Sinko Industries Ltd		146,841
	348,700	SKY Perfect JSAT Holdings Inc		1,292,820
	200,000	Sojitz Corp		587,190
	21,600	Subaru Corp		399,766
	816,800	Sumitomo Chemical Co Ltd		4,140,863
	237,800	Sumitomo Dainippon Pharma Co Ltd		4,268,530
	18,600	Sumitomo Electric Industries Ltd		248,414
	225,600	Sumitomo Forestry Co Ltd		4,402,178
	1,700	Sumitomo Heavy Industries Ltd		44,471
	111,000	Sumitomo Mitsui Trust Holdings Inc		3,625,615
	1,500	Sumitomo Seika Chemicals Co Ltd		48,017
	13,400	Suzuki Motor Corp		579,028

Shares		Description	Value ($)
		Japan — continued
	64,600	T Hasegawa Co Ltd		1,638,176
	4,000	T-Gaia Corp		71,484
	77,800	Tachi-S Co Ltd		958,993
	65,100	Taisei Corp		2,036,693
	155,700	Takara Holdings Inc		2,017,885
	32,900	Takara Leben Co Ltd		95,704
	13,200	Takeuchi Manufacturing Co Ltd		317,745
	146,700	Takuma Co Ltd		2,210,666
	3,000	Tamron Co Ltd		71,855
	272,100	Teijin Ltd		3,913,580
	115,200	TIS Inc (b)		3,252,051
	92,100	Toho Holdings Co Ltd		1,598,700
	965,200	Tokyo Electric Power Co Holdings Inc *		2,535,201
	97,600	Tokyo Seimitsu Co Ltd		4,263,282
	35,800	Tokyu Construction Co Ltd		244,039
	263,100	Toppan Inc		4,516,648
	31,700	Toray Industries Inc		213,744
	122,200	Tosei Corp		1,290,152
	278,784	Tosoh Corp		5,060,043
	1,000	Totetsu Kogyo Co Ltd		22,328
	8,300	Towa Pharmaceutical Co Ltd		222,497
	40,300	Toyo Construction Co Ltd		206,294
	24,500	Toyota Boshoku Corp		460,689
	45,500	Toyota Industries Corp		3,841,593
	13,800	Toyota Tsusho Corp		610,207
	2,200	TPR Co Ltd		29,701
	14,000	TS Tech Co Ltd		189,632
	82,200	Tsumura & Co		2,826,316
	4,500	TV Asahi Holdings Corp (b)		69,376
	5,300	Wacoal Holdings Corp		111,367
	13,400	YAMABIKO Corp		154,072
	69,900	Yamada Holdings Co Ltd		299,880
	39,500	Yamaguchi Financial Group Inc		230,338
	5,300	Yamaha Motor Co Ltd		134,841
	9,000	Yamazen Corp		89,528
	7,200	Yellow Hat Ltd		127,411
	60,500	Yokogawa Bridge Holdings Corp		1,230,859
	14,700	Yokohama Rubber Co Ltd (The)		250,732
	5,500	Yuasa Trading Co Ltd		148,479
	92,200	Zenkoku Hosho Co Ltd		4,385,761
		Total Japan		275,261,484
		Kuwait — 0.2%
	31	Gulf Bank KSCP		25
	7,476	Gulf Cable & Electrical Industries Co KSCP		20,241
	18,005	Humansoft Holding Co KSC		203,943
	911,960	Kuwait Finance House KSCP		2,504,969
	38,023	Kuwait Projects Holding KSCP		19,463
	152,743	Mobile Telecommunications Co KSCP		310,099
	467,111	National Bank of Kuwait SAKP		1,453,489
		Total Kuwait		4,512,229

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Luxembourg — 0.0%
	7,400	Ternium SA Sponsored ADR		402,412
		Malaysia — 0.1%
	590,200	DRB-Hicom Bhd		237,392
	1,015,400	MMC Corp Bhd		449,789
	30,100	Pharmaniaga Bhd		6,512
	87,300	Syarikat Takaful Malaysia Keluarga Bhd		94,164
	246,400	Top Glove Corp Bhd		237,072
	98,700	Westports Holdings Bhd		104,357
		Total Malaysia		1,129,286
		Mexico — 1.1%
	5,300	America Movil SAB de CV – Class L Sponsored ADR		103,668
	23,400	Arca Continental SAB de CV		150,730
	100,000	Banco del Bajio SA		190,599
	206,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander		241,122
	13,800	Cemex SAB de CV Sponsored ADR *		113,160
	3,200	Coca-Cola Femsa SAB de CV Sponsored ADR		185,280
	27,500	Corp Inmobiliaria Vesta SAB de CV		51,155
	107,200	Credito Real SAB de CV SOFOM ER *		81,558
	81,100	El Puerto de Liverpool SAB de CV – Class C1		360,395
	222,800	Fibra Uno Administracion SA de CV (REIT)		251,155
	270,572	Fomento Economico Mexicano SAB de CV		2,351,002
	7,200	Fomento Economico Mexicano SAB de CV Sponsored ADR		624,312
	403,000	Gentera SAB de CV *		221,526
	21,372	Grupo Aeroportuario del Centro Norte SAB de CV *		128,813
	244,900	Grupo Bimbo SAB de CV – Series A		618,469
	997,900	Grupo Financiero Banorte SAB de CV – Class O		6,586,915
	80,800	Grupo Financiero Inbursa SAB de CV – Class O *		77,646
	49,942	Grupo Herdez SAB de CV – Series *		108,145
	1,602,289	Grupo Mexico SAB de CV – Series B		7,429,055
	4,600	Infraestructura Energetica Nova SAB de CV *		17,993
	51,700	Kimberly-Clark de Mexico SAB de CV – Class A		91,744
	199,000	Nemak SAB de CV *		63,810
	61,600	Qualitas Controladora SAB de CV		291,438
	29,400	Regional SAB de CV		180,142
	25,472	Unifin Financiera SAB de CV SOFOM ENR *		36,146
	759,600	Wal-Mart de Mexico SAB de CV		2,695,513
		Total Mexico		23,251,491
		Netherlands — 1.6%
	77,748	ABN AMRO Bank NV CVA * (a)		1,083,164
	55,100	AerCap Holdings NV *		2,971,543
	26,650	ASR Nederland NV (a)		1,217,766
	11,846	ForFarmers NV		62,250
	277,407	ING Groep NV		3,826,656
	21,600	JDE Peet’s NV		742,322

Shares		Description	Value ($)
		Netherlands — continued
	131,902	Koninklijke Ahold Delhaize NV		4,450,037
	329,237	Koninklijke KPN NV		1,054,667
	58,077	NN Group NV		3,012,613
	402,336	PostNL NV		2,105,383
	65,160	Randstad NV		4,798,784
	75,834	Signify NV		4,248,426
	102,796	Stellantis NV		2,060,617
	12,234	Wolters Kluwer NV		1,406,919
		Total Netherlands		33,041,147
		New Zealand — 0.1%
	540,971	Meridian Energy Ltd		1,998,019
		Norway — 0.5%
	53,880	Aker Solutions ASA *		99,643
	29,459	Austevoll Seafood ASA		378,344
	10,158	Avance Gas Holding Ltd		50,900
	45,705	Bank Norwegian ASA		540,456
	131,121	BW LPG Ltd		698,157
	3,961	DNB Bank ASA		83,604
	68,623	Elkem ASA *		292,138
	13,517	Equinor ASA		286,481
	76,548	Europris ASA		540,902
	533,132	Norsk Hydro ASA		3,680,339
	199,763	Orkla ASA		1,784,359
	14,029	Sbanken ASA		164,198
	11,817	Selvaag Bolig ASA		82,977
	16,786	SpareBank 1 Nord Norge		169,048
	19,287	SpareBank 1 SMN		276,736
	52,120	SpareBank 1 SR-Bank ASA		702,958
	6,320	Veidekke ASA		81,137
	1,030	Wallenius Wilhelmsen ASA *		4,077
		Total Norway		9,916,454
		Pakistan — 0.1%
	34,810	Engro Corp Ltd		61,493
	488,454	Engro Fertilizers Ltd		226,827
	58,068	Fauji Fertilizer Co Ltd		36,979
	5,110	Lucky Cement Ltd *		25,483
	407,858	Oil & Gas Development Co Ltd		227,239
	54,623	Pakistan Oilfields Ltd		127,823
	277,068	Pakistan Petroleum Ltd		135,907
	23,700	Pakistan State Oil Co Ltd		30,828
	67,270	United Bank Ltd		49,038
		Total Pakistan		921,617
		Peru — 0.0%
	3,600	Credicorp Ltd *		383,868
	6,800	Southern Copper Corp		425,612
		Total Peru		809,480

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.0%
	16,040	GT Capital Holdings Inc		173,870
	14,660	Manila Electric Co		83,062
	2,369,000	Megaworld Corp		134,176
	2,145,000	Metro Pacific Investments Corp		165,872
	76,600	Puregold Price Club Inc		64,208
	15,810	Security Bank Corp		35,947
	135,050	Semirara Mining & Power Corp		46,067
		Total Philippines		703,202
		Poland — 0.4%
	20,978	Asseco Poland SA		459,651
	28,411	Bank Polska Kasa Opieki SA *		794,477
	3,461	Budimex SA		267,498
	4,254	Dino Polska SA *		360,587
	28,920	Jastrzebska Spolka Weglowa SA *		304,726
	156,212	Polski Koncern Naftowy ORLEN SA		3,028,728
	835,335	Polskie Gornictwo Naftowe i Gazownictwo SA		1,373,875
	169,574	Powszechna Kasa Oszczednosci Bank Polski SA *		1,861,439
	2,205	Santander Bank Polska SA *		174,004
		Total Poland		8,624,985
		Portugal — 0.4%
	81,654	Altri SGPS SA		543,571
	7,090,582	Banco Comercial Portugues SA – Class R * (a)		1,096,751
	58,611	CTT-Correios de Portugal SA (a)		318,017
	356,059	EDP – Energias de Portugal SA		1,954,601
	235,835	Galp Energia SGPS SA		2,412,336
	1,566	Greenvolt-Energias Renovaveis SA *		9,874
	154,246	Navigator Co SA (The)		574,353
	52,529	NOS SGPS SA		221,444
	69,242	REN – Redes Energeticas Nacionais SGPS SA		202,798
	598,195	Sonae SGPS SA		651,353
		Total Portugal		7,985,098
		Qatar — 0.1%
	114,022	Doha Bank QPSC		90,176
	46,534	Masraf Al Rayan QSC		58,156
	16,323	Qatar Electricity & Water Co QSC		74,441
	32,266	Qatar Gas Transport Co Ltd		27,425
	31,879	Qatar Insurance Co SAQ *		21,771
	183,248	Qatar National Bank QPSC		964,463
	45,376	Qatar National Cement Co QSC		62,405
		Total Qatar		1,298,837
		Russia — 3.7%
	2,856,440	Alrosa PJSC		5,686,236
	95,600	Credit Bank of Moscow PJSC *		9,070
	86,780	Detsky Mir PJSC		164,329
	152,250,000	Federal Grid Co Unified Energy System PJSC		409,615

Shares		Description	Value ($)
		Russia — continued
	68,395	Fix Price Group Ltd GDR * (d)		638,467
	13,740	Gazprom Neft PJSC		79,909
	2,752	Gazprom Neft PJSC Sponsored ADR		80,169
	1,041,790	Gazprom PJSC		4,343,899
	877,120	Gazprom PJSC Sponsored ADR		7,272,191
	31,659	Globaltrans Investment Plc Sponsored GDR (Registered)		260,377
	29,325,101	Inter RAO UES PJSC		1,847,830
	19,776	LSR Group PJSC		209,732
	1	LSR Group PJSC GDR (Registered)(d)		2
	42,067	LUKOIL PJSC		3,597,194
	19,076	LUKOIL PJSC Sponsored ADR		1,615,718
	4,165	M.Video PJSC		35,521
	3,470	Magnit PJSC		262,925
	42,471	Magnit PJSC Sponsored GDR (Registered)		646,443
	1,007,980	Magnitogorsk Iron & Steel Works PJSC		1,019,006
	34,180	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		445,341
	126,140	MMC Norilsk Nickel PJSC ADR		4,150,606
	27,000	Mobile TeleSystems PJSC Sponsored ADR		253,260
	767,160	Moscow Exchange MICEX-RTS PJSC		1,919,514
	8,670	Novatek PJSC Sponsored GDR (Registered)		2,054,909
	262,040	Novolipetsk Steel PJSC		883,509
	111,915	Novolipetsk Steel PJSC GDR		3,737,464
	14,566	PhosAgro PJSC GDR (Registered)		286,666
	183,058	Polymetal International Plc		3,647,283
	3,088	Polyus PJSC		557,190
	19,932	Polyus PJSC GDR (Registered)		1,767,929
	1,352	QIWI Plc Sponsored ADR (c)		12,881
	50,200	QIWI Plc Sponsored ADR (c)		479,912
	19,230	Raspadskaya OJSC		100,804
	2,771	Ros Agro Plc GDR (Registered)		44,448
	5,872,000	ROSSETI PJSC		105,246
	10,592,000	RusHydro PJSC		119,103
	13,580	Safmar Financial Investment *		82,279
	1,348,100	Sberbank of Russia PJSC		6,049,189
	621,352	Sberbank of Russia PJSC Sponsored ADR		11,096,664
	14,117	Severstal PJSC		331,398
	88,572	Severstal PJSC GDR (Registered)		2,055,645
	4,327,100	Surgutneftegas PJSC		1,996,901
	376,758	Surgutneftegas PJSC Sponsored ADR		1,739,774
	42,180	Tatneft PJSC Sponsored ADR		1,679,364
	3,990	TCS Group Holding Plc GDR (Registered) (c)		352,890
	497	TCS Group Holding Plc GDR (Registered) (c)		44,110
	5,917,000	Unipro PJSC		227,581
	2,289	X5 Retail Group NV GDR (Registered) (c)		76,158
	25,760	X5 Retail Group NV GDR (Registered) (c)		853,494
		Total Russia		75,330,145

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Singapore — 0.6%
	243,500	Asian Pay Television Trust		23,523
	62,100	CapitaLand Integrated Commercial Trust (REIT)		94,848
	93,594	CapitaLand Ltd		277,691
	532,300	ComfortDelGro Corp Ltd		639,673
	108,035	DBS Group Holdings Ltd		2,395,468
	187,200	First Real Estate Investment Trust (a)		36,868
	1,318,100	Golden Agri-Resources Ltd		224,901
	391,840	Japfa Ltd		206,836
	59,316	Jardine Cycle & Carriage Ltd		855,196
	90,100	Keppel Corp Ltd		347,341
	78,000	Lendlease Global Commercial (REIT)		51,563
	136,600	Sasseur Real Estate Investment Trust		92,906
	498,100	Sembcorp Industries Ltd		713,034
	329,700	Silverlake Axis Ltd		68,445
	700	Singapore Exchange Ltd		5,138
	142,200	StarHub Ltd		128,757
	14,300	UOL Group Ltd		74,214
	402,000	Wilmar International Ltd		1,234,542
	4,110,999	Yangzijiang Shipbuilding Holdings Ltd		5,006,080
	338,000	Yanlord Land Group Ltd		298,475
		Total Singapore		12,775,499
		South Africa — 1.1%
	719,441	Absa Group Ltd *		7,791,439
	32,440	Aspen Pharmacare Holdings Ltd *		437,416
	38,354	Astral Foods Ltd		387,922
	12,719	AVI Ltd		66,603
	98,911	Barloworld Ltd		735,573
	167,575	Bidvest Group Ltd (The)		2,362,834
	260,527	Blue Label Telecoms Ltd *		105,150
	60,892	Foschini Group Ltd (The) *		626,497
	109,930	Imperial Logistics Ltd		474,340
	69,568	Investec Ltd		296,746
	70,671	Kumba Iron Ore Ltd		3,173,786
	57,204	Lewis Group Ltd		168,153
	31,586	Metair Investments Ltd		60,646
	126,354	Motus Holdings Ltd		806,456
	6,681	Mr Price Group Ltd		100,047
	160,306	MTN Group Ltd *		1,471,405
	7,681	Naspers Ltd – N Shares		1,325,272
	245,275	Pepkor Holdings Ltd *		389,884
	30,943	Raubex Group Ltd		62,863
	83,631	Reunert Ltd		299,382
	1,537,916	RMB Holdings Ltd		156,005
	352,069	Telkom SA SOC Ltd *		926,551
	120,703	Truworths International Ltd		555,543
	90,743	Tsogo Sun Gaming Ltd *		60,637
	19,936	Wilson Bayly Holmes-Ovcon Ltd *		164,428
		Total South Africa		23,005,578

Shares		Description	Value ($)
		South Korea — 3.4%
	167,866	BNK Financial Group Inc		1,120,210
	473	CJ CheilJedang Corp		184,954
	2,876	Coway Co Ltd		193,915
	21,097	Daewoo Engineering & Construction Co Ltd *		133,430
	2,167	Daihan Pharmaceutical Co Ltd		56,730
	5,533	Daou Data Corp		66,846
	5,788	DB Insurance Co Ltd		292,639
	154,454	DGB Financial Group Inc		1,208,932
	34,093	Dongwon Development Co Ltd		177,013
	1,634	E-MART Inc		251,758
	8,294	GS Engineering & Construction Corp		319,216
	16,225	GS Retail Co Ltd		479,096
	176,094	Hana Financial Group Inc		6,819,057
	1,177	Handsome Co Ltd		41,186
	45,229	Hankook Tire & Technology Co Ltd		1,814,559
	195,440	Hanwha Life Insurance Co Ltd		561,296
	10,720	Hanyang Eng Co Ltd		151,138
	17,544	HDC Hyundai Development Co-Engineering & Construction		450,985
	16,340	Hyundai Engineering & Construction Co Ltd		780,008
	8,420	Hyundai Home Shopping Network Corp		534,497
	1	Hyundai Marine & Fire Insurance Co Ltd		22
	3,601	Hyundai Mobis Co Ltd		859,569
	2,160	Hyundai Motor Co GDR (Registered)		94,255
	47,715	JB Financial Group Co Ltd		340,442
	51,506	KB Financial Group Inc		2,343,010
	6,100	KB Financial Group Inc ADR		277,611
	11,511	KC Co Ltd		240,105
	78,082	Kia Corp		5,711,942
	366	Korea Petrochemical Ind Co Ltd		72,836
	136,329	KT&G Corp		9,588,257
	1,056	Kumho Petrochemical Co Ltd		176,555
	33,545	LF Corp		531,292
	60,263	LG Electronics Inc		7,360,019
	259	LG Household & Health Care Ltd		326,290
	401	Lotte Chemical Corp		86,244
	502	LOTTE Fine Chemical Co Ltd		30,272
	15,026	LOTTE Himart Co Ltd		405,275
	1,628	LX Semicon Co Ltd		161,651
	21,590	Mirae Asset Life Insurance Co Ltd		80,412
	12,410	NAVER Corp		4,698,884
	443	POSCO		127,509
	16,843	Samjin Pharmaceutical Co Ltd		390,226
	145,893	Samsung Electronics Co Ltd		9,631,598
	120	Samsung Electronics Co Ltd GDR (Registered)		195,928
	5,298	Samsung Engineering Co Ltd *		101,794
	129,724	Shinhan Financial Group Co Ltd		4,321,577
	167	SK Telecom Co Ltd		42,937
	67,900	SK Telecom Co Ltd Sponsored ADR		1,954,841
	19,882	SL Corp		470,406

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	37,424	Woori Financial Group Inc		362,068
	35,251	Yuhan Corp		1,896,964
		Total South Korea		68,518,256
		Spain — 1.3%
	27,467	Acerinox SA		374,347
	61,381	ACS Actividades de Construccion y Servicios SA		1,657,053
	27,305	Amadeus IT Group SA * (b)		1,667,732
	41,700	Atresmedia Corp de Medios de Comunicacion SA * (b)		182,613
	930,233	Banco Bilbao Vizcaya Argentaria SA *		6,088,368
	2,135,860	Banco de Sabadell SA *		1,522,666
	1,880,931	Banco Santander SA *		6,935,469
	256,443	Bankinter SA		1,500,817
	27,882	CaixaBank SA		86,614
	31,175	Cia de Distribucion Integral Logista Holdings SA (a)		676,811
	3,167	Ebro Foods SA (a)		63,596
	6,120	eDreams ODIGEO SA * (b)		45,543
	705	Enagas SA		16,048
	43,720	Gestamp Automocion SA *		203,346
	6,937	Grupo Catalana Occidente SA		262,723
	31,534	Iberdrola SA		390,753
	52,531	Industria de Diseno Textil SA		1,794,533
	102,122	Mediaset Espana Comunicacion SA *		622,970
	52,271	Red Electrica Corp SA		1,042,468
	46,816	Repsol SA		537,221
	543,999	Unicaja Banco SA		501,907
		Total Spain		26,173,598
		Sweden — 0.2%
	1,725	Bufab AB		65,977
	2,525	Humana AB *		21,068
	88,032	Investor AB – B Shares		2,105,606
	28,907	Inwido AB		566,966
	3,173	Kinnevik AB – Class B *		124,322
	1,701	KNOW IT AB (b)		65,968
	3,285	New Wave Group AB – B Shares *		51,866
	3,892	Nobina AB		35,704
	775	Nordea Bank Abp		9,102
	20,672	Skanska AB – B Shares		595,933
	11,062	Svenska Cellulosa AB SCA – Class B		195,503
		Total Sweden		3,838,015
		Switzerland — 0.5%
	49,803	Adecco Group AG (Registered)		2,770,409
	500	ALSO Holding AG (Registered) *		160,927
	2,498	BKW AG		289,717
	1,108	Bobst Group SA (Registered) *		101,980
	892	Credit Suisse Group AG (Registered)		9,449

Shares		Description	Value ($)
		Switzerland — continued
	1,058	Huber + Suhner AG (Registered)		94,915
	433	Kardex Holding AG (Registered)		115,786
	2,853	Mobilezone Holding AG (Registered)		40,244
	16,771	Novartis AG (Registered)		1,551,164
	9,921	Roche Holding AG – Genusschein		3,983,826
	23	Schindler Holding AG (Registered)		7,169
	195	Swiss Life Holding AG (Registered)		101,640
	37	Swisscom AG (Registered)		21,717
	2,124	Zehnder Group AG – Class RG		229,644
		Total Switzerland		9,478,587
		Taiwan — 5.0%
	22,000	Accton Technology Corp		222,890
	107,000	Acer Inc		97,109
	5,207	Acter Group Corp Ltd		35,376
	26,333	Amazing Microelectronic Corp		153,993
	28,000	Arcadyan Technology Corp		93,255
	852,035	Asustek Computer Inc		9,946,474
	19,000	Aten International Co Ltd		56,307
	8,400	Aurora Corp		26,820
	960,000	Catcher Technology Co Ltd		5,773,950
	1,392,399	Cathay Financial Holding Co Ltd		2,990,286
	175,651	Chailease Holding Co Ltd		1,685,057
	79,000	Chicony Electronics Co Ltd		223,414
	502,000	China Development Financial Holding Corp		256,554
	174,000	China Life Insurance Co Ltd		181,071
	213,000	Chipbond Technology Corp		589,955
	29,000	Chong Hong Construction Co Ltd *		83,328
	96,000	Chunghwa Telecom Co Ltd		388,343
	616,000	Coretronic Corp		1,241,737
	987,000	CTBC Financial Holding Co Ltd		818,060
	92,000	Delta Electronics Inc		896,167
	96,000	Elan Microelectronics Corp		543,864
	107,000	Elite Material Co Ltd		901,091
	91,000	Farglory Land Development Co Ltd		209,106
	394,000	FLEXium Interconnect Inc *		1,644,366
	57,000	Formosa Plastics Corp		210,464
	243,000	Foxconn Technology Co Ltd		579,528
	1,833,000	Fubon Financial Holding Co Ltd		5,614,546
	19,000	Fusheng Precision Co Ltd		124,246
	17,000	Getac Technology Corp		32,038
	184,000	Gigabyte Technology Co Ltd		580,378
	972,000	Grand Pacific Petrochemical		1,064,470
	22,000	Holiday Entertainment Co Ltd		48,806
	4,899,318	Hon Hai Precision Industry Co Ltd		19,564,488
	78,000	Huaku Development Co Ltd		247,742
	70,820	IEI Integration Corp		118,576
	32,721	Innodisk Corp		273,162
	36,000	International Games System Co Ltd		860,624
	1,000	Largan Precision Co Ltd		96,415

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	247,000	Lite-On Technology Corp		544,638
	21,273	Makalot Industrial Co Ltd		182,658
	74,000	MediaTek Inc		2,399,614
	59,000	Mega Financial Holding Co Ltd		69,782
	51,000	Merry Electronics Co Ltd		176,953
	196,000	Micro-Star International Co Ltd		919,597
	8,000	Nan Liu Enterprise Co Ltd		37,164
	91,000	Nan Ya Plastics Corp		294,071
	72,000	Nantex Industry Co Ltd		278,938
	225,000	Nanya Technology Corp		536,530
	26,000	Nichidenbo Corp		47,715
	15,000	Nien Made Enterprise Co Ltd		223,645
	82,000	Novatek Microelectronics Corp		1,323,283
	73,000	Pegatron Corp		170,477
	86,000	Phison Electronics Corp		1,318,035
	2,779,000	Pou Chen Corp		3,300,775
	576,000	Qisda Corp		616,250
	250,000	Quanta Computer Inc		707,015
	1,048,000	Radiant Opto-Electronics Corp		3,738,325
	561,000	Ruentex Development Co Ltd		1,401,024
	119,000	Ruentex Industries Ltd		476,330
	72,000	Sampo Corp *		80,481
	7,000	Shin Zu Shing Co Ltd		26,761
	87,000	Shinkong Insurance Co Ltd		137,381
	41,900	Simplo Technology Co Ltd		476,432
	25,945	Sinmag Equipment Corp		98,574
	15,000	Sitronix Technology Corp		159,251
	17,000	Standard Foods Corp		32,006
	87,750	Syncmold Enterprise Corp		221,900
	505,000	Taiwan Cement Corp		881,725
	67,000	Taiwan Sakura Corp		173,943
	868,000	Taiwan Semiconductor Manufacturing Co Ltd		19,039,772
	85	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		10,116
	7,000	TCI Co Ltd		68,015
	70,000	Teco Electric and Machinery Co Ltd		78,750
	23,000	Test Research Inc		46,853
	175,681	TOPBI International Holdings Ltd		88,068
	40,000	Transcend Information Inc		99,973
	105,000	Tripod Technology Corp		433,248
	307,000	Uni-President Enterprises Corp		800,132
	77,624	United Integrated Services Co Ltd		556,268
	84,000	Universal Inc		155,218
	24,000	Vanguard International Semiconductor Corp		127,660
	6,000	Yulon Nissan Motor Co Ltd		54,954
	33,000	Zeng Hsing Industrial Co Ltd		180,691
		Total Taiwan		101,265,047
		Thailand — 0.2%
	1,715,800	AP Thailand Pcl NVDR		446,841
	32,300	CP ALL Pcl (Foreign Registered)		65,118

Shares		Description	Value ($)
		Thailand — continued
	67,300	CP ALL Pcl NVDR		135,679
	17,200	Kasikornbank Pcl (Foreign Registered)		65,481
	226,000	Kasikornbank Pcl NVDR		860,385
	101,100	Land & Houses Pcl NVDR		25,541
	193,900	Origin Property Pcl NVDR		59,152
	167,600	Pruksa Holding Pcl NVDR		68,615
	529,400	PTG Energy Pcl NVDR		300,209
	909,500	Quality Houses Pcl NVDR		62,661
	94,000	Siam Cement Pcl NVDR (The)		1,253,151
	131,100	Siam Commercial Bank Pcl NVDR (The)		432,498
	141,300	Somboon Advance Technology Pcl NVDR		92,016
	78,600	SPCG Pcl NVDR		44,127
	74,250	Supalai Pcl (Foreign Registered)		47,707
	305,075	Supalai Pcl NVDR		196,015
	20,700	Thai Vegetable Oil Pcl NVDR		20,882
	1,349,800	TMBThanachart Bank Pcl NVDR		44,738
	106,000	TTW Pcl NVDR		39,129
		Total Thailand		4,259,945
		Turkey — 0.6%
	275,307	Akbank TAS		195,406
	291,359	Aksa Akrilik Kimya Sanayii AS		683,610
	776,346	Arcelik AS		3,002,216
	3,173,637	Dogan Sirketler Grubu Holding AS		981,161
	5,524	Dogus Otomotiv Servis ve Ticaret AS		18,649
	129,926	Enerjisa Enerji AS		173,481
	1,379,475	Eregli Demir ve Celik Fabrikalari TAS		3,120,491
	57,015	Ford Otomotiv Sanayi AS		1,178,015
	71,344	Koza Altin Isletmeleri AS *		887,251
	96,809	Selcuk Ecza Deposu Ticaret ve Sanayi AS		106,139
	46,214	Turkcell Iletisim Hizmetleri AS		91,383
	115,545	Turkiye Garanti Bankasi AS		137,050
	650,089	Turkiye Is Bankasi AS – Class C		450,027
	386,369	Yapi ve Kredi Bankasi AS		122,456
		Total Turkey		11,147,335
		United Arab Emirates — 0.1%
	31,478	Abu Dhabi Islamic Bank PJSC		48,319
	170,272	Dubai Islamic Bank PJSC		236,293
	325,185	Emaar Properties PJSC		371,085
	14,015	Emirates NBD Bank PJSC		52,855
	43,249	First Abu Dhabi Bank PJSC		200,114
		Total United Arab Emirates		908,666
		United Kingdom — 4.1%
	80,123	3i Group Plc		1,473,549
	109,287	Airtel Africa Plc		139,737
	17,008	Anglo American Plc		718,341
	295,032	Aviva Plc		1,639,821
	5,111	Bank of Georgia Group Plc *		117,365

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	23,800	Barclays Plc Sponsored ADR		243,950
	405,450	Barratt Developments Plc		4,124,076
	31,937	Bellway Plc		1,547,792
	75,832	Berkeley Group Holdings Plc (The)		5,037,111
	38,200	BP Plc Sponsored ADR		934,372
	47,345	British American Tobacco Plc		1,776,070
	54,500	British American Tobacco Plc Sponsored ADR		2,054,105
	2,257,601	BT Group Plc *		5,277,377
	19,901	Central Asia Metals Plc		68,499
	11,654	CMC Markets Plc		67,062
	116,708	Coca-Cola HBC AG *		4,224,235
	133,852	Compass Group Plc * (b)		2,765,376
	13,199	Computacenter Plc (b)		533,932
	3,838	Daily Mail & General Trust Plc – Class A (b)		58,394
	1,723	DCC Plc		146,462
	4,765	Electrocomponents Plc		69,729
	4,137	EMIS Group Plc (b)		78,557
	44,605	Evraz Plc		362,827
	17,217	Ferguson Plc		2,488,514
	313,028	Ferrexpo Plc		1,640,628
	40,666	Frasers Group Plc *		374,352
	11,710	Galliford Try Holdings Plc		27,382
	4,800	GlaxoSmithKline Plc Sponsored ADR		195,552
	13,529	Go-Ahead Group Plc (The) *		175,325
	11,933	Grafton Group Plc		229,314
	66,636	Halfords Group Plc		333,483
	57,102	IG Group Holdings Plc		735,320
	15,471	IMI Plc		387,959
	127,082	Indivior Plc *		339,720
	32,655	International Personal Finance Plc *		66,471
	58,250	Investec Plc		245,035
	618,367	ITV Plc * (b)		985,543
	66,208	JD Sports Fashion Plc		919,380
	2,324	Johnson Matthey Plc		93,956
	7,644	Jupiter Fund Management Plc		28,043
	111,133	Just Group Plc *		142,618
	4,789	Keller Group Plc		65,830
	1,252,753	Kingfisher Plc		6,032,032
	683,503	Legal & General Group Plc		2,538,962
	1,563,629	M&G Plc		4,429,217
	405,956	Micro Focus International Plc (b)		2,482,780
	16,499	Morgan Advanced Materials Plc		91,090
	14,875	Morgan Sindall Group Plc		525,480
	61,622	National Grid Plc		797,032
	7,218	Next Plc		784,964
	12,349	Numis Corp Plc		63,606
	60,904	OSB Group Plc		427,276
	64,416	Paragon Banking Group Plc		497,831
	108,813	Persimmon Plc		4,403,819
	80,979	Pets at Home Group Plc		557,637

Shares		Description	Value ($)
		United Kingdom — continued
	79,630	Plus500 Ltd		1,637,065
	216,530	Premier Foods Plc		360,402
	32,541	QinetiQ Group Plc		154,599
	84,757	Reach Plc (b)		476,967
	104,571	Royal Dutch Shell Plc – B Shares		2,057,707
	319,586	Royal Mail Plc		2,176,620
	8,370	Schroders Plc		435,159
	13,775	Smiths Group Plc		273,392
	50,256	Spirent Communications Plc		205,827
	42,943	Stock Spirits Group Plc		232,381
	256,272	Tate & Lyle Plc		2,488,944
	698,787	Taylor Wimpey Plc		1,759,047
	23,432	Unilever Plc		1,304,691
	12,980	Vesuvius Plc		100,314
	3,745	Vistry Group Plc		62,376
	210,102	WPP Plc(b)		2,848,741
		Total United Kingdom		83,139,122
		United States — 12.9%
	18,700	Aflac, Inc.		1,059,916
	1,800	Akamai Technologies, Inc. * (b)		203,850
	30,000	Alliance Data Systems Corp. (b)		2,943,300
	50,700	Ally Financial, Inc.		2,682,030
	14,330	American Express Co.		2,378,207
	6,700	Anthem, Inc. (b)		2,513,371
	30,200	Arrow Electronics, Inc. *		3,660,844
	95,400	AT&T, Inc.		2,615,868
	52,600	Athene Holding Ltd. – Class A *		3,522,622
	34,500	Bed Bath & Beyond, Inc. *		950,130
	10,200	Best Buy Co., Inc.		1,188,402
	2,100	Bio-Rad Laboratories, Inc. – Class A *		1,690,122
	9,700	Biogen, Inc. *		3,287,427
	884	Booking Holdings, Inc. * (b)		2,032,908
	2,800	Booz Allen Hamilton Holding Corp.		229,348
	104,938	BorgWarner, Inc.		4,478,754
	22,700	Capital One Financial Corp.		3,767,519
	21,000	Cardinal Health, Inc. (b)		1,102,290
	71,300	Carrier Global Corp.		4,106,880
	40,600	CBRE Group, Inc. – Class A *		3,909,780
	40,100	Centene Corp. * (b)		2,525,498
	14,750	Chevron Corp.		1,427,358
	14,000	Cigna Corp. (b)		2,963,100
	50,200	Citigroup, Inc.		3,609,882
	61,900	Citizens Financial Group, Inc.		2,710,601
	32,615	Coca-Cola Co. (The)		1,836,551
	33,400	Cognizant Technology Solutions Corp. – Class A (b)		2,548,754
	59,600	Comcast Corp. – Class A (b)		3,616,528
	900	Consolidated Edison, Inc.		67,905
	58,700	Corteva, Inc.		2,581,039

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	41,100	CVS Health Corp. (b)		3,550,629
	12,800	Discover Financial Services		1,641,216
	4,900	Discovery, Inc. – Class A * (b)		141,316
	79,800	DISH Network Corp. – Class A * (b)		3,478,482
	37,000	DR Horton, Inc.		3,537,940
	36,300	eBay, Inc.		2,785,662
	30,223	EOG Resources, Inc.		2,040,657
	53,500	Exelon Corp.		2,622,570
	300	Exxon Mobil Corp.		16,356
	12,700	Fidelity National Financial, Inc.		620,141
	9,100	FleetCor Technologies, Inc. * (b)		2,395,848
	250,800	Ford Motor Co. *		3,267,924
	3,800	Fortune Brands Home & Security, Inc.		370,006
	39,900	Fox Corp. – Class A (b)		1,493,856
	73,200	Fox Corp. – Class B (b)		2,534,916
	11,000	Franklin Resources, Inc.		356,840
	59,200	General Motors Co. *		2,901,392
	40,800	Gilead Sciences, Inc.		2,969,424
	9,734	Global Payments, Inc. (b)		1,583,138
	6,900	Goldman Sachs Group, Inc. (The)		2,853,219
	17,005	Green Plains, Inc. *		596,876
	17,360	Hasbro, Inc.		1,706,662
	16,348	Hilton Worldwide Holdings, Inc. * (b)		2,041,211
	98,800	HP, Inc.		2,938,312
	19,600	IAC/InterActiveCorp * (b)		2,588,180
	3,700	Incyte Corp. *		283,013
	56,400	Intel Corp.		3,048,984
	16,421	Intercontinental Exchange, Inc.		1,962,802
	25,800	International Business Machines Corp. (b)		3,620,772
	132,400	Invesco Ltd.		3,352,368
	16,400	Jazz Pharmaceuticals Plc *		2,160,044
	194,300	Kinder Morgan, Inc.		3,161,261
	53,900	Kohl’s Corp.		3,093,860
	56,500	Kraft Heinz Co. (The)		2,033,435
	75,900	Kroger Co. (The)		3,493,677
	10,500	Laboratory Corp. of America Holdings * (b)		3,185,490
	28,730	Las Vegas Sands Corp. * (b)		1,281,645
	1,900	Lear Corp.		303,886
	22,300	Leidos Holdings, Inc.		2,187,853
	34,200	Lennar Corp. – Class A		3,670,002
	53,500	Lincoln National Corp.		3,672,775
	48,500	LKQ Corp. *		2,555,465
	247,100	Lumen Technologies, Inc.		3,039,330
	49,247	Lyft, Inc. – Class A *		2,344,650
	32,800	LyondellBasell Industries NV – Class A		3,291,480
	1,527	Markel Corp. *		1,939,672
	800	Masco Corp.		48,576
	8,600	Medical Properties Trust, Inc. (REIT)		176,128
	16,700	Merck & Co., Inc.		1,274,043
	55,400	MetLife, Inc.		3,434,800

Shares		Description	Value ($)
		United States — continued
	37,700	Micron Technology, Inc. *		2,778,490
	8,200	Mohawk Industries, Inc. *		1,621,632
	62,000	Molson Coors Brewing Co. – Class B		2,946,860
	70	NVR, Inc. *		362,596
	4,300	Omnicom Group, Inc. (b)		314,846
	46,700	Oracle Corp. (b)		4,162,371
	9,300	PACCAR, Inc.		761,391
	200	Phillips 66		14,218
	19,300	PPL Corp.		566,455
	10,700	Principal Financial Group, Inc.		714,867
	100	Progressive Corp. (The)		9,634
	35,000	Prudential Financial, Inc.		3,705,800
	50,700	PulteGroup, Inc.		2,730,702
	20,100	Quest Diagnostics, Inc. (b)		3,071,883
	199,600	Qurate Retail, Inc. – Series A		2,201,588
	24,378	Raytheon Technologies Corp.		2,066,279
	5,500	Regeneron Pharmaceuticals, Inc. *		3,703,700
	6,900	Resolute Forest Products Inc		84,496
	7,600	Resolute Forest Products, Inc.		93,100
	44,352	Sensata Technologies Holding Plc *		2,624,751
	3,200	Snap-on, Inc.		719,840
	36,700	SS&C Technologies Holdings, Inc. (b)		2,776,722
	71,000	Synchrony Financial		3,532,250
	1,900	Synopsys, Inc. * (b)		631,256
	37,600	Textron, Inc.		2,732,392
	37,000	Tyson Foods, Inc. – Class A		2,905,240
	700	United Rentals, Inc. *		246,855
	22,800	Universal Health Services, Inc. – Class B (b)		3,551,328
	45,483	US Bancorp		2,610,269
	46,400	Verizon Communications, Inc.		2,552,000
	50,908	Verso Corp. – Class A		969,797
	27,078	VF Corp.		2,070,655
	65,600	ViacomCBS, Inc. – Class B (b)		2,719,120
	179,600	Viatris, Inc.		2,627,548
	47,900	VICI Properties, Inc. (REIT)		1,480,589
	16,700	VMware, Inc. – Class A * (b)		2,486,129
	62,700	Walgreens Boots Alliance, Inc.		3,182,025
	47,722	Wells Fargo & Co.		2,180,895
	109,500	Western Union Co. (The) (b)		2,369,580
	39,600	Western Digital Corp. *		2,502,720
	11,100	Whirlpool Corp.		2,458,983
	200	WP Carey, Inc. (REIT)		15,624
		Total United States		263,717,044
		Vietnam — 0.0%
	22,600	PetroVietnam Gas JSC		88,620
	154,100	PetroVietnam Technical Services Corp		175,145
	55,300	Vietnam Dairy Products JSC		212,117

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Vietnam — continued
	20,800	Vinh Hoan Corp		45,213
		Total Vietnam		521,095
		TOTAL COMMON STOCKS (COST $1,395,832,270)		1,592,131,224
		PREFERRED STOCKS (e) — 1.1%
		Brazil — 0.3%
	695,000	Banco Bradesco SA		3,111,559
	192,031	Bradespar SA		2,345,238
	132,800	Petroleo Brasileiro SA		698,312
	13,100	Petroleo Brasileiro SA ADR		137,681
		Total Brazil		6,292,790
		Colombia — 0.0%
	409,827	Grupo Aval Acciones y Valores SA		121,780
		Germany — 0.2%
	26,613	Bayerische Motoren Werke AG		2,227,984
	5,100	Draegerwerk AG & Co KGaA		430,706
	516	Jungheinrich AG		27,867
	1,243	Sixt SE		97,695
	1,724	Villeroy & Boch AG		47,040
	6,341	Volkswagen AG		1,508,236
		Total Germany		4,339,528
		Russia — 0.3%
	12,924	Bashneft PJSC		189,294
	56,000	Nizhnekamskneftekhim PJSC		91,508
	8,729,600	Surgutneftegas PJSC		4,604,780
	94	Transneft PJSC		202,741
		Total Russia		5,088,323
		South Korea — 0.3%
	4,850	Hyundai Motor Co Ltd-2nd Prf		414,224
	14,564	Hyundai Motor Co Ltd-Prf		1,284,184
	4,881	LG Electronics Inc		293,304
	70,397	Samsung Electronics Co Ltd		4,291,856
	59	Samsung Electronics Co Ltd GDR (Registered)		88,952
		Total South Korea		6,372,520
		Taiwan — 0.0%
	13,589	Chailease Holding Co Ltd		48,887
	20,463	CTBC Financial Holding Co Ltd		45,919
		Total Taiwan		94,806
		TOTAL PREFERRED STOCKS (COST $18,585,258)		22,309,747

Shares / Par Value†		Description	Value ($)
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	17,411	iShares Core MSCI Emerging Markets ETF		1,115,871
		TOTAL INVESTMENT FUNDS (COST $1,161,009)		1,115,871
		DEBT OBLIGATIONS — 8.1%
		United States — 8.1%
		Asset-Backed Securities — 0.0%
	43,597	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 07/26/31		43,594
	13,396	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 10/25/37		13,393
	2,571,735	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (f)		3
	71,333	Elevation CLO Ltd, Series 16-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 0.93%, due 10/25/31		71,219
	115,733	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 04/17/28		115,727
	55,109	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 01/17/30		55,028
		Total Asset-Backed Securities		298,964
		U.S. Government — 8.1%
	20,400,000	U.S. Treasury Note, 0.13%, due 12/31/22		20,397,609
	25,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		24,996,094
	103,000,000	U.S. Treasury Note, 0.13%, due 02/28/23 (b)		102,959,766
	18,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		17,990,860
		Total U.S. Government		166,344,329
		Total United States		166,643,293
		TOTAL DEBT OBLIGATIONS (COST $167,872,829)		166,643,293
		MUTUAL FUNDS — 16.0%
		United States — 16.0%
		Affiliated Issuers — 16.0%
	2,542,679	GMO Emerging Country Debt Fund, Class VI		66,694,475
	2,024,190	GMO Emerging Markets Fund, Class VI		74,712,862
	4,132,885	GMO Opportunistic Income Fund, Class VI		107,455,000
	2,436,117	GMO SGM Major Markets Fund, Class VI		72,474,498
	1,069,842	GMO U.S. Treasury Fund (g)		5,392,003
		TOTAL MUTUAL FUNDS (COST $322,287,453)		326,728,838

34 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			SHORT-TERM INVESTMENTS — 0.2%
			Money Market Funds — 0.2%
	4,187,688		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (h)		4,187,688
			TOTAL SHORT-TERM INVESTMENTS (COST $4,187,688)		4,187,688
			TOTAL INVESTMENTS — 103.4% (Cost $1,909,926,507)		2,113,116,661
			SECURITIES SOLD SHORT — (20.2)%
			Common Stocks — (20.0)%
			Australia — (0.6)%
	(32,906	)	Afterpay Ltd *		(3,200,747	)
	(422,900	)	APA Group		(2,831,768	)
	(21,119	)	ASX Ltd		(1,351,660	)
	(8,779	)	Cochlear Ltd		(1,491,170	)
	(82,707	)	Qantas Airways Ltd *		(306,239	)
	(219	)	Ramsay Health Care Ltd		(10,997	)
	(547,585	)	Sydney Airport *		(3,178,812	)
			Total Australia		(12,371,393	)
			Austria — (0.2)%
	(33,251	)	Verbund AG		(3,642,410	)
			Belgium — (0.0)%
	(6,274	)	Galapagos NV *		(371,108	)
			Canada — (0.0)%
	(40,200	)	AltaGas Ltd		(805,179	)
			Denmark — (0.1)%
	(52,624	)	Ambu A/S – Class B		(1,664,286	)
			France — (0.8)%
	(70,025	)	Accor SA *		(2,414,775	)
	(17,639	)	Aeroports de Paris *		(2,077,249	)
	(3,045	)	Eurazeo SE		(313,246	)
	(199,731	)	Getlink SE		(3,217,363	)
	(2,480	)	Hermes International		(3,650,084	)
	(2,172	)	Sartorius Stedim Biotech		(1,317,467	)
	(34,430	)	Ubisoft Entertainment SA *		(2,187,060	)
	(9,430	)	Wendel SE		(1,368,441	)
	(828	)	Worldline SA *		(73,728	)
			Total France		(16,619,413	)
			Germany — (0.9)%
	(20,152	)	Delivery Hero SE *		(2,924,675	)
	(70	)	Deutsche Boerse AG		(12,072	)
	(1,313	)	MTU Aero Engines AG		(301,330	)
	(29,528	)	Puma SE		(3,585,134	)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — continued
	(23,074	)	QIAGEN NV *		(1,276,498	)
	(22,905	)	RWE AG		(894,389	)
	(7,377	)	Scout24 AG		(620,207	)
	(923,563	)	Telefonica Deutschland Holding AG		(2,592,555	)
	(60,290	)	Uniper SE		(2,393,675	)
	(28,888	)	Zalando SE *		(3,202,951	)
			Total Germany		(17,803,486	)
			Israel — (0.2)%
	(6,800	)	CyberArk Software Ltd *		(1,141,992	)
	(9,600	)	Wix.com Ltd *		(2,131,968	)
			Total Israel		(3,273,960	)
			Italy — (0.5)%
	(24,965	)	Amplifon SPA		(1,305,853	)
	(94,074	)	Atlantia SPA *		(1,762,161	)
	(15,103	)	Ferrari NV		(3,276,151	)
	(199,293	)	FinecoBank Banca Fineco SPA *		(3,671,387	)
	(59,492	)	Infrastrutture Wireless Italiane SPA		(707,801	)
			Total Italy		(10,723,353	)
			Japan — (2.4)%
	(145,800	)	Acom Co Ltd		(563,493	)
	(31,800	)	ANA Holdings Inc *		(753,808	)
	(90,200	)	Asahi Intecc Co Ltd		(2,729,108	)
	(100	)	Fast Retailing Co Ltd		(65,868	)
	(22,600	)	GMO Payment Gateway Inc		(2,965,091	)
	(11,100	)	Harmonic Drive Systems Inc		(612,875	)
	(97,800	)	Hitachi Metals Ltd *		(1,887,848	)
	(3,300	)	Ibiden Co Ltd		(177,561	)
	(183,500	)	Isetan Mitsukoshi Holdings Ltd		(1,228,949	)
	(31,000	)	Japan Airlines Co Ltd *		(660,445	)
	(42,100	)	Japan Airport Terminal Co Ltd *		(1,911,206	)
	(51,300	)	Japan Exchange Group Inc		(1,221,733	)
	(412	)	Japan Real Estate Investment Corp (REIT)		(2,546,214	)
	(120,000	)	JGC Holding Corp		(1,006,660	)
	(120,100	)	Keikyu Corp		(1,463,958	)
	(5,500	)	Keio Corp		(295,953	)
	(25,100	)	Kintetsu Group Holdings Co Ltd *		(857,321	)
	(14,600	)	Lasertec Corp		(3,175,633	)
	(31,200	)	Lion Corp		(530,895	)
	(84,000	)	LIXIL Corp		(2,444,544	)
	(39,000	)	M3 Inc		(2,615,631	)
	(600	)	McDonald’s Holdings Co Japan Ltd		(28,619	)
	(42,000	)	Mercari Inc *		(2,072,382	)
	(13,200	)	Mizuho Financial Group Inc		(184,956	)
	(114,300	)	MonotaRO Co Ltd		(2,533,208	)
	(3,800	)	Nidec Corp		(434,069	)
	(100,900	)	Nihon M&A Center Inc		(3,008,849	)

See accompanying notes to the financial statements. 35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(159,400	)	Nippon Paint Holdings Co Ltd		(1,979,621	)
	(30,300	)	Nissin Foods Holdings Co Ltd		(2,358,814	)
	(84,100	)	Odakyu Electric Railway Co Ltd		(1,959,502	)
	(18,500	)	ORIENTAL LAND CO LTD		(2,798,972	)
	(14,100	)	Shiseido Co Ltd		(934,535	)
	(5,300	)	Tobu Railway Co Ltd		(138,179	)
	(15,100	)	Tokyu Corp		(207,636	)
	(300	)	Unicharm Corp		(13,375	)
	(7,600	)	West Japan Railway Co		(415,087	)
	(15,000	)	Yaskawa Electric Corp		(732,137	)
			Total Japan		(49,514,735	)
			Netherlands — (0.4)%
	(1,374	)	Adyen NV *		(4,440,871	)
	(7,223	)	Heineken Holding NV		(670,018	)
	(26,385	)	Just Eat Takeaway.com NV *		(2,390,649	)
			Total Netherlands		(7,501,538	)
			New Zealand — (0.0)%
	(7,683	)	Xero Ltd *		(849,765	)
			Norway — (0.0)%
	(8,129	)	Schibsted ASA – B Shares		(377,702	)
	(10,091	)	Schibsted ASA – Class A		(538,368	)
			Total Norway		(916,070	)
			Russia — (0.0)%
	(9,104	)	Magnit PJSC Sponsored GDR (Registered)		(138,570	)
			Singapore — (0.2)%
	(98,400	)	Singapore Airlines Ltd *		(368,885	)
	(421,800	)	Singapore Exchange Ltd		(3,095,912	)
			Total Singapore		(3,464,797	)
			Spain — (0.5)%
	(56,413	)	Cellnex Telecom SA		(3,861,372	)
	(115,546	)	Ferrovial SA		(3,346,154	)
	(81,199	)	Siemens Gamesa Renewable Energy SA		(2,407,669	)
			Total Spain		(9,615,195	)
			Sweden — (0.2)%
	(60,415	)	Embracer Group AB *		(1,375,276	)
	(19,663	)	Evolution AB		(3,174,637	)
	(22,380	)	Sinch AB *		(503,136	)
			Total Sweden		(5,053,049	)
			Switzerland — (0.4)%
	(18	)	Chocoladefabriken Lindt & Spruengli AG		(211,755	)

Shares			Description	Value ($)
			Common Stocks — continued
			Switzerland — continued
	(2	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(244,279	)
	(1,912	)	Partners Group Holding AG		(3,389,983	)
	(33	)	Schindler Holding AG		(10,657	)
	(1,992	)	Straumann Holding AG (Registered)		(3,849,024	)
			Total Switzerland		(7,705,698	)
			United Kingdom — (1.6)%
	(50,141	)	Admiral Group Plc		(2,491,313	)
	(86,321	)	Antofagasta Plc		(1,729,169	)
	(363,026	)	Auto Trader Group Plc		(3,139,310	)
	(514,122	)	ConvaTec Group Plc		(1,593,128	)
	(138,561	)	Entain Plc *		(3,682,373	)
	(1,367	)	Experian Plc		(60,299	)
	(36,946	)	Halma Plc		(1,525,714	)
	(151,134	)	Hargreaves Lansdown Plc		(3,138,689	)
	(447,908	)	Informa Plc *		(3,273,335	)
	(176,254	)	Land Securities Group Plc (REIT)		(1,721,412	)
	(27,207	)	London Stock Exchange Group Plc		(2,980,360	)
	(73,624	)	Melrose Industries Plc		(170,004	)
	(95,656	)	Ocado Group Plc *		(2,651,128	)
	(1,774,936	)	Rolls-Royce Holdings Plc *		(2,799,113	)
	(6,466	)	Spirax-Sarco Engineering Plc		(1,433,871	)
			Total United Kingdom		(32,389,218	)
			United States — (11.0)%
	(101,300	)	AES Corp. (The)		(2,418,031	)
	(16,800	)	Airbnb, Inc. – Class A *		(2,603,832	)
	(13,100	)	American Tower Corp. (REIT)		(3,827,427	)
	(33,100	)	Aramark		(1,151,549	)
	(18,600	)	Arthur J Gallagher & Co.		(2,671,332	)
	(11,100	)	Autodesk, Inc. *		(3,441,999	)
	(20,200	)	Avalara, Inc. *		(3,629,940	)
	(600	)	Bio-Techne Corp.		(299,484	)
	(12,000	)	BioMarin Pharmaceutical, Inc. *		(1,010,520	)
	(11,800	)	Boeing Co. (The) *		(2,590,100	)
	(11,300	)	Burlington Stores, Inc. *		(3,384,237	)
	(28,200	)	Caesars Entertainment, Inc. *		(2,865,966	)
	(9,800	)	Carvana Co. *		(3,214,988	)
	(20,200	)	Catalent, Inc. *		(2,634,888	)
	(23,200	)	Ceridian HCM Holding, Inc. *		(2,606,520	)
	(2,000	)	Chipotle Mexican Grill, Inc. *		(3,806,660	)
	(49,900	)	Clarivate Plc *		(1,256,981	)
	(24,800	)	Cloudflare, Inc. – Class A *		(2,994,352	)
	(12,100	)	CME Group, Inc.		(2,440,812	)
	(22,500	)	Cognex Corp.		(1,993,950	)
	(2,100	)	CoStar Group, Inc. *		(177,954	)
	(11,700	)	Coupa Software, Inc. *		(2,864,277	)
	(16,700	)	Crown Castle International Corp. (REIT)		(3,251,323	)

36 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(300	)	Datadog, Inc. – Class A *		(41,340	)
	(62,700	)	Delta Air Lines, Inc. *		(2,535,588	)
	(7,300	)	Dexcom, Inc. *		(3,864,766	)
	(12,600	)	DocuSign, Inc. *		(3,732,624	)
	(48,600	)	DraftKings Inc. – Class A *		(2,881,494	)
	(13,700	)	Dynatrace, Inc. *		(941,601	)
	(5,500	)	Equifax, Inc.		(1,497,430	)
	(4,100	)	Equinix, Inc. (REIT)		(3,458,145	)
	(44,800	)	Equity LifeStyle Properties, Inc. (REIT)		(3,811,136	)
	(2,200	)	Erie Indemnity Co. – Class A		(389,598	)
	(24,200	)	Exact Sciences Corp. *		(2,525,996	)
	(15,600	)	Expedia Group, Inc. *		(2,254,200	)
	(200	)	Extra Space Storage, Inc. (REIT)		(37,382	)
	(100	)	Fidelity National Information Services, Inc.		(12,777	)
	(1,000	)	First Republic Bank		(198,940	)
	(200	)	Fortinet, Inc. *		(63,028	)
	(2,500	)	Gartner, Inc. *		(771,850	)
	(26,600	)	Guidewire Software, Inc. *		(3,151,036	)
	(13,200	)	Hess Corp.		(907,500	)
	(147,500	)	Host Hotels & Resorts, Inc. (REIT) *		(2,442,600	)
	(5,800	)	HubSpot, Inc. *		(3,969,926	)
	(5,000	)	IDEXX Laboratories, Inc. *		(3,368,800	)
	(20,300	)	Ingersoll Rand, Inc. *		(1,076,306	)
	(12,300	)	Insulet Corp. *		(3,663,063	)
	(7,800	)	Ionis Pharmaceuticals, Inc. *		(310,128	)
	(14,200	)	IQVIA Holdings, Inc. *		(3,688,166	)
	(34,700	)	Iron Mountain, Inc. (REIT)		(1,656,925	)
	(5,500	)	KKR & Co., Inc.		(353,595	)
	(40,400	)	Lamb Weston Holdings, Inc.		(2,632,060	)
	(8,700	)	Liberty Broadband Corp. – Class A *		(1,616,199	)
	(6,800	)	Liberty Broadband Corp. – Class C *		(1,300,976	)
	(71,200	)	Liberty Media Corp-Liberty Formula One – Class C *		(3,598,448	)
	(10,300	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(509,850	)
	(11,900	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(587,265	)
	(4,100	)	Linde Plc		(1,289,819	)
	(39,900	)	Live Nation Entertainment, Inc. *		(3,459,330	)
	(5,800	)	MarketAxess Holdings, Inc.		(2,760,336	)
	(5,700	)	Marriott International, Inc. – Class A *		(770,298	)
	(39,800	)	MGM Resorts International		(1,696,276	)
	(9,800	)	MongoDB, Inc. *		(3,839,934	)
	(5,000	)	Monolithic Power Systems, Inc.		(2,474,650	)
	(6,100	)	MSCI, Inc.		(3,870,938	)
	(19,000	)	NiSource, Inc.		(468,350	)
	(17,800	)	Novocure Ltd. *		(2,388,938	)
	(18,900	)	Oak Street Health, Inc. *		(883,197	)
	(31,900	)	Occidental Petroleum Corp.		(819,511	)
	(12,300	)	Okta, Inc. *		(3,242,280	)
	(18,600	)	Palantir Technologies, Inc. – Class A *		(489,924	)
	(6,900	)	Paycom Software, Inc. *		(3,373,410	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(19,800	)	Peloton Interactive, Inc. – Class A *		(1,983,762	)
	(300	)	Pinterest, Inc. – Class A *		(16,671	)
	(5,400	)	Public Storage (REIT)		(1,747,494	)
	(9,800	)	RingCentral, Inc. – Class A *		(2,472,148	)
	(8,400	)	Roku, Inc. *		(2,960,160	)
	(36,400	)	Rollins, Inc.		(1,416,688	)
	(31,600	)	Royal Caribbean Cruises Ltd. *		(2,614,268	)
	(33,600	)	Sarepta Therapeutics, Inc. *		(2,624,832	)
	(2,700	)	Seagen, Inc. *		(452,520	)
	(6,100	)	ServiceNow, Inc. *		(3,926,204	)
	(22,400	)	Simon Property Group, Inc. (REIT)		(3,011,680	)
	(50,100	)	Snap, Inc. – Class A *		(3,813,111	)
	(10,500	)	Snowflake, Inc. – Class A *		(3,195,675	)
	(20,500	)	Southwest Airlines Co. *		(1,020,490	)
	(13,300	)	Square, Inc. – Class A *		(3,565,331	)
	(18,000	)	Starbucks Corp.		(2,114,820	)
	(900	)	Sun Communities, Inc. (REIT)		(181,341	)
	(1,700	)	T-Mobile US, Inc. *		(232,934	)
	(16,800	)	Teladoc Health, Inc. *		(2,426,256	)
	(4,800	)	Tesla, Inc. *		(3,531,456	)
	(3,000	)	Trade Desk, Inc. (The) – Class A *		(240,150	)
	(8,900	)	Twilio, Inc. – Class A *		(3,176,944	)
	(36,500	)	Twitter, Inc. *		(2,354,250	)
	(56,000	)	Uber Technologies, Inc. *		(2,191,840	)
	(68,000	)	UDR, Inc. (REIT)		(3,673,360	)
	(9,300	)	Vail Resorts, Inc. *		(2,835,105	)
	(33,600	)	Vistra Corp.		(641,424	)
	(4,800	)	Wayfair, Inc. – Class A *		(1,347,600	)
	(114,300	)	Williams Cos, Inc. (The)		(2,822,067	)
	(200	)	XPO Logistics, Inc. *		(17,382	)
	(18,000	)	Zendesk, Inc. *		(2,224,800	)
	(8,500	)	Zillow Group, Inc. – Class A *		(812,600	)
	(24,156	)	Zillow Group, Inc. – Class C *		(2,313,420	)
	(200	)	Zoetis, Inc.		(40,912	)
	(100	)	Zoom Video Communications, Inc. – Class A *		(28,950	)
	(15,300	)	Zscaler, Inc. *		(4,258,602	)
			Total United States		(225,102,298	)
			TOTAL COMMON STOCKS (PROCEEDS $366,673,423)		(409,525,521	)
			PREFERRED STOCKS (e) — (0.2)%
			Germany — (0.2)%
	(4,807	)	Sartorius AG		(3,166,912	)
			TOTAL PREFERRED STOCKS (PROCEEDS $2,100,535)		(3,166,912	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $368,773,958)		(412,692,433	)
			Other Assets and Liabilities (net) — 16.8%		343,223,132
			TOTAL NET ASSETS — 100.0%	$	2,043,647,360

See accompanying notes to the financial statements. 37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/21/2021	GS	AUD	18,810,100		USD	13,809,454		45,221
11/09/2021	JPM	AUD	7,290,000		USD	5,374,824		39,940
11/09/2021	MSCI	AUD	26,030,000		USD	19,272,404		223,430
09/02/2021	GS	BRL	717,346		USD	140,000		1,270
11/03/2021	JPM	CAD	7,821,632		USD	6,150,000		(48,916	)
10/13/2021	MSCI	CHF	25,621,527		USD	28,057,108		49,666
11/18/2021	MSCI	CLP	315,080,000		USD	401,632		(4,196	)
10/26/2021	JPM	COP	787,760,000		USD	202,903		(5,512	)
10/26/2021	MSCI	COP	5,596,780,000		USD	1,430,000		(50,717	)
10/18/2021	GS	CZK	5,186,450		USD	240,000		(748	)
10/18/2021	MSCI	CZK	2,738,696		USD	126,767		(360	)
09/30/2021	JPM	EUR	1,320,000		USD	1,552,691		(6,763	)
10/21/2021	DB	EUR	56,305,734		USD	66,489,305		(57,395	)
10/21/2021	MSCI	EUR	28,152,866		USD	33,240,694		(32,655	)
10/13/2021	BCLY	GBP	3,030,000		USD	4,224,435		58,229
10/13/2021	JPM	GBP	1,230,000		USD	1,703,898		12,666
10/21/2021	MSCI	GBP	19,255,900		USD	26,388,285		(88,567	)
10/21/2021	GS	HKD	66,779,900		USD	8,596,911		9,554
09/14/2021	BCLY	HUF	96,541,737		USD	339,296		12,784
09/14/2021	CITI	HUF	161,704,455		USD	550,000		3,102
09/14/2021	DB	HUF	494,030,831		USD	1,640,000		(30,854	)
09/13/2021	JPM	INR	24,735,480		USD	332,127		(6,375	)
09/09/2021	JPM	JPY	287,538,474		USD	2,610,000		(3,761	)
10/21/2021	SSB	JPY	4,777,289,000		USD	43,618,921		177,376
11/12/2021	CITI	KRW	842,020,000		USD	720,000		(6,056	)
11/12/2021	MSCI	KRW	1,531,227,314		USD	1,334,240		13,894
10/21/2021	BOA	MXN	7,590,378		USD	370,000		(5,469	)
10/05/2021	MSCI	NZD	34,200,000		USD	23,960,007		(138,850	)
09/16/2021	JPM	PHP	47,632,680		USD	945,055		(13,936	)
10/29/2021	JPM	RON	10,373,309		USD	2,467,075		(8,588	)
10/15/2021	JPM	SGD	1,244,808		USD	919,220		(6,592	)
10/18/2021	MSCI	THB	79,565,649		USD	2,433,200		(34,915	)
10/21/2021	BOA	USD	3,072,362		AUD	4,177,500		(15,490	)
10/21/2021	DB	USD	402,261		AUD	560,800		8,103
10/21/2021	SSB	USD	3,263,836		AUD	4,423,400		(27,027	)
09/02/2021	MSCI	USD	2,507,387		BRL	13,407,248		85,490
12/02/2021	MSCI	USD	1,964,437		BRL	10,477,720		33,507
11/03/2021	JPM	USD	26,299,622		CAD	32,692,929		(389,333	)
11/18/2021	MSCI	USD	399,609		CLP	315,080,000		6,218
09/30/2021	BOA	USD	1,247,874		EUR	1,060,000		4,414
09/30/2021	DB	USD	9,422,509		EUR	7,895,000		(95,321	)
09/30/2021	JPM	USD	1,642,514		EUR	1,400,000		11,453

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/21/2021	BBH	USD	2,837,114		EUR	2,422,600		26,112
10/21/2021	JPM	USD	45,583,533		EUR	38,559,500		(10,777	)
10/13/2021	JPM	USD	2,431,831		GBP	1,780,000		15,644
10/13/2021	MSCI	USD	18,136,104		GBP	13,115,000		(103,167	)
10/21/2021	BBH	USD	721,210		GBP	527,100		3,552
10/21/2021	GS	USD	6,194,172		GBP	4,480,300		(33,762	)
10/21/2021	SSB	USD	6,479,600		GBP	4,700,500		(16,415	)
10/21/2021	BBH	USD	373,384		HKD	2,908,800		664
10/21/2021	GS	USD	2,280,913		HKD	17,747,900		1,324
10/21/2021	SSB	USD	2,455,027		HKD	19,089,000		(336	)
09/14/2021	CITI	USD	470,000		HUF	140,200,248		4,169
09/14/2021	DB	USD	410,000		HUF	122,384,918		3,916
11/08/2021	CITI	USD	360,000		IDR	5,216,724,000		4,587
11/08/2021	JPM	USD	2,094,465		IDR	30,254,551,000		19,966
10/29/2021	BOA	USD	490,000		ILS	1,579,498		2,605
09/09/2021	JPM	USD	17,519,991		JPY	1,911,790,213		(141,581	)
10/21/2021	BOA	USD	11,849,839		JPY	1,305,983,900		25,925
10/21/2021	GS	USD	2,123,807		JPY	232,895,400		(6,008	)
10/21/2021	JPM	USD	11,438,218		JPY	1,256,444,800		(12,930	)
10/21/2021	MSCI	USD	2,445,929		MXN	49,394,562		(2,555	)
09/14/2021	BCLY	USD	4,463,036		NOK	37,017,199		(205,249	)
09/14/2021	JPM	USD	9,140,000		NOK	80,095,047		72,681
10/05/2021	BCLY	USD	2,447,421		NZD	3,460,000		(9,349	)
10/05/2021	JPM	USD	1,655,641		NZD	2,360,000		7,321
11/18/2021	JPM	USD	738,474		PEN	3,008,100		(3,926	)
11/18/2021	MSCI	USD	330,000		PEN	1,343,100		(2,028	)
09/16/2021	JPM	USD	530,000		PHP	26,862,840		10,831
11/18/2021	MSCI	USD	142,524		PLN	554,013		2,131
11/10/2021	CITI	USD	2,392,611		RUB	178,558,202		21,305
11/05/2021	MSCI	USD	24,977,189		SEK	214,483,621		(111,129	)
10/15/2021	BOA	USD	340,000		SGD	461,719		3,398
10/15/2021	DB	USD	327,596		SGD	444,990		3,361
10/15/2021	GS	USD	250,000		SGD	338,099		1,458
10/18/2021	CITI	USD	980,000		THB	32,751,192		35,937
10/25/2021	BCLY	USD	1,570,000		TRY	14,330,109		106,596
10/25/2021	GS	USD	380,000		TRY	3,400,564		17,860
10/29/2021	JPM	USD	2,351,382		ZAR	35,281,309		59,328
10/29/2021	CITI	ZAR	7,506,178		USD	490,000		(22,884	)
							$	(513,504	)

38 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,040	Euro STOXX 50		September 2021		51,358,617		(665,036	)
134	FTSE 100 Index		September 2021		13,076,077		(53,904	)
21	Hang Seng Index		September 2021		3,475,156		(58,389	)
1,980	Mini MSCI Emerging Markets		September 2021		128,620,800		(1,643,900	)
903	S&P 500 EMini		September 2021		204,100,575		(12,814,807	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales — continued
171	SGX Nifty 50	September 2021		5,841,264		(158,643	)
52	SPI 200 Futures	September 2021		7,074,893		(146,851	)
103	TOPIX Index	September 2021		18,375,718		(58,623	)
			$	431,923,100	$	(15,600,153	)

+ 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) ($)
(0.60)%	6 Month CHF LIBOR	CHF	9,360,000		09/15/2023	Semi-Annually		—			(12,674	)		(12,674	)
(0.67)%	6 Month CHF LIBOR	CHF	10,990,000		09/15/2023	Semi-Annually		—			534			534
0.32%	3 Month AUD BBSW	AUD	960,000		12/15/2023	Quarterly		272			(44	)		(316	)
0.32%	3 Month AUD BBSW	AUD	10,760,000		12/15/2023	Quarterly		—			(492	)		(492	)
0.29%	3 Month AUD BBSW	AUD	17,010,000		12/15/2023	Quarterly		—			6,675			6,675
0.29%	3 Month AUD BBSW	AUD	62,230,000		12/15/2023	Quarterly		—			20,784			20,784
GBP - SONIA - COMPOUND	0.32%	GBP	82,310,000		12/15/2023	Annually		—			(32,811	)		(32,811	)
GBP - SONIA - COMPOUND	0.35%	GBP	92,350,000		12/15/2023	Annually		(291	)		31,435			31,726
3 Month NZD Bank Bill Rate	1.36%	NZD	19,150,000		12/15/2023	Quarterly		—			(27,218	)		(27,218	)
3 Month NZD Bank Bill Rate	1.37%	NZD	65,930,000		12/15/2023	Quarterly		—			(84,110	)		(84,110	)
3 Month NZD Bank Bill Rate	1.45%	NZD	11,410,000		12/15/2023	Quarterly		—			(3,246	)		(3,246	)
3 Month NZD Bank Bill Rate	1.45%	NZD	44,600,000		12/15/2023	Quarterly		(2,387	)		(9,595	)		(7,208	)
0.08%	3 Month SEK STIBOR	SEK	89,100,000		12/15/2023	Quarterly		—			2,758			2,758
0.08%	3 Month SEK STIBOR	SEK	673,500,000		12/15/2023	Quarterly		—			23,970			23,970
0.08%	3 Month SEK STIBOR	SEK	242,400,000		12/15/2023	Quarterly		—			10,312			10,312
0.09%	3 Month SEK STIBOR	SEK	12,050,000		12/15/2023	Quarterly		41			150			109
0.98%	3 Month CAD LIBOR	CAD	77,980,000		12/18/2023	Semi-Annually		2,580			(49,347	)		(51,927	)
(0.48)%	6 Month EURIBOR	EUR	3,580,000		12/20/2023	Semi-Annually		625			1,673			1,048
0.45%	3 Month USD LIBOR	USD	57,250,000		12/20/2023	Quarterly		8,143			(48,782	)		(56,925	)
6 Month CHF LIBOR	(0.12)%	CHF	2,190,000		09/15/2031	Semi-Annually		—			(7,246	)		(7,246	)
6 Month CHF LIBOR	(0.15)%	CHF	3,000,000		09/15/2031	Semi-Annually		—			(18,622	)		(18,622	)
6 Month CHF LIBOR	0.03%	CHF	1,880,000		09/15/2031	Semi-Annually		—			26,165			26,165
6 Month CHF LIBOR	(0.04)%	CHF	3,070,000		09/15/2031	Semi-Annually		—			16,884			16,884
6 Month CHF LIBOR	(0.03)%	CHF	7,470,000		09/15/2031	Semi-Annually		2,481			51,909			49,428
6 Month CHF LIBOR	(0.09)%	CHF	21,260,000		09/15/2031	Semi-Annually		(7,356	)		7,884			15,240
6 Month AUD BBSW	1.28%	AUD	13,980,000		12/15/2031	Semi-Annually		(38,345	)		(97,423	)		(59,078	)
6 Month AUD BBSW	1.30%	AUD	1,800,000		12/15/2031	Semi-Annually		—			(9,017	)		(9,017	)
6 Month AUD BBSW	1.31%	AUD	1,800,000		12/15/2031	Semi-Annually		—			(7,632	)		(7,632	)
6 Month AUD BBSW	1.37%	AUD	2,280,000		12/15/2031	Semi-Annually		—			(1,052	)		(1,052	)
1.28%	6 Month AUD BBSW	AUD	8,680,000		12/15/2031	Semi-Annually		20,955			57,452			36,497
3 Month CAD LIBOR	1.69%	CAD	62,090,000		12/15/2031	Semi-Annually		—			(301,530	)		(301,530	)
3 Month CAD LIBOR	1.71%	CAD	48,990,000		12/15/2031	Semi-Annually		—			(157,728	)		(157,728	)
3 Month CAD LIBOR	1.73%	CAD	3,850,000		12/15/2031	Semi-Annually		(2,579	)		(6,953	)		(4,374	)
3 Month CAD LIBOR	1.77%	CAD	17,430,000		12/15/2031	Semi-Annually		(6,065	)		17,797			23,862

See accompanying notes to the financial statements. 39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
0.56%	GBP - SONIA - COMPOUND	GBP	33,930,000		12/15/2031	Annually		—			445,843			445,843
0.56%	GBP - SONIA - COMPOUND	GBP	16,950,000		12/15/2031	Annually		—			221,142			221,142
0.59%	GBP - SONIA - COMPOUND	GBP	28,920,000		12/15/2031	Annually		—			248,877			248,877
0.60%	GBP - SONIA - COMPOUND	GBP	1,940,000		12/15/2031	Annually		832			15,143			14,311
0.64%	GBP - SONIA - COMPOUND	GBP	19,960,000		12/15/2031	Annually		(5,149	)		42,400			47,549
0.64%	GBP - SONIA - COMPOUND	GBP	1,210,000		12/15/2031	Annually		1,949			2,990			1,041
3 Month NZD Bank Bill Rate	1.96%	NZD	3,860,000		12/15/2031	Quarterly		522			(16,058	)		(16,580	)
3 Month NZD Bank Bill Rate	2.00%	NZD	1,980,000		12/15/2031	Quarterly		—			(3,499	)		(3,499	)
3 Month NZD Bank Bill Rate	2.00%	NZD	36,620,000		12/15/2031	Quarterly		(16,325	)		(52,877	)		(36,552	)
1.96%	3 Month NZD Bank Bill Rate	NZD	4,120,000		12/15/2031	Quarterly		—			17,806			17,806
1.97%	3 Month NZD Bank Bill Rate	NZD	2,460,000		12/15/2031	Quarterly		—			9,438			9,438
2.00%	3 Month NZD Bank Bill Rate	NZD	23,580,000		12/15/2031	Quarterly		18,820			37,098			18,278
3 Month SEK STIBOR	0.56%	SEK	18,200,000		12/15/2031	Quarterly		—			(18,937	)		(18,937	)
3 Month SEK STIBOR	0.56%	SEK	138,000,000		12/15/2031	Quarterly		—			(147,499	)		(147,499	)
3 Month SEK STIBOR	0.59%	SEK	49,380,000		12/15/2031	Quarterly		—			(36,839	)		(36,839	)
3 Month SEK STIBOR	0.64%	SEK	158,830,000		12/15/2031	Quarterly		(1,020	)		(26,744	)		(25,724	)
3 Month SEK STIBOR	0.64%	SEK	6,180,000		12/15/2031	Quarterly		(47	)		(1,041	)		(994	)
6 Month EURIBOR	(0.08)%	EUR	840,000		12/17/2031	Semi-Annually		(208	)		(8,390	)		(8,182	)
(0.08)%	6 Month EURIBOR	EUR	17,870,000		12/17/2031	Semi-Annually		8,487			180,634			172,147
1.41%	3 Month USD LIBOR	USD	30,720,000		12/17/2031	Quarterly		17,858			(107,527	)		(125,385	)
1.36%	3 Month USD LIBOR	USD	1,070,000		12/17/2031	Quarterly		—			1,063			1,063
3 Month USD LIBOR	1.42%	USD	12,860,000		12/17/2031	Quarterly		(1,390	)		51,160			52,550
							$	2,403		$	255,043		$	252,640

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	2,524,457		12/07/2021	Monthly		—		121,177			121,177
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	4,678,596		05/24/2022	Monthly		—		(154,353	)		(154,353	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	150,314		05/24/2022	Monthly		—		(14,574	)		(14,574	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	385,717		05/24/2022	Monthly		—		(19,302	)		(19,302	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.50%	GS	USD	4,501,775		05/24/2022	Monthly		—		87,761			87,761
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1		06/21/2022	Monthly		—		—			—
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	23,416,452		10/18/2022	Monthly		—		(734,961	)		(734,961	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1,290,698		10/18/2022	Monthly		—		(5,159	)		(5,159	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 2.50%	MORD	USD	8,843,985		05/18/2023	Monthly		—		(139,873	)		(139,873	)
								$	—	$	(859,284	)	$	(859,284	)

As of August 31, 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.

40 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

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

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

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

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

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

(f) Security is in default.

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

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

(j) The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	6,590,000	Alibaba Pictures Group Ltd		2.9	%		702,366
	3,897,000	China Molybdenum Co Ltd – Class H		12.6	%		3,040,309
	286,000	China Resources Beer Holdings Co Ltd		9.8	%		2,351,887
	1,144,000	China Youzan Ltd		0.7	%		160,153
	61,500	Citic Securities Co Ltd – Class H		0.6	%		155,766
	12,400	Fuyao Glass Industry Group Co Ltd – Class H		0.3	%		76,307
	99,000	Galaxy Entertainment Group Ltd		2.6	%		634,748
	1,362,000	Greentown Service Group Co Ltd		6.0	%		1,456,504
	18,000	Haidilao International Holding Ltd		0.3	%		73,461
	52,000	Hong Kong Exchanges and Clearing Ltd		13.6	%		3,285,050
	828,000	Kingdee International Software Group Co Ltd		12.5	%		3,015,057
	87,000	New World Development Co Ltd		1.7	%		409,216
	548,000	Sands China Ltd		7.3	%		1,760,504
	900,000	SJM Holdings Ltd		3.3	%		783,194
	50,000	Venus Medtech Hangzhou Inc – Class H		1.0	%		236,664
	1,218,800	Wynn Macau Ltd		5.7	%		1,373,263
	221,000	Yihai International Holding Ltd.		5.0	%		1,195,619
	2,400,000	Zijin Mining Group Co Ltd – Class H		14.1	%		3,395,944
		TOTAL COMMON STOCKS				$	24,106,012

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 97.

See accompanying notes to the financial statements. 41

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		69.5	%
Debt Obligations		21.7
Short-Term Investments		4.1
Investment Funds		3.0
Preferred Stocks		1.0
Swap Contracts		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.2	)
Securities Sold Short		(8.4	)
Other		9.2
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		8.8	%
Other Emerging		3.4	†
Other Developed		0.1	‡
Euro Region		0.0	^#
		12.3	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		23.2	%
Japan		7.5
China		5.6
Other Developed		4.8	‡
Taiwan		4.3
Other Emerging		3.9	†
United Kingdom		3.6
Russia		3.1
Germany		2.3
France		1.9
South Korea		1.4
Netherlands		1.3
Switzerland		1.1
Spain		1.1
Euro Region		0.0	^#
		65.1	%

& 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 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% .

42

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	7,049,035	GMO Alternative Allocation Fund, Class VI		127,658,024
	1,568,980	GMO Asset Allocation Bond Fund, Class VI		39,114,673
	791,885	GMO Emerging Country Debt Fund, Class VI		20,771,137
	3,193,643	GMO Emerging Markets Fund, Class VI		117,877,364
	4,610,315	GMO International Equity Fund, Class IV		116,272,139
	1,163,298	GMO-Usonian Japan Value Creation Fund, Class VI		26,511,566
	2,907,912	GMO Multi-Sector Fixed Income Fund		58,681,667
	748,819	GMO Opportunistic Income Fund, Class VI		19,469,286
	699,875	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		19,862,444
	441,141	GMO Quality Fund, Class VI		13,476,847
	3,433,803	GMO U.S. Equity Fund, Class VI		54,425,777
	1,527,163	GMO U.S. Small Cap Value Fund, Class VI		39,629,874
	408	GMO U.S. Treasury Fund		2,057
		TOTAL MUTUAL FUNDS (COST $630,909,987)		653,752,855
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	19,260	ACE Securities Corp Home Equity Loan Trust, Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + 0.28%, 0.36%, due 02/25/36		4,048
	8,649	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 0.58%, due 10/25/34		8,272
	8,755	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 0.34%, due 02/26/34		7,597
		Total Asset-Backed Securities		19,917
		TOTAL DEBT OBLIGATIONS (COST $24,468)		19,917

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	404,409	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		404,409
		TOTAL SHORT-TERM INVESTMENTS (COST $404,409)		404,409
		TOTAL INVESTMENTS — 100.0% (Cost $631,338,864)		654,177,181
		Other Assets and Liabilities (net) — 0.00%		151,426
		TOTAL NET ASSETS — 100.0%		$654,328,607

Notes to Schedule of Investments:

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

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

See accompanying notes to the financial statements. 43

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.3	%
Short-Term Investments		2.5
Preferred Stocks		1.1
Debt Obligations		0.2
Investment Funds		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.1	)
Other		(0.1	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		39.3	%
Japan		12.3
United Kingdom		8.5
Germany		4.9
France		4.8
Other Developed		3.9	‡
Other Emerging		3.7	†
China		3.3
Switzerland		3.1
Netherlands		3.0
Taiwan		2.8
Spain		2.5
Italy		1.9
Russia		1.8
Singapore		1.7
Australia		1.5
Hong Kong		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%.

44

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	250,818	GMO Emerging Markets Fund, Class VI		9,257,678
	1,647,731	GMO International Equity Fund, Class IV		41,555,784
	161,367	GMO-Usonian Japan Value Creation Fund, Class VI		3,677,559
	175,107	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		4,969,538
	425,403	GMO Quality Fund, Class VI		12,996,060
	1,052,398	GMO U.S. Equity Fund, Class VI		16,680,504
	358,517	GMO U.S. Small Cap Value Fund, Class VI		9,303,507
		TOTAL MUTUAL FUNDS (COST $77,736,047)		98,440,630
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	59,647	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		59,647
		TOTAL SHORT-TERM INVESTMENTS (COST $59,647)		59,647
		TOTAL INVESTMENTS — 100.0% (Cost $77,795,694)		98,500,277
		Other Assets and Liabilities (net) — (0.0%)		(30,939	)
		TOTAL NET ASSETS — 100.0%		$98,469,338

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

See accompanying notes to the financial statements. 45

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.7	%
Short-Term Investments		2.3
Preferred Stocks		1.5
Debt Obligations		0.6
Investment Funds		0.3
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.1	)
Other		(0.3	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		29.5	%
Japan		10.9
China		8.3
United Kingdom		7.4
Taiwan		6.6
Russia		4.3
Other Developed		4.2	‡
Germany		4.1
France		4.1
Other Emerging		3.4	†
Switzerland		2.6
Netherlands		2.5
Korea		2.4
Spain		2.2
India		1.7
Italy		1.6
Singapore		1.5
Mexico		1.5
Australia		1.2
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^ Rounds to 0.0% .

46

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	11,477,889	GMO Emerging Markets Fund, Class VI		423,648,869
	24,041,974	GMO International Equity Fund, Class IV		606,338,595
	2,973,327	GMO-Usonian Japan Value Creation Fund, Class VI		67,762,112
	3,095,345	GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		87,845,889
	7,697,733	GMO Quality Fund, Class VI		235,165,737
	7,477,745	GMO U.S. Equity Fund, Class VI		118,522,265
	6,524,350	GMO U.S. Small Cap Value Fund, Class VI		169,306,883
		TOTAL MUTUAL FUNDS (COST $1,483,894,954)		1,708,590,350
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	659,761	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		659,761
		TOTAL SHORT-TERM INVESTMENTS (COST $659,761)		659,761
		TOTAL INVESTMENTS — 100.0% (Cost $1,484,554,715)		1,709,250,111
		Other Assets and Liabilities (net) — (0.0%)		(88,816	)
		TOTAL NET ASSETS — 100.0%		$1,709,161,295

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

See accompanying notes to the financial statements. 47

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		84.3	%
Debt Obligations		12.2
Preferred Stocks		1.2
Short-Term Investments		0.7
Investment Funds		0.5
Mutual Funds		0.2
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Swap Contracts		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.6	)
Securities Sold Short		(26.8	)
Other		28.3
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		2.8	%
Other Developed		0.1	‡
Other Emerging		0.1	†
Euro Region		0.0	^§
		3.0	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		11.0	%
Japan		9.9
United States		7.1
Other Developed		6.2	‡
Taiwan		4.6
Russia		3.8
South Korea		3.4
India		2.3
Other Emerging		2.1	†
United Kingdom		2.1
Brazil		1.5
Canada		1.4
Mexico		1.1
Netherlands		1.1
South Africa		1.1
		58.7	%

Industry Group Summary	% of Equity Investments#
Banks		15.4	%
Materials		12.7
Capital Goods		10.1
Technology Hardware & Equipment		8.8
Consumer Durables & Apparel		5.9
Automobiles & Components		5.7
Energy		5.5
Food, Beverage & Tobacco		4.7
Pharmaceuticals, Biotechnology & Life Sciences		4.4
Insurance		4.3
Commercial & Professional Services		3.5
Semiconductors & Semiconductor Equipment		3.4
Telecommunication Services		3.1
Media & Entertainment		2.8
Retailing		2.4
Real Estate		2.2
Utilities		2.0
Health Care Equipment & Services		1.9
Food & Staples Retailing		1.6
Diversified Financials		1.4
Transportation		0.5
Household & Personal Products		0.4
Software & Services		(0.3	)
Consumer Services		(2.4	)
		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%.

48

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 84.3%
		Argentina — 0.0%
	59,400	Banco BBVA Argentina SA ADR *		258,390
	59,700	Grupo Financiero Galicia SA ADR		643,566
		Total Argentina		901,956
		Australia — 1.4%
	233,742	Accent Group Ltd		366,377
	120,256	Adairs Ltd (a)		351,484
	16,502	Afterpay Ltd * (b)		1,605,140
	94,352	Australian Pharmaceutical Industries Ltd (a)		92,730
	48,776	Aventus Group (REIT)		118,714
	360,696	Bank of Queensland Ltd		2,484,345
	533,033	BlueScope Steel Ltd		9,745,080
	242,004	Brambles Ltd		2,139,142
	22,781	Codan Ltd		249,815
	1,031,296	Dexus (REIT)		8,025,562
	844,604	Fortescue Metals Group Ltd		12,876,201
	82,845	GDI Property Group (REIT)		73,258
	328,387	Genworth Mortgage Insurance Australia Ltd		531,042
	2,303,959	GPT Group (The) (REIT)		8,156,607
	52,900	McMillan Shakespeare Ltd		481,096
	41,098	Metcash Ltd (a)		122,201
	10,601	Mineral Resources Ltd		421,704
	1,832,148	Mirvac Group (REIT)		4,172,508
	233,134	Mount Gibson Iron Ltd		103,574
	185,251	Rio Tinto Ltd		15,072,965
	321,672	Sandfire Resources Ltd		1,515,563
	2,193,361	Scentre Group (REIT)		4,561,909
	54,595	Southern Cross Media Group Ltd *		88,818
	968,808	Stockland (REIT)		3,264,777
	12,602	Super Retail Group Ltd		112,944
	33,424	Virtus Health Ltd (a)		166,713
		Total Australia		76,900,269
		Austria — 0.0%
	5,489	Semperit AG Holding		220,433
		Belgium — 0.5%
	275,925	Ageas SA/NV (a)		13,788,794
	15,143	AGFA-Gevaert NV *		77,155
	10,984	Bekaert SA		522,940
	57,505	bpost SA *		555,822
	850	Cie d’Entreprises CFE		97,713
	3,562	Groupe Bruxelles Lambert SA		408,084
	5,551	Orange Belgium SA		130,766
	517	Sofina SA		228,548
	6,212	Telenet Group Holding NV (b)		236,363

Shares		Description	Value ($)
		Belgium — continued
	83,692	UCB SA		9,575,114
		Total Belgium		25,621,299
		Brazil — 1.3%
	483,900	Ambev SA		1,600,273
	3,115,000	Banco Bradesco SA		12,012,280
	272,500	Banco do Brasil SA		1,603,654
	391,200	Blau Farmaceutica SA		3,877,350
	343,000	Camil Alimentos SA		630,173
	191,300	Cia Siderurgica Nacional SA		1,289,688
	216,300	Dimed SA Distribuidora da Medicamentos		712,801
	265,300	EDP – Energias do Brasil SA		946,107
	144,500	Fleury SA		661,188
	138,700	Mahle-Metal Leve SA		1,061,146
	1,220,600	Marfrig Global Foods SA		4,836,794
	1,775,000	Petrobras Distribuidora SA		9,333,614
	245,600	Petroleo Brasileiro SA Sponsored ADR		2,662,304
	59,500	Ser Educacional SA		149,360
	200,500	Telefonica Brasil SA		1,695,650
	2,447,600	TIM SA		5,897,945
	948,200	Vale SA Sponsored ADR		18,082,174
	1,373,000	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA *		4,038,704
		Total Brazil		71,091,205
		Canada — 1.6%
	29,700	AGF Management Ltd – Class B		177,025
	41,000	Bank of Montreal		4,080,339
	65,100	Bank of Nova Scotia (The)		4,032,469
	2,611,012	Bombardier Inc – Class B *		3,807,920
	99,568	Brookfield Asset Management Inc – Class A		5,531,002
	94,100	Canaccord Genuity Group Inc		1,123,994
	134,200	Canadian Apartment Properties (REIT)		6,500,188
	20,600	Canadian Tire Corp Ltd – Class A		3,134,942
	3,300	Canadian Western Bank		96,726
	104,600	Canfor Corp *		2,245,130
	8,200	Canfor Pulp Products Inc * (a)		42,441
	99,500	Cascades Inc		1,236,603
	39,700	Celestica Inc * (c)		377,150
	112,700	Celestica Inc * (c)		1,069,250
	29,300	Cenovus Energy Inc		243,151
	12,100	Cogeco Inc		875,527
	255,600	Corus Entertainment Inc – B Shares (b)		1,266,199
	7,900	Enerplus Corp (a)		46,712
	1,100	Fairfax Financial Holdings Ltd		486,916
	2,900	Finning International Inc		75,485
	18,900	iA Financial Corp Inc		1,048,028
	26,800	Imperial Oil Ltd (c)		707,252

See accompanying notes to the financial statements. 49

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	64,200	Imperial Oil Ltd (a) (c)		1,699,075
	29,300	Interfor Corp		622,159
	54,700	Intertape Polymer Group Inc		1,333,628
	7,100	Laurentian Bank of Canada		239,115
	53,100	Linamar Corp		3,008,432
	105,300	Magna International Inc		8,315,332
	6,100	Morguard North American Residential Real Estate Investment Trust		86,545
	6,600	Mullen Group Ltd (a)		69,314
	70,685	Nutrien Ltd		4,289,873
	139,700	Power Corp of Canada		4,821,098
	757,976	Shaw Communications Inc – Class B (b)		22,307,018
	1,300	Stantec Inc		62,803
	23,400	Teck Resources Ltd – Class B		527,670
	22,900	Toronto-Dominion Bank (The)		1,487,098
	16,700	Tourmaline Oil Corp		446,604
	11,800	Transat AT Inc * (a)		48,167
	39,720	Transcontinental Inc – Class A		768,805
	11,900	Wajax Corp		225,144
	15,500	West Fraser Timber Co Ltd		1,196,853
		Total Canada		89,759,182
		Chile — 0.0%
	15,002	CAP SA		213,249
	350,476	Falabella SA		1,388,145
	9,603	Inversiones La Construccion SA		45,481
		Total Chile		1,646,875
		China — 11.0%
	4,600	360 DigiTech Inc ADR *		104,880
	5,338,000	361 Degrees International Ltd *		2,547,948
	270,000	7Road Holdings Ltd * (d)		87,137
	3,893,000	Agile Group Holdings Ltd		4,464,443
	1,231,300	Agricultural Bank of China Ltd – Class A		563,847
	69,540,000	Agricultural Bank of China Ltd – Class H		23,312,444
	65,700	Alibaba Group Holding Ltd Sponsored ADR *		10,971,243
	2,768,000	Angang Steel Co Ltd – Class H (a)		2,114,725
	39,895	Anhui Conch Cement Co Ltd – Class A		246,676
	1,319,500	Anhui Conch Cement Co Ltd – Class H		7,139,309
	43,000	ANTA Sports Products Ltd		883,257
	30,500	Autohome Inc ADR (b)		1,349,930
	9,271,500	BAIC Motor Corp Ltd – Class H (a)		3,384,656
	61,800	Baidu Inc Sponsored ADR * (b)		9,703,836
	11,196,200	Bank of China Ltd – Class A		5,248,652
	58,748,000	Bank of China Ltd – Class H		20,587,267
	30,566,000	Bank of Communications Co Ltd – Class H		17,554,138

Shares		Description	Value ($)
		China — continued
	475,500	Beijing Enterprises Holdings Ltd		1,636,404
	1,078,000	Beijing Enterprises Water Group Ltd *		444,606
	1,005,000	BYD Electronic International Co Ltd (a)		4,597,269
	403,000	China Aoyuan Group Ltd (a)		240,943
	11,555,000	China Cinda Asset Management Co Ltd – Class H		2,049,397
	789,000	China CITIC Bank Corp Ltd – Class H		362,723
	10,536,485	China Communications Services Corp Ltd – Class H		5,599,088
	29,344,803	China Construction Bank Corp – Class H		21,144,622
	3,283,000	China Dongxiang Group Co Ltd		388,178
	3,384,000	China Everbright Bank Co Ltd – Class H		1,212,901
	1,417,000	China Everbright Environment Group Ltd		979,664
	6,780,000	China Feihe Ltd		12,251,632
	237,200	China Gas Holdings Ltd		686,602
	3,659,000	China Greenfresh Group Co Ltd * (e)		—
	11,910,500	China Hongqiao Group Ltd		17,665,905
	68,332,000	China Huarong Asset Management Co Ltd – Class H * (e)		6,677,294
	254,400	China International Marine Containers Group Co Ltd – Class A		721,362
	3,398,000	China Lesso Group Holdings Ltd		7,272,891
	1,066,000	China Lilang Ltd		665,152
	140,000	China Longyuan Power Group Corp Ltd – Class H		285,341
	5,460,925	China Medical System Holdings Ltd		10,718,485
	537,719	China Merchants Bank Co Ltd – Class A		4,073,440
	14,736,000	China National Building Material Co Ltd – Class H		20,123,469
	1,630,000	China Oriental Group Co Ltd		602,324
	353,000	China Overseas Grand Oceans Group Ltd		234,589
	3,343,500	China Overseas Land & Investment Ltd		7,702,376
	314,290	China Pacific Insurance Group Co Ltd – Class A		1,279,530
	406,200	China Pacific Insurance Group Co Ltd – Class H		1,144,822
	12,600	China Petroleum & Chemical Corp ADR		604,674
	36,634,000	China Petroleum & Chemical Corp – Class H		17,625,987
	672,900	China Railway Group Ltd – Class A		585,894
	28,781,000	China Railway Group Ltd – Class H		13,783,925
	639,042	China Railway Signal & Communication Corp Ltd – Class A		517,109
	5,153,000	China Reinsurance Group Corp – Class H		536,176
	232,000	China Resources Gas Group Ltd		1,406,357
	1,656,000	China Resources Land Ltd		6,150,912

50 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	5,747,500	China Resources Pharmaceutical Group Ltd		2,989,034
	77,800	China Shenhua Energy Co Ltd – Class A		240,671
	510,000	China Shineway Pharmaceutical Group Ltd		551,490
	2,586,000	China South City Holdings Ltd		239,242
	38,500	China Tian Lun Gas Holdings Ltd (a)		39,466
	5,902,000	China Traditional Chinese Medicine Holdings Co Ltd *		2,809,190
	2,170,082	China Vanke Co Ltd – Class A		6,645,343
	22,900	China Yangtze Power Co Ltd – Class A		68,507
	326,000	China Yongda Automobiles Services Holdings Ltd		546,243
	24,300	China Yuchai International Ltd		346,275
	4,237,600	China Zhongwang Holdings Ltd * (a)		919,624
	284,800	Chinese Universe Publishing and Media Group Co Ltd – Class A		456,781
	127,000	CIMC Vehicles Group Co Ltd – Class H *		108,472
	7,039,000	CITIC Ltd		8,745,479
	4,051,506	Country Garden Holdings Co Ltd		4,478,128
	1,695,991	CSG Holding Co Ltd – Class A		3,079,155
	1,486,000	CSPC Pharmaceutical Group Ltd		1,885,142
	12,958,000	Dongfeng Motor Group Co Ltd – Class H		14,188,872
	3,771,000	Dongyue Group Ltd (a)		12,971,518
	283,000	ENN Energy Holdings Ltd		5,599,902
	242,200	Everbright Securities Co Ltd – Class H (a)		192,727
	5,334,396	Fangda Special Steel Technology Co Ltd – Class A		6,698,791
	2,878,500	Fantasia Holdings Group Co Ltd *		262,185
	4,353,000	Fosun International Ltd		5,506,093
	684,000	Geely Automobile Holdings Ltd		2,478,969
	1,068,000	Genertec Universal Medical Group Co Ltd		868,893
	641,000	Greenland Hong Kong Holdings Ltd		177,884
	1,932,000	Guangdong Investment Ltd		2,683,120
	282,400	Guangdong Tapai Group Co Ltd – Class A		450,696
	580,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,480,374
	3,602,400	Guangzhou R&F Properties Co Ltd – Class H (a)		3,071,444
	83,800	Haier Smart Home Co Ltd – Class H		315,675
	173,000	Haitian International Holdings Ltd		661,474
	495,000	Hello Group Inc Sponsored ADR (b)		6,504,300
	119,000	Hengan International Group Co Ltd		689,139
	2,901,844	Hisense Home Appliances Group Co Ltd – Class A		5,725,346
	1,000,000	Hisense Home Appliances Group Co Ltd – Class H		1,173,973

Shares		Description	Value ($)
		China — continued
	68,100	Hollysys Automation Technologies Ltd		1,338,165
	798,100	Hopson Development Holdings Ltd		3,109,161
	497,700	Industrial & Commercial Bank of China Ltd – Class A		355,551
	19,660,400	Industrial & Commercial Bank of China Ltd – Class H		10,948,374
	1,513,039	Inner Mongolia Eerduosi Resources Co Ltd – Class A		8,499,996
	891,500	Kingboard Holdings Ltd		4,383,437
	530,000	Kingboard Laminates Holdings Ltd		1,042,228
	488,000	Kunlun Energy Co Ltd		516,128
	339,000	KWG Group Holdings Ltd		356,897
	79,100	Lao Feng Xiang Co Ltd – Class A		568,990
	749,200	Legend Holdings Corp – Class H		1,206,224
	6,362,000	Lenovo Group Ltd (a)		7,017,492
	583,300	Livzon Pharmaceutical Group Inc – Class H		2,155,118
	652,000	Logan Group Co Ltd		777,159
	678,500	Longfor Group Holdings Ltd		2,936,084
	8,412,000	Lonking Holdings Ltd		2,637,122
	141,800	Lufax Holding Ltd ADR *		1,229,406
	9,624,000	Metallurgical Corp of China Ltd – Class H		3,827,983
	68,200	NetEase Inc		1,305,606
	38,700	NetEase Inc ADR (b)		3,770,154
	2,837,000	Nexteer Automotive Group Ltd		3,194,998
	4,054,000	Nine Dragons Paper Holdings Ltd		5,538,247
	2,486,000	PAX Global Technology Ltd		3,073,541
	49,700	PetroChina Co Ltd ADR		2,167,417
	10,374,000	PetroChina Co Ltd – Class H		4,531,570
	13,201,000	PICC Property & Casualty Co Ltd – Class H		11,935,184
	243,000	Ping An Insurance Group Co of China Ltd – Class A		1,877,696
	754,000	Poly Property Group Co Ltd		199,508
	6,393,021	Postal Savings Bank of China Co Ltd – Class A		5,078,642
	87,000	Postal Savings Bank of China Co Ltd – Class H		62,677
	2,985,000	Powerlong Real Estate Holdings Ltd		2,424,987
	287,000	Road King Infrastructure Ltd		326,056
	562,000	Seazen Group Ltd *		497,755
	1,108,000	Shanghai Jin Jiang Capital Co Ltd – Class H		217,638
	201,800	Shanghai Mechanical and Electrical Industry Co Ltd – Class A		487,259
	47,500	Shanghai Pharmaceuticals Holding Co Ltd – Class A		141,081
	3,041,700	Shanghai Pharmaceuticals Holding Co Ltd – Class H		6,034,212
	78,400	Shenzhou International Group Holdings Ltd		1,699,408

See accompanying notes to the financial statements. 51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		China — continued
	3,572,576	Shimao Group Holdings Ltd		7,382,080
	150,000	Shougang Fushan Resources Group Ltd		48,148
	7,089,000	Sihuan Pharmaceutical Holdings Group Ltd		2,105,321
	3,714,500	Sinopec Engineering Group Co Ltd – Class H		1,968,182
	7,949,200	Sinopharm Group Co Ltd – Class H		20,457,303
	2,947,000	Sinotruk Hong Kong Ltd		5,806,368
	7,924,000	Skyworth Group Ltd *		2,475,555
	176,000	Sun Art Retail Group Ltd (a)		106,775
	1,055,000	Sunac China Holdings Ltd		2,697,441
	21,300	Sunny Optical Technology Group Co Ltd		644,571
	5,146,000	TCL Electronics Holdings Ltd *		2,726,114
	404,337	Tencent Holdings Ltd		24,972,977
	34,300	Tencent Holdings Ltd ADR (b)		2,114,938
	914,000	Tianjin Port Development Holdings Ltd		75,013
	3,734,000	Tianneng Power International Ltd (a)		4,997,411
	90,894	Tsingtao Brewery Co Ltd – Class A		1,213,767
	66,000	Tsingtao Brewery Co Ltd – Class H		540,041
	65,000	Want Want China Holdings Ltd		44,171
	1,382,000	Weichai Power Co Ltd – Class H		3,487,268
	3,605,568	Weifu High-Technology Group Co Ltd – Class A		12,922,273
	3,476,000	West China Cement Ltd		554,332
	8,000	Yum China Holdings Inc		492,480
	9,265,167	Yuzhou Group Holdings Co Ltd (a)		1,785,729
	242,000	Zhejiang Expressway Co Ltd – Class H		212,216
	232,379	Zhejiang Weixing New Building Materials Co Ltd – Class A		710,168
	2,418,296	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		4,886,483
	1,233,000	Zhongsheng Group Holdings Ltd		10,309,109
	104,700	Zhuzhou CRRC Times Electric Co Ltd – Class H *		629,262
		Total China		611,920,695
		Czech Republic — 0.0%
	11,199	CEZ AS		353,015
	1,388	Komercni Banka AS *		53,370
	366,110	Moneta Money Bank AS *		1,486,489
	220	Philip Morris CR AS		159,761
		Total Czech Republic		2,052,635
		Denmark — 0.4%
	655	AP Moller – Maersk A/S – Class A		1,775,004
	826	AP Moller – Maersk A/S – Class B		2,353,075
	2,629	Carlsberg A/S – Class B		459,194
	511,554	Danske Bank A/S		8,584,136
	17,339	Matas A/S		359,135
	72,346	Pandora A/S		8,671,689

Shares		Description	Value ($)
		Denmark — continued
	60,981	Scandinavian Tobacco Group A/S		1,238,450
		Total Denmark		23,440,683
		Egypt — 0.0%
	75,397	Commercial International Bank Egypt SAE *		221,819
	147,213	Eastern Co SAE		110,212
	53,203	ElSewedy Electric Co		29,413
	221,375	Medinet Nasr Housing		43,435
		Total Egypt		404,879
		Finland — 0.3%
	66,509	Kesko Oyj – B Shares		2,752,110
	76,052	Neste Oyj		4,632,474
	1,390,453	Nokia Oyj *		8,352,633
	5,821	Sanoma Oyj (b)		106,911
	10,460	Tokmanni Group Corp		301,767
	23,485	UPM-Kymmene Oyj		956,745
	17,130	Uponor Oyj		552,437
		Total Finland		17,655,077
		France — 1.4%
	46,270	ALD SA		651,664
	3,411	Amundi SA		322,828
	27,444	APERAM SA		1,683,720
	68,589	ArcelorMittal SA		2,300,474
	2,133	Axway Software SA (b)		72,350
	213,986	BNP Paribas SA		13,555,983
	1,836	Boiron SA (a)		91,095
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		22,104
	681	Christian Dior SE		514,789
	98,865	Cie de Saint-Gobain		7,167,014
	236,007	Credit Agricole SA		3,406,458
	105,597	Derichebourg SA *		1,249,886
	2,480	Fnac Darty SA		168,952
	820	Groupe Crit (a)		64,933
	989	HEXAOM		58,870
	33,189	IPSOS (b)		1,608,646
	5,079	Kaufman & Broad SA		236,546
	5,388	Kering SA		4,291,653
	6,872	LVMH Moet Hennessy Louis Vuitton SE		5,090,847
	3,010	Maisons du Monde SA		69,511
	1,885	Mersen SA		73,538
	66,614	Metropole Television SA		1,418,514
	14,727	Nexity SA		760,523
	229,653	Orange SA		2,610,971
	147,780	Publicis Groupe SA (b)		9,701,765
	41,751	Quadient SA		1,185,648

52 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		France — continued
	2,190	Rothschild & Co		86,584
	51,857	Safran SA		6,505,232
	1,857	SEB SA		292,314
	7,094	Societe BIC SA		472,292
	311,710	Societe Generale SA		9,810,795
	1,769	Synergie SE		76,318
	147,200	Television Francaise 1		1,477,618
	2,003	TotalEnergies SE (c)		88,236
	18,580	TotalEnergies SE (c)		821,842
	10,717	Vicat SA		534,049
	1,584	Vilmorin & Cie SA		102,521
		Total France		78,647,083
		Germany — 1.7%
	21,598	ADVA Optical Networking SE *		357,970
	279	Amadeus Fire AG		57,341
	125,860	Bayer AG (Registered)		7,001,699
	75,359	Bayerische Motoren Werke AG		7,152,981
	34,377	Beiersdorf AG		4,172,133
	85,902	CECONOMY AG *		402,597
	933	Cewe Stiftung & Co KGaA		139,291
	196,492	Daimler AG (Registered)		16,575,033
	25,634	Deutsche Post AG (Registered)		1,802,303
	13,450	Deutz AG *		122,833
	223,355	Dialog Semiconductor Plc *		17,753,487
	3,472	Draegerwerk AG & Co KGaA		294,886
	142,273	Fresenius SE & Co KGaA		7,397,233
	887	Grammer AG *		25,722
	4,837	Hamburger Hafen und Logistik AG		106,631
	65,624	HeidelbergCement AG		5,691,338
	3,127	Hornbach Baumarkt AG		125,111
	9,501	Hornbach Holding AG & Co KGaA		1,016,357
	94,482	Kloeckner & Co SE *		1,275,692
	7,767	Merck KGaA		1,845,414
	94,271	ProSiebenSat.1 Media SE (b)		1,799,794
	11,900	RTL Group SA		739,460
	2,861	Salzgitter AG *		107,846
	39,868	SAP SE (b)		5,988,570
	47,652	Siltronic AG		7,786,568
	9,259	Traton SE		273,348
	12,833	Volkswagen AG		4,293,821
	813	Wuestenrot & Wuerttembergische AG		17,888
		Total Germany		94,323,347
		Greece — 0.0%
	14,301	Mytilineos SA		268,480
		Hong Kong — 0.7%
	232,700	Budweiser Brewing Co APAC Ltd		581,453
	277,000	Chow Sang Sang Holdings International Ltd		421,374

Shares		Description	Value ($)
		Hong Kong — continued
	2,229,000	CITIC Telecom International Holdings Ltd		774,018
	7,500	CK Asset Holdings Ltd		48,841
	1,226,000	CK Hutchison Holdings Ltd		8,937,667
	1,170,000	CSI Properties Ltd		37,211
	274,400	Dah Sing Banking Group Ltd		263,881
	192,800	Dah Sing Financial Holdings Ltd		599,811
	5,016,000	First Pacific Co Ltd		1,870,055
	994,000	Giordano International Ltd		211,837
	102,000	HKT Trust & HKT Ltd – Class SS		139,086
	1,040,213	I-CABLE Communications Ltd *		9,632
	995,000	IGG Inc		950,324
	384,000	Johnson Electric Holdings Ltd		879,420
	443,000	K Wah International Holdings Ltd		194,252
	174,000	Kerry Logistics Network Ltd (a)		552,926
	940,000	Kerry Properties Ltd		3,198,071
	1,319,000	Pacific Textiles Holdings Ltd		703,549
	8,427,000	PCCW Ltd		4,394,781
	201,000	Regal Real Estate Investment Trust		39,819
	1,772,000	Shun Tak Holdings Ltd *		507,780
	350,000	Singamas Container Holdings Ltd *		52,202
	47,000	SITC International Holdings Co Ltd		204,736
	139,500	SmarTone Telecommunications Holdings Ltd		78,593
	332,000	Sun Hung Kai & Co Ltd		181,794
	11,500	Sun Hung Kai Properties Ltd		162,196
	227,500	Swire Pacific Ltd – Class A		1,540,136
	40,000	TAI Cheung Holdings Ltd		27,211
	1,062,000	VSTECS Holdings Ltd		998,888
	297,200	VTech Holdings Ltd		2,886,793
	5,239,000	WH Group Ltd (a)		4,544,131
	543,000	Xinyi Glass Holdings Ltd		2,281,813
	831,000	Yue Yuen Industrial Holdings Ltd *		1,685,242
		Total Hong Kong		39,959,523
		Hungary — 0.0%
	18,474	OTP Bank Nyrt *		1,115,677
		India — 2.4%
	362,378	Apollo Tyres Ltd		1,053,952
	142,260	Arvind Ltd *		176,158
	67,260	Asian Paints Ltd		2,945,180
	218,548	Axis Bank Ltd *		2,347,559
	14,712	Bajaj Electricals Ltd *		242,406
	445,278	Balrampur Chini Mills Ltd		2,252,333
	21,231	Bombay Burmah Trading Co		345,165
	10,424	Clean Science & Technology Ltd *		217,525
	171,314	Dhampur Sugar Mills Ltd		731,587
	22,375	Dr Reddy’s Laboratories Ltd ADR		1,436,699
	255,416	Firstsource Solutions Ltd		633,053
	97,993	GAIL India Ltd		196,532

See accompanying notes to the financial statements. 53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		India — continued
	77,288	Glenmark Pharmaceuticals Ltd		560,175
	1,561,272	HCL Technologies Ltd		25,177,523
	77,139	HDFC Bank Ltd		1,663,173
	367,562	Hindalco Industries Ltd		2,359,376
	166,924	Hindustan Petroleum Corp Ltd		609,387
	70,190	Hindustan Unilever Ltd		2,610,189
	66,764	Housing Development Finance Corp Ltd		2,546,651
	345,835	ICICI Bank Ltd		3,382,013
	1,398,683	Indiabulls Housing Finance Ltd		4,277,917
	385,620	Indian Oil Corp Ltd		584,894
	62,354	Infosys Ltd		1,460,891
	218,800	Infosys Ltd Sponsored ADR (b)		5,211,816
	944,221	IRCON International Ltd		555,165
	1,740,617	ITC Ltd		5,022,055
	239,470	Jai Balaji Industries Ltd *		190,353
	479,995	Karnataka Bank Ltd (The)		404,012
	288	Larsen & Toubro Infotech Ltd		21,012
	424,458	LT Foods Ltd		389,775
	363,441	Mahindra & Mahindra Ltd		3,937,405
	60,308	Mindtree Ltd		2,989,890
	1,927	Narayana Hrudayalaya Ltd *		14,145
	1,441,973	NTPC Ltd		2,283,815
	8,443,790	Oil & Natural Gas Corp Ltd		13,875,787
	3,978,694	Power Finance Corp Ltd		7,000,354
	657,619	PTC India Ltd		927,908
	110,122	Rajesh Exports Ltd		881,466
	6,154,843	REC Ltd		12,755,050
	124,196	Redington India Ltd		264,816
	85,182	Tata Consultancy Services Ltd		4,422,904
	1,875,768	Tata Motors Ltd *		7,394,758
	677,179	Tata Motors Ltd – Class A *		1,261,189
	83,910	Titan Co Ltd		2,202,506
	107,024	Wipro Ltd		938,221
		Total India		130,754,740
		Indonesia — 0.4%
	3,894,300	Bank Central Asia Tbk PT		8,939,030
	5,460,700	Bank Mandiri Persero Tbk PT		2,334,398
	4,207,684	Bank Negara Indonesia Persero Tbk PT		1,589,933
	3,584,900	Bank Pembangunan Daerah Jawa Timur Tbk PT		179,627
	24,295,500	Bank Rakyat Indonesia Persero Tbk PT		6,681,382
	2,279,400	Bukit Asam Tbk PT		337,084
	2,540,600	Gajah Tunggal Tbk PT		137,138
	1,406,200	Indo Tambangraya Megah Tbk PT		1,576,465
	53,844,000	Panin Financial Tbk PT *		705,088
	8,045,700	Ramayana Lestari Sentosa Tbk PT		360,550
	3,910,500	Telkom Indonesia Persero Tbk PT		933,208
		Total Indonesia		23,773,903

Shares		Description	Value ($)
		Ireland — 0.4%
	345,259	AIB Group Plc *		1,037,404
	714,753	Bank of Ireland Group Plc *		4,473,832
	1,924	CRH Plc		101,926
	45,600	CRH Plc Sponsored ADR		2,422,272
	27,458	Dole Plc *		440,701
	20,461	Glanbia Plc		365,291
	460,993	Hibernia REIT Plc		689,913
	7,809	Kingspan Group Plc		891,749
	49,568	Origin Enterprises Plc		195,594
	77,301	Permanent TSB Group Holdings Plc *		127,473
	270,317	Ryanair Holdings Plc *		5,056,669
	96,707	Smurfit Kappa Group Plc (c)		5,542,653
	14,978	Smurfit Kappa Group Plc (c)		858,477
		Total Ireland		22,203,954
		Israel — 0.3%
	269,421	Bank Leumi Le-Israel BM		2,225,744
	44,300	Check Point Software Technologies Ltd *		5,565,409
	57,020	Isracard Ltd		236,614
	699	Mizrahi Tefahot Bank Ltd		23,254
	836,336	Oil Refineries Ltd*		182,411
	818,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		7,712,154
		Total Israel		15,945,586
		Italy — 1.0%
	319,595	A2A SPA		702,137
	6,397	ACEA SPA		152,760
	67,014	Anima Holding SPA		345,652
	52,995	Arnoldo Mondadori Editore SPA * (b)		117,004
	24,095	Banca IFIS SPA		418,191
	16,981	Banca Mediolanum SPA		176,293
	17,247	Banca Popolare di Sondrio SCPA		78,489
	245,196	Banco BPM SPA (a)		813,157
	154,363	Buzzi Unicem SPA		4,097,913
	39,390	Cementir Holding NV		446,133
	22,100	CNH Industrial NV		364,429
	27,873	CNH Industrial NV		460,764
	60,403	Credito Emiliano SPA		404,890
	12,516	De’ Longhi SPA		566,437
	87,449	Enel SPA		796,699
	23,393	Esprinet SPA		447,088
	224,503	EXOR NV		18,731,054
	100,916	IMMSI SPA *		55,946
	161,267	Italgas SPA		1,069,136
	23,101	La Doria SPA		497,252
	515,491	Leonardo SPA *		4,197,375
	163,167	Mediobanca Banca di Credito Finanziario SPA *		1,923,496

54 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	53,609	Poste Italiane SPA		726,827
	1,097	Prima Industrie SPA *		27,039
	1,858	Sabaf SPA		54,844
	669	Sesa SPA *		133,456
	18,596	Snam SPA		109,951
	8,333,843	Telecom Italia SPA		3,775,808
	17,596,935	Telecom Italia SPA – RSP		8,501,628
	13,005	Unieuro SPA		339,810
	405,374	Unipol Gruppo SPA		2,404,311
		Total Italy		52,935,969
		Japan — 12.3%
	8,900	ADEKA Corp		194,291
	1,900	Advantest Corp		163,688
	78,800	Aeon Delight Co Ltd (a)		2,549,547
	605,000	Aeon Mall Co Ltd (a)		9,213,614
	4,800	AGC Inc		231,881
	15,500	Aichi Corp		104,346
	18,600	Aisin Corp		709,990
	792,600	Amada Co Ltd		8,034,724
	211,600	Amano Corp		5,371,500
	29,500	AOKI Holdings Inc		167,709
	34,100	Arcland Sakamoto Co Ltd		474,830
	178,600	Arcs Co Ltd (a)		3,630,736
	990,600	Asahi Kasei Corp		10,213,162
	376,000	Astellas Pharma Inc		6,335,566
	9,100	Bando Chemical Industries Ltd		76,300
	182,700	Brother Industries Ltd		3,749,293
	5,900	Bunka Shutter Co Ltd		62,477
	5,600	Canon Electronics Inc		81,283
	26,100	Canon Marketing Japan Inc		595,103
	4,800	Central Glass Co Ltd		96,834
	4,000	Chiyoda Integre Co Ltd		69,856
	225,700	Chubu Electric Power Co Inc		2,729,257
	383,900	Chugoku Marine Paints Ltd		3,155,322
	9,600	CONEXIO Corp		132,940
	5,900	Credit Saison Co Ltd		67,110
	13,700	Dai Nippon Toryo Co Ltd		106,020
	4,000	Dai-Dan Co Ltd		98,232
	103,600	Daihen Corp		4,510,756
	4,800	Daiichi Jitsugyo Co Ltd		205,424
	2,800	Daito Pharmaceutical Co Ltd (a)		91,812
	130,400	Daiwa House Industry Co Ltd		3,976,383
	6,200	Daiwa Industries Ltd		68,782
	791,000	Daiwabo Holdings Co Ltd		15,028,997
	278,800	Denka Co Ltd		9,772,014
	176,500	Ebara Corp		8,773,283
	114,300	Electric Power Development Co Ltd		1,707,476
	9,200	FJ Next Co Ltd (a)		85,916
	281,100	Fuji Corp		7,276,822

Shares		Description	Value ($)
		Japan — continued
	4,300	Fuji Pharma Co Ltd		45,103
	2,900	Fujimori Kogyo Co Ltd		120,732
	22,500	Fujitsu Ltd (b)		4,141,954
	6,800	Furuno Electric Co Ltd		67,499
	7,800	Furyu Corp		110,232
	7,400	G-7 Holdings Inc (a)		267,218
	3,400	Hakuto Co Ltd		55,695
	21,800	Hanwa Co Ltd		653,702
	739,494	Haseko Corp		10,227,248
	959,900	Hazama Ando Corp		7,159,700
	5,900	Heiwado Co Ltd (a)		117,309
	226,500	Hitachi Ltd		12,517,863
	2,700	Hochiki Corp		28,784
	122,000	Hogy Medical Co Ltd		3,815,432
	21,800	Hokuhoku Financial Group Inc		167,090
	517,400	Honda Motor Co Ltd		15,659,947
	111,800	Horiba Ltd		7,989,853
	1,900	Hosokawa Micron Corp		113,577
	10,100	Hyakujushi Bank Ltd (The)		146,105
	109,200	Iida Group Holdings Co Ltd		2,772,276
	284,800	Inabata & Co Ltd		4,356,689
	3,000	Information Services International-Dentsu Ltd (b)		117,022
	1,525,100	Inpex Corp		10,478,796
	33,600	Isuzu Motors Ltd		424,747
	524,800	ITOCHU Corp		15,786,571
	32,300	Itochu Enex Co Ltd		289,567
	1,600	Itochu-Shokuhin Co Ltd		76,965
	58,500	Itoham Yonekyu Holdings Inc		394,946
	29,400	Itoki Corp		95,828
	13,300	Jaccs Co Ltd		332,447
	190,200	JAFCO Group Co Ltd		11,487,057
	19,500	Japan Petroleum Exploration Co Ltd		335,469
	88,700	Japan Post Insurance Co Ltd		1,610,799
	15,000	Juroku Bank Ltd (The)		316,623
	450,700	JVCKenwood Corp		852,174
	821,100	K’s Holdings Corp		8,975,204
	237,100	Kadokawa Corp		10,873,603
	11,500	Kaga Electronics Co Ltd		302,637
	298,900	Kajima Corp		3,861,864
	13,800	Kamei Corp		147,212
	118,900	Kanamoto Co Ltd		2,716,993
	54,900	Kandenko Co Ltd		471,704
	396,200	Kanematsu Corp		5,095,313
	4,400	Kato Sangyo Co Ltd		134,566
	689,900	KDDI Corp		21,087,054
	53,500	Kinden Corp		905,812
	19,400	Kitz Corp		143,613
	1,879	Kohnan Shoji Co Ltd (a)		61,948
	29,500	Kokuyo Co Ltd		516,159

See accompanying notes to the financial statements. 55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	43,100	Komeri Co Ltd		988,295
	492,900	Konica Minolta Inc		2,501,519
	266,200	Konoike Transport Co Ltd		3,312,853
	1,700	Krosaki Harima Corp		75,870
	5,800	Kumagai Gumi Co Ltd		141,631
	11,300	Kyokuto Kaihatsu Kogyo Co Ltd		169,595
	13,600	Kyosan Electric Manufacturing Co Ltd		58,298
	474,000	Kyowa Exeo Corp		11,894,922
	285,500	Kyudenko Corp		10,265,727
	1,800	Macnica Fuji Electronics Holdings Inc		43,300
	354,700	Macromill Inc		2,436,588
	233,000	Mandom Corp		3,524,670
	62,000	Marubeni Corp		493,291
	3,100	Maruha Nichiro Corp		71,538
	336,600	Maruichi Steel Tube Ltd		8,275,994
	5,400	Maruzen Showa Unyu Co Ltd		166,917
	5,000	Matsuda Sangyo Co Ltd		132,717
	347,600	Maxell Holdings Ltd *		4,086,478
	43,200	MCJ Co Ltd		481,365
	196,500	Mebuki Financial Group Inc		439,137
	900	Megmilk Snow Brand Co Ltd		18,863
	8,900	Meidensha Corp		198,669
	1,600	Melco Holdings Inc		75,500
	136,100	Mitsubishi Gas Chemical Co Inc		2,564,485
	2,800	Mitsubishi Research Institute Inc (b)		108,624
	3,622,500	Mitsubishi UFJ Financial Group Inc		19,653,658
	11,100	Mitsuboshi Belting Ltd		202,913
	31,800	Mitsui & Co Ltd		701,367
	45,000	Mitsui Chemicals Inc		1,553,508
	12,600	Mitsui DM Sugar Holdings Co Ltd		221,631
	39,270	Mixi Inc (b)		901,901
	13,900	Modec Inc		204,822
	273,100	Morinaga & Co Ltd		9,577,728
	343,400	MS&AD Insurance Group Holdings Inc		11,115,470
	13,800	MTI Ltd (a)		89,251
	43,900	NEC Networks & System Integration Corp (b)		836,824
	267,000	NH Foods Ltd		10,360,450
	12,400	Nichias Corp		328,870
	16,000	Nichiha Corp		470,790
	8,400	Nichireki Co Ltd		98,164
	27,800	Nippn Corp		408,559
	48,800	Nippo Corp		1,433,981
	1,900	Nippon Steel Trading Corp		86,798
	643,700	Nippon Telegraph & Telephone Corp		17,149,959
	102,300	Nippon Television Holdings Inc (b)		1,090,881
	48,200	Nishi-Nippon Financial Holdings Inc		304,182
	7,100	Nisshin Oillio Group Ltd (The)		197,423
	3,800	Nissin Corp		52,567
	20,600	Nojima Corp		507,190

Shares		Description	Value ($)
		Japan — continued
	24,900	Nomura Real Estate Holdings Inc		637,670
	1,322,100	Obayashi Corp		10,878,742
	41,700	Okamura Corp		641,425
	1,500	Okinawa Cellular Telephone Co		70,962
	12,000	Organo Corp		692,769
	1,386,700	ORIX Corp		25,872,315
	86,300	Osaka Gas Co Ltd		1,617,691
	3,700	Osaka Soda Co Ltd		89,676
	7,700	Osaki Electric Co Ltd		39,157
	367,300	Pacific Industrial Co Ltd		4,193,358
	616,800	Penta-Ocean Construction Co Ltd		3,914,815
	9,100	Prima Meat Packers Ltd		246,513
	8,000	Proto Corp (b)		107,684
	10,900	Raito Kogyo Co Ltd		190,411
	461,700	Resona Holdings Inc		1,785,460
	51,600	Rohm Co Ltd		4,960,664
	5,700	Ryoden Corp		92,488
	63,500	San-A Co Ltd		2,336,351
	18,800	San-Ai Oil Co Ltd		234,378
	29,800	San-In Godo Bank Ltd (The)		155,106
	21,600	Sanki Engineering Co Ltd		293,374
	185,200	Sankyu Inc		8,618,579
	19,000	Sanwa Holdings Corp		252,334
	49,200	Sawai Group Holdings Co Ltd		2,223,466
	116,100	Secom Co Ltd		8,804,181
	85,500	Sega Sammy Holdings Inc		1,153,192
	9,100	Seikitokyu Kogyo Co Ltd		69,616
	16,300	Seiko Epson Corp		303,584
	36,500	Sekisui Chemical Co Ltd		624,668
	474,500	Sekisui House Ltd		9,453,558
	7,500	Sekisui Jushi Corp		148,954
	11,000	Shimamura Co Ltd		969,547
	841,200	Shimizu Corp		6,036,426
	6,900	Shin-Etsu Polymer Co Ltd		60,726
	800	Shindengen Electric Manufacturing Co Ltd *		29,483
	6,000	Shinnihon Corp		46,991
	6,600	Shizuoka Gas Co Ltd		76,766
	2,000	Sinanen Holdings Co Ltd		63,512
	12,700	Sinko Industries Ltd		252,012
	942,600	SKY Perfect JSAT Holdings Inc		3,494,730
	406,700	Sojitz Corp		1,194,051
	48,100	Subaru Corp		890,220
	1,792,300	Sumitomo Chemical Co Ltd		9,086,273
	622,200	Sumitomo Dainippon Pharma Co Ltd		11,168,543
	32,200	Sumitomo Electric Industries Ltd		430,050
	578,200	Sumitomo Forestry Co Ltd		11,282,533
	3,900	Sumitomo Heavy Industries Ltd		102,022
	286,700	Sumitomo Mitsui Trust Holdings Inc		9,364,538
	1,500	Sumitomo Seika Chemicals Co Ltd		48,017
	32,700	Suzuki Motor Corp		1,413,000
	174,700	T Hasegawa Co Ltd		4,430,176
	210,500	Tachi-S Co Ltd		2,594,706

56 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	154,100	Taisei Corp		4,821,112
	384,100	Takara Holdings Inc		4,977,968
	75,800	Takara Leben Co Ltd		220,497
	27,200	Takeuchi Manufacturing Co Ltd		654,746
	374,100	Takuma Co Ltd		5,637,424
	4,200	Tamron Co Ltd		100,596
	697,200	Teijin Ltd		10,027,740
	269,400	TIS Inc (b)		7,605,056
	249,100	Toho Holdings Co Ltd		4,323,954
	2,500	Token Corp		237,990
	2,743,100	Tokyo Electric Power Co Holdings Inc *		7,205,046
	248,900	Tokyo Seimitsu Co Ltd		10,872,242
	54,300	Tokyu Construction Co Ltd		370,149
	9,800	Toli Corp		20,834
	674,000	Toppan Inc		11,570,583
	56,600	Toray Industries Inc		381,638
	329,900	Tosei Corp		3,482,989
	696,749	Tosoh Corp		12,646,279
	3,700	Totetsu Kogyo Co Ltd		82,614
	19,900	Towa Pharmaceutical Co Ltd		533,456
	93,000	Toyo Construction Co Ltd		476,063
	2,500	Toyo Ink SC Holdings Co Ltd		45,955
	49,800	Toyota Boshoku Corp		936,420
	116,800	Toyota Industries Corp		9,861,496
	28,200	Toyota Tsusho Corp		1,246,946
	31,300	TS Tech Co Ltd		423,964
	203,600	Tsumura & Co		7,000,463
	4,500	TV Asahi Holdings Corp (b)		69,376
	10,600	Unipres Corp		87,868
	8,000	Vital KSK Holdings Inc		59,083
	8,900	Wacoal Holdings Corp		187,012
	9,100	Warabeya Nichiyo Holdings Co Ltd		199,128
	26,000	YAMABIKO Corp		298,947
	136,000	Yamada Holdings Co Ltd		583,458
	91,600	Yamaguchi Financial Group Inc		534,152
	12,200	Yamaha Motor Co Ltd		310,389
	23,300	Yamazen Corp		231,778
	19,300	Yellow Hat Ltd		341,533
	161,900	Yokogawa Bridge Holdings Corp		3,293,819
	28,200	Yokohama Rubber Co Ltd (The)		480,997
	7,200	Yuasa Trading Co Ltd		194,372
	236,500	Zenkoku Hosho Co Ltd		11,249,809
		Total Japan		686,039,114
		Kuwait — 0.2%
	16,615	Gulf Cable & Electrical Industries Co KSCP		44,985
	46,939	Humansoft Holding Co KSC		531,678
	2,799,920	Kuwait Finance House KSCP		7,690,813
	333,258	Kuwait Projects Holding KSCP		170,589
	99,972	Mobile Telecommunications Co KSCP		202,963
	1,173,659	National Bank of Kuwait SAKP		3,652,023
	36,684	Qurain Petrochemical Industries Co		46,710
		Total Kuwait		12,339,761

Shares		Description	Value ($)
		Luxembourg — 0.0%
	15,500	Ternium SA Sponsored ADR		842,890
		Malaysia — 0.0%
	1,365,900	DRB-Hicom Bhd		549,397
	2,137,900	MMC Corp Bhd		947,019
	252,900	Pharmaniaga Bhd		54,717
	543,900	Top Glove Corp Bhd		523,309
	258,300	Westports Holdings Bhd		273,104
		Total Malaysia		2,347,546
		Mexico — 1.1%
	44,000	Arca Continental SAB de CV		283,424
	301,700	Banco del Bajio SA		575,039
	1,201,900	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander		1,402,735
	62,000	Cemex SAB de CV Sponsored ADR *		508,400
	6,600	Coca-Cola Femsa SAB de CV Sponsored ADR		382,140
	27,600	Concentradora Fibra Danhos SA de CV (REIT)		34,328
	713,300	Credito Real SAB de CV SOFOM ER *		542,682
	136,100	El Puerto de Liverpool SAB de CV – Class C1		604,806
	498,700	Fibra Uno Administracion SA de CV (REIT)		562,167
	635,645	Fomento Economico Mexicano SAB de CV		5,523,123
	19,100	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,656,161
	22,552	Grupo Aeroportuario del Centro Norte SAB de CV *		135,925
	519,500	Grupo Bimbo SAB de CV – Series A		1,311,942
	3,088,200	Grupo Financiero Banorte SAB de CV – Class O		20,384,519
	119,600	Grupo Financiero Inbursa SAB de CV – Class O *		114,931
	114,813	Grupo Herdez SAB de CV – Series *		248,617
	4,009,444	Grupo Mexico SAB de CV – Series B		18,589,894
	19,900	Industrias Bachoco SAB de CV – Series B		72,341
	7,500	Infraestructura Energetica Nova SAB de CV *		29,337
	70,900	Kimberly-Clark de Mexico SAB de CV – Class A		125,815
	130,400	Qualitas Controladora SAB de CV		616,939
	135,100	Regional SAB de CV		827,794
	321,246	Unifin Financiera SAB de CV SOFOM ENR *		455,861
	1,597,100	Wal-Mart de Mexico SAB de CV		5,667,462
		Total Mexico		60,656,382
		Netherlands — 1.4%
	165,285	ABN AMRO Bank NV CVA *		2,302,705

See accompanying notes to the financial statements. 57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	153,100	AerCap Holdings NV *		8,256,683
	58,560	ASR Nederland NV (a)		2,675,887
	16,510	Evander Gold Mines Ltd (d)		195
	44,285	ForFarmers NV		232,715
	726,216	ING Groep NV		10,017,696
	49,826	JDE Peet’s NV		1,712,359
	1	Just Eat Takeaway.com NV Sponsored ADR *		18
	342,203	Koninklijke Ahold Delhaize NV		11,545,056
	713,815	Koninklijke KPN NV		2,286,612
	162,674	NN Group NV		8,438,346
	845,936	PostNL NV		4,426,695
	147,210	Randstad NV		10,841,451
	162,913	Signify NV		9,126,828
	211,382	Stellantis NV		4,237,298
	32,485	Wolters Kluwer NV		3,735,799
		Total Netherlands		79,836,343
		New Zealand — 0.1%
	1,290,355	Meridian Energy Ltd		4,765,790
		Norway — 0.4%
	122,098	Aker Solutions ASA *		225,802
	57,608	Austevoll Seafood ASA		739,862
	27,001	Avance Gas Holding Ltd		135,298
	104,945	Bank Norwegian ASA		1,240,962
	304,272	BW LPG Ltd		1,620,103
	158,282	Elkem ASA *		673,829
	28,284	Equinor ASA		599,455
	182,537	Europris ASA		1,289,840
	1,141,728	Norsk Hydro ASA		7,881,623
	423,428	Orkla ASA		3,782,220
	36,490	Sbanken ASA		427,085
	27,627	Selvaag Bolig ASA		193,993
	31,165	SpareBank 1 Nord Norge		313,856
	48,779	SpareBank 1 SMN		699,897
	112,237	SpareBank 1 SR-Bank ASA		1,513,775
	13,007	Veidekke ASA		166,986
	6,984	Wallenius Wilhelmsen ASA *		27,646
		Total Norway		21,532,232
		Pakistan — 0.1%
	150,733	Engro Corp Ltd		266,274
	2,256,558	Engro Fertilizers Ltd		1,047,892
	582,113	Fauji Fertilizer Co Ltd		370,703
	1,860,954	Oil & Gas Development Co Ltd		1,036,833
	281,224	Pakistan Oilfields Ltd		658,090
	1,124,569	Pakistan Petroleum Ltd		551,622
	355,374	United Bank Ltd		259,059
		Total Pakistan		4,190,473
		Peru — 0.0%
	3,600	Credicorp Ltd *		383,868

Shares		Description	Value ($)
		Peru — continued
	12,900	Southern Copper Corp		807,411
		Total Peru		1,191,279
		Philippines — 0.1%
	45,070	GT Capital Holdings Inc		488,549
	209,360	Manila Electric Co		1,186,204
	16,554,600	Megaworld Corp		937,622
	6,053,000	Metro Pacific Investments Corp		468,077
	354,500	Puregold Price Club Inc		297,151
	35,730	Security Bank Corp		81,238
	1,146,125	Semirara Mining & Power Corp		390,958
		Total Philippines		3,849,799
		Poland — 0.4%
	53,749	Asseco Poland SA		1,177,699
	56,262	Bank Polska Kasa Opieki SA *		1,573,295
	14,931	Budimex SA		1,154,006
	9,809	Dino Polska SA *		831,453
	58,477	Jastrzebska Spolka Weglowa SA *		616,164
	20,445	Lubelski Wegiel Bogdanka SA *		136,816
	363,020	Polski Koncern Naftowy ORLEN SA		7,038,440
	1,783,423	Polskie Gornictwo Naftowe i Gazownictwo SA		2,933,195
	367,692	Powszechna Kasa Oszczednosci Bank Polski SA*		4,036,209
	194,615	Powszechny Zaklad Ubezpieczen SA *		2,062,449
	5,086	Santander Bank Polska SA *		401,354
		Total Poland		21,961,080
		Portugal — 0.3%
	190,945	Altri SGPS SA		1,271,122
	15,986,159	Banco Comercial Portugues SA – Class R * (a)		2,472,693
	134,675	CTT-Correios de Portugal SA (a)		730,731
	757,480	EDP – Energias de Portugal SA		4,158,220
	514,807	Galp Energia SGPS SA		5,265,917
	3,471	Greenvolt-Energias Renovaveis SA *		21,885
	322,743	Navigator Co SA (The) (a)		1,201,771
	115,542	NOS SGPS SA		487,085
	165,158	REN – Redes Energeticas Nacionais SGPS SA		483,721
	1,275,811	Sonae SGPS SA		1,389,184
		Total Portugal		17,482,329
		Qatar — 0.1%
	577,173	Doha Bank QPSC		456,468
	104,061	Qatar Electricity & Water Co QSC		474,572
	1,238,429	Qatar National Bank QPSC		6,518,047
	444,065	Qatar National Cement Co QSC		610,721
		Total Qatar		8,059,808
		Russia — 3.5%
	10,611,120	Alrosa PJSC		21,123,263

58 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	118,750	Detsky Mir PJSC		224,868
	19,735	Etalon Group Plc GDR (Registered)		33,111
	398,270,000	Federal Grid Co Unified Energy System PJSC		1,071,511
	214,678	Fix Price Group Ltd GDR * (e)		2,004,020
	8,710	Gazprom Neft PJSC		50,656
	2,303,010	Gazprom PJSC		9,602,745
	2,074,357	Gazprom PJSC Sponsored ADR		17,198,467
	205,275	Globaltrans Investment Plc Sponsored GDR (Registered)		1,688,268
	68,844,300	Inter RAO UES PJSC		4,338,009
	91,239	LSR Group PJSC		967,623
	4	LSR Group PJSC GDR (Registered) (e)		8
	95,719	LUKOIL PJSC		8,185,033
	48,990	LUKOIL PJSC Sponsored ADR		4,149,403
	68,013	M.Video PJSC		580,049
	2,447	Magnit PJSC		185,411
	89,804	Magnit PJSC Sponsored GDR (Registered)		1,366,889
	2,912,560	Magnitogorsk Iron & Steel Works PJSC		2,944,420
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		1,523,813
	237,343	MMC Norilsk Nickel PJSC ADR		7,809,714
	76,700	Mobile TeleSystems PJSC Sponsored ADR		719,445
	2,878,580	Moscow Exchange MICEX-RTS PJSC		7,202,508
	20,485	Novatek PJSC Sponsored GDR (Registered)		4,855,227
	558,520	Novolipetsk Steel PJSC		1,883,137
	350,666	Novolipetsk Steel PJSC GDR		11,710,686
	25,344	PhosAgro PJSC GDR (Registered)		498,782
	438,110	Polymetal International Plc		8,728,988
	3,842	Polyus PJSC		693,239
	69,207	Polyus PJSC GDR (Registered)		6,138,526
	155,892	QIWI Plc Sponsored ADR (c)		1,490,328
	4,500	QIWI Plc Sponsored ADR (c)		42,872
	22,430	Raspadskaya OJSC		117,578
	5,842	Ros Agro Plc GDR (Registered)		93,709
	22,749,000	RusHydro PJSC		255,804
	30,090	Safmar Financial Investment *		182,310
	2,543,540	Sberbank of Russia PJSC		11,413,362
	1,570,540	Sberbank of Russia PJSC Sponsored ADR		28,048,118
	41,638	Severstal PJSC		977,458
	261,426	Severstal PJSC GDR (Registered)		6,067,370
	271,500	Surgutneftegas PJSC		125,294
	2,815,715	Surgutneftegas PJSC Sponsored ADR		13,002,268
	95,840	Tatneft PJSC Sponsored ADR		3,815,795
	6,334	TCS Group Holding Plc GDR (Registered)		560,202
	17,667,000	Unipro PJSC		679,512
	376,156	VTB Bank PJSC GDR (Registered)		523,554
	60,226	X5 Retail Group NV GDR (Registered)		1,995,441
		Total Russia		196,868,794

Shares		Description	Value ($)
		Singapore — 0.5%
	648,700	Asian Pay Television Trust		62,668
	81,400	CapitaLand Integrated Commercial Trust (REIT)		124,325
	171,573	CapitaLand Ltd		509,053
	1,106,100	ComfortDelGro Corp Ltd (a)		1,329,218
	222,924	DBS Group Holdings Ltd		4,942,910
	512,600	First Real Estate Investment Trust		100,952
	3,114,200	Golden Agri-Resources Ltd		531,361
	940,299	Japfa Ltd (a)		496,344
	144,900	Jardine Cycle & Carriage Ltd		2,089,114
	181,600	Keppel Corp Ltd		700,079
	242,500	Sasseur Real Estate Investment Trust		164,933
	1,178,100	Sembcorp Industries Ltd		1,686,459
	954,100	Silverlake Axis Ltd (a)		198,069
	279,000	StarHub Ltd		252,625
	16,000	UOL Group Ltd		83,036
	848,200	Wilmar International Ltd		2,604,822
	9,629,477	Yangzijiang Shipbuilding Holdings Ltd		11,726,088
	866,500	Yanlord Land Group Ltd		765,174
		Total Singapore		28,367,230
		South Africa — 1.1%
	1,883,762	Absa Group Ltd *		20,400,862
	39,427	AECI Ltd		277,837
	74,807	Aspen Pharmacare Holdings Ltd *		1,008,686
	89,728	Astral Foods Ltd		907,533
	199,033	Barloworld Ltd		1,480,151
	434,471	Bidvest Group Ltd (The)		6,126,111
	717,831	Blue Label Telecoms Ltd *		289,720
	118,327	Foschini Group Ltd (The) *		1,217,426
	313,258	Imperial Logistics Ltd		1,351,687
	215,861	Investec Ltd		920,766
	164,368	Kumba Iron Ore Ltd		7,381,655
	350,319	Lewis Group Ltd		1,029,773
	312,605	Motus Holdings Ltd		1,995,205
	14,981	Mr Price Group Ltd		224,338
	340,181	MTN Group Ltd *		3,122,428
	19,074	Naspers Ltd – N Shares		3,291,009
	570,943	Pepkor Holdings Ltd *		907,559
	204,636	Reunert Ltd		732,555
	2,194,305	RMB Holdings Ltd		222,589
	38,560	Santam Ltd *		660,312
	856,601	Telkom SA SOC Ltd *		2,254,344
	276,103	Truworths International Ltd		1,270,781
	267,529	Tsogo Sun Gaming Ltd *		178,769
	133,757	Wilson Bayly Holmes-Ovcon Ltd *		1,103,197
		Total South Africa		58,355,293
		South Korea — 2.9%
	391,646	BNK Financial Group Inc		2,613,547
	526	CJ CheilJedang Corp		205,678
	5,609	Coway Co Ltd		378,189

See accompanying notes to the financial statements. 59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	157,779	Daewoo Engineering & Construction Co Ltd *		997,887
	5,118	Daihan Pharmaceutical Co Ltd		133,985
	2,091	Daou Data Corp		25,262
	10,638	DB Insurance Co Ltd		537,854
	374,949	DGB Financial Group Inc		2,934,775
	1,747	DL Holdings Co Ltd		108,645
	289,917	Dongwon Development Co Ltd		1,505,268
	2,178	E-MART Inc		335,575
	32,660	GS Engineering & Construction Corp		1,257,006
	36,925	GS Retail Co Ltd		1,090,330
	400,126	Hana Financial Group Inc		15,494,464
	105,304	Hankook Tire & Technology Co Ltd		4,224,730
	411,437	Hanwha Life Insurance Co Ltd		1,181,631
	15,462	Hanyang Eng Co Ltd		217,993
	66,395	HDC Hyundai Development Co-Engineering & Construction		1,706,745
	59,104	Hyundai Engineering & Construction Co Ltd		2,821,393
	19,416	Hyundai Home Shopping Network Corp		1,232,518
	7,523	Hyundai Mobis Co Ltd		1,795,762
	5,895	Hyundai Motor Co GDR (Registered)		257,239
	110,705	JB Financial Group Co Ltd		789,870
	118,264	KB Financial Group Inc		5,379,833
	7,100	KB Financial Group Inc ADR		323,121
	19,900	KC Co Ltd		415,090
	181,081	Kia Corp		13,246,640
	1,861	Korea Petrochemical Ind Co Ltd		370,349
	358,544	KT&G Corp		25,217,026
	8,382	Kumho Petrochemical Co Ltd		1,401,405
	66,087	LF Corp		1,046,698
	133,063	LG Electronics Inc		16,251,202
	723	LG Household & Health Care Ltd		910,840
	773	Lotte Chemical Corp		166,252
	36,546	LOTTE Himart Co Ltd		985,703
	1,315	LX Semicon Co Ltd		130,572
	28,523	Mirae Asset Life Insurance Co Ltd		106,234
	28,064	NAVER Corp		10,626,066
	554	POSCO		159,458
	39,544	Samjin Pharmaceutical Co Ltd		916,172
	332,017	Samsung Electronics Co Ltd		21,919,174
	11,449	Samsung Engineering Co Ltd *		219,978
	1,588	Samsung SDS Co Ltd		235,714
	294,908	Shinhan Financial Group Co Ltd		9,824,455
	152,241	SK Telecom Co Ltd Sponsored ADR		4,383,018
	42,832	SL Corp		1,013,401
	180	Taekwang Industrial Co Ltd		171,451
	96,189	Woori Financial Group Inc		930,616
	85,941	Yuhan Corp		4,624,749
		Total South Korea		162,821,563
		Spain — 1.1%
	56,178	Acerinox SA		765,648

Shares		Description	Value ($)
		Spain — continued
	139,691	ACS Actividades de Construccion y Servicios SA		3,771,125
	64,516	Amadeus IT Group SA * (b)		3,940,500
	96,182	Atresmedia Corp de Medios de Comunicacion SA * (b)		421,201
	2,316,390	Banco Bilbao Vizcaya Argentaria SA *		15,160,754
	4,279,995	Banco de Sabadell SA *		3,051,231
	4,627,947	Banco Santander SA *		17,064,414
	578,989	Bankinter SA		3,388,499
	46,925	CaixaBank SA		145,770
	63,198	Cia de Distribucion Integral Logista Holdings SA (a)		1,372,032
	2,559	Ebro Foods SA (a)		51,387
	16,846	eDreams ODIGEO SA * (b)		125,364
	1,386	Faes Farma SA		5,415
	79,624	Gestamp Automocion SA *		370,339
	15,879	Grupo Catalana Occidente SA		601,380
	81,611	Iberdrola SA		1,011,280
	124,120	Industria de Diseno Textil SA		4,240,113
	248,169	Mediaset Espana Comunicacion SA *		1,513,894
	124,733	Red Electrica Corp SA		2,487,617
	96,482	Repsol SA		1,107,146
	1,126,762	Unicaja Banco SA		1,039,579
		Total Spain		61,634,688
		Sweden — 0.2%
	4,371	Bufab AB		167,179
	7,965	Humana AB *		66,458
	209,237	Investor AB – B Shares		5,004,665
	63,547	Inwido AB		1,246,376
	8,618	Kinnevik AB – Class B *		337,663
	14,090	New Wave Group AB – B Shares *		222,465
	48,578	Skanska AB – B Shares		1,400,408
	23,057	Svenska Cellulosa AB SCA – Class B		407,496
		Total Sweden		8,852,710
		Switzerland — 0.4%
	132,745	Adecco Group AG (Registered)		7,384,253
	532	ALSO Holding AG (Registered)		171,226
	4,728	BKW AG		548,351
	1,909	Bobst Group SA (Registered) *		175,704
	2,568	Huber + Suhner AG (Registered)		230,379
	916	Kardex Holding AG (Registered)		244,942
	5,037	Mobilezone Holding AG (Registered)		71,051
	33,866	Novartis AG (Registered)		3,132,296
	700	Novartis AG Sponsored ADR		64,673
	20,729	Roche Holding AG – Genusschein		8,323,831
	318	Swiss Life Holding AG (Registered)		165,751
	7,245	Zehnder Group AG – Class RG		783,321
		Total Switzerland		21,295,778
		Taiwan — 4.7%
	302,000	Ability Enterprise Co Ltd		165,565

60 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	7,000	Accton Technology Corp		70,919
	118,000	Acer Inc		107,092
	16,788	Acter Group Corp Ltd		114,056
	62,000	AmTRAN Technology Co Ltd *		37,816
	73,000	Arcadyan Technology Corp		243,128
	2,087,672	Asustek Computer Inc		24,371,035
	63,000	Aten International Co Ltd		186,703
	3,202,000	Catcher Technology Co Ltd		19,258,528
	2,083,000	Cathay Financial Holding Co Ltd		4,473,406
	683,451	Chailease Holding Co Ltd		6,556,490
	152,660	Chicony Electronics Co Ltd		431,727
	229,000	China Life Insurance Co Ltd		238,306
	491,000	Chipbond Technology Corp		1,359,944
	356,000	Chong Hong Construction Co Ltd *		1,022,929
	206,000	Chunghwa Telecom Co Ltd		833,319
	1,674,000	Coretronic Corp		3,374,459
	3,143,000	CTBC Financial Holding Co Ltd		2,605,028
	137,000	Delta Electronics Inc		1,334,510
	61,000	Depo Auto Parts Ind Co Ltd		126,156
	2,000	Eclat Textile Co Ltd		40,159
	191,000	Elan Microelectronics Corp		1,082,064
	141,000	Elite Material Co Ltd		1,187,418
	374,000	Farglory Land Development Co Ltd		859,402
	17,000	Feng Hsin Steel Co Ltd		48,474
	1,394,000	FLEXium Interconnect Inc *		5,817,884
	244,000	Formosa Advanced Technologies Co Ltd		337,824
	103,000	Formosa Plastics Corp		380,313
	334,000	Foxconn Technology Co Ltd		796,553
	4,394,000	Fubon Financial Holding Co Ltd		13,458,982
	245,000	Gigabyte Technology Co Ltd		772,785
	2,100,000	Grand Pacific Petrochemical		2,299,782
	107,000	Holiday Entertainment Co Ltd		237,375
	11,023,406	Hon Hai Precision Industry Co Ltd		44,019,860
	404,000	Huaku Development Co Ltd		1,283,178
	350,980	IEI Integration Corp		587,656
	88,000	International Games System Co Ltd		2,103,748
	159,000	Kung Long Batteries Industrial Co Ltd		794,218
	3,000	Largan Precision Co Ltd		289,246
	705,000	Lite-On Technology Corp		1,554,533
	149,000	MediaTek Inc		4,831,656
	1,204,615	Mercuries Life Insurance Co Ltd *		403,138
	75,000	Merry Electronics Co Ltd		260,225
	597,000	Micro-Star International Co Ltd		2,801,018
	19,000	Nan Liu Enterprise Co Ltd		88,265
	187,000	Nan Ya Plastics Corp		604,300
	255,000	Nantex Industry Co Ltd		987,905
	432,000	Nanya Technology Corp		1,030,138
	123,000	Novatek Microelectronics Corp		1,984,924
	168,000	Phison Electronics Corp		2,574,767
	7,106,566	Pou Chen Corp		8,440,869
	1,286,000	Qisda Corp		1,375,863
	698,000	Quanta Computer Inc		1,973,986
	5,857,020	Radiant Opto-Electronics Corp		20,892,601
	1,321,000	Ruentex Development Co Ltd		3,299,023

Shares		Description	Value ($)
		Taiwan — continued
	260,000	Ruentex Industries Ltd		1,040,721
	13,000	Shin Zu Shing Co Ltd		49,699
	188,000	Shinkong Insurance Co Ltd		296,870
	119,000	Simplo Technology Co Ltd		1,353,113
	15,000	Sitronix Technology Corp		159,251
	17,000	Standard Foods Corp		32,006
	481,000	Syncmold Enterprise Corp		1,216,339
	35,400	Tah Hsin Industrial Corp		81,438
	794,000	Taiwan Cement Corp		1,386,316
	21,000	Taiwan PCB Techvest Co Ltd		34,870
	1,913,000	Taiwan Semiconductor Manufacturing Co Ltd		41,962,078
	62,650	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		7,455,976
	13,000	TCI Co Ltd		126,313
	582,733	TOPBI International Holdings Ltd		292,120
	483,000	Transcend Information Inc		1,207,177
	317,000	Tripod Technology Corp		1,307,995
	694,000	Uni-President Enterprises Corp		1,808,767
	200,681	United Integrated Services Co Ltd		1,438,118
	242,000	Universal Inc		447,176
	408,000	Youngtek Electronics Corp		1,284,258
	10,000	Yulon Nissan Motor Co Ltd		91,590
		Total Taiwan		259,483,439
		Thailand — 0.2%
	3,561,900	AP Thailand Pcl NVDR		927,616
	149,600	CP ALL Pcl (Foreign Registered)		301,598
	130,400	CP ALL Pcl NVDR		262,890
	79,800	Kasikornbank Pcl (Foreign Registered)		303,800
	465,900	Kasikornbank Pcl NVDR		1,773,688
	58,300	Land & Houses Pcl NVDR		14,729
	363,200	Pruksa Holding Pcl (Foreign Registered)		148,694
	1,409,500	Pruksa Holding Pcl NVDR		577,050
	724,600	PTG Energy Pcl NVDR		410,902
	849,700	SC Asset Corp Pcl (Foreign Registered)		84,308
	194,600	Siam Cement Pcl NVDR (The)		2,594,289
	35,200	Siam Commercial Bank Pcl NVDR (The)		116,124
	207,800	Somboon Advance Technology Pcl NVDR		135,321
	110,200	SPCG Pcl NVDR		61,867
	850,225	Supalai Pcl (Foreign Registered)		546,281
	1,742,800	TMBThanachart Bank Pcl NVDR		57,764
		Total Thailand		8,316,921
		Turkey — 0.5%
	483,815	Akbank TAS		343,399
	619,389	Aksa Akrilik Kimya Sanayii AS		1,453,261
	2,033,057	Arcelik AS		7,862,056
	7,411,395	Dogan Sirketler Grubu Holding AS		2,291,306
	45,528	Dogus Otomotiv Servis ve Ticaret AS		153,701
	304,035	Enerjisa Enerji AS		405,956

See accompanying notes to the financial statements. 61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	3,425,656	Eregli Demir ve Celik Fabrikalari TAS		7,749,129
	140,998	Ford Otomotiv Sanayi AS		2,913,229
	202,430	Koza Altin Isletmeleri AS *		2,517,467
	1,279,388	Turkiye Is Bankasi AS – Class C		885,662
	311,285	Yapi ve Kredi Bankasi AS		98,659
		Total Turkey		26,673,825
		United Arab Emirates — 0.0%
	423,245	Dubai Islamic Bank PJSC		587,354
	728,290	Emaar Properties PJSC		831,088
		Total United Arab Emirates		1,418,442
		United Kingdom — 3.7%
	168,640	3i Group Plc		3,101,472
	200,821	Airtel Africa Plc		256,775
	33,728	Anglo American Plc		1,424,519
	956,726	Avast Plc		7,868,357
	715,709	Aviva Plc		3,977,992
	11,845	Bank of Georgia Group Plc *		271,999
	41,000	Barclays Plc Sponsored ADR		420,250
	891,165	Barratt Developments Plc		9,064,576
	72,184	Bellway Plc		3,498,318
	206,965	Berkeley Group Holdings Plc (The)		13,747,569
	76,700	BP Plc Sponsored ADR		1,876,082
	65,118	British American Tobacco Plc		2,442,795
	146,000	British American Tobacco Plc Sponsored ADR		5,502,740
	5,789,025	BT Group Plc *		13,532,448
	34,096	Central Asia Metals Plc		117,359
	261,917	Coca-Cola HBC AG *		9,480,061
	316,263	Compass Group Plc * (b)		6,533,978
	27,518	Computacenter Plc (b)		1,113,171
	9,199	Daily Mail & General Trust Plc – Class A (b)		139,959
	3,443	DCC Plc		292,669
	3,715	Electrocomponents Plc		54,364
	12,098	EMIS Group Plc		229,729
	65,695	Evraz Plc		534,377
	38,026	Ferguson Plc		5,496,210
	729,720	Ferrexpo Plc		3,824,574
	92,672	Frasers Group Plc *		853,094
	7,900	GlaxoSmithKline Plc Sponsored ADR		321,846
	31,612	Go-Ahead Group Plc (The) *		409,667
	19,354	Grafton Group Plc		371,921
	168,080	Halfords Group Plc		841,164
	125,387	IG Group Holdings Plc		1,614,648
	30,632	IMI Plc		768,144
	324,723	Indivior Plc *		868,061
	83,066	International Personal Finance Plc *		169,086
	101,092	Investec Plc		425,254
	1,467,553	ITV Plc * (b)		2,338,960
	138,791	JD Sports Fashion Plc		1,927,286
	7,057	Johnson Matthey Plc		285,306
	335,753	Just Group Plc *		430,875

Shares		Description	Value ($)
		United Kingdom — continued
	11,440	Keller Group Plc		157,256
	3,004,604	Kingfisher Plc		14,467,231
	1,458,134	Legal & General Group Plc		5,416,431
	4,269,872	M&G Plc		12,095,061
	1,142,447	Micro Focus International Plc (b)		6,987,074
	44,825	Morgan Sindall Group Plc		1,583,506
	184,839	National Grid Plc		2,390,748
	14,650	Next Plc		1,593,202
	21,125	Numis Corp Plc		108,808
	122,553	OSB Group Plc		859,778
	150,678	Paragon Banking Group Plc		1,164,496
	245,339	Persimmon Plc		9,929,223
	168,054	Pets at Home Group Plc		1,157,251
	179,271	Plus500 Ltd		3,685,524
	546,153	Premier Foods Plc		909,041
	76,705	QinetiQ Group Plc		364,417
	175,623	Reach Plc (b)		988,311
	247,079	Royal Dutch Shell Plc – B Shares		4,861,924
	695,919	Royal Mail Plc		4,739,729
	18,652	Schroders Plc		969,723
	28,866	Smiths Group Plc		572,903
	101,487	Spirent Communications Plc		415,648
	76,732	Stock Spirits Group Plc		415,226
	597,456	Tate & Lyle Plc		5,802,563
	1,631,689	Taylor Wimpey Plc		4,107,428
	66,690	Unilever Plc		3,713,292
	42,325	Vesuvius Plc		327,104
	551,885	WPP Plc (b)		7,482,925
		Total United Kingdom		203,693,478
		United States — 24.2%
	951,206	Aerojet Rocketdyne Holdings, Inc.		39,494,073
	49,500	Aflac, Inc.		2,805,660
	3,900	Akamai Technologies, Inc. * (b)		441,675
	86,800	Alliance Data Systems Corp. (b)		8,515,948
	143,300	Ally Financial, Inc.		7,580,570
	33,860	American Express Co.		5,619,406
	1	Analog Devices, Inc.		147
	19,400	Anthem, Inc.		7,277,522
	102,918	Apollo Investment Corp.		1,415,123
	33,839	Ares Capital Corp.		673,396
	79,300	Arrow Electronics, Inc. *		9,612,746
	268,900	AT&T, Inc.		7,373,237
	623,646	Athene Holding Ltd. – Class A *		41,765,573
	65,318	Barings BDC, Inc.		704,781
	88,600	Bed Bath & Beyond, Inc. *		2,440,044
	29,100	Best Buy Co., Inc.		3,390,441
	5,800	Bio-Rad Laboratories, Inc. – Class A *		4,667,956
	26,400	Biogen, Inc. *		8,947,224
	2,089	Booking Holdings, Inc. * (b)		4,804,011
	6,200	Booz Allen Hamilton Holding Corp.		507,842
	249,003	BorgWarner, Inc.		10,627,448
	78	Bristol-Myers Squibb Co.		5,215
	99,576	Bruin Blocker (d)		57,226

62 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	59,400	Capital One Financial Corp.		9,858,618
	49,200	Cardinal Health, Inc.		2,582,508
	170,100	Carrier Global Corp.		9,797,760
	96,900	CBRE Group, Inc. – Class A *		9,331,470
	115,800	Centene Corp. *		7,293,084
	1,999,484	Change Healthcare, Inc. *		43,648,736
	240,568	Chatham Lodging Trust (REIT) *		2,886,816
	34,850	Chevron Corp.		3,372,434
	41,600	Cigna Corp.		8,804,640
	155,721	Citigroup, Inc.		11,197,897
	165,293	Citizens Financial Group, Inc.		7,238,180
	76,824	Coca-Cola Co. (The)		4,325,959
	98,000	Cognizant Technology Solutions Corp. – Class A (b)		7,478,380
	130,278	Coherent, Inc. *		32,917,342
	172,400	Comcast Corp. – Class A (b)		10,461,232
	1,500	Consolidated Edison, Inc.		113,175
	164,200	Corteva, Inc.		7,219,874
	123,800	CVS Health Corp.		10,695,082
	25,853	Denbury, Inc. *		1,818,241
	30,300	Discover Financial Services		3,885,066
	13,300	Discovery, Inc. – Class A * (b)		383,572
	228,000	DISH Network Corp. – Class A * (b)		9,938,520
	98,700	DR Horton, Inc.		9,437,694
	86,100	eBay, Inc.		6,607,314
	71,409	EOG Resources, Inc.		4,821,536
	1,288,200	ESC NII Holdings, Inc. (d)		2,898,450
	126,800	Exelon Corp.		6,215,736
	33,200	Fidelity National Financial, Inc.		1,621,156
	74,909	Five9, Inc. * (b)		11,852,851
	85,422	Flagstar Bancorp, Inc.		4,224,972
	21,400	FleetCor Technologies, Inc. * (b)		5,634,192
	693,500	Ford Motor Co. *		9,036,305
	9,200	Fortune Brands Home & Security, Inc.		895,804
	105,500	Fox Corp. – Class A (b)		3,949,920
	374,836	Fox Corp. – Class B (b)		12,980,571
	28,700	Franklin Resources, Inc.		931,028
	47,549	Frontier Communications Parent, Inc. *		1,400,318
	171,300	General Motors Co. *		8,395,413
	118,400	Gilead Sciences, Inc.		8,617,152
	22,795	Global Payments, Inc. (b)		3,707,379
	17,000	Goldman Sachs Group, Inc. (The)		7,029,670
	40,178	Green Plains, Inc. *		1,410,248
	11,342	Gulfport Energy Operating Corp. *		758,326
	41,017	Hasbro, Inc.		4,032,381
	38,628	Hilton Worldwide Holdings, Inc. * (b)		4,823,092
	285,600	HP, Inc.		8,493,744
	46,400	IAC/InterActiveCorp * (b)		6,127,120
	550,193	IHS Markit Ltd.		66,353,276
	8,400	Incyte Corp. *		642,516
	163,200	Intel Corp.		8,822,592
	38,778	Intercontinental Exchange, Inc.		4,635,134
	69,000	International Business Machines Corp. (b)		9,683,460
	315,200	Invesco Ltd.		7,980,864
	46,600	Jazz Pharmaceuticals Plc *		6,137,686

Shares		Description	Value ($)
		United States — continued
	138,664	Kansas City Southern		38,918,825
	545,500	Kinder Morgan, Inc.		8,875,285
	150,900	Kohl’s Corp.		8,661,660
	133,700	Kraft Heinz Co. (The)		4,811,863
	201,200	Kroger Co. (The)		9,261,236
	30,000	Laboratory Corp. of America Holdings *		9,101,400
	67,883	Las Vegas Sands Corp. * (b)		3,028,261
	4,700	Lear Corp.		751,718
	51,100	Leidos Holdings, Inc.		5,013,421
	90,000	Lennar Corp. – Class A		9,657,900
	27,700	Liberty Broadband Corp. – Class C *		5,299,564
	142,900	Lincoln National Corp.		9,810,085
	134,000	LKQ Corp. *		7,060,460
	683,300	Lumen Technologies, Inc.		8,404,590
	116,359	Lyft, Inc. – Class A *		5,539,852
	95,000	LyondellBasell Industries NV – Class A		9,533,250
	63,800	Macquarie Infrastructure Corp.		2,542,430
	3,607	Markel Corp. *		4,581,792
	1,300	Masco Corp.		78,936
	14,148	Masonite International Corp. *		1,693,233
	18,600	Medical Properties Trust, Inc. (REIT)		380,928
	46,700	Merck & Co., Inc.		3,562,743
	160,500	MetLife, Inc.		9,951,000
	122,135	MGM Growth Properties LLC – Class A (REIT)		5,063,717
	109,100	Micron Technology, Inc. *		8,040,670
	22,700	Mohawk Industries, Inc. *		4,489,152
	176,200	Molson Coors Brewing Co. – Class B		8,374,786
	865,848	Nuance Communications, Inc. * (b)		47,664,932
	170	NVR, Inc. *		880,590
	10,200	Omnicom Group, Inc. (b)		746,844
	111,400	Oracle Corp. (b)		9,929,082
	24,000	PACCAR, Inc.		1,964,880
	400,760	Pershing Square Tontine Holdings Ltd. – Class A *		7,906,995
	194,711	PG&E Corp. *		1,785,500
	683,145	PNM Resources, Inc.		33,815,677
	701,310	PPD, Inc. *		32,477,666
	44,700	PPL Corp.		1,311,945
	31,800	Principal Financial Group, Inc.		2,124,558
	93,600	Prudential Financial, Inc.		9,910,368
	143,300	PulteGroup, Inc.		7,718,138
	55,500	Quest Diagnostics, Inc.		8,482,065
	576,700	Qurate Retail, Inc. – Series A		6,361,001
	57,128	Raytheon Technologies Corp.		4,842,169
	15,300	Regeneron Pharmaceuticals, Inc. *		10,303,020
	15,600	Resolute Forest Products Inc		191,036
	14,200	Resolute Forest Products, Inc.		173,950
	80,154	Retail Value, Inc. (REIT)		2,003,850
	14,240	Sanderson Farms, Inc.		2,798,160
	104,795	Sensata Technologies Holding Plc *		6,201,768
	114,350	Skillsoft Corp. *		1,106,908
	8,200	Snap-on, Inc.		1,844,590
	281,375	Southeastern Grocers, Inc. * (e)		6,190,250
	87,100	SS&C Technologies Holdings, Inc. (b)		6,589,986

See accompanying notes to the financial statements. 63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	199,000	Synchrony Financial		9,900,250
	1,507,100	Syncora Holdings Ltd. *		309,106
	4,600	Synopsys, Inc. *(b)		1,528,304
	54,030	Tempur Sealy International, Inc.		2,415,141
	101,500	Textron, Inc.		7,376,005
	1,888,723	The Oneida Group (e)		2,228,694
	160,204	TRU TAJ (e)		1,308,386
	5,869	TRU TAJ Liquidation Unit Trust (d)		58,690
	106,100	Tyson Foods, Inc. – Class A		8,330,972
	1,500	United Rentals, Inc. *		528,975
	61,400	Universal Health Services, Inc. – Class B		9,563,664
	107,466	US Bancorp		6,167,474
	1,007,255	VEREIT, Inc. (REIT)		50,896,595
	134,200	Verizon Communications, Inc.		7,381,000
	130,687	Verso Corp. – Class A		2,489,587
	63,980	VF Corp.		4,892,551
	187,600	ViacomCBS, Inc. – Class B (b)		7,776,020
	506,800	Viatris, Inc.		7,414,484
	121,100	VICI Properties, Inc. (REIT)		3,743,201
	48,300	VMware, Inc. – Class A * (b)		7,190,421
	84,739	W R Grace & Co.		5,901,224
	148,800	Walgreens Boots Alliance, Inc.		7,551,600
	133,158	Wells Fargo & Co.		6,085,321
	309,700	Western Union Co. (The) (b)		6,701,908
	110,700	Western Digital Corp. *		6,996,240
	107,060	Westmoreland Mining Holdings LLC (e)		535
	30,700	Whirlpool Corp.		6,800,971
	306,077	Willis Towers Watson Plc		67,557,315
	483,823	Xilinx, Inc.		75,278,021
		Total United States		1,346,321,090
		Vietnam — 0.0%
	86,100	Hoa Phat Group JSC		186,287
	43,700	Petrovietnam Fertilizer & Chemicals JSC		70,525
	40,100	PetroVietnam Gas JSC		157,242
	46,300	PetroVietnam Nhon Trach 2 Power JSC		41,847
	102,000	PetroVietnam Technical Services Corp		115,930
	62,500	Pha Lai Thermal Power JSC		67,872
	99,000	Vietnam Dairy Products JSC		379,738
	96,500	Vinh Hoan Corp		209,761
		Total Vietnam		1,229,202
		TOTAL COMMON STOCKS (COST $4,398,346,806)		4,691,970,729

Shares		Description	Value ($)
		PREFERRED STOCKS (f) — 1.2%
		Brazil — 0.2%
	1,037,700	Banco Bradesco SA		4,645,849
	453,725	Bradespar SA		5,541,257
	315,600	Petroleo Brasileiro SA		1,659,543
	33,100	Petroleo Brasileiro SA ADR		347,881
		Total Brazil		12,194,530
		Colombia — 0.0%
	5,809	Banco Davivienda SA		50,243
	1,417,796	Grupo Aval Acciones y Valores SA		421,297
		Total Colombia		471,540
		Germany — 0.2%
	65,347	Bayerische Motoren Werke AG		5,470,713
	10,261	Draegerwerk AG & Co KGaA		866,565
	1,294	Jungheinrich AG		69,883
	3,796	Villeroy & Boch AG		103,576
	12,043	Volkswagen AG		2,864,482
		Total Germany		9,375,219
		Russia — 0.3%
	15,222	Bashneft PJSC		222,952
	79,750	Nizhnekamskneftekhim PJSC		130,318
	27,591,600	Surgutneftegas PJSC		14,554,303
	168	Transneft PJSC		362,345
		Total Russia		15,269,918
		South Korea — 0.5%
	23,133	Hyundai Motor Co Ltd-Prf		2,039,757
	20,951	Hyundai Motor Co Ltd-2nd Prf		1,789,362
	37,422	LG Electronics Inc		2,248,727
	277,666	Samsung Electronics Co Ltd		16,928,315
	1,774	Samsung Electronics Co Ltd GDR (Registered)		2,674,577
		Total South Korea		25,680,738
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd		352,071
	216,277	CTBC Financial Holding Co Ltd		485,329
		Total Taiwan		837,400
		United States — 0.0%
	38	Gulfport Energy Operating Corp. (d)		180,500
	5,413	Murray Energy Corp. (d)		703,690
		Total United States		884,190
		TOTAL PREFERRED STOCKS (COST $53,944,531)		64,713,535

64 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (d)		552,100
	222,285	Contra Clementia Pharma CVR * (d)		300,085
	2,616,810	Media General, Inc. CVR*(d)		130,840
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		983,025
		INVESTMENT FUNDS — 0.5%
		United States — 0.5%
	3,128,309	Altaba, Inc. (d)		21,898,163
	101,866	iShares Core MSCI Emerging Markets ETF		6,528,592
		Total United States		28,426,755
		TOTAL INVESTMENT FUNDS (COST $26,005,268)		28,426,755
		DEBT OBLIGATIONS — 12.2%
		Brazil — 0.1%
		Corporate Debt — 0.1%
	2,307,000	Oi SA, PIK, 10.00%, due 07/27/25		2,259,707
		Canada — 0.0%
		Corporate Debt — 0.0%
	259,350	Air Canada Pass-Through Trust – Class A, 144A, 3.60%, due 09/15/28		265,378
	1,620,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		1,698,489
		Total Canada		1,963,867
		Israel — 0.1%
		Corporate Debt — 0.1%
	5,496,000	Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36		6,098,197
		Luxembourg — 0.1%
		Bank Loans — 0.1%
	2,460,000	Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, Variable Rate, 3 mo. LIBOR plus 2.50%, 3.50%, due 02/01/24 (d)		2,450,775
		Netherlands — 0.0%
		Corporate Debt — 0.0%
EUR	538,288	Evander Gold Mines Ltd, 10.00%, due 04/19/26 (e)		118,091

Par Value†		Description	Value ($)
		United States — 11.9%
		Asset-Backed Securities — 0.2%
	5,267,534	Alaska Airlines Pass-Through Trust, Series 20-1, Class B, 144A, 8.00%, due 02/15/27		5,928,807
	119,742	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 07/26/31		119,733
	40,448	Bayview Commercial Asset Trust, Series 07-5A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.08%, due 10/25/37		40,441
	7,063,382	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35 (g)		7
	4,013,589	JetBlue Pass-Through Trust, Series 20-1, Class B, 7.75%, due 05/15/30		4,727,824
	317,867	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 04/17/28		317,850
	150,980	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 0.88%, due 01/17/30		150,759
		Total Asset-Backed Securities		11,285,421
		Bank Loans — 0.4%
	2,762,947	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, 1 mo. LIBOR plus 13.00%, 14.00%, due 09/16/25 (d)		2,762,947
	1,921,007	Envision Healthcare Corp., 2018 1st Lien Term Loan, 3.75%, due 10/10/25 (d)		1,690,486
	2,460,000	Frontier Communications Corp., 2021 DIP Term Loan B, 4.50%, due 05/01/28 (d)		2,455,400
	4,015,517	Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 8.25%, 9.25%, due 04/29/25 (d)		4,020,536
	10,625,996	SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, 3.50%, due 08/12/28 (d)		10,533,019
	3,293,865	Serta Simmons Bedding, LLC, 2020 Super Priority Second Out Term Loan, Variable Rate, 1 mo. LIBOR plus 7.50%1 mo. LIBOR plus 7.50%, 8.50%, due 08/10/23 (d)		3,137,406
		Total Bank Loans		24,599,794
		Corporate Debt — 2.6%
	1,451,035	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,442,718
	2,155,069	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		2,118,461

See accompanying notes to the financial statements. 65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	5,206,815	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		5,093,726
	2,289,941	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		2,263,019
	2,073,575	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		2,038,023
	3,097,872	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		3,053,089
	4,124,354	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		3,984,578
	3,092,903	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,997,820
	2,755,570	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,639,922
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,187,025
	944,000	Boeing Co. (The), 5.81%, due 05/01/50		1,282,146
	5,927,000	Boeing Co. (The), 5.93%, due 05/01/60		8,238,130
	6,270,000	Carnival Corp, 144A, 7.63%, due 03/01/26		6,662,533
	4,280,000	Carnival Corp, 144A, 5.75%, due 03/01/27		4,375,572
	3,579,000	Carnival Corp, 6.65%, due 01/15/28		3,854,440
	3,615,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		3,582,194
	6,700,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28		7,260,924
	2,514,000	Cooper-Standard Automotive, Inc., 144A, 5.63%, due 11/15/26		2,114,903
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		797,606
	6,070,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		6,434,200
	1,610,000	Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A, 9.50%, due 07/31/27		1,581,825
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,909,500
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,668,297
	3,133,000	Envision Healthcare Corp., 144A, 8.75%, due 10/15/26		2,647,385
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (d) (g)		56,000
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,450,550
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		310,300
	2,690,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		3,039,700
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		336,097

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 12/31/99		922,350
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		4,302,600
	2,241,534	Hawaiian Airlines Pass-Through Certificates – Class A, 144A, 7.38%, due 09/15/27		2,539,875
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,575,102
	4,673,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		4,743,095
	8,000,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		8,040,000
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,526,700
	1,300,000	Redfin Corp., Zero Coupon, 144A, due 10/15/25		1,278,576
	6,996,000	Royal Caribbean Cruises Ltd, 7.50%, due 10/15/27		8,122,636
	6,020,000	Royal Caribbean Cruises Ltd, 3.70%, due 03/15/28		5,695,251
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,208,069
	206,073	Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/29		216,133
	4,442,175	Spirit Airlines Pass-Through Trust, 3.65%, due 08/15/31		4,376,206
	2,180,000	Travel + Leisure Co., 144A, 6.63%, due 07/31/26		2,483,238
	1,620,000	Triumph Group, Inc., 144A, 6.25%, due 09/15/24		1,638,063
	1,300,000	Uber Technologies, Inc., 144A, 8.00%, due 11/01/26		1,384,500
	7,689,600	Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 144A, REIT, 6.50%, due 02/15/29		8,013,947
	278,000	XHR LP, 144A, REIT, 4.88%, due 06/01/29		286,340
		Total Corporate Debt		145,773,364
		U.S. Government — 8.7%
	33,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		32,994,844
	415,000,000	U.S. Treasury Note, 0.13%, due 02/28/23 (b)		414,837,893
	35,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		34,982,226
		Total U.S. Government		482,814,963
		Total United States		664,473,542
		TOTAL DEBT OBLIGATIONS (COST $669,439,391)		677,364,179

66 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.2%
		United States — 0.2%
		Affiliated Issuers — 0.2%
	2,300,903	GMO U.S. Treasury Fund (h)		11,596,552
		TOTAL MUTUAL FUNDS (COST $11,580,814)		11,596,552
		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.4%
	23,630,079	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (i)		23,630,079
	49,922	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (j)		49,922
		Total Money Market Funds		23,680,001

Par Value†		Description	Value ($)
		U.S. Government — 0.3%
	1,130,000	U.S. Treasury Bill, 0.06%, due 05/19/22 (j) (k)		1,129,551
	2,450,000	U.S. Treasury Bill, 0.06%, due 06/16/22 (j) (k)		2,448,765
	10,520,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (b) (j) (k)		10,514,182
	2,300,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (j) (k)		2,298,462
		Total U.S. Government		16,390,960
		TOTAL SHORT-TERM INVESTMENTS (COST $40,070,658)		40,070,961

PURCHASED OPTIONS — 0.0%

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options — Puts — 0.0%
Canadian National Railway Co. (l)	100.00		10/15/21		1,653		USD	19,444,239		140,505
Canadian Pacific Railway Ltd.	72.00		09/17/21		1,524		USD	10,483,596		594,360

TOTAL PURCHASED OPTIONS (COST $1,069,428)	734,865
TOTAL INVESTMENTS — 99.1% (Cost $5,201,640,797)	5,515,860,601

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (26.9)%
			Common Stocks — (26.7)%
			Australia — (0.6)%
	(91,981	)	Afterpay Ltd *		(8,946,937	)
	(1,114,362	)	APA Group		(7,461,846	)
	(58,074	)	ASX Ltd		(3,716,857	)
	(21,504	)	Cochlear Ltd		(3,652,594	)
	(188,676	)	Qantas Airways Ltd *		(698,611	)
	(1,530,906	)	Sydney Airport *		(8,887,135	)
			Total Australia		(33,363,980	)
			Austria — (0.2)%
	(99,621	)	Verbund AG		(10,912,769	)
			Belgium — (0.0)%
	(16,081	)	Galapagos NV *		(951,192	)

Shares			Description	Value ($)
			Common Stocks — continued
			Canada — (0.2)%
	(97,200	)	AltaGas Ltd		(1,946,850	)
	(85,166	)	Canadian National Railway Co. (l)		(10,018,077	)
			Total Canada		(11,964,927	)
			Denmark — (0.1)%
	(130,028	)	Ambu A/S – Class B		(4,112,264	)
			France — (0.8)%
	(173,387	)	Accor SA *		(5,979,158	)
	(43,835	)	Aeroports de Paris *		(5,162,209	)
	(6,865	)	Eurazeo SE		(706,217	)
	(574,587	)	Getlink SE		(9,255,727	)
	(6,061	)	Hermes International		(8,920,630	)
	(5,411	)	Sartorius Stedim Biotech		(3,282,143	)
	(85,064	)	Ubisoft Entertainment SA *		(5,403,429	)
	(26,402	)	Wendel SE		(3,831,344	)
	(2,013	)	Worldline SA *		(179,243	)
			Total France		(42,720,100	)

See accompanying notes to the financial statements. 67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Germany — (0.9)%
	(61,353	)	Delivery Hero SE *		(8,904,206	)
	(3,142	)	MTU Aero Engines AG		(721,079	)
	(73,648	)	Puma SE		(8,941,955	)
	(64,143	)	QIAGEN NV *		(3,548,513	)
	(55,612	)	RWE AG		(2,171,523	)
	(16,245	)	Scout24 AG		(1,365,768	)
	(3,322,667	)	Telefonica Deutschland Holding AG		(9,327,136	)
	(149,755	)	Uniper SE		(5,945,675	)
	(81,444	)	Zalando SE *		(9,030,086	)
			Total Germany		(49,955,941	)
			Israel — (0.2)%
	(17,800	)	CyberArk Software Ltd *		(2,989,332	)
	(26,700	)	Wix.com Ltd *		(5,929,536	)
			Total Israel		(8,918,868	)
			Italy — (0.5)%
	(65,484	)	Amplifon SPA		(3,425,296	)
	(260,787	)	Atlantia SPA *		(4,884,970	)
	(41,857	)	Ferrari NV		(9,079,644	)
	(508,092	)	FinecoBank Banca Fineco SPA *		(9,360,101	)
	(143,581	)	Infrastrutture Wireless Italiane SPA		(1,708,242	)
			Total Italy		(28,458,253	)
			Japan — (2.3)%
	(395,000	)	Acom Co Ltd		(1,526,610	)
	(77,800	)	ANA Holdings Inc *		(1,844,223	)
	(251,700	)	Asahi Intecc Co Ltd		(7,615,483	)
	(68,500	)	GMO Payment Gateway Inc		(8,987,111	)
	(26,700	)	Harmonic Drive Systems Inc		(1,474,212	)
	(272,800	)	Hitachi Metals Ltd *		(5,265,899	)
	(8,200	)	Ibiden Co Ltd		(441,212	)
	(435,100	)	Isetan Mitsukoshi Holdings Ltd		(2,913,982	)
	(74,500	)	Japan Airlines Co Ltd *		(1,587,199	)
	(102,200	)	Japan Airport Terminal Co Ltd *		(4,639,554	)
	(141,200	)	Japan Exchange Group Inc		(3,362,743	)
	(1,088	)	Japan Real Estate Investment Corp (REIT)		(6,723,981	)
	(284,600	)	JGC Holding Corp		(2,387,462	)
	(302,700	)	Keikyu Corp		(3,689,759	)
	(12,600	)	Keio Corp		(678,002	)
	(61,000	)	Kintetsu Group Holdings Co Ltd *		(2,083,529	)
	(40,700	)	Lasertec Corp		(8,852,620	)
	(73,300	)	Lion Corp		(1,247,264	)
	(207,800	)	LIXIL Corp		(6,047,336	)
	(110,000	)	M3 Inc		(7,377,421	)
	(1,100	)	McDonald’s Holdings Co Japan Ltd		(52,469	)
	(117,400	)	Mercari Inc *		(5,792,801	)
	(27,700	)	Mizuho Financial Group Inc		(388,128	)
	(341,800	)	MonotaRO Co Ltd		(7,575,246	)
	(9,000	)	Nidec Corp		(1,028,058	)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(281,500	)	Nihon M&A Center Inc		(8,394,362	)
	(393,500	)	Nippon Paint Holdings Co Ltd		(4,886,958	)
	(74,900	)	Nissin Foods Holdings Co Ltd		(5,830,864	)
	(207,900	)	Odakyu Electric Railway Co Ltd		(4,844,001	)
	(45,800	)	ORIENTAL LAND CO LTD		(6,929,347	)
	(38,700	)	Shiseido Co Ltd		(2,565,001	)
	(10,800	)	Tobu Railway Co Ltd		(281,572	)
	(33,400	)	Tokyu Corp		(459,273	)
	(18,000	)	West Japan Railway Co		(983,100	)
	(36,700	)	Yaskawa Electric Corp		(1,791,294	)
			Total Japan		(130,548,076	)
			Netherlands — (0.4)%
	(3,428	)	Adyen NV *		(11,079,552	)
	(18,782	)	Heineken Holding NV		(1,742,250	)
	(79,053	)	Just Eat Takeaway.com NV *		(7,162,706	)
			Total Netherlands		(19,984,508	)
			New Zealand — (0.0)%
	(18,881	)	Xero Ltd *		(2,088,301	)
			Norway — (0.0)%
	(24,518	)	Schibsted ASA – B Shares		(1,139,193	)
	(26,008	)	Schibsted ASA – Class A		(1,387,561	)
			Total Norway		(2,526,754	)
			Russia — (0.0)%
	(22,914	)	Magnit PJSC Sponsored GDR (Registered)		(348,769	)
			Singapore — (0.2)%
	(234,800	)	Singapore Airlines Ltd *		(880,226	)
	(1,109,300	)	Singapore Exchange Ltd		(8,141,998	)
			Total Singapore		(9,022,224	)
			Spain — (0.5)%
	(140,703	)	Cellnex Telecom SA		(9,630,875	)
	(323,432	)	Ferrovial SA		(9,366,429	)
	(232,208	)	Siemens Gamesa Renewable Energy SA		(6,885,306	)
			Total Spain		(25,882,610	)
			Sweden — (0.2)%
	(149,451	)	Embracer Group AB *		(3,402,076	)
	(54,975	)	Evolution AB		(8,875,842	)
	(60,120	)	Sinch AB *		(1,351,587	)
			Total Sweden		(13,629,505	)

68 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Switzerland — (0.4)%
	(10	)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(1,221,394	)
	(5,411	)	Partners Group Holding AG		(9,593,723	)
	(4,969	)	Straumann Holding AG (Registered)		(9,601,305	)
			Total Switzerland		(20,416,422	)
			United Kingdom — (1.6)%
	(137,554	)	Admiral Group Plc		(6,834,529	)
	(242,410	)	Antofagasta Plc		(4,855,921	)
	(64	)	AstraZeneca Plc Sponsored ADR		(3,730	)
	(1,017,233	)	Auto Trader Group Plc		(8,796,641	)
	(1,439,535	)	ConvaTec Group Plc		(4,460,737	)
	(348,082	)	Entain Plc *		(9,250,567	)
	(98,523	)	Halma Plc		(4,068,585	)
	(412,986	)	Hargreaves Lansdown Plc		(8,576,724	)
	(1,231,734	)	Informa Plc *		(9,001,577	)
	(439,307	)	Land Securities Group Plc (REIT)		(4,290,560	)
	(76,453	)	London Stock Exchange Group Plc		(8,374,958	)
	(160,138	)	Melrose Industries Plc		(369,771	)
	(265,499	)	Ocado Group Plc *		(7,358,365	)
	(4,924,526	)	Rolls-Royce Holdings Plc *		(7,766,085	)
	(16,966	)	Spirax-Sarco Engineering Plc		(3,762,303	)
			Total United Kingdom		(87,771,053	)
			United States — (17.6)%
	(833,821	)	Advanced Micro Devices, Inc. *		(92,320,661	)
	(250,700	)	AES Corp. (The)		(5,984,209	)
	(41,800	)	Airbnb, Inc. – Class A *		(6,478,582	)
	(34,800	)	American Tower Corp. (REIT)		(10,167,516	)
	(1	)	Analog Devices, Inc.		(163	)
	(330,342	)	Aon Plc – Class A		(94,761,906	)
	(556,629	)	Apollo Global Management, Inc.		(33,275,282	)
	(81,000	)	Aramark		(2,817,990	)
	(46,300	)	Arthur J Gallagher & Co.		(6,649,606	)
	(29,400	)	Autodesk, Inc. *		(9,116,646	)
	(56,800	)	Avalara, Inc. *		(10,206,960	)
	(1,400	)	Bio-Techne Corp.		(698,796	)
	(29,100	)	BioMarin Pharmaceutical, Inc. *		(2,450,511	)
	(33,000	)	Boeing Co. (The) *		(7,243,500	)
	(28,100	)	Burlington Stores, Inc. *		(8,415,669	)
	(69,800	)	Caesars Entertainment, Inc. *		(7,093,774	)
	(27,000	)	Carvana Co. *		(8,857,620	)
	(50,000	)	Catalent, Inc. *		(6,522,000	)
	(64,400	)	Ceridian HCM Holding, Inc. *		(7,235,340	)
	(6,500	)	Charter Communications, Inc. – Class A *		(5,308,290	)
	(5,100	)	Chipotle Mexican Grill, Inc. *		(9,706,983	)
	(122,100	)	Clarivate Plc *		(3,075,699	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(69,400	)	Cloudflare, Inc. – Class A *		(8,379,356	)
	(29,900	)	CME Group, Inc.		(6,031,428	)
	(56,500	)	Cognex Corp.		(5,007,030	)
	(5,400	)	CoStar Group, Inc. *		(457,596	)
	(32,700	)	Coupa Software, Inc. *		(8,005,287	)
	(46,800	)	Crown Castle International Corp. (REIT)		(9,111,492	)
	(156,000	)	Delta Air Lines, Inc. *		(6,308,640	)
	(18,300	)	Dexcom, Inc. *		(9,688,386	)
	(31,400	)	DocuSign, Inc. *		(9,301,936	)
	(135,600	)	DraftKings Inc. – Class A *		(8,039,724	)
	(38,000	)	Dynatrace, Inc. *		(2,611,740	)
	(13,200	)	Equifax, Inc.		(3,593,832	)
	(11,600	)	Equinix, Inc. (REIT)		(9,784,020	)
	(111,700	)	Equity LifeStyle Properties, Inc. (REIT)		(9,502,319	)
	(4,700	)	Erie Indemnity Co. – Class A		(832,323	)
	(73,400	)	Exact Sciences Corp. *		(7,661,492	)
	(43,400	)	Expedia Group, Inc. *		(6,271,300	)
	(2,000	)	First Republic Bank		(397,880	)
	(155,323	)	Fox Corp. – Class A		(5,815,293	)
	(7,000	)	Gartner, Inc. *		(2,161,180	)
	(79,300	)	Guidewire Software, Inc. *		(9,393,878	)
	(34,500	)	Hess Corp.		(2,371,875	)
	(377,100	)	Host Hotels & Resorts, Inc. (REIT) *		(6,244,776	)
	(14,400	)	HubSpot, Inc. *		(9,856,368	)
	(13,900	)	IDEXX Laboratories, Inc. *		(9,365,264	)
	(118,553	)	II-VI, Inc. *		(7,466,468	)
	(49,600	)	Ingersoll Rand, Inc. *		(2,629,792	)
	(33,600	)	Insulet Corp. *		(10,006,416	)
	(21,200	)	Ionis Pharmaceuticals, Inc. *		(842,912	)
	(38,500	)	IQVIA Holdings, Inc. *		(9,999,605	)
	(85,400	)	Iron Mountain, Inc. (REIT)		(4,077,850	)
	(15,000	)	KKR & Co., Inc.		(964,350	)
	(121,100	)	Lamb Weston Holdings, Inc.		(7,889,665	)
	(25,400	)	Liberty Broadband Corp. – Class A *		(4,718,558	)
	(14,600	)	Liberty Broadband Corp. – Class C *		(2,793,272	)
	(199,300	)	Liberty Media Corp-Liberty Formula One – Class C *		(10,072,622	)
	(26,900	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(1,331,550	)
	(31,000	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(1,529,850	)
	(11,300	)	Linde Plc		(3,554,867	)
	(112,100	)	Live Nation Entertainment, Inc. *		(9,719,070	)
	(17,400	)	MarketAxess Holdings, Inc.		(8,281,008	)
	(13,700	)	Marriott International, Inc. – Class A *		(1,851,418	)
	(13	)	Marvell Technology, Inc.		(796	)
	(98,100	)	MGM Resorts International		(4,181,022	)
	(25,000	)	MongoDB, Inc. *		(9,795,750	)
	(12,400	)	Monolithic Power Systems, Inc.		(6,137,132	)

See accompanying notes to the financial statements. 69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(15,300	)	MSCI, Inc.		(9,709,074	)
	(342,978	)	New York Community Bancorp, Inc.		(4,294,085	)
	(52,000	)	NiSource, Inc.		(1,281,800	)
	(28,894	)	NortonLifeLock, Inc.		(767,425	)
	(50,000	)	Novocure Ltd. *		(6,710,500	)
	(46,300	)	Oak Street Health, Inc. *		(2,163,599	)
	(83,300	)	Occidental Petroleum Corp.		(2,139,977	)
	(37,600	)	Okta, Inc. *		(9,911,360	)
	(50,000	)	Palantir Technologies, Inc. – Class A *		(1,317,000	)
	(18,000	)	Paycom Software, Inc. *		(8,800,200	)
	(49,000	)	Peloton Interactive, Inc. – Class A *		(4,909,310	)
	(15,000	)	Public Storage (REIT)		(4,854,150	)
	(710,115	)	Realty Income Corp. (REIT)		(51,284,505	)
	(27,300	)	RingCentral, Inc. – Class A *		(6,886,698	)
	(23,600	)	Roku, Inc. *		(8,316,640	)
	(101,250	)	Rollins, Inc.		(3,940,650	)
	(88,300	)	Royal Caribbean Cruises Ltd. *		(7,305,059	)
	(156,145	)	S&P Global, Inc.		(69,300,274	)
	(14	)	salesforce.com, Inc. *		(3,714	)
	(93,700	)	Sarepta Therapeutics, Inc. *		(7,319,844	)
	(6,300	)	Seagen, Inc. *		(1,055,880	)
	(16,500	)	ServiceNow, Inc. *		(10,620,060	)
	(61,400	)	Simon Property Group, Inc. (REIT)		(8,255,230	)
	(125,100	)	Snap, Inc. – Class A *		(9,521,361	)
	(29,300	)	Snowflake, Inc. – Class A *		(8,917,455	)
	(56,900	)	Southwest Airlines Co. *		(2,832,482	)
	(44,000	)	Square, Inc. – Class A *		(11,795,080	)
	(44,600	)	Starbucks Corp.		(5,240,054	)
	(2,000	)	Sun Communities, Inc. (REIT)		(402,980	)
	(3,800	)	T-Mobile US, Inc. *		(520,676	)
	(46,900	)	Teladoc Health, Inc. *		(6,773,298	)
	(110	)	Teledyne Technologies, Inc. *		(50,972	)
	(13,700	)	Tesla, Inc. *		(10,079,364	)
	(8,000	)	Trade Desk, Inc. (The) – Class A *		(640,400	)
	(25,900	)	Twilio, Inc. – Class A *		(9,245,264	)
	(98,300	)	Twitter, Inc. *		(6,340,350	)
	(156,600	)	Uber Technologies, Inc. *		(6,129,324	)
	(170,000	)	UDR, Inc. (REIT)		(9,183,400	)
	(28,200	)	Vail Resorts, Inc. *		(8,596,770	)
	(80,800	)	Vistra Corp.		(1,542,472	)
	(13,500	)	Wayfair, Inc. – Class A *		(3,790,125	)
	(342,400	)	Williams Cos, Inc. (The)		(8,453,856	)
	(50,400	)	Zendesk, Inc. *		(6,229,440	)
	(18,400	)	Zillow Group, Inc. – Class A *		(1,759,040	)
	(72,949	)	Zillow Group, Inc. – Class C *		(6,986,326	)
	(41,497	)	Zoom Video Communications, Inc. – Class A *		(12,013,382	)
	(38,000	)	Zscaler, Inc. *		(10,576,920	)
			Total United States		(981,193,916	)
			TOTAL COMMON STOCKS (PROCEEDS $1,288,513,386)		(1,484,770,432	)

Shares			Description	Value ($)
			PREFERRED STOCKS (f) — (0.2)%
			Germany — (0.2)%
	(12,124	)	Sartorius AG		(7,987,445	)
			TOTAL PREFERRED STOCKS (PROCEEDS $5,270,612)		(7,987,445	)
			INVESTMENT FUNDS — (0.0)%
			United States — (0.0)%
	(7,539	)	SPDR S&P Oil & Gas Exploration & Production ETF		(620,663	)
			TOTAL INVESTMENT FUNDS (PROCEEDS $612,199)		(620,663	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,294,396,197)		(1,493,378,540	)
			Other Assets and Liabilities (net) — 27.8%		1,545,159,888
			TOTAL NET ASSETS — 100.0%		$5,567,641,949

70 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
10/18/2021	DB	AUD	58,436,701		USD	43,062,881		302,632
10/18/2021	MSCI	AUD	3,732,308		USD	2,720,718		(10,347	)
10/21/2021	GS	AUD	40,305,000		USD	29,589,956		96,897
11/09/2021	JPM	AUD	44,390,000		USD	32,727,991		243,014
11/09/2021	MSCI	AUD	158,690,050		USD	117,492,843		1,362,127
09/02/2021	GS	BRL	4,406,554		USD	860,000		7,800
09/02/2021	MSCI	BRL	21,001,571		USD	3,927,656		(133,915	)
12/02/2021	MSCI	BRL	3,986,370		USD	747,393		(12,748	)
09/09/2021	GS	CAD	1,454,312		USD	1,148,751		(3,936	)
09/09/2021	JPM	CAD	3,256,156		USD	2,605,604		24,778
09/09/2021	UBSA	CAD	20,744,136		USD	16,535,729		93,944
11/03/2021	JPM	CAD	47,679,968		USD	37,490,000		(298,041	)
11/12/2021	BOA	CAD	14,360,779		USD	11,476,737		95,480
11/12/2021	JPM	CAD	17,695,220		USD	14,136,125		112,245
11/12/2021	MSCI	CAD	625,847		USD	495,147		(851	)
09/07/2021	BCLY	CHF	8,670,385		USD	9,386,062		(83,190	)
09/07/2021	GS	CHF	1,106,997		USD	1,223,480		14,487
10/13/2021	MSCI	CHF	156,181,896		USD	171,028,542		302,751
11/18/2021	MSCI	CLP	1,895,246,500		USD	2,415,865		(25,241	)
10/26/2021	JPM	COP	4,866,415,000		USD	1,253,439		(34,048	)
10/26/2021	MSCI	COP	33,975,170,000		USD	8,680,000		(308,668	)
10/18/2021	GS	CZK	32,631,414		USD	1,510,000		(4,708	)
10/18/2021	MSCI	CZK	16,049,427		USD	742,886		(2,108	)
09/07/2021	JPM	EUR	972,555		USD	1,141,973		(6,476	)
09/30/2021	JPM	EUR	8,040,000		USD	9,457,299		(41,192	)
10/21/2021	DB	EUR	121,855,867		USD	143,894,969		(124,215	)
10/21/2021	MSCI	EUR	82,362,991		USD	97,247,753		(95,533	)
10/13/2021	BCLY	GBP	18,480,000		USD	25,764,871		355,136
10/13/2021	JPM	GBP	7,500,000		USD	10,389,622		77,230
10/21/2021	MSCI	GBP	36,689,700		USD	50,279,565		(168,752	)
10/21/2021	UBSA	GBP	1,338,553		USD	1,839,244		(1,266	)
10/21/2021	GS	HKD	139,242,600		USD	17,925,397		19,920
09/14/2021	BCLY	HUF	587,807,222		USD	2,065,852		77,839
09/14/2021	CITI	HUF	981,987,054		USD	3,340,000		18,839
09/14/2021	DB	HUF	3,021,632,281		USD	10,030,000		(189,411	)
09/13/2021	JPM	INR	148,412,880		USD	1,992,761		(38,248	)
09/07/2021	JPM	JPY	1,368,752,229		USD	12,466,227		24,277
09/07/2021	MSCI	JPY	332,652,113		USD	3,017,532		(6,274	)
09/07/2021	UBSA	JPY	1,165,454,532		USD	10,615,837		21,862
09/09/2021	JPM	JPY	1,748,369,070		USD	15,870,000		(22,892	)
10/21/2021	SSB	JPY	10,103,461,100		USD	92,249,405		375,131
11/12/2021	CITI	KRW	5,145,584,900		USD	4,400,000		(36,933	)
11/12/2021	MSCI	KRW	9,348,629,235		USD	8,145,960		84,828
10/21/2021	BOA	MXN	45,747,415		USD	2,230,000		(32,963	)
10/05/2021	MSCI	NZD	208,420,000		USD	146,015,926		(846,176	)
10/18/2021	UBSA	NZD	11,287,887		USD	7,934,831		(18,362	)
09/16/2021	JPM	PHP	292,090,365		USD	5,795,214		(85,458	)
10/29/2021	JPM	RON	63,304,553		USD	15,055,665		(52,410	)
10/15/2021	JPM	SGD	7,537,175		USD	5,565,777		(39,913	)
10/18/2021	MSCI	THB	484,621,222		USD	14,820,221		(212,661	)
10/18/2021	JPM	USD	7,560,358		AUD	10,451,419		87,324
10/21/2021	BOA	USD	7,043,598		AUD	9,577,200		(35,511	)
10/21/2021	DB	USD	934,111		AUD	1,271,300		(3,841	)
10/21/2021	SSB	USD	7,475,081		AUD	10,130,800		(61,899	)
09/02/2021	CITI	USD	1,598,209		BRL	8,054,567		(40,506	)
09/02/2021	GS	USD	1,361,262		BRL	6,943,114		(18,507	)
09/02/2021	JPM	USD	400,000		BRL	2,017,520		(9,824	)
09/02/2021	MSCI	USD	15,268,704		BRL	81,643,285		520,591

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Apprecia- tion (Deprecia- tion) ($)
12/02/2021	MSCI	USD	11,952,857		BRL	63,752,955		203,877
11/03/2021	JPM	USD	160,285,867		CAD	199,250,560		(2,372,834	)
11/12/2021	GS	USD	527,416		CAD	676,477		8,708
09/07/2021	UBSA	USD	166,410		CHF	152,560		207
11/18/2021	MSCI	USD	2,403,701		CLP	1,895,246,500		37,405
09/07/2021	JPM	USD	10,234,346		EUR	8,596,751		(82,807	)
09/07/2021	UBSA	USD	48,514,719		EUR	40,875,811		(246,206	)
09/21/2021	SSB	USD	20,600,550		EUR	17,428,332		(14,407	)
09/30/2021	BOA	USD	7,628,514		EUR	6,480,000		26,987
09/30/2021	DB	USD	57,395,551		EUR	48,091,000		(580,631	)
09/30/2021	JPM	USD	10,007,601		EUR	8,530,000		69,779
10/18/2021	UBSA	USD	2,695,986		EUR	2,294,728		15,956
10/21/2021	JPM	USD	105,153,449		EUR	88,949,800		(25,335	)
10/21/2021	SSB	USD	26,765,249		EUR	22,671,700		30,012
10/21/2021	UBSA	USD	1,865,538		EUR	1,579,600		1,362
10/13/2021	JPM	USD	14,795,914		GBP	10,830,000		95,181
10/13/2021	MSCI	USD	110,576,580		GBP	79,962,700		(629,014	)
10/21/2021	GS	USD	14,309,514		GBP	10,350,200		(77,994	)
10/21/2021	JPM	USD	2,052,642		GBP	1,480,600		(16,817	)
10/21/2021	SSB	USD	14,760,337		GBP	10,707,600		(37,393	)
10/21/2021	CITI	USD	627,277		HKD	4,881,000		381
10/21/2021	GS	USD	5,231,029		HKD	40,702,900		3,036
10/21/2021	SSB	USD	5,641,766		HKD	43,867,400		(772	)
09/14/2021	CITI	USD	2,920,000		HUF	871,031,328		25,900
09/14/2021	DB	USD	2,510,000		HUF	749,234,498		23,973
11/08/2021	CITI	USD	2,220,000		IDR	32,169,798,000		28,284
11/08/2021	JPM	USD	12,748,617		IDR	184,153,779,400		121,529
10/29/2021	BOA	USD	3,000,000		ILS	9,670,395		15,947
09/07/2021	UBSA	USD	30,293,902		JPY	3,378,603,193		417,581
09/09/2021	JPM	USD	106,759,117		JPY	11,649,608,191		(862,733	)
10/06/2021	BCLY	USD	6,365,156		JPY	704,829,639		43,375
10/06/2021	JPM	USD	28,949,321		JPY	3,224,781,587		371,398
10/06/2021	MSCI	USD	3,609,832		JPY	396,097,435		(8,391	)
10/06/2021	UBSA	USD	2,984,253		JPY	330,287,028		18,819
10/21/2021	BOA	USD	31,619,395		JPY	3,485,837,000		78,530
10/21/2021	JPM	USD	26,537,001		JPY	2,914,988,700		(29,998	)
10/21/2021	MSCI	USD	14,901,108		MXN	300,921,913		(15,565	)
09/14/2021	BCLY	USD	27,224,223		NOK	225,802,470		(1,252,004	)
09/14/2021	JPM	USD	55,690,000		NOK	488,024,103		443,437
10/05/2021	BCLY	USD	14,882,581		NZD	21,040,000		(56,851	)
10/05/2021	JPM	USD	10,088,188		NZD	14,380,000		44,606
11/18/2021	JPM	USD	4,480,741		PEN	18,251,850		(23,820	)
11/18/2021	MSCI	USD	2,050,000		PEN	8,343,500		(12,600	)
09/16/2021	JPM	USD	3,280,000		PHP	166,243,440		66,989
11/18/2021	MSCI	USD	903,188		PLN	3,510,827		13,502
11/10/2021	CITI	USD	14,511,010		RUB	1,082,942,154		129,213
11/05/2021	MSCI	USD	152,250,879		SEK	1,307,405,702		(677,398	)
10/15/2021	BOA	USD	2,060,000		SGD	2,797,472		20,588
10/15/2021	DB	USD	1,975,968		SGD	2,684,058		20,270
10/15/2021	GS	USD	1,520,000		SGD	2,055,645		8,863
10/18/2021	CITI	USD	5,990,000		THB	200,185,088		219,713
10/25/2021	BCLY	USD	9,510,000		TRY	86,812,451		646,899
10/25/2021	GS	USD	2,340,000		TRY	20,940,315		109,979
10/29/2021	JPM	USD	14,354,292		ZAR	215,378,980		362,176
10/29/2021	CITI	ZAR	46,875,317		USD	3,060,000		(142,908	)
							$	(2,229,908	)

See accompanying notes to the financial statements. 71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/ Net Unrealized Apprecia- tion (Deprecia -tion) ($)
Buys
247	Australian Government Bond 10 Yr.	September 2021		26,346,630		928,246
421	CAC40 10 Euro	September 2021		33,227,341		(414,765	)
171	Canadian Government Bond 10 Yr.	December 2021		19,805,992		1,083
500	Corn (j)	December 2021		13,356,250		(552,011	)
88	DAX Index	September 2021		41,022,353		74,721
344	FTSE 100 Index	September 2021		33,568,435		17,793
15	Hang Seng Index	September 2021		2,482,254		15,064
141	MSCI Singapore	September 2021		3,678,568		(71,470	)
22	S&P/TSX 60	September 2021		4,289,272		122,965
168	Silver (j)	December 2021		20,165,040		227,827
251	Soybean (j)	November 2021		16,220,875		(1,054,964	)
409	U.S. Treasury Note 10 Yr. (CBT)	December 2021		54,582,328		121,147
198	WTI Crude (j)	September 2021		13,563,000		111,419
			$	282,308,338	$	(472,945	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/ Net Unrealized Apprecia- tion (Deprecia -tion) ($)
Sales
593	E-mini Russell 2000 Index	September 2021	$	67,341,080	$	1,123,833
307	Euro Bund	September 2021		63,598,939		(1,235,554	)
37	Euro Bund	December 2021		7,537,887		(464	)
2,116	Euro STOXX 50	September 2021		104,495,033		(1,345,412	)
200	FTSE 100 Index	September 2021		19,516,532		(80,454	)
150	FTSE Taiwan Index	September 2021		9,073,079		(191,473	)
240	FTSE/JSE TOP 40	September 2021		9,997,724		86,425
81	Gold 100 OZ (j)	December 2021		14,726,610		(106,509	)
38	Hang Seng Index	September 2021		6,288,378		(105,656	)
11	Japanese Government Bond 10 Yr. (OSE)	September 2021		15,213,926		(70,785	)
1,946	Mini MSCI Emerging Markets	September 2021		126,412,160		(3,823,912	)
121	NASDAQ 100 E-Mini	September 2021		37,709,650		(3,834,417	)
1,757	S&P 500 EMini	September 2021		397,125,925		(23,549,644	)
405	SGX Nifty 50	September 2021		13,834,573		(383,366	)
287	SPI 200 Futures	September 2021		39,047,968		(893,584	)
298	TOPIX Index	September 2021		53,164,698		(456,294	)
37	U.S. Ultra Bond (CBT)	December 2021		7,299,406		18,741
56	UK Gilt Long Bond	December 2021		9,873,404		62,066
			$	1,002,256,972	$	(34,786,459	)

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

72 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA	USD	1,140,000		1.00%		0.65%		N/A		12/20/2024		Quarterly		96,637			(13,004	)		(109,641	)
HCA, Inc.	BCLY	USD	1,140,000		5.00%		0.52%		N/A		12/20/2024		Quarterly		(139,584	)		(168,395	)		(28,811	)
Tenet Healthcare Corp.	JPM	USD	570,000		5.00%		1.9%		N/A		12/20/2024		Quarterly		14,842			(56,644	)		(71,486	)
Tenet Healthcare Corp.	JPM	USD	1,140,000		5.00%		1.9%		N/A		12/20/2024		Quarterly		142,500			(113,289	)		(255,789	)
United Rentals North America, Inc.	CSI	USD	1,140,000		5.00%		0.66%		N/A		12/20/2024		Quarterly		(96,605	)		(162,498	)		(65,893	)
United Rentals North America, Inc.	JPM	USD	1,140,000		5.00%		0.66%		N/A		12/20/2024		Quarterly		(51,323	)		(162,498	)		(111,175	)
														$	(33,533	)	$	(676,328	)	$	(642,795	)

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

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

⁽¹⁾  As of August 31, 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) ($)
(0.67)%	6 Month CHF LIBOR	CHF	66,860,000		09/15/2023	Semi-Annually	—		3,250			3,250
(0.60)%	6 Month CHF LIBOR	CHF	57,030,000		09/15/2023	Semi-Annually	—		(77,223	)		(77,223	)
0.29%	3 Month AUD BBSW	AUD	103,390,000		12/15/2023	Quarterly	—		40,570			40,570
0.29%	3 Month AUD BBSW	AUD	379,370,000		12/15/2023	Quarterly	—		126,704			126,704
0.32%	3 Month AUD BBSW	AUD	5,870,000		12/15/2023	Quarterly	1,669		(268	)		(1,937	)
0.32%	3 Month AUD BBSW	AUD	65,750,000		12/15/2023	Quarterly	—		(3,005	)		(3,005	)
GBP - SONIA - COMPOUND	0.35%	GBP	562,880,000		12/15/2023	Annually	(1,774)		191,595			193,369
GBP - SONIA - COMPOUND	0.32%	GBP	501,680,000		12/15/2023	Annually	—		(199,984	)		(199,984	)
3 Month NZD Bank Bill Rate	1.36%	NZD	116,630,000		12/15/2023	Quarterly	—		(165,769	)		(165,769	)
3 Month NZD Bank Bill Rate	1.37%	NZD	401,930,000		12/15/2023	Quarterly	—		(512,762	)		(512,762	)
3 Month NZD Bank Bill Rate	1.45%	NZD	69,590,000		12/15/2023	Quarterly	—		(19,796	)		(19,796	)
3 Month NZD Bank Bill Rate	1.45%	NZD	271,870,000		12/15/2023	Quarterly	(14,689)		(58,490	)		(43,801	)
0.08%	3 Month SEK STIBOR	SEK	541,600,000		12/15/2023	Quarterly	—		16,765			16,765
0.08%	3 Month SEK STIBOR	SEK	4,105,600,000		12/15/2023	Quarterly	—		146,117			146,117
0.08%	3 Month SEK STIBOR	SEK	1,478,000,000		12/15/2023	Quarterly	—		62,876			62,876
0.09%	3 Month SEK STIBOR	SEK	73,300,000		12/15/2023	Quarterly	249		910			661
0.98%	3 Month CAD LIBOR	CAD	475,710,000		12/18/2023	Semi-Annually	15,621		(301,035	)		(316,656	)
(0.48)%	6 Month EURIBOR	EUR	21,110,000		12/20/2023	Semi-Annually	3,697		9,865			6,168
0.45%	3 Month USD LIBOR	USD	349,050,000		12/20/2023	Quarterly	49,646		(297,422	)		(347,068	)
6 Month CHF LIBOR	0.03%	CHF	11,460,000		09/15/2031	Semi-Annually	—		159,494			159,494
6 Month CHF LIBOR	(0.04)%	CHF	18,740,000		09/15/2031	Semi-Annually	—		103,062			103,062

See accompanying notes to the financial statements. 73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)	Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month CHF LIBOR	(0.03)%	CHF	45,540,000		09/15/2031		Semi-Annually	15,074		316,459			301,385
6 Month CHF LIBOR	(0.09)%	CHF	129,550,000		09/15/2031		Semi-Annually	(45,011)		48,042			93,053
6 Month CHF LIBOR	(0.12)%	CHF	13,330,000		09/15/2031		Semi-Annually	—		(44,102	)		(44,102	)
6 Month CHF LIBOR	(0.15)%	CHF	18,240,000		09/15/2031		Semi-Annually	—		(113,222	)		(113,222	)
1.28%	6 Month AUD BBSW	AUD	52,950,000		12/15/2031		Semi-Annually	129,121		350,469			221,348
6 Month AUD BBSW	1.28%	AUD	85,250,000		12/15/2031		Semi-Annually	(236,187)		(594,083	)		(357,896	)
6 Month AUD BBSW	1.30%	AUD	10,950,000		12/15/2031		Semi-Annually	—		(54,854	)		(54,854	)
6 Month AUD BBSW	1.31%	AUD	10,930,000		12/15/2031		Semi-Annually	—		(46,341	)		(46,341	)
6 Month AUD BBSW	1.37%	AUD	13,930,000		12/15/2031		Semi-Annually	—		(6,426	)		(6,426	)
3 Month CAD LIBOR	1.77%	CAD	106,280,000		12/15/2031		Semi-Annually	(36,732)		108,515			145,247
3 Month CAD LIBOR	1.69%	CAD	378,380,000		12/15/2031		Semi-Annually	—		(1,837,541	)		(1,837,541	)
3 Month CAD LIBOR	1.71%	CAD	298,680,000		12/15/2031		Semi-Annually	—		(961,631	)		(961,631	)
3 Month CAD LIBOR	1.73%	CAD	23,400,000		12/15/2031		Semi-Annually	(15,682)		(42,261	)		(26,579	)
0.56%	GBP - SONIA - COMPOUND	GBP	206,830,000		12/15/2031		Annually	—		2,717,761			2,717,761
0.56%	GBP - SONIA - COMPOUND	GBP	103,300,000		12/15/2031		Annually	—		1,347,726			1,347,726
0.59%	GBP - SONIA - COMPOUND	GBP	176,250,000		12/15/2031		Annually	—		1,516,756			1,516,756
0.60%	GBP - SONIA - COMPOUND	GBP	11,750,000		12/15/2031		Annually	5,039		91,715			86,676
0.64%	GBP - SONIA - COMPOUND	GBP	121,720,000		12/15/2031		Annually	(31,448)		258,562			290,010
0.64%	GBP - SONIA - COMPOUND	GBP	7,400,000		12/15/2031		Annually	11,920		18,285			6,365
3 Month NZD Bank Bill Rate	1.96%	NZD	23,580,000		12/15/2031		Quarterly	3,214		(98,096	)		(101,310	)
3 Month NZD Bank Bill Rate	2.00%	NZD	12,060,000		12/15/2031		Quarterly	—		(21,313	)		(21,313	)
3 Month NZD Bank Bill Rate	2.00%	NZD	223,110,000		12/15/2031		Quarterly	(100,385)		(322,157	)		(221,772	)
1.96%	3 Month NZD Bank Bill Rate	NZD	25,090,000		12/15/2031		Quarterly	—		108,434			108,434
1.97%	3 Month NZD Bank Bill Rate	NZD	15,010,000		12/15/2031		Quarterly	—		57,590			57,590
2.00%	3 Month NZD Bank Bill Rate	NZD	143,720,000		12/15/2031		Quarterly	115,773		226,111			110,338
3 Month SEK STIBOR	0.56%	SEK	110,600,000		12/15/2031		Quarterly	—		(115,081	)		(115,081	)
3 Month SEK STIBOR	0.56%	SEK	841,270,000		12/15/2031		Quarterly	—		(899,177	)		(899,177	)
3 Month SEK STIBOR	0.59%	SEK	301,040,000		12/15/2031		Quarterly	—		(224,585	)		(224,585	)
3 Month SEK STIBOR	0.64%	SEK	968,370,000		12/15/2031		Quarterly	(6,267)		(163,054	)		(156,787	)
3 Month SEK STIBOR	0.64%	SEK	37,630,000		12/15/2031		Quarterly	(285)		(6,336	)		(6,051	)
6 Month EURIBOR	(0.08)%	EUR	5,100,000		12/17/2031		Semi-Annually	(1,267)		(50,937	)		(49,670	)
(0.08)%	6 Month EURIBOR	EUR	108,940,000		12/17/2031		Semi-Annually	51,938		1,101,191			1,049,253
1.41%	3 Month USD LIBOR	USD	187,230,000		12/17/2031		Quarterly	108,845		(655,345	)		(764,190	)
1.36%	3 Month USD LIBOR	USD	6,490,000		12/17/2031		Quarterly	—		6,447			6,447
3 Month USD LIBOR	1.42%	USD	78,350,000		12/17/2031		Quarterly	(8,465)		311,696			320,161
								$13,614	$	1,554,671		$	1,541,057

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

12,493,265

12/07/2021

Monthly

—

599,692

599,692

1 Month Federal Funds Rate plus 0.10%

Total Return on MSCI World Daily Total Return Net Value Index

GS

USD

10,453,985

05/06/2022

Monthly

—

10,209

10,209

1 Month Federal Funds Rate minus 0.09%

Total Return on MSCI World Daily Total Return Net Value Index

UBSA

USD

12,340,207

05/12/2022

Monthly

—

(139,400

)

(139,400

)

Total Return on MSCI World Daily Total Return Net Growth Index

1 Month Federal Funds Rate plus 0.10%

UBSA

USD

13,216,532

05/12/2022

Monthly

—

(102,848

)

(102,848

)

74 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA	USD	11,527,007		05/20/2022	Monthly		—		(130,021	)		(130,021	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	12,146,028		05/20/2022	Monthly		—		(94,771	)		(94,771	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	11,795,600		05/24/2022	Monthly		—		(369,027	)		(369,027	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	313,904		05/24/2022	Monthly		—		(30,436	)		(30,436	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1,048,448		05/24/2022	Monthly		—		(51,766	)		(51,766	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.50%	GS	USD	11,102,084		05/24/2022	Monthly		—		225,238			225,238
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS	USD	11,097,034		05/06/2022	Monthly		—		(141,020	)		(141,020	)
Total Return on Equity Basket(n)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	67,893,867		10/18/2022	Monthly		—		(1,803,134	)		(1,803,134	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	3,668,297		10/18/2022	Monthly		—		(14,845	)		(14,845	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 2.66%	MORD	USD	24,088,785		05/18/2023	Monthly		—		(369,872	)		(369,872	)
								$	—	$	(2,412,001	)	$	(2,412,001	)

As of August 31, 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 is out on loan (Note 2).

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

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

(d) Investment valued 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 August 31, 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) All or a portion of this investment is held in connection with one or more holdings within the Fund.

See accompanying notes to the financial statements. 75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

(m) 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.

(n) The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	35,330,000	Alibaba Pictures Group Ltd		5.4	%		3,765,491
	13,416,000	China Molybdenum Co Ltd – Class H		15.1	%		10,466,714
	708,000	China Resources Beer Holdings Co Ltd		8.4	%		5,822,153
	2,648,000	China Youzan Ltd		0.5	%		370,703
	130,000	Citic Securities Co Ltd – Class H		0.5	%		329,261
	237,000	Galaxy Entertainment Group Ltd		2.2	%		1,519,548
	4,792,000	Greentown Service Group Co Ltd		7.4	%		5,124,498
	40,000	Haidilao International Holding Ltd		0.2	%		163,247
	144,500	Hong Kong Exchanges and Clearing Ltd		13.1	%		9,128,650
	2,300,000	Kingdee International Software Group Co Ltd		12.0	%		8,375,159
	234,000	New World Development Co Ltd		1.6	%		1,100,651
	1,523,200	Sands China Ltd		7.0	%		4,893,431
	2,176,000	SJM Holdings Ltd		2.7	%		1,893,589
	114,500	Venus Medtech Hangzhou Inc – Class H		0.8	%		541,960
	3,039,600	Wynn Macau Ltd		4.9	%		3,424,821
	583,000	Yihai International Holding Ltd.		4.5	%		3,154,053
	6,714,000	Zijin Mining Group Co Ltd – Class H		13.7	%		9,500,153
		TOTAL COMMON STOCKS				$	69,574,082

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 97.

76 See accompanying notes to the financial statements.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.9	%
Short-Term Investments		3.7
Preferred Stocks		1.7
Debt Obligations		0.2
Investment Funds		0.1
Swap Contracts		0.0	^
Futures Contracts		(0.0	)^
Other		(1.6	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		22.0	%
United Kingdom		15.5
Germany		9.2
France		8.3
Netherlands		6.4
Switzerland		5.5
Spain		4.9
Italy		4.0
Singapore		3.5
Australia		3.1
Other Emerging		2.7	†
China		2.6
Hong Kong		2.1
Taiwan		1.9
Portugal		1.9
Norway		1.5
Ireland		1.3
Russia		1.3
Belgium		1.2
Other Developed		1.1	‡
		100.0	%

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

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^ Rounds to 0.0%.

77

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	532,166	GMO Emerging Markets Fund, Class VI		19,642,259
	8,894,284	GMO International Equity Fund, Class IV		224,313,831
	448,029	GMO-Usonian Japan Value Creation Fund, Class VI		10,210,580
		TOTAL MUTUAL FUNDS (COST $232,050,817)		254,166,670
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	89,564	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		89,564
		TOTAL SHORT-TERM INVESTMENTS (COST $89,564)		89,564
		TOTAL INVESTMENTS — 100.0% (Cost $232,140,381)		254,256,234
		Other Assets and Liabilities (net) — (0.0%)		(21,692	)
		TOTAL NET ASSETS — 100.0%		$254,234,542

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

78 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.8	%
Short-Term Investments		2.7
Preferred Stocks		2.2
Debt Obligations		0.8
Investment Funds		0.4
Swap Contracts		0.0	^
Futures Contracts		(0.2	)
Other		(0.7	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		15.3	%
China		12.3
United Kingdom		10.1
Taiwan		9.1
Russia		6.1
Germany		5.9
France		5.3
Netherlands		4.0
Other Emerging		3.9	†
Switzerland		3.5
Korea		3.5
Spain		3.1
Italy		2.5
India		2.5
Singapore		2.4
Other Developed		2.3	‡
Australia		1.9
Mexico		1.7
Hong Kong		1.4
Portugal		1.2
Indonesia		1.0
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%.

79

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,604,267	GMO Emerging Markets Fund, Class VI		317,583,484
	19,482,362	GMO International Equity Fund, Class IV		491,345,160
	1,502,767	GMO-Usonian Japan Value Creation Fund, Class VI		34,248,068
		TOTAL MUTUAL FUNDS (COST $746,899,017)		843,176,712
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	321,937	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (a)		321,937
		TOTAL SHORT-TERM INVESTMENTS (COST $321,937)		321,937
		TOTAL INVESTMENTS — 100.0% (Cost $747,220,954)		843,498,649
		Other Assets and Liabilities (net) — (0.0%)		(55,392	)
		TOTAL NET ASSETS — 100.0%		$843,443,257

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 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 97.

80 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		97.8	%
Short-Term Investments		2.5
Forward Currency Contracts		0.3
Swap Contracts		(0.2	)
Futures Contracts		(1.1	)#
Other		0.7
		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 42.9% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

81

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 97.8%
		United States — 97.8%
		U.S. Government — 97.8%
	30,000,000	U.S. Treasury Note, 1.50%, due 01/31/22		30,178,125
	14,500,000	U.S. Treasury Note, 0.13%, due 04/30/22		14,505,664
	45,000,000	U.S. Treasury Note, 0.13%, due 11/30/22		45,010,547
	10,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		9,998,828
	20,000,000	U.S. Treasury Note, 0.13%, due 01/31/23		19,996,875
	35,000,000	U.S. Treasury Note, 0.13%, due 03/31/23		34,982,227
	31,000,000	U.S. Treasury Note, 0.13%, due 06/30/23		30,976,992
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.06%, 0.10%, due 10/31/22		20,011,382
	75,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 0.09%, due 01/31/23 (a) (b)		75,037,207
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 0.08%, due 04/30/23 (b)		30,002,109
		Total U.S. Government		310,699,956
		Total United States		310,699,956
		TOTAL DEBT OBLIGATIONS (COST $310,585,287)		310,699,956
		SHORT-TERM INVESTMENTS — 2.5%
		Money Market Funds — 1.0%
	2,680,376	State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (c)		2,680,376
	575,502	State Street U.S. Treasury Liquidity Fund – Class D Shares, 0.01% (a)		575,502
		Total Money Market Funds		3,255,878
		U.S. Government — 1.5%
	2,100,000	U.S. Treasury Bill, 0.06%, due 05/19/22 (a) (d)		2,099,166
	1,200,000	U.S. Treasury Bill, 0.06%, due 07/14/22 (a) (d)		1,199,336
	1,400,000	U.S. Treasury Bill, 0.07%, due 08/11/22 (a) (d)		1,399,064
		Total U.S. Government		4,697,566
		TOTAL SHORT-TERM INVESTMENTS (COST $7,953,409)		7,953,444
		TOTAL INVESTMENTS — 100.3% (Cost $318,538,696)		318,653,400
		Other Assets and Liabilities (net) — (0.3%)		(920,914	)
		TOTAL NET ASSETS — 100.0%		$317,732,486

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/18/2021	DB		AUD	44,325,501		USD	32,664,127		229,553
10/18/2021	MSCI		AUD	1,872,839		USD	1,365,496		(4,928	)
09/09/2021	GS		CAD	1,390,209		USD	1,098,116		(3,762	)
09/09/2021	JPM		CAD	1,825,241		USD	1,463,586		16,901
09/09/2021	UBSA		CAD	18,343,010		USD	14,622,000		83,346
09/07/2021	BCLY		CHF	7,383,845		USD	7,993,327		(70,846	)
09/07/2021	GS		EUR	4,528,963		USD	5,316,290		(31,771	)
09/07/2021	JPM		EUR	1,694,031		USD	1,989,130		(11,280	)
09/07/2021	UBSA		EUR	14,987,071		USD	17,779,912		82,315
10/21/2021	UBSA		GBP	929,177		USD	1,276,739		(879	)
09/07/2021	JPM		JPY	1,485,525,384		USD	13,530,487		27,069
09/07/2021	MSCI		JPY	604,843,196		USD	5,486,614		(11,407	)
09/07/2021	UBSA		JPY	674,307,193		USD	6,133,185		3,736
10/06/2021	GS		JPY	258,183,661		USD	2,342,282		(5,204	)
10/06/2021	UBSA		JPY	193,266,470		USD	1,771,707		14,468
10/18/2021	UBSA		NZD	8,561,761		USD	6,018,498		(13,927	)
10/18/2021	GS		USD	2,189,395		AUD	2,980,927		(8,143	)
10/18/2021	JPM		USD	5,289,041		AUD	7,311,556		61,089
09/09/2021	GS		USD	1,151,657		CAD	1,441,665		(8,994	)
09/09/2021	UBSA		USD	1,718,713		CAD	2,146,239		(17,605	)
09/07/2021	JPM		USD	5,157,849		EUR	4,332,543		(41,733	)
09/07/2021	UBSA		USD	48,362,209		EUR	40,746,962		(245,850	)
09/21/2021	SSB		USD	16,601,108		EUR	14,044,752		(11,610	)
10/18/2021	UBSA		USD	8,504,277		EUR	7,238,539		50,331
10/21/2021	SSB		USD	16,559,130		EUR	14,000,000		(12,790	)
10/21/2021	UBSA		USD	1,304,782		EUR	1,104,793		953
09/07/2021	UBSA		USD	25,408,105		JPY	2,833,702,446		350,234
10/06/2021	BCLY		USD	3,040,316		JPY	336,661,770		20,718
10/06/2021	JPM		USD	28,461,975		JPY	3,171,001,067		369,755
10/06/2021	MSCI		USD	2,509,585		JPY	275,370,228		(5,833	)
10/06/2021	UBSA		USD	1,690,704		JPY	187,121,357		10,662
								$	814,568

82 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
172	Australian Government Bond 10 Yr.	September 2021		18,346,641		647,334
293	CAC40 10 Euro	September 2021		23,124,967		(286,928	)
119	Canadian Government Bond 10 Yr.	December 2021		13,783,117		1,131
342	Corn (a)	December 2021		9,135,675		(374,745	)
61	DAX Index	September 2021		28,435,949		48,691
239	FTSE 100 Index	September 2021		23,322,256		36,306
10	Hang Seng Index	September 2021		1,654,836		10,043
1,108	Mini MSCI Emerging Markets	September 2021		71,975,680		(3,486,287	)
98	MSCI Singapore	September 2021		2,556,735		(49,674	)
281	S&P 500 E-Mini	September 2021		63,513,025		3,885,080
17	S&P/TSX 60	September 2021		3,314,437		95,018
117	Silver (a)	December 2021		14,043,510		156,220
174	Soybean (a)	November 2021		11,244,750		(786,001	)
284	U.S. Treasury Note 10 Yr. (CBT)	December 2021		37,900,688		84,507
137	WTI Crude (a)	September 2021		9,384,500		82,948
			$	331,736,766	$	63,643

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
411	E-mini Russell 2000 Index	September 2021		46,673,160		779,494
213	Euro Bund	September 2021		44,125,649		(825,038	)
26	Euro Bund	December 2021		5,296,894		(326	)
109	FTSE Taiwan Index	September 2021		6,593,104		(139,041	)
166	FTSE/JSE TOP 40	September 2021		6,915,093		49,242
57	Gold 100 OZ (a)	December 2021		10,363,170		(75,260	)
8	Japanese Government Bond 10 Yr. (OSE)	September 2021		11,064,673		(51,480	)
84	NASDAQ 100 E-Mini	September 2021		26,178,600		(2,625,214	)
131	SPI 200 Futures	September 2021		17,823,288		(436,366	)
74	TOPIX Index	September 2021		13,201,972		(297,474	)
40	UK Gilt Long Bond	December 2021		7,052,431		44,382
			$	195,288,034	$	(3,577,081	)

+ 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) ($)
1 Month Federate Funds Rate plus 0.10%	Total Return on MSCI Japan Value Net Total Return Local Index	GS	USD	8,849,660		05/06/2022	Monthly		—		8,643			8,643
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA	USD	10,441,762		05/12/2022	Monthly		—		(117,954	)		(117,954	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.10%	UBSA	USD	11,183,180		05/12/2022	Monthly		—		(87,025	)		(87,025	)
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI Japan Value Net Total Return Local Index	UBSA	USD	9,838,988		05/20/2022	Monthly		—		(110,981	)		(110,981	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.05%	UBSA	USD	10,367,384		05/20/2022	Monthly		—		(80,893	)		(80,893	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month JPY LIBOR minus 0.02%	GS	USD	9,384,686		06/06/2022	Monthly		—		(119,260	)		(119,260	)
								$	—	$	(507,470	)	$	(507,470	)

As of August 31, 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.

See accompanying notes to the financial statements. 83

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

Notes to Schedule of Investments:

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

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of August 31, 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 97.

84 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2021 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		91.2	%
Debt Obligations		5.8
Short-Term Investments		2.2
Preferred Stocks		1.1
Investment Funds		0.2
Loan Assignments		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Written Options		0.0	^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(18.6	)
Other		18.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		3.3	†%
United States		0.5
Other Developed		0.0	^‡
Euro Region		0.0	^#
		3.8	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.6	%
Japan		11.2
China		7.3
Other Developed		6.1	‡
Taiwan		5.1
United Kingdom		4.8
Russia		3.6
Other Emerging		2.4	†
Netherlands		2.1
France		1.9
Germany		1.7
South Korea		1.6
India		1.5
Spain		1.4
Australia		1.2
Mexico		1.2
Italy		1.1
Hong Kong		1.1
Euro Region		0.0	^#
		73.9	%

& 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 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%.

85

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 40.3%
		Australia — 1.2%
	25,718	Accent Group Ltd		40,311
	48,596	Australian Pharmaceutical Industries Ltd		47,760
	46,860	Bank of Queensland Ltd		322,755
	33,668	BlueScope Steel Ltd		615,529
	16,615	Brambles Ltd		146,865
	135	Computershare Ltd (a)		1,622
	774	CSR Ltd		3,073
	61,460	Dexus (REIT)		478,283
	57,713	Fortescue Metals Group Ltd		879,849
	31,008	Genworth Mortgage Insurance Australia Ltd		50,144
	155,452	GPT Group (The) (REIT)		550,340
	9,532	McMillan Shakespeare Ltd		86,688
	8,603	Metcash Ltd		25,580
	1,949	Mineral Resources Ltd		77,531
	109,356	Mirvac Group (REIT)		249,046
	5,255	Rio Tinto Ltd		427,573
	28,526	Sandfire Resources Ltd		134,401
	147,509	Scentre Group (REIT)		306,800
	63,092	Stockland (REIT)		212,613
	2,666	Super Retail Group Ltd		23,894
		Total Australia		4,680,657
		Belgium — 0.4%
	21,315	Ageas SA/NV		1,065,174
	1,460	Bekaert SA		69,510
	7,184	bpost SA *		69,438
	582	Telenet Group Holding NV (a)		22,145
	3,505	UCB SA		401,003
		Total Belgium		1,627,270
		Canada — 1.0%
	8,170	Brookfield Asset Management Inc – Class A		453,844
	6,300	Canaccord Genuity Group Inc		75,252
	8,400	Canadian Apartment Properties (REIT)		406,867
	1,400	Canadian Tire Corp Ltd – Class A		213,054
	10,800	Canfor Corp *		231,811
	11,900	Cascades Inc		147,895
	11,758	Celestica Inc *		111,555
	1,100	Cogeco Inc		79,593
	24,000	Corus Entertainment Inc – B Shares (a)		118,892
	100	Fairfax Financial Holdings Ltd		44,265
	2,000	iA Financial Corp Inc		110,902
	3,600	Imperial Oil Ltd		95,275
	1,300	Interfor Corp		27,604
	6,500	Intertape Polymer Group Inc		158,475
	3,900	Linamar Corp		220,958
	6,200	Magna International Inc		489,602
	5,800	Nutrien Ltd		352,002

Shares		Description	Value ($)
		Canada — continued
	5,400	Power Corp of Canada		186,356
	600	RioCan Real Estate Investment Trust (REIT)		10,658
	1,800	Transcontinental Inc – Class A		34,840
	1,100	West Fraser Timber Co Ltd		84,938
		Total Canada		3,654,638
		China — 1.3%
	62,000	Agile Group Holdings Ltd		71,101
	800	Autohome Inc ADR (a)		35,408
	663,000	Bank of Communications Co Ltd – Class H		380,763
	31,000	Beijing Enterprises Holdings Ltd		106,685
	26,000	China Aoyuan Group Ltd		15,545
	206,000	China Communications Services Corp Ltd – Class H		109,468
	4,716,000	China Huarong Asset Management Co Ltd – Class H * (b)		460,840
	190,000	China Overseas Land & Investment Ltd		437,700
	804,000	China Railway Group Ltd – Class H		385,055
	286,000	China Zhongwang Holdings Ltd *		62,066
	128,000	CITIC Ltd		159,031
	514,000	Dongfeng Motor Group Co Ltd – Class H		562,825
	46,000	Fosun International Ltd		58,185
	209,200	Guangzhou R&F Properties Co Ltd – Class H		178,366
	6,200	Haier Smart Home Co Ltd – Class H		23,355
	33,400	Hello Group Inc Sponsored ADR (a)		438,876
	24,500	Kingboard Holdings Ltd		120,465
	38,000	Seazen Group Ltd *		33,656
	57,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		114,864
	139,000	Shimao Group Holdings Ltd		287,218
	104,000	Sinopharm Group Co Ltd – Class H		267,645
	346,000	Skyworth Group Ltd *		108,095
	72,000	Sunac China Holdings Ltd		184,091
	4,201	Tencent Holdings Ltd		259,465
	515,995	Yuzhou Group Holdings Co Ltd		99,451
		Total China		4,960,219
		Denmark — 0.4%
	44	AP Moller – Maersk A/S – Class A		119,237
	56	AP Moller – Maersk A/S – Class B		159,530
	231	Carlsberg A/S – Class B		40,348
	30,289	Danske Bank A/S		508,265
	4,504	Pandora A/S		539,868
	4,737	Scandinavian Tobacco Group A/S		96,203
		Total Denmark		1,463,451
		Finland — 0.3%
	1,802	Kesko Oyj – B Shares		74,566
	6,240	Neste Oyj		380,091
	83,149	Nokia Oyj *		499,487
	1,095	Tokmanni Group Corp		31,590

86 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Finland — continued
	1,067	UPM-Kymmene Oyj		43,468
	2,184	Uponor Oyj		70,433
		Total Finland		1,099,635
		France — 1.2%
	5,235	ALD SA		73,729
	532	Amundi SA		50,350
	3,542	APERAM SA		217,306
	954	ArcelorMittal SA		31,997
	5,362	BNP Paribas SA		339,682
	10,144	Derichebourg SA *		120,068
	2,665	IPSOS (a)		129,171
	441	Kering SA		351,266
	573	LVMH Moet Hennessy Louis Vuitton SE		424,484
	5,872	Metropole Television SA (a)		125,041
	1,758	Nexity SA		90,786
	14,419	Orange SA		163,933
	11,652	Publicis Groupe SA (a)		764,954
	3,784	Quadient SA		107,458
	4,255	Safran SA		533,771
	710	Societe BIC SA		47,269
	19,742	Societe Generale SA		621,362
	11,892	Television Francaise 1 (a)		119,374
	1,504	Vicat SA		74,947
		Total France		4,386,948
		Germany — 0.9%
	2,009	ADVA Optical Networking SE *		33,298
	7,521	Bayer AG (Registered)		418,400
	3,060	Bayerische Motoren Werke AG		290,451
	2,813	Beiersdorf AG		341,397
	6,897	Daimler AG (Registered)		581,795
	387	Draegerwerk AG & Co KGaA (a)		32,869
	8,913	Fresenius SE & Co KGaA (a)		463,416
	5,528	HeidelbergCement AG		479,424
	1,287	Hornbach Baumarkt AG		51,493
	794	Hornbach Holding AG & Co KGaA		84,937
	9,186	Kloeckner & Co SE *		124,029
	9,068	ProSiebenSat.1 Media SE (a)		173,123
	2,559	SAP SE (a)		384,387
		Total Germany		3,459,019
		Hong Kong — 0.6%
	19,000	Chow Sang Sang Holdings International Ltd		28,903
	243,000	CITIC Telecom International Holdings Ltd		84,382
	73,000	CK Hutchison Holdings Ltd		532,178
	20,400	Dah Sing Financial Holdings Ltd		63,465
	406,000	First Pacific Co Ltd		151,364
	20,000	HKT Trust & HKT Ltd – Class SS		27,272
	36,500	Johnson Electric Holdings Ltd		83,591

Shares		Description	Value ($)
		Hong Kong — continued
	56,000	K Wah International Holdings Ltd		24,556
	64,000	Kerry Properties Ltd		217,741
	154,000	Pacific Textiles Holdings Ltd		82,143
	575,000	PCCW Ltd		299,869
	210,000	Shun Tak Holdings Ltd *		60,177
	60,000	Sun Hung Kai & Co Ltd		32,854
	24,500	Swire Pacific Ltd – Class A		165,861
	102,000	VSTECS Holdings Ltd		95,938
	26,800	VTech Holdings Ltd		260,316
	94,500	Yue Yuen Industrial Holdings Ltd *		191,643
		Total Hong Kong		2,402,253
		India — 0.4%
	11,738	Hindustan Petroleum Corp Ltd		42,852
	89,393	Indiabulls Housing Finance Ltd		273,411
	27,232	Indian Oil Corp Ltd		41,304
	98,303	NTPC Ltd		155,694
	384,278	Oil & Natural Gas Corp Ltd		631,489
	167,374	REC Ltd		346,859
		Total India		1,491,609
		Ireland — 0.5%
	42,546	AIB Group Plc *		127,838
	67,710	Bank of Ireland Group Plc *		423,815
	3,026	Dole Plc *		48,567
	2,710	Glanbia Plc		48,382
	62,269	Hibernia REIT Plc		93,191
	9,692	Origin Enterprises Plc		38,244
	22,180	Ryanair Holdings Plc *		414,909
	9,904	Smurfit Kappa Group Plc		567,637
		Total Ireland		1,762,583
		Israel — 0.3%
	34,470	Bank Leumi Le-Israel BM		284,764
	3,000	Check Point Software Technologies Ltd *		376,890
	11,916	Isracard Ltd		49,447
	48,900	Teva Pharmaceutical Industries Ltd Sponsored ADR *		460,638
		Total Israel		1,171,739
		Italy — 1.0%
	31,796	A2A SPA		69,855
	1,262	ACEA SPA		30,136
	3,839	Ascopiave SPA		16,205
	1,751	Banca IFIS SPA		30,390
	18,053	Buzzi Unicem SPA		479,258
	3,639	Cementir Holding NV		41,215
	4,544	Credito Emiliano SPA		30,459
	15,646	EXOR NV		1,305,399
	14,321	Italgas SPA		94,943

See accompanying notes to the financial statements. 87

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	1,690	La Doria SPA		36,378
	34,964	Leonardo SPA *		284,694
	9,979	Mediobanca Banca di Credito Finanziario SPA *		117,638
	1,879	Poste Italiane SPA		25,475
	229	Sesa SPA *		45,682
	306,947	Telecom Italia SPA		139,068
	1,344,215	Telecom Italia SPA – RSP		649,432
	37,333	Unipol Gruppo SPA		221,425
		Total Italy		3,617,652
		Japan — 10.5%
	2,100	ADEKA Corp		45,844
	5,700	Aeon Delight Co Ltd		184,422
	28,900	Aeon Mall Co Ltd		440,121
	800	AGC Inc		38,647
	1,000	Aisin Corp		38,172
	38,100	Amada Co Ltd		386,226
	7,500	Amano Corp		190,389
	600	Arata Corp		24,316
	5,000	Arcland Sakamoto Co Ltd		69,623
	13,200	Arcs Co Ltd		268,341
	52,100	Asahi Kasei Corp		537,155
	12,100	Astellas Pharma Inc		203,884
	15,800	Brother Industries Ltd		324,241
	2,600	Canon Marketing Japan Inc		59,282
	27,200	Chubu Electric Power Co Inc		328,913
	26,000	Chugoku Marine Paints Ltd		213,697
	400	Credit Saison Co Ltd		4,550
	200	Dai Nippon Toryo Co Ltd		1,548
	6,800	Daihen Corp		296,073
	400	Daiichi Jitsugyo Co Ltd		17,119
	900	Daishi Hokuetsu Financial Group Inc		22,153
	7,300	Daiwa House Industry Co Ltd		222,604
	52,100	Daiwabo Holdings Co Ltd		989,900
	13,200	Denka Co Ltd		462,664
	8,100	Ebara Corp		402,627
	300	Eizo Corp		11,584
	7,300	Electric Power Development Co Ltd		109,051
	1,000	ESPEC Corp		19,931
	9,900	Fuji Corp		256,281
	2,600	Hanwa Co Ltd		77,964
	33,300	Haseko Corp		460,541
	50,100	Hazama Ando Corp		373,686
	5,800	Hitachi Ltd		320,546
	8,400	Hogy Medical Co Ltd (a)		262,702
	4,500	Hokuhoku Financial Group Inc		34,491
	27,600	Honda Motor Co Ltd		835,359
	5,700	Horiba Ltd		407,354
	12,300	Iida Group Holdings Co Ltd		312,262
	20,300	Inabata & Co Ltd		310,536
	107,100	Inpex Corp		735,872

Shares		Description	Value ($)
		Japan — continued
	5,000	Isuzu Motors Ltd		63,206
	18,700	ITOCHU Corp		562,517
	3,000	Itochu Enex Co Ltd		26,895
	7,400	Itoham Yonekyu Holdings Inc		49,959
	2,100	Jaccs Co Ltd		52,492
	9,500	JAFCO Group Co Ltd		573,749
	2,900	Japan Petroleum Exploration Co Ltd		49,890
	8,700	Japan Post Insurance Co Ltd		157,993
	2,400	Juroku Bank Ltd (The)		50,660
	40,400	JVCKenwood Corp		76,387
	50,600	K’s Holdings Corp		553,094
	12,200	Kadokawa Corp (a)		559,502
	34,400	Kajima Corp		444,457
	8,500	Kanamoto Co Ltd		194,234
	6,700	Kandenko Co Ltd		57,567
	29,300	Kanematsu Corp		376,811
	700	Kanematsu Electronics Ltd (a)		24,438
	200	Kansai Electric Power Co Inc (The)		2,010
	22,700	KDDI Corp		693,834
	6,300	Kinden Corp		106,666
	900	Kissei Pharmaceutical Co Ltd		19,817
	1,100	Kohnan Shoji Co Ltd		36,265
	4,300	Kokuyo Co Ltd		75,237
	4,000	Komeri Co Ltd		91,721
	57,400	Konica Minolta Inc		291,311
	20,000	Konoike Transport Co Ltd		248,900
	1,000	Kumagai Gumi Co Ltd		24,419
	24,000	Kyowa Exeo Corp		602,275
	13,300	Kyudenko Corp		478,228
	25,300	Macromill Inc		173,797
	15,700	Mandom Corp		237,499
	17,800	Maruichi Steel Tube Ltd		437,649
	500	Maruzen Showa Unyu Co Ltd		15,455
	26,100	Maxell Holdings Ltd *		306,839
	29,100	Mebuki Financial Group Inc		65,033
	2,100	Meidensha Corp		46,877
	15,100	Mitsubishi Gas Chemical Co Inc		284,524
	140,000	Mitsubishi UFJ Financial Group Inc		759,562
	1,000	Mitsuboshi Belting Ltd		18,280
	5,200	Mitsui Chemicals Inc		179,516
	1,200	Mitsui DM Sugar Holdings Co Ltd		21,108
	5,700	Mixi Inc (a)		130,910
	13,700	Morinaga & Co Ltd		480,465
	17,300	MS&AD Insurance Group Holdings Inc		559,981
	4,200	NEC Networks & System Integration Corp (a)		80,061
	14,400	NH Foods Ltd		558,766
	1,500	Nichiha Corp		44,137
	3,800	Nippo Corp		111,662
	1,500	Nippon Soda Co Ltd		47,974
	300	Nippon Steel Trading Corp		13,705
	23,600	Nippon Telegraph & Telephone Corp		628,770

88 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	11,900	Nippon Television Holdings Inc (a)		126,896
	7,700	Nishi-Nippon Financial Holdings Inc		48,593
	2,600	Nojima Corp		64,014
	3,500	Nomura Real Estate Holdings Inc		89,632
	800	Obara Group Inc		28,147
	101,900	Obayashi Corp		838,472
	4,800	Okamura Corp		73,833
	1,700	Organo Corp		98,142
	80,100	ORIX Corp		1,494,463
	10,700	Osaka Gas Co Ltd		200,571
	600	Osaka Soda Co Ltd		14,542
	26,300	Pacific Industrial Co Ltd		300,259
	21,700	Penta-Ocean Construction Co Ltd		137,729
	2,000	Proto Corp		26,921
	1,400	Raito Kogyo Co Ltd		24,456
	2,000	Raiznext Corp		20,135
	56,000	Resona Holdings Inc		216,560
	1,800	Rohm Co Ltd		173,046
	4,400	San-A Co Ltd		161,889
	2,200	San-Ai Oil Co Ltd		27,427
	4,300	Sanki Engineering Co Ltd		58,403
	9,800	Sankyu Inc		456,059
	2,400	Sanwa Holdings Corp		31,874
	5,100	Sawai Group Holdings Co Ltd		230,481
	6,100	Secom Co Ltd		462,580
	4,600	Sega Sammy Holdings Inc		62,043
	2,000	Seiko Epson Corp		37,250
	1,000	Sekisui Chemical Co Ltd		17,114
	27,600	Sekisui House Ltd		549,880
	600	Sekisui Jushi Corp		11,916
	1,400	Shimamura Co Ltd		123,397
	63,700	Shimizu Corp		457,109
	1,600	Shizuoka Gas Co Ltd		18,610
	1,500	Sinko Industries Ltd		29,765
	66,800	SKY Perfect JSAT Holdings Inc (a)		247,664
	8,300	Sojitz Corp		24,368
	3,400	Subaru Corp		62,926
	119,600	Sumitomo Chemical Co Ltd		606,326
	47,300	Sumitomo Dainippon Pharma Co Ltd		849,039
	1,700	Sumitomo Electric Industries Ltd		22,705
	26,200	Sumitomo Forestry Co Ltd		511,246
	15,400	Sumitomo Mitsui Trust Holdings Inc		503,013
	500	Sumitomo Seika Chemicals Co Ltd		16,006
	2,200	Suzuki Motor Corp		95,064
	11,800	T Hasegawa Co Ltd		299,233
	16,600	Tachi-S Co Ltd		204,618
	10,400	Taisei Corp		325,370
	12,700	Takara Holdings Inc		164,593
	7,900	Takara Leben Co Ltd		22,981
	4,300	Takeuchi Manufacturing Co Ltd		103,508
	18,300	Takuma Co Ltd		275,768

Shares		Description	Value ($)
		Japan — continued
	2,600	Tamron Co Ltd		62,274
	35,900	Teijin Ltd		516,345
	18,200	TIS Inc (a)		513,779
	18,400	Toho Holdings Co Ltd (a)		319,393
	168,500	Tokyo Electric Power Co Holdings Inc *		442,583
	12,100	Tokyo Seimitsu Co Ltd		528,542
	7,000	Tokyu Construction Co Ltd		47,717
	1,200	Toppan Forms Co Ltd		11,244
	34,000	Toppan Inc		583,679
	8,600	Toray Industries Inc		57,987
	23,500	Tosei Corp		248,106
	39,200	Tosoh Corp		711,496
	1,700	Totetsu Kogyo Co Ltd		37,958
	500	Towa Pharmaceutical Co Ltd		13,403
	4,600	Toyo Construction Co Ltd		23,547
	6,700	Toyota Boshoku Corp		125,984
	6,000	Toyota Industries Corp		506,584
	6,600	Tsumura & Co		226,931
	2,800	YAMABIKO Corp		32,194
	16,900	Yamada Holdings Co Ltd		72,503
	13,800	Yamaguchi Financial Group Inc		80,473
	1,500	Yamaha Motor Co Ltd		38,163
	2,800	Yamazen Corp		27,853
	3,100	Yellow Hat Ltd		54,858
	13,000	Yokogawa Bridge Holdings Corp		264,482
	2,900	Yokohama Rubber Co Ltd (The)		49,464
	900	Yuasa Trading Co Ltd		24,296
	12,200	Zenkoku Hosho Co Ltd		580,328
		Total Japan		39,296,577
		Malaysia — 0.0%
	38,600	Top Glove Corp Bhd		37,139
		Malta — 0.0%
	125,500	BGP Holdings Plc * (b)		—
		Mexico — 0.3%
	47,667	Fomento Economico Mexicano SAB de CV		414,179
	115,408	Grupo Mexico SAB de CV – Series B		535,092
		Total Mexico		949,271
		Netherlands — 1.3%
	21,198	ABN AMRO Bank NV CVA *		295,325
	338	Aegon NV		1,669
	9,500	AerCap Holdings NV *		512,335
	2,131	ASR Nederland NV		97,375
	48,164	ING Groep NV		664,392
	3,429	JDE Peet’s NV		117,844
	15,878	Koninklijke Ahold Delhaize NV		535,683
	80,016	Koninklijke KPN NV		256,321
	11,485	NN Group NV		595,758

See accompanying notes to the financial statements. 89

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	40,344	PostNL NV		211,116
	9,852	Randstad NV		725,562
	13,478	Signify NV		755,074
	2,264	Wolters Kluwer NV		260,362
		Total Netherlands		5,028,816
		New Zealand — 0.1%
	87,063	Meridian Energy Ltd		321,558
		Norway — 0.5%
	3,911	Austevoll Seafood ASA		50,229
	7,849	Bank Norwegian ASA		92,813
	26,493	BW LPG Ltd		141,063
	22,351	Elkem ASA *		95,151
	17,702	Europris ASA		125,086
	82,484	Norsk Hydro ASA		569,407
	53,142	Orkla ASA		474,684
	2,138	Sbanken ASA		25,023
	4,925	SpareBank 1 Nord Norge		49,599
	4,533	SpareBank 1 SMN		65,041
	11,251	SpareBank 1 SR-Bank ASA		151,746
		Total Norway		1,839,842
		Portugal — 0.3%
	21,320	Altri SGPS SA		141,927
	1,537,426	Banco Comercial Portugues SA – Class R *		237,805
	18,619	CTT-Correios de Portugal SA		101,025
	28,293	Galp Energia SGPS SA		289,407
	387	Greenvolt-Energias Renovaveis SA *		2,440
	31,786	Mota-Engil SGPS SA *		50,642
	40,264	Navigator Co SA (The)		149,928
	14,299	NOS SGPS SA		60,279
	24,142	REN – Redes Energeticas Nacionais SGPS SA		70,708
	137,734	Sonae SGPS SA		149,973
		Total Portugal		1,254,134
		Russia — 0.2%
	3,698	LUKOIL PJSC Sponsored ADR		313,217
	1,681	Novatek PJSC Sponsored GDR (Registered)		398,420
		Total Russia		711,637
		Singapore — 0.4%
	16,900	CapitaLand Integrated Commercial Trust (REIT)		25,812
	2,100	CapitaLand Ltd		6,231
	145,100	ComfortDelGro Corp Ltd		174,369
	311,900	Golden Agri-Resources Ltd		53,218
	39,000	Japfa Ltd		20,586
	15,000	Jardine Cycle & Carriage Ltd		216,264
	20,300	Keppel Corp Ltd		78,258

Shares		Description	Value ($)
		Singapore — continued
	121,400	Sembcorp Industries Ltd		173,785
	68,000	StarHub Ltd		61,572
	544,400	Yangzijiang Shipbuilding Holdings Ltd		662,931
	58,400	Yanlord Land Group Ltd		51,571
		Total Singapore		1,524,597
		South Africa — 0.1%
	29,313	Bidvest Group Ltd (The)		413,318
		South Korea — 0.0%
	844	Kia Corp		61,741
		Spain — 1.0%
	17,270	ACS Actividades de Construccion y Servicios SA		466,224
	5,294	Amadeus IT Group SA * (a)		323,346
	10,871	Atresmedia Corp de Medios de Comunicacion SA * (a)		47,607
	87,877	Banco Bilbao Vizcaya Argentaria SA *		575,154
	330,855	Banco de Sabadell SA *		235,868
	164,226	Banco Santander SA *		605,543
	67,271	Bankinter SA		393,700
	6,442	Cia de Distribucion Integral Logista Holdings SA		139,856
	1,122	Ebro Foods SA		22,531
	72	Enagas SA		1,639
	9,275	Gestamp Automocion SA *		43,139
	2,417	Grupo Catalana Occidente SA		91,538
	10,184	Industria de Diseno Textil SA		347,900
	21,753	Mediaset Espana Comunicacion SA *		132,699
	13,171	Red Electrica Corp SA		262,676
	12,754	Repsol SA		146,354
	116,120	Unicaja Banco SA		107,135
		Total Spain		3,942,909
		Sweden — 0.2%
	14,142	Investor AB – B Shares		338,258
	7,159	Inwido AB		140,413
	565	Kinnevik AB – Class B *		22,137
	70	Nordea Bank Abp		822
	5,117	Skanska AB – B Shares		147,513
	1,688	Svenska Cellulosa AB SCA – Class B		29,833
		Total Sweden		678,976
		Switzerland — 0.2%
	7,935	Adecco Group AG (Registered)		441,403
	681	BKW AG		78,982
	81	Credit Suisse Group AG (Registered)		858
	48	Schindler Holding AG (Registered)		14,962
	4	Swisscom AG (Registered)		2,348

90 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	393	Zehnder Group AG – Class RG		42,490
		Total Switzerland		581,043
		Taiwan — 0.1%
	49,000	Hon Hai Precision Industry Co Ltd		195,672
	2,000	Pou Chen Corp		2,376
	87,000	Ruentex Development Co Ltd		217,271
		Total Taiwan		415,319
		United Kingdom — 3.3%
	6,082	3i Group Plc		111,855
	23,212	Aviva Plc		129,015
	1,294	Bank of Georgia Group Plc *		29,714
	65,547	Barratt Developments Plc		666,718
	6,874	Bellway Plc		333,141
	13,917	Berkeley Group Holdings Plc (The)		924,431
	239,706	BT Group Plc *		560,338
	7,431	Central Asia Metals Plc		25,578
	20,158	Coca-Cola HBC AG *		729,617
	25,949	Compass Group Plc * (a)		536,105
	2,345	Computacenter Plc (a)		94,861
	406	DCC Plc		34,512
	5,016	Evraz Plc		40,801
	2,868	Ferguson Plc		414,536
	64,381	Ferrexpo Plc		337,431
	14,826	Frasers Group Plc *		136,481
	4,488	Go-Ahead Group Plc (The) *		58,161
	1,751	Grafton Group Plc		33,649
	19,096	Halfords Group Plc		95,567
	15,670	IG Group Holdings Plc		201,788
	4,648	IMI Plc		116,556
	29,866	Indivior Plc *		79,839
	13,449	Investec Plc		56,575
	150,673	ITV Plc * (a)		240,140
	37,651	Just Group Plc *		48,318
	202,341	Kingfisher Plc		974,276
	326,922	M&G Plc		926,056
	73,036	Micro Focus International Plc (a)		446,680
	4,384	Morgan Sindall Group Plc		154,871
	12,145	National Grid Plc		157,086
	4,001	Numis Corp Plc		20,608
	16,664	OSB Group Plc		116,907
	16,757	Paragon Banking Group Plc		129,504
	14,660	Persimmon Plc		593,311
	14,450	Pets at Home Group Plc		99,505
	15,981	Plus500 Ltd		328,544
	75,954	Premier Foods Plc		126,421
	18,553	Reach Plc (a)		104,406
	20,273	Royal Dutch Shell Plc – B Shares		398,924
	54,150	Royal Mail Plc		368,802

Shares		Description	Value ($)
		United Kingdom — continued
	2,001	Schroders Plc		104,033
	1,985	Smiths Group Plc		39,396
	7,940	Stock Spirits Group Plc		42,966
	53,990	Tate & Lyle Plc		524,357
	97,413	Taylor Wimpey Plc		245,216
	36,141	WPP Plc (a)		490,030
		Total United Kingdom		12,427,626
		United States — 12.3%
	3,500	Aflac, Inc.		198,380
	300	Akamai Technologies, Inc. * (a)		33,975
	5,200	Alliance Data Systems Corp. (a)		510,172
	8,500	Ally Financial, Inc.		449,650
	2,778	American Express Co.		461,037
	1,200	Anthem, Inc. (a)		450,156
	5,100	Arrow Electronics, Inc. *		618,222
	16,100	AT&T, Inc.		441,462
	9,200	Athene Holding Ltd. – Class A *		616,124
	6,300	Bed Bath & Beyond, Inc. *		173,502
	1,900	Best Buy Co., Inc.		221,369
	400	Bio-Rad Laboratories, Inc. – Class A *		321,928
	1,700	Biogen, Inc. *		576,147
	171	Booking Holdings, Inc. * (a)		393,244
	400	Booz Allen Hamilton Holding Corp.		32,764
	18,013	BorgWarner, Inc.		768,795
	4,000	Capital One Financial Corp.		663,880
	3,400	Cardinal Health, Inc. (a)		178,466
	11,300	Carrier Global Corp.		650,880
	6,500	CBRE Group, Inc. – Class A *		625,950
	6,900	Centene Corp. * (a)		434,562
	100	CenterPoint Energy, Inc.		2,509
	2,859	Chevron Corp.		276,665
	2,500	Cigna Corp. (a)		529,125
	8,600	Citigroup, Inc.		618,426
	10,000	Citizens Financial Group, Inc.		437,900
	6,255	Coca-Cola Co. (The)		352,219
	6,300	Cognizant Technology Solutions Corp. – Class A (a)		480,753
	10,300	Comcast Corp. – Class A (a)		625,004
	100	Consolidated Edison, Inc.		7,545
	10,300	Corteva, Inc.		452,891
	2,000	Coty Inc. – Class A *		19,540
	7,400	CVS Health Corp. (a)		639,286
	1,900	Discover Financial Services		243,618
	900	Discovery, Inc. – Class A * (a)		25,956
	14,600	DISH Network Corp. – Class A * (a)		636,414
	6,200	DR Horton, Inc.		592,844
	5,800	eBay, Inc.		445,092
	5,859	EOG Resources, Inc.		395,600
	8,600	Exelon Corp.		421,572
	2,400	Fidelity National Financial, Inc.		117,192

See accompanying notes to the financial statements. 91

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,400	FleetCor Technologies, Inc. * (a)		368,592
	44,400	Ford Motor Co. *		578,532
	700	Fortune Brands Home & Security, Inc.		68,159
	2,900	Fox Corp. – Class A (a)		108,576
	16,400	Fox Corp. – Class B (a)		567,932
	1,400	Franklin Resources, Inc.		45,416
	10,200	General Motors Co. *		499,902
	7,100	Gilead Sciences, Inc.		516,738
	1,908	Global Payments, Inc. (a)		310,317
	1,100	Goldman Sachs Group, Inc. (The)		454,861
	3,297	Green Plains, Inc. *		115,725
	3,365	Hasbro, Inc.		330,813
	3,169	Hilton Worldwide Holdings, Inc. * (a)		395,681
	17,000	HP, Inc.		505,580
	2,900	IAC/InterActiveCorp * (a)		382,945
	600	Incyte Corp. *		45,894
	9,700	Intel Corp.		524,382
	3,184	Intercontinental Exchange, Inc.		380,584
	4,500	International Business Machines Corp. (a)		631,530
	21,500	Invesco Ltd.		544,380
	2,800	Jazz Pharmaceuticals Plc *		368,788
	35,300	Kinder Morgan, Inc.		574,331
	9,600	Kohl’s Corp.		551,040
	9,100	Kraft Heinz Co. (The)		327,509
	13,100	Kroger Co. (The)		602,993
	1,800	Laboratory Corp. of America Holdings * (a)		546,084
	5,570	Las Vegas Sands Corp. * (a)		248,478
	300	Lear Corp.		47,982
	3,500	Leidos Holdings, Inc.		343,385
	5,900	Lennar Corp. – Class A		633,129
	9,300	Lincoln National Corp.		638,445
	8,000	LKQ Corp. *		421,520
	43,800	Lumen Technologies, Inc.		538,740
	9,547	Lyft, Inc. – Class A *		454,533
	5,700	LyondellBasell Industries NV – Class A		571,995
	296	Markel Corp. *		375,994
	100	Masco Corp.		6,072
	1,300	Medical Properties Trust, Inc. (REIT)		26,624
	2,900	Merck & Co., Inc.		221,241
	9,700	MetLife, Inc.		601,400
	6,500	Micron Technology, Inc. *		479,050
	1,400	Mohawk Industries, Inc. *		276,864
	11,000	Molson Coors Brewing Co. – Class B		522,830
	10	NVR, Inc. *		51,799
	800	Omnicom Group, Inc. (a)		58,576
	7,500	Oracle Corp. (a)		668,475
	1,700	PACCAR, Inc.		139,179
	3,100	PPL Corp.		90,985
	2,300	Principal Financial Group, Inc.		153,663
	6,200	Prudential Financial, Inc.		656,456
	8,600	PulteGroup, Inc.		463,196

Shares		Description	Value ($)
		United States — continued
	3,600	Quest Diagnostics, Inc. (a)		550,188
	37,000	Qurate Retail, Inc. – Series A		408,110
	4,687	Raytheon Technologies Corp.		397,270
	900	Regeneron Pharmaceuticals, Inc. *		606,060
	8,598	Sensata Technologies Holding Plc *		508,830
	600	Snap-on, Inc.		134,970
	5,900	SS&C Technologies Holdings, Inc. (a)		446,394
	12,400	Synchrony Financial		616,900
	300	Synopsys, Inc. * (a)		99,672
	6,500	Textron, Inc.		472,355
	6,300	Tyson Foods, Inc. – Class A		494,676
	100	United Rentals, Inc. *		35,265
	4,100	Universal Health Services, Inc. – Class B (a)		638,616
	8,818	US Bancorp		506,065
	8,600	Verizon Communications, Inc.		473,000
	10,608	Verso Corp. – Class A		202,082
	5,250	VF Corp.		401,467
	12,000	ViacomCBS, Inc. – Class B (a)		497,400
	30,300	Viatris, Inc.		443,289
	7,600	VICI Properties, Inc. (REIT)		234,916
	2,900	VMware, Inc. – Class A * (a)		431,723
	10,100	Walgreens Boots Alliance, Inc.		512,575
	9,252	Wells Fargo & Co.		422,816
	18,500	Western Union Co. (The) (a)		400,340
	6,900	Western Digital Corp. *		436,080
	2,000	Whirlpool Corp.		443,060
		Total United States		45,992,830
		TOTAL COMMON STOCKS (COST $131,696,358)		151,255,006
		PREFERRED STOCKS (c) — 0.2%
		Brazil — 0.1%
	37,228	Bradespar SA		454,658
		Germany — 0.1%
	3,303	Bayerische Motoren Werke AG		276,520
	1,038	Draegerwerk AG & Co KGaA (a)		87,662
		Total Germany		364,182
		TOTAL PREFERRED STOCKS (COST $586,878)		818,840
		MUTUAL FUNDS — 60.0%
		United States — 60.0%
		Affiliated Issuers — 60.0%
	479,901	GMO Emerging Country Debt Fund, Class VI		12,587,808
	2,138,759	GMO Emerging Markets Fund, Class VI		78,941,603
	2,183,811	GMO International Equity Fund, Class IV		55,075,710
	386,173	GMO Opportunistic Income Fund, Class VI		10,040,489

92 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	656,014		GMO Quality Fund, Class VI		20,041,237
	1,260,147		GMO U.S. Equity Fund, Class VI		19,973,333
	1,021,862		GMO U.S. Small Cap Value Fund, Class VI		26,517,311
	394,081		GMO U.S. Treasury Fund		1,986,169
			TOTAL MUTUAL FUNDS (COST $190,295,391)		225,163,660
			SHORT-TERM INVESTMENTS — 0.2%
			Money Market Funds — 0.2%
	605,280		State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d)		605,280
			TOTAL SHORT-TERM INVESTMENTS (COST $605,280)		605,280
			TOTAL INVESTMENTS — 100.7% (Cost $323,183,907)		377,842,786
			SECURITIES SOLD SHORT — (18.6)%
			Common Stocks — (18.5)%
			Australia — (0.6)%
	(5,742	)	Afterpay Ltd *		(558,521	)
	(74,638	)	APA Group		(499,781	)
	(3,528	)	ASX Ltd		(225,799	)
	(1,415	)	Cochlear Ltd		(240,347	)
	(12,977	)	Qantas Airways Ltd *		(48,050	)
	(90,317	)	Sydney Airport *		(524,304	)
			Total Australia		(2,096,802	)
			Austria — (0.2)%
	(5,895	)	Verbund AG		(645,755	)
			Belgium — (0.0)%
	(1,100	)	Galapagos NV *		(65,065	)
			Canada — (0.0)%
	(6,500	)	AltaGas Ltd		(130,191	)
			Denmark — (0.1)%
	(8,566	)	Ambu A/S – Class B		(270,908	)
			France — (0.7)%
	(10,822	)	Accor SA *		(373,191	)
	(2,881	)	Aeroports de Paris *		(339,280	)
	(270	)	Eurazeo SE		(27,775	)
	(35,316	)	Getlink SE		(568,887	)
	(398	)	Hermes International		(585,780	)
	(355	)	Sartorius Stedim Biotech		(215,332	)
	(5,309	)	Ubisoft Entertainment SA *		(337,238	)

Shares			Description	Value ($)
			Common Stocks — continued
			France — continued
	(1,645	)	Wendel SE		(238,715	)
	(138	)	Worldline SA *		(12,288	)
			Total France		(2,698,486	)
			Germany — (0.9)%
	(3,605	)	Delivery Hero SE *		(523,196	)
	(10	)	Deutsche Boerse AG		(1,725	)
	(211	)	MTU Aero Engines AG		(48,424	)
	(5,022	)	Puma SE		(609,745	)
	(4,014	)	QIAGEN NV *		(222,062	)
	(3,698	)	RWE AG		(144,398	)
	(1,280	)	Scout24 AG		(107,613	)
	(621	)	TeamViewer AG *		(20,690	)
	(196,604	)	Telefonica Deutschland Holding AG		(551,892	)
	(9,839	)	Uniper SE		(390,635	)
	(5,210	)	Zalando SE *		(577,658	)
			Total Germany		(3,198,038	)
			Israel — (0.2)%
	(1,200	)	CyberArk Software Ltd *		(201,528	)
	(1,700	)	Wix.com Ltd *		(377,536	)
			Total Israel		(579,064	)
			Italy — (0.5)%
	(4,390	)	Amplifon SPA		(229,629	)
	(16,306	)	Atlantia SPA *		(305,438	)
	(2,677	)	Ferrari NV		(580,697	)
	(34,425	)	FinecoBank Banca Fineco SPA *		(634,179	)
	(8,522	)	Infrastrutture Wireless Italiane SPA		(101,390	)
			Total Italy		(1,851,333	)
			Japan — (2.2)%
	(28,600	)	Acom Co Ltd		(110,534	)
	(5,200	)	ANA Holdings Inc *		(123,264	)
	(15,700	)	Asahi Intecc Co Ltd		(475,022	)
	(4,100	)	GMO Payment Gateway Inc		(537,915	)
	(1,800	)	Harmonic Drive Systems Inc		(99,385	)
	(16,200	)	Hitachi Metals Ltd *		(312,711	)
	(600	)	Ibiden Co Ltd		(32,284	)
	(28,500	)	Isetan Mitsukoshi Holdings Ltd		(190,872	)
	(5,000	)	Japan Airlines Co Ltd *		(106,523	)
	(6,700	)	Japan Airport Terminal Co Ltd *		(304,159	)
	(8,600	)	Japan Exchange Group Inc		(204,813	)
	(72	)	Japan Real Estate Investment Corp (REIT)		(444,969	)
	(20,400	)	JGC Holding Corp		(171,132	)
	(21,700	)	Keikyu Corp		(264,512	)
	(900	)	Keio Corp		(48,429	)
	(4,100	)	Kintetsu Group Holdings Co Ltd *		(140,040	)
	(2,400	)	Lasertec Corp		(522,022	)
	(5,900	)	Lion Corp		(100,394	)

See accompanying notes to the financial statements. 93

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			Japan — continued
	(13,000	)	LIXIL Corp		(378,322	)
	(6,900	)	M3 Inc		(462,766	)
	(100	)	McDonald’s Holdings Co Japan Ltd		(4,770	)
	(7,300	)	Mercari Inc *		(360,200	)
	(2,000	)	Mizuho Financial Group Inc		(28,024	)
	(20,300	)	MonotaRO Co Ltd		(449,905	)
	(500	)	Nidec Corp		(57,114	)
	(17,800	)	Nihon M&A Center Inc		(530,798	)
	(25,900	)	Nippon Paint Holdings Co Ltd		(321,657	)
	(4,700	)	Nissin Foods Holdings Co Ltd		(365,889	)
	(13,700	)	Odakyu Electric Railway Co Ltd		(319,205	)
	(3,000	)	ORIENTAL LAND CO LTD		(453,887	)
	(2,400	)	Shiseido Co Ltd		(159,070	)
	(2,300	)	Tokyu Corp		(31,627	)
	(1,200	)	West Japan Railway Co		(65,540	)
	(2,400	)	Yaskawa Electric Corp		(117,142	)
			Total Japan		(8,294,896	)
			Netherlands — (0.3)%
	(225	)	Adyen NV *		(727,217	)
	(1,267	)	Heineken Holding NV		(117,529	)
	(4,675	)	Just Eat Takeaway.com NV *		(423,585	)
			Total Netherlands		(1,268,331	)
			New Zealand — (0.0)%
	(1,248	)	Xero Ltd *		(138,033	)
			Norway — (0.0)%
	(1,455	)	Schibsted ASA – B Shares		(67,604	)
	(1,818	)	Schibsted ASA – Class A		(96,993	)
			Total Norway		(164,597	)
			Russia — (0.0)%
	(1,779	)	Magnit PJSC Sponsored GDR (Registered)		(27,078	)
			Singapore — (0.2)%
	(15,800	)	Singapore Airlines Ltd *		(59,232	)
	(75,600	)	Singapore Exchange Ltd		(554,886	)
			Total Singapore		(614,118	)
			Spain — (0.4)%
	(9,520	)	Cellnex Telecom SA		(651,627	)
	(20,162	)	Ferrovial SA		(583,881	)
	(13,737	)	Siemens Gamesa Renewable Energy SA		(407,323	)
			Total Spain		(1,642,831	)
			Sweden — (0.2)%
	(9,840	)	Embracer Group AB *		(223,996	)
	(3,156	)	Evolution AB		(509,543	)
	(3,850	)	Sinch AB *		(86,554	)
			Total Sweden		(820,093	)

Shares			Description	Value ($)
			Common Stocks — continued
			Switzerland — (0.4)%
	(6	)	Chocoladefabriken Lindt & Spruengli AG		(70,585	)
	(347	)	Partners Group Holding AG		(615,232	)
	(50	)	Schindler Holding AG		(16,146	)
	(326	)	Straumann Holding AG (Registered)		(629,911	)
			Total Switzerland		(1,331,874	)
			United Kingdom — (1.4)%
	(8,248	)	Admiral Group Plc		(409,811	)
	(15,915	)	Antofagasta Plc		(318,807	)
	(63,397	)	Auto Trader Group Plc		(548,233	)
	(89,716	)	ConvaTec Group Plc		(278,006	)
	(22,806	)	Entain Plc *		(606,088	)
	(204	)	Experian Plc		(8,998	)
	(5,828	)	Halma Plc		(240,672	)
	(25,844	)	Hargreaves Lansdown Plc		(536,718	)
	(72,715	)	Informa Plc *		(531,405	)
	(27,030	)	Land Securities Group Plc (REIT)		(263,993	)
	(4,565	)	London Stock Exchange Group Plc		(500,068	)
	(10,490	)	Melrose Industries Plc		(24,222	)
	(16,564	)	Ocado Group Plc *		(459,075	)
	(307,251	)	Rolls-Royce Holdings Plc *		(484,542	)
	(1,004	)	Spirax-Sarco Engineering Plc		(222,642	)
			Total United Kingdom		(5,433,280	)
			United States — (10.2)%
	(15,600	)	AES Corp. (The)		(372,372	)
	(2,700	)	Airbnb, Inc. – Class A *		(418,473	)
	(2,300	)	American Tower Corp. (REIT)		(671,991	)
	(5,400	)	Aramark		(187,866	)
	(3,000	)	Arthur J Gallagher & Co.		(430,860	)
	(1,900	)	Autodesk, Inc. *		(589,171	)
	(3,500	)	Avalara, Inc. *		(628,950	)
	(100	)	Bio-Techne Corp.		(49,914	)
	(1,900	)	BioMarin Pharmaceutical, Inc. *		(159,999	)
	(2,000	)	Boeing Co. (The) *		(439,000	)
	(1,900	)	Burlington Stores, Inc. *		(569,031	)
	(4,400	)	Caesars Entertainment, Inc. *		(447,172	)
	(100	)	Carnival Corp *		(2,414	)
	(1,700	)	Carvana Co. *		(557,702	)
	(3,300	)	Catalent, Inc. *		(430,452	)
	(4,000	)	Ceridian HCM Holding, Inc. *		(449,400	)
	(300	)	Chipotle Mexican Grill, Inc. *		(570,999	)
	(8,100	)	Clarivate Plc *		(204,039	)
	(4,300	)	Cloudflare, Inc. – Class A *		(519,182	)
	(2,000	)	CME Group, Inc.		(403,440	)
	(3,900	)	Cognex Corp.		(345,618	)
	(400	)	CoStar Group, Inc. *		(33,896	)
	(2,000	)	Coupa Software, Inc. *		(489,620	)
	(2,800	)	Crown Castle International Corp. (REIT)		(545,132	)
	(9,700	)	Delta Air Lines, Inc. *		(392,268	)

94 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2021 (Unaudited)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(1,200	)	Dexcom, Inc. *		(635,304	)
	(2,100	)	DocuSign, Inc. *		(622,104	)
	(8,900	)	DraftKings Inc. – Class A *		(527,681	)
	(2,400	)	Dynatrace, Inc. *		(164,952	)
	(900	)	Equifax, Inc.		(245,034	)
	(700	)	Equinix, Inc. (REIT)		(590,415	)
	(7,300	)	Equity LifeStyle Properties, Inc. (REIT)		(621,011	)
	(300	)	Erie Indemnity Co. – Class A		(53,127	)
	(4,300	)	Exact Sciences Corp. *		(448,834	)
	(2,700	)	Expedia Group, Inc. *		(390,150	)
	(100	)	First Republic Bank		(19,894	)
	(400	)	Gartner, Inc. *		(123,496	)
	(4,700	)	Guidewire Software, Inc. *		(556,762	)
	(2,300	)	Hess Corp.		(158,125	)
	(25,800	)	Host Hotels & Resorts, Inc. (REIT) *		(427,248	)
	(900	)	HubSpot, Inc. *		(616,023	)
	(900	)	IDEXX Laboratories, Inc. *		(606,384	)
	(3,300	)	Ingersoll Rand, Inc. *		(174,966	)
	(2,000	)	Insulet Corp. *		(595,620	)
	(1,400	)	Ionis Pharmaceuticals, Inc. *		(55,664	)
	(2,500	)	IQVIA Holdings, Inc. *		(649,325	)
	(5,600	)	Iron Mountain, Inc. (REIT)		(267,400	)
	(1,000	)	KKR & Co., Inc.		(64,290	)
	(7,200	)	Lamb Weston Holdings, Inc.		(469,080	)
	(1,500	)	Liberty Broadband Corp. – Class A *		(278,655	)
	(1,000	)	Liberty Broadband Corp. – Class C *		(191,320	)
	(12,800	)	Liberty Media Corp-Liberty Formula One – Class C *		(646,912	)
	(1,800	)	Liberty Media Corp-Liberty SiriusXM – Class A *		(89,100	)
	(2,100	)	Liberty Media Corp-Liberty SiriusXM – Class C *		(103,635	)
	(700	)	Linde Plc		(220,213	)
	(6,600	)	Live Nation Entertainment, Inc. *		(572,220	)
	(1,000	)	MarketAxess Holdings, Inc.		(475,920	)
	(900	)	Marriott International, Inc. – Class A *		(121,626	)
	(6,500	)	MGM Resorts International		(277,030	)
	(1,700	)	MongoDB, Inc. *		(666,111	)
	(800	)	Monolithic Power Systems, Inc.		(395,944	)
	(1,000	)	MSCI, Inc.		(634,580	)
	(3,300	)	NiSource, Inc.		(81,345	)
	(3,000	)	Novocure Ltd. *		(402,630	)
	(3,100	)	Oak Street Health, Inc. *		(144,863	)
	(5,600	)	Occidental Petroleum Corp.		(143,864	)
	(2,200	)	Okta, Inc. *		(579,920	)
	(3,200	)	Palantir Technologies, Inc. – Class A *		(84,288	)
	(1,200	)	Paycom Software, Inc. *		(586,680	)
	(3,200	)	Peloton Interactive, Inc. – Class A *		(320,608	)
	(900	)	Public Storage (REIT)		(291,249	)
	(1,700	)	RingCentral, Inc. – Class A *		(428,842	)
	(1,500	)	Roku, Inc. *		(528,600	)

Shares			Description	Value ($)
			Common Stocks — continued
			United States — continued
	(6,300	)	Rollins, Inc.		(245,196	)
	(5,500	)	Royal Caribbean Cruises Ltd. *		(455,015	)
	(5,800	)	Sarepta Therapeutics, Inc. *		(453,096	)
	(400	)	Seagen, Inc. *		(67,040	)
	(1,100	)	ServiceNow, Inc. *		(708,004	)
	(3,600	)	Simon Property Group, Inc. (REIT)		(484,020	)
	(8,200	)	Snap, Inc. – Class A *		(624,102	)
	(1,900	)	Snowflake, Inc. – Class A *		(578,265	)
	(3,600	)	Southwest Airlines Co. *		(179,208	)
	(2,300	)	Square, Inc. – Class A *		(616,561	)
	(2,800	)	Starbucks Corp.		(328,972	)
	(100	)	Sun Communities, Inc. (REIT)		(20,149	)
	(300	)	T-Mobile US, Inc. *		(41,106	)
	(2,900	)	Teladoc Health, Inc. *		(418,818	)
	(900	)	Tesla, Inc. *		(662,148	)
	(500	)	Trade Desk, Inc. (The) – Class A *		(40,025	)
	(1,600	)	Twilio, Inc. – Class A *		(571,136	)
	(5,800	)	Twitter, Inc. *		(374,100	)
	(9,800	)	Uber Technologies, Inc. *		(383,572	)
	(11,200	)	UDR, Inc. (REIT)		(605,024	)
	(1,700	)	Vail Resorts, Inc. *		(518,245	)
	(5,400	)	Vistra Corp.		(103,086	)
	(800	)	Wayfair, Inc. – Class A *		(224,600	)
	(20,200	)	Williams Cos, Inc. (The)		(498,738	)
	(3,000	)	Zendesk, Inc. *		(370,800	)
	(1,200	)	Zillow Group, Inc. – Class A *		(114,720	)
	(4,342	)	Zillow Group, Inc. – Class C *		(415,833	)
	(2,500	)	Zscaler, Inc. *		(695,850	)
			Total United States		(38,055,434	)
			TOTAL COMMON STOCKS (PROCEEDS $62,777,742)		(69,326,207	)
			PREFERRED STOCKS (c) — (0.1)%
			Germany — (0.1)%
	(831	)	Sartorius AG		(547,473	)
			TOTAL PREFERRED STOCKS (PROCEEDS $362,834)		(547,473	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $63,140,576)		(69,873,680	)
			Other Assets and Liabilities (net) — 17.9%		67,353,199
			TOTAL NET ASSETS — 100.0%		$375,322,305

See accompanying notes to the financial statements. 95

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2021 (Unaudited)

A summary of outstanding financial instruments at August 31, 2021 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 0.75%	GS		USD	658,026	05/24/2022		Monthly		—		(24,163	)		(24,163	)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 0.75%	GS		USD	66,624	05/24/2022		Monthly		—		(3,302	)		(3,302	)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 0.50%	GS		USD	734,255	05/24/2022		Monthly		—		14,631			14,631
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 0.63%	GS		USD	91,171	05/24/2022		Monthly		—		(4,325	)		(4,325	)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	3,107	10/18/2022		Monthly		—		(286	)		(286	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	4,244,200	10/18/2022		Monthly		—		(108,959	)		(108,959	)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	314,807	10/18/2022		Monthly		—		(1,272	)		(1,272	)
Total Return on Equity Basket (e)	1 Month Federal Funds Rate minus 2.50%	MORD		USD	1,413,211	05/18/2023		Monthly		—		(20,112	)		(20,112	)
									$	—	$	(147,788	)	$	(147,788	)

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

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

(d) The rate disclosed is the 7 day net yield as of August 31, 2021.

(e) 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.

(f) The following table represents the individual short positions within the custom equity basket swap as of August 31, 2021:

Shares		Description	% of Equity Basket			Value ($)
	2,320,000	Alibaba Pictures Group Ltd		5.7	%		247,267
	792,000	China Molybdenum Co Ltd – Class H		14.2	%		617,892
	46,000	China Resources Beer Holdings Co Ltd		8.7	%		378,275
	200,000	China Youzan Ltd		0.6	%		27,999
	16,000	Galaxy Entertainment Group Ltd		2.4	%		102,585
	284,000	Greentown Service Group Co Ltd		7.0	%		303,706
	3,000	Haidilao International Holding Ltd		0.3	%		12,244
	9,400	Hong Kong Exchanges and Clearing Ltd		13.7	%		593,836
	136,000	Kingdee International Software Group Co Ltd		11.4	%		495,227
	14,000	New World Development Co Ltd		1.5	%		65,851
	94,800	Sands China Ltd		7.0	%		304,554
	145,000	SJM Holdings Ltd		2.9	%		126,181
	8,000	Venus Medtech Hangzhou Inc – Class H		0.9	%		37,866
	199,600	Wynn Macau Ltd		5.2	%		224,896
	39,000	Yihai International Holding Ltd.		4.8	%		210,992
	420,000	Zijin Mining Group Co Ltd – Class H		13.7	%		594,290
		TOTAL COMMON STOCKS				$	4,343,661

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 97.

96 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2021 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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

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

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

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.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

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

SONIA - Sterling Overnight Interbank Average Rate

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

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

The rates shown on variable rate notes are the current interest rates at August 31, 2021, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

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.

MLCS - Merrill Lynch Capital Services, Inc.

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

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 97

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited)

	Consolidated Alternative Allocation Fund		Benchmark-Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	12,573,638	$	6,106,577,259	$	326,728,838	$	653,752,855
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		311,750,823		4,706,724		1,786,387,823		424,326
Foreign currency, at value (Note 2)(d)		61,387		—		870,424		—
Cash		2,790,532		—		—		—
Receivable for investments sold		2,296,908		15,030,000		12,660,912		400,000
Collateral on investments sold short (Note 2)		149,570,100		—		413,129,000		—
Receivable for Fund shares sold		1,333,104		827,471		—		75,000
Dividends and interest receivable		249,416		21		3,525,908		5
Dividend withholding tax receivable		15,487		—		346,037		—
Foreign capital gains tax refund receivable (Note 2)		—		—		115,370		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,856,370		—		1,246,988		—
Receivable for variation margin on open cleared swap contracts (Note 4)		568,869		—		226,694		—
Due from broker (Note 2)		8,397,360		—		4,960,891		—
Receivable for variation margin on open futures contracts (Note 4)		333,719		—		149,699		—
Receivable for open OTC swap contracts (Note 4)		3,205,429		—		208,938		—
Interest receivable for open OTC swap contracts (Note 4)		190,271		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		40,044		294,729		125,752		13,256
Total assets		495,233,457		6,127,436,204		2,550,683,274		654,665,442
Liabilities:
Investments sold short, at value (Note 2)(e)		151,388,395		—		412,692,433		—
Due to custodian		—		—		335,079		—
Due to broker (Note 2)		—		—		3		—
Payable for cash collateral from securities loaned (Note 2)		—		—		5,348,116		—
Payable for investments purchased		4,626,672		12,000,000		11,004,269		—
Payable for Fund shares repurchased		14,615		2,770,633		71,448,397		247,000
Accrued foreign capital gains tax payable (Note 2)		13		—		512,955		—
Payable to affiliate for (Note 5):
Management fee		204,975		3,401,481		—		—
Supplemental support fee – Class MF		—		135,608		—		—
Shareholder service fee		38,312		493,140		—		—
Payable to agents unaffiliated with GMO		163		1,712		611		103
Payable for variation margin on open futures contracts (Note 4)		120,845		—		1,704,980		—
Payable for closed swap contracts (Note 4)		16,513		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		2,261,505		—		1,760,492		—
Interest payable for open OTC swap contracts (Note 4)		44,946		—		—		—
Interest and dividend payable for short sales		189,028		—		223,820		—
Payable for open OTC swap contracts (Note 4)		503,482		—		1,068,222		—
Payable to Trustees and related expenses		1,330		60,797		17,104		11,776
Written options outstanding, at value (Note 4)(f)		88,677		—		—		—
Accrued expenses		198,396		201,006		919,433		77,956
Total liabilities		159,697,867		19,064,377		507,035,914		336,835
Net assets	$	335,535,590	$	6,108,371,827	$	2,043,647,360	$	654,328,607
(a)  Cost of investments – affiliated issuers:	$	11,308,238	$	6,179,195,008	$	322,287,453	$	630,909,987
(b)  Cost of investments – unaffiliated issuers:	$	302,858,539	$	4,706,724	$	1,587,639,054	$	428,877
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	24,350,984	$	—
(d)  Cost of foreign currency:	$	68,001	$	—	$	867,662	$	—
(e)  Proceeds from securities sold short:	$	132,522,984	$	—	$	368,773,958	$	—
(f)   Premiums on written options:	$	275,646	$	—	$	—	$	—

98 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	370,777,397		$	6,380,556,426		$	2,248,331,727		$	811,294,228
Distributable earnings (accumulated loss)		(35,241,807	)		(272,184,599	)		(204,684,367	)		(156,965,621	)
	$	335,535,590		$	6,108,371,827		$	2,043,647,360		$	654,328,607
Net assets attributable to:
Class III	$	—		$	1,792,736,803		$	2,043,647,360		$	608,880,734
Class IV	$	—		$	2,102,452,630		$	—		$	—
Class VI	$	166,985,093		$	—		$	—		$	—
Class MF	$	—		$	1,586,436,893		$	—		$	—
Class R6	$	3,565		$	283,345,299		$	—		$	31,934,852
Class I	$	168,546,932		$	343,400,202		$	—		$	13,513,021
Shares outstanding:
Class III		—			67,925,099			103,105,792			16,666,024
Class IV		—			79,654,501			—			—
Class VI		9,220,899			—			—			—
Class MF		—			60,041,900			—			—
Class R6		196			10,743,242			—			874,588
Class I		9,330,792			13,026,636			—			369,901
Net asset value per share:
Class III	$	—		$	26.39		$	19.82		$	36.53
Class IV	$	—		$	26.39		$	—		$	—
Class VI	$	18.11		$	—		$	—		$	—
Class MF	$	—		$	26.42		$	—		$	—
Class R6	$	18.21		$	26.37		$	—		$	36.51
Class I	$	18.06		$	26.36		$	—		$	36.53

See accompanying notes to the financial statements. 99

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	98,440,630	$	1,708,590,350	$	11,596,552	$	254,166,670
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		59,647		659,761		5,504,264,049		89,564
Foreign currency, at value (Note 2)(d)		—		—		2,267,540		—
Receivable for investments sold		—		10,000,000		27,281,894		—
Collateral on investments sold short (Note 2)		—		—		1,104,864,000		—
Receivable for Fund shares sold		—		140		12,000,000		—
Dividends and interest receivable		—		3		13,153,292		—
Dividend withholding tax receivable		—		—		898,401		—
Foreign capital gains tax refund receivable (Note 2)		—		—		7,095		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		8,043,594		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		1,511,299		—
Due from broker (Note 2)		—		—		478,348,220		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		214,587		—
Receivable for open OTC swap contracts (Note 4)		—		—		835,139		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		2,961		12,043		299,042		5,159
Total assets		98,503,238		1,719,262,297		7,165,584,704		254,261,393
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		1,493,378,540		—
Due to custodian		—		—		2,332,141		—
Due to broker (Note 2)		—		—		5,137,546		—
Payable for cash collateral from securities loaned (Note 2)		—		—		11,494,916		—
Payable for investments purchased		—		10,000,000		60,367,891		—
Payable for Fund shares repurchased		—		—		3,030,000		—
Accrued foreign capital gains tax payable (Note 2)		—		—		2,195,646		—
Payable to agents unaffiliated with GMO		32		578		1,711		67
Payable for variation margin on open futures contracts (Note 4)		—		—		2,542,861		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		1,996		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		10,273,502		—
Interest payable for open OTC swap contracts (Note 4)		—		—		53,580		—
Interest and dividend payable for short sales		—		—		1,113,702		—
Payable for open OTC swap contracts (Note 4)		—		—		3,923,468		—
Payable to Trustees and related expenses		309		7,901		47,289		1,899
Accrued expenses		33,559		92,523		2,047,966		24,885
Total liabilities		33,900		10,101,002		1,597,942,755		26,851
Net assets	$	98,469,338	$	1,709,161,295	$	5,567,641,949	$	254,234,542
(a)  Cost of investments – affiliated issuers:	$	77,736,047	$	1,483,894,954	$	11,580,814	$	232,050,817
(b)  Cost of investments – unaffiliated issuers:	$	59,647	$	659,761	$	5,190,059,983	$	89,564
(c)  Includes securities on loan at value (Note 2):	$	—	$	—	$	64,871,709	$	—
(d)  Cost of foreign currency:	$	—	$	—	$	2,255,249	$	—
(e)  Proceeds from securities sold short:	$	—	$	—	$	1,294,396,197	$	—

100 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	78,892,313	$	1,514,265,521	$	6,478,863,096		$	393,467,612
Distributable earnings (accumulated loss)		19,577,025		194,895,774		(911,221,147	)		(139,233,070	)
	$	98,469,338	$	1,709,161,295	$	5,567,641,949		$	254,234,542
Net assets attributable to:
Core Class	$	—	$	—	$	5,567,641,949		$	—
Class III	$	98,469,338	$	1,699,029,082	$	—		$	245,025,278
Class R6	$	—	$	7,504,692	$	—		$	9,209,264
Class I	$	—	$	2,627,521	$	—		$	—
Shares outstanding:
Core Class		—		—		429,644,443			—
Class III		3,453,695		51,950,369		—			13,274,936
Class R6		—		229,457		—			498,987
Class I		—		80,371		—			—
Net asset value per share:
Core Class	$	—	$	—	$	12.96		$	—
Class III	$	28.51	$	32.70	$	—		$	18.46
Class R6	$	—	$	32.71	$	—		$	18.46
Class I	$	—	$	32.69	$	—		$	—

See accompanying notes to the financial statements. 101

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (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)	$	843,176,712	$	—	$	225,163,660
Investments in unaffiliated issuers, at value (Note 2)(b)		321,937		318,653,400		152,679,126
Foreign currency, at value (Note 2)(c)		—		41		124,781
Receivable for investments sold		—		—		5,099,015
Collateral on investments sold short (Note 2)		—		—		69,981,001
Receivable for Fund shares sold		23		—		—
Dividends and interest receivable		2		128,326		307,858
Dividend withholding tax receivable		—		—		41,914
Foreign capital gains tax refund receivable (Note 2)		—		—		64
Unrealized appreciation on open forward currency contracts (Note 4)		—		1,321,130		—
Due from broker (Note 2)		—		1,763,725		85
Receivable for variation margin on open futures contracts (Note 4)		—		595,559		—
Receivable for open OTC swap contracts (Note 4)		—		8,643		14,631
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,813		31,814		52,461
Total assets		843,509,487		322,502,638		453,464,596
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		69,873,680
Due to custodian		—		—		1,185
Payable for investments purchased		—		—		52,585
Payable for Fund shares repurchased		—		2,857,379		7,760,000
Accrued foreign capital gains tax payable (Note 2)		—		—		42,253
Payable to affiliate for (Note 5):
Management fee		—		240,168		—
Shareholder service fee		—		20,145		—
Payable to agents unaffiliated with GMO		275		73		91
Payable for variation margin on open futures contracts (Note 4)		—		411,511		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		506,562		—
Interest and dividend payable for short sales		—		—		37,895
Payable for open OTC swap contracts (Note 4)		—		516,113		162,419
Payable to Trustees and related expenses		4,600		4,525		6,291
Accrued expenses		61,355		213,676		205,892
Total liabilities		66,230		4,770,152		78,142,291
Net assets	$	843,443,257	$	317,732,486	$	375,322,305
(a)  Cost of investments – affiliated issuers:	$	746,899,017	$	—	$	190,295,391
(b)  Cost of investments – unaffiliated issuers:	$	321,937	$	318,538,696	$	132,888,516
(c)  Cost of foreign currency:	$	—	$	41	$	124,438
(d)  Proceeds from securities sold short:	$	—	$	—	$	63,140,576

102 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2021 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	876,848,179		$	381,690,193		$	294,940,752
Distributable earnings (accumulated loss)		(33,404,922	)		(63,957,707	)		80,381,553
	$	843,443,257		$	317,732,486		$	375,322,305
Net assets attributable to:
Class III	$	570,867,711		$	30,591,930		$	375,322,305
Class VI	$	—		$	260,579,978		$	—
Class R6	$	272,575,546		$	—		$	—
Class I	$	—		$	26,560,578		$	—
Shares outstanding:
Class III		16,649,292			1,026,953			16,530,377
Class VI		—			8,759,080			—
Class R6		7,951,925			—			—
Class I		—			892,885			—
Net asset value per share:
Class III	$	34.29		$	29.79		$	22.71
Class VI	$	—		$	29.75		$	—
Class R6	$	34.28		$	—		$	—
Class I	$	—		$	29.75		$	—

See accompanying notes to the financial statements. 103

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited)

	Consolidated Alternative Allocation Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,729,885		$	—		$	38,232,058		$	32
Dividends from affiliated issuers (Note 10)		40,947			6,804,590			3,158,185			4,039,966
Interest		241,393			—			84,642			358
Securities lending income from affiliated issuers (net)		—			—			76,990			—
Securities lending income (net)		—			—			126,638			—
Total investment income		3,012,225			6,804,590			41,678,513			4,040,356
Expenses:
Management fee (Note 5)		1,488,908			21,147,777			—			—
Shareholder service fee – Class III (Note 5)		—			1,535,285			—			—
Shareholder service fee – Class IV (Note 5)		—			1,058,424			—			—
Shareholder service fee – Class VI (Note 5)		52,731			—			—			—
Shareholder service fee – Class R6 (Note 5)		406			234,261			—			—
Shareholder service fee – Class I (Note 5)		237,382			257,975			—			—
Supplemental support fee – Class MF (Note 5)		—			843,399			—			—
Audit and tax fees		56,724			15,904			67,297			14,989
Custodian, fund accounting agent and transfer agent fees		224,064			223,754			788,406			48,026
Dividend expense on short sales		1,051,767			—			2,755,438			—
Legal fees		18,181			60,929			37,163			9,152
Registration fees		35,501			48,347			421			26,637
Trustees’ fees and related expenses (Note 5)		7,692			119,685			39,465			18,534
Interest expense and borrowing costs for investments sold short (Note 2)		265,507			—			639,215			—
Miscellaneous		37,195			27,491			77,387	*		6,911	**
Total expenses		3,476,058			25,573,231			4,404,792			124,249
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(181,504	)		(195,916	)		(634,812	)		(95,361	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(60,877	)		(1,486,951	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(1,873	)		(186,889	)		—			—
Net expenses		3,231,804			23,703,475			3,769,980			28,888
Net investment income (loss)		(219,579	)		(16,898,885	)		37,908,533			4,011,468
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		13,622,993			—			116,900,960			805
Investments in affiliated issuers		2,580,654			(18,904,176	)		209,866			29,451,442
Investments in securities sold short		793,193			—			(20,996,423	)		—
Realized gain distributions from affiliated issuers (Note 10)		—			9,111,658			3,821,673			14,537,656
Futures contracts		(2,907,149	)		—			(67,368,890	)		—
Written options		2,509,731			—			—			—
Swap contracts		(5,050,372	)		—			9,051,596			—
Forward currency contracts		299,584			—			7,850,441			—
Foreign currency and foreign currency related transactions		(135,696	)		—			(109,855	)		—
Net realized gain (loss)		11,712,938			(9,792,518	)		49,359,368			43,989,903
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(12,195,251	)		—			(23,147,561	)		(923	)
Investments in affiliated issuers		(1,959,720	)		140,892,659			(1,711,145	)		(5,010,025	)
Investments in securities sold short		(1,354,417	)		—			(13,165,571	)		—
Futures contracts		(469,008	)		—			663,647			—
Written options		393,538			—			—			—
Swap contracts		3,424,912			—			(3,717,146	)		—
Forward currency contracts		(262,480	)		—			(704,922	)		—
Foreign currency and foreign currency related transactions		(141,466	)		—			56,126			—
Net change in unrealized appreciation (depreciation)		(12,563,892	)		140,892,659			(41,726,572	)		(5,010,948	)
Net realized and unrealized gain (loss)		(850,954	)		131,100,141			7,632,796			38,978,955
Net increase (decrease) in net assets resulting from operations	$	(1,070,533	)	$	114,201,256		$	45,541,329		$	42,990,423
(a)  Withholding tax:	$	83,668		$	—		$	3,474,438		$	—
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	42		$	—
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	13		$	—		$	512,955		$	—
*   Includes $66,708 of pricing expenses.
**   Includes $2,616 of printing expenses.

104 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	—		$	21		$	104,207,349		$	—
Dividends from affiliated issuers (Note 10)		1,031,171			16,058,175			—			4,211,991
Interest		2			—			9,125,092			—
Securities lending income from affiliated issuers (net)		—			—			168,852			—
Securities lending income (net)		—			—			344,351			—
Total investment income		1,031,173			16,058,196			113,845,644			4,211,991
Expenses:
Audit and tax fees		11,267			11,696			120,838			12,977
Custodian, fund accounting agent and transfer agent fees		4,965			40,770			1,481,674			13,197
Dividend expense on short sales		—			—			9,654,418			—
Legal fees		607			12,798			63,585			2,156
Registration fees		2,445			41,651			843			25,754
Trustees’ fees and related expenses (Note 5)		1,445			28,127			105,381			4,030
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			2,107,313			—
Miscellaneous		2,249	*		7,522	**		106,839	***		3,165	****
Total expenses		22,978			142,564			13,640,891			61,279
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(21,376	)		(110,260	)		(1,672,724	)		(56,791	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(2,889	)		—
Net expenses		1,602			32,304			11,965,278			4,488
Net investment income (loss)		1,029,571			16,025,892			101,880,366			4,207,503
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			335,704,486			—
Investments in affiliated issuers		380,386			33,518,688			4,075			447,369
Investments in securities sold short		—			—			(85,017,878	)		—
Realized gain distributions from affiliated issuers (Note 10)		2,271,624			30,571,857			—			323,532
Futures contracts		—			—			(166,112,264	)		—
Written options		—			—			(107,440	)		—
Swap contracts		—			—			19,573,750			—
Forward currency contracts		—			—			22,085,975			—
Foreign currency and foreign currency related transactions		—			—			(606,010	)		—
Net realized gain (loss)		2,652,010			64,090,545			125,524,694			770,901
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			(33,451,162	)		—
Investments in affiliated issuers		6,652,779			74,134,015			15,738			15,745,176
Investments in securities sold short		—			—			(69,993,925	)		—
Futures contracts		—			—			4,999,776			—
Swap contracts		—			—			(29,784	)		—
Forward currency contracts		—			—			(3,235,320	)		—
Foreign currency and foreign currency related transactions		—			—			(27,940	)		—
Net change in unrealized appreciation (depreciation)		6,652,779			74,134,015			(101,722,617	)		15,745,176
Net realized and unrealized gain (loss)		9,304,789			138,224,560			23,802,077			16,516,077
Net increase (decrease) in net assets resulting from operations	$	10,334,360		$	154,250,452		$	125,682,443		$	20,723,580
(a)   Withholding tax:	$	—		$	—		$	9,048.242		$	—
(b)   Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(7,488	)	$	—
(c)   Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	1,764,595		$	—
*    Includes $1,821 of printing expenses.
**   Includes $2,763 of printing expenses.
***   Includes $76,780 of pricing expenses.
****  Includes $2,062 of printing expenses.

See accompanying notes to the financial statements. 105

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2021 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(Note 2)(a)	$	9		$	243		$	3,163,853
Dividends from affiliated issuers (Note 10)		10,618,158			—			1,490,187
Interest		—			442,327			—
Total investment income		10,618,167			442,570			4,654,040
Expenses:
Management fee (Note 5)		—			1,630,506			—
Shareholder service fee – Class III (Note 5)		—			23,757			—
Shareholder service fee – Class VI (Note 5)		—			91,424			—
Shareholder service fee – Class I (Note 5)		—			14,640			—
Audit and tax fees		11,391			39,495			23,155
Custodian, fund accounting agent and transfer agent fees		33,103			60,868			191,351
Dividend expense on short sales		—			—			537,977
Legal fees		6,576			6,326			9,324
Registration fees		25,470			49,472			2,790
Trustees’ fees and related expenses (Note 5)		14,124			6,416			10,502
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			121,027
Miscellaneous		4,238	*		25,252			34,683	**
Total expenses		94,902			1,948,156			930,809
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(78,996	)		(167,574	)		(248,752	)
Net expenses		15,906			1,780,582			682,057
Net investment income (loss)		10,602,261			(1,338,012	)		3,971,983
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			86,781			27,220,657
Investments in affiliated issuers		9,841,084			—			16,965,473
Investments in securities sold short		—			—			(6,506,206	)
Realized gain distributions from affiliated issuers (Note 10)		1,085,180			—			3,421,388
Futures contracts		—			1,018,042			—
Swap contracts		—			(1,601,614	)		2,371,717
Forward currency contracts		—			(4,419,338	)		—
Foreign currency and foreign currency related transactions		—			1,812			(22,386	)
Net realized gain (loss)		10,926,264			(4,914,317	)		43,450,643
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			(273,599	)		(11,418,405	)
Investments in affiliated issuers		32,107,502			—			(472,997	)
Investments in securities sold short		—			—			828,147
Futures contracts		—			254,302			—
Swap contracts		—			(507,470	)		(1,229,771	)
Forward currency contracts		—			2,395,246			—
Foreign currency and foreign currency related transactions		—			(29,962	)		(14,171	)
Net change in unrealized appreciation (depreciation)		32,107,502			1,838,517			(12,307,197	)
Net realized and unrealized gain (loss)		43,033,766			(3,075,800	)		31,143,446
Net increase (decrease) in net assets resulting from operations	$	53,636,027		$	(4,413,812	)	$	35,115,429
(a)  Withholding tax:	$	—		$	—		$	246,369
(b)  Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	50,533
(c)  Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(61,076	)
*   Includes $1,699 of printing expenses.
**   Includes $30,317 of pricing expenses.

106 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(219,579	)	$	(994,645	)	$	(16,898,885	)	$	114,142,597
Net realized gain (loss)		11,712,938			(7,143,588	)		(9,792,518	)		60,048,306
Change in net unrealized appreciation (depreciation)		(12,563,892	)		4,116,009			140,892,659			80,415,746
Net increase (decrease) in net assets from operations		(1,070,533	)		(4,022,224	)		114,201,256			254,606,649
Distributions to shareholders:
Class III		—			—			—			(104,307,810	)
Class IV		—			—			—			(71,760,959	)
Class VI		(5,640,719	)		(5,356,980	)		—			—
Class MF		—			—			—			(69,378,466	)
Class R6		(15,158	)		(9,953	)*		—			(1,488,297	)**
Class I		(5,263,713	)		(4,350,593	)		—			(4,256,750	)
Total distributions		(10,919,590	)		(9,717,526	)		—			(251,192,282	)
Net share transactions (Note 9):
Class III		—			—			(476,870,687	)		(1,549,777,251	)
Class IV		—			—			105,835,085			(144,019,491	)
Class VI		(56,256,403	)		37,929,124			—			—
Class MF		—			—			(160,683,562	)		(1,092,603,160	)
Class R6		(463,449	)		487,583	*		(32,888,969	)		308,687,885	**
Class I		(95,091,442	)		239,618,890			13,780,869			222,508,366
Increase (decrease) in net assets resulting from net share transactions		(151,811,294	)		278,035,597			(550,827,264	)		(2,255,203,651	)
Total increase (decrease) in net assets		(163,801,417	)		264,295,847			(436,626,008	)		(2,251,789,284	)
Net assets:
Beginning of period		499,337,007			235,041,160			6,544,997,835			8,796,787,119
End of period	$	335,535,590		$	499,337,007		$	6,108,371,827		$	6,544,997,835

* Period from July 31, 2020 (commencement of operations) through February 28, 2021.

** Period from May 1, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 107

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	37,908,533		$	64,891,218		$	4,011,468		$	33,047,243
Net realized gain (loss)		49,359,368			(174,343,234	)		43,989,903			38,313,845
Change in net unrealized appreciation (depreciation)		(41,726,572	)		239,716,675			(5,010,948	)		72,475,821
Net increase (decrease) in net assets from operations		45,541,329			130,264,659			42,990,423			143,836,909
Distributions to shareholders:
Class III		(5,008,479	)		(71,248,951	)		(4,217,957	)		(38,839,616	)
Class R6		—			—			(225,884	)		(1,148,742	)
Class I		—			—			(90,510	)		—	*
Total distributions		(5,008,479	)		(71,248,951	)		(4,534,351	)		(39,988,358	)
Net share transactions (Note 9):
Class III		(155,381,532	)		(484,449,320	)		(113,442,962	)		(950,346,978	)
Class R6		—			—			(158,950,648	)		164,512,376
Class I		—			—			(7,863,464	)		20,705,602	*
Increase (decrease) in net assets resulting from net share transactions		(155,381,532	)		(484,449,320	)		(280,257,074	)		(765,129,000	)
Total increase (decrease) in net assets		(114,848,682	)		(425,433,612	)		(241,801,002	)		(661,280,449	)
Net assets:
Beginning of period		2,158,496,042			2,583,929,654			896,129,609			1,557,410,058
End of period	$	2,043,647,360		$	2,158,496,042		$	654,328,607		$	896,129,609

* Period from January 6, 2021 (commencement of operations) through February 28, 2021.

108 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,029,571		$	2,465,589		$	16,025,892		$	51,214,464
Net realized gain (loss)		2,652,010			1,263,773			64,090,545			77,284,915
Change in net unrealized appreciation (depreciation)		6,652,779			14,596,077			74,134,015			249,758,702
Net increase (decrease) in net assets from operations		10,334,360			18,325,439			154,250,452			378,258,081
Distributions to shareholders:
Class III		(1,023,034	)		(2,967,463	)		(2,074,073	)		(58,232,912	)
Class R6		—			—			(9,052	)		(227,894	)*
Class I		—			—			(2,140	)		(64,254	)**
Total distributions		(1,023,034	)		(2,967,463	)		(2,085,265	)		(58,525,060	)
Net share transactions (Note 9):
Class III		1,004,489			(587,343	)		(91,147,608	)		(135,640,442	)
Class R6		—			—			80,547			5,755,476	*
Class I		—			—			182,059			1,969,305	**
Increase (decrease) in net assets resulting from net share transactions		1,004,489			(587,343	)		(90,885,002	)		(127,915,661	)
Total increase (decrease) in net assets		10,315,815			14,770,633			61,280,185			191,817,360
Net assets:
Beginning of period		88,153,523			73,382,890			1,647,881,110			1,456,063,750
End of period	$	98,469,338		$	88,153,523		$	1,709,161,295		$	1,647,881,110

* Period from July 15, 2020 (commencement of operations) through February 28 , 2021.

** Period from August 17, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 109

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	101,880,366		$	175,368,048		$	4,207,503		$	9,596,314
Net realized gain (loss)		125,524,694			(653,822,989	)		770,901			1,580,267
Change in net unrealized appreciation (depreciation)		(101,722,617	)		511,939,039			15,745,176			30,626,653
Net increase (decrease) in net assets from operations		125,682,443			33,484,098			20,723,580			41,803,234
Distributions to shareholders:
Core Class		—			(132,218,180	)		—			—
Class III		—			—			(517,683	)		(9,649,537	)
Class R6		—			—			(19,637	)		—
Total distributions		—			(132,218,180	)		(537,320	)		(9,649,537	)
Net share transactions (Note 9):
Core Class		(528,407,715	)		(1,045,204,818	)		—			—
Class III		—			—			8,444,981			(112,552,246	)
Class R6		—			—			220,357			8,318,148	*
Increase (decrease) in net assets resulting from net share transactions		(528,407,715	)		(1,045,204,818	)		8,665,338			(104,234,098	)
Total increase (decrease) in net assets		(402,725,272	)		(1,143,938,900	)		28,851,598			(72,080,401	)
Net assets:
Beginning of period		5,970,367,221			7,114,306,121			225,382,944			297,463,345
End of period	$	5,567,641,949		$	5,970,367,221		$	254,234,542		$	225,382,944

* Period from January 22, 2021 (commencement of operations) through February 28, 2021.

110 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021			Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,602,261		$	33,987,418		$	(1,338,012	)	$	(717,925	)
Net realized gain (loss)		10,926,264			(20,360,817	)		(4,914,317	)		53,389,439
Change in net unrealized appreciation (depreciation)		32,107,502			133,302,879			1,838,517			(19,979,166	)
Net increase (decrease) in net assets from operations		53,636,027			146,929,480			(4,413,812	)		32,692,348
Distributions to shareholders:
Class III		(1,693,254	)		(23,516,204	)		(1,971,844	)		(605,875	)
Class VI		—			—			(21,079,946	)		(7,340,475	)
Class R6		(805,193	)		(10,144,475	)		—			—
Class I		—			—			(1,334,753	)		(170,853	)*
Total distributions		(2,498,447	)		(33,660,679	)		(24,386,543	)		(8,117,203	)
Net share transactions (Note 9):
Class III		(63,170,446	)		(121,597,130	)		2,794,734			11,338,628
Class VI		—			—			(28,542,111	)		(542,443,992	)
Class R6		(6,078,049	)		13,037,294			—			—
Class I		—			—			14,224,889			14,188,676	*
Increase (decrease) in net assets resulting from net share transactions		(69,248,495	)		(108,559,836	)		(11,522,488	)		(516,916,688	)
Total increase (decrease) in net assets		(18,110,915	)		4,708,965			(40,322,843	)		(492,341,543	)
Net assets:
Beginning of period		861,554,172			856,845,207			358,055,329			850,396,872
End of period	$	843,443,257		$	861,554,172		$	317,732,486		$	358,055,329

* Period from September 23, 2020 (commencement of operations) through February 28, 2021.

See accompanying notes to the financial statements. 111

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28, 2021
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,971,983		$	18,754,742
Net realized gain (loss)		43,450,643			14,588,170
Change in net unrealized appreciation (depreciation)		(12,307,197	)		66,489,403
Net increase (decrease) in net assets from operations		35,115,429			99,832,315
Distributions to shareholders:
Class III		(8,042,552	)		(26,956,390	)
Total distributions		(8,042,552	)		(26,956,390	)
Net share transactions (Note 9):
Class III		(231,546,876	)		(266,517,298	)
Increase (decrease) in net assets resulting from net share transactions		(231,546,876	)		(266,517,298	)
Total increase (decrease) in net assets		(204,473,999	)		(193,641,373	)
Net assets:
Beginning of period		579,796,304			773,437,677
End of period	$	375,322,305		$	579,796,304

112 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
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from May 1, 2019 (commencement of operations) through February 29, 2020				Six Months Ended August 31, 2021 (Unaudited)				Period from July 31, 2020 (commencement of operations) through February 28, 2021				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from September 4, 2019 (commencement of operations) through February 29, 2020
Net asset value, beginning of period		$	18.99			$	19.45			$	20.00			$	18.95			$	19.33			$	18.96			$	19.44			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.00	(b)			(0.02	)			0.15				(0.01	)			(0.03	)			(0.02	)			(0.09	)			0.10
Net realized and unrealized gain (loss)			(0.26	)			0.03	(c)			(0.18	)			(0.11	)			0.07	(c)			(0.26	)			0.04	(b)			(0.33	)
Total from investment operations			(0.26	)			0.01				(0.03	)			(0.12	)			0.04				(0.28	)			(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			(0.62	)			—				(0.46	)			(0.62	)			—				(0.62	)			—				(0.46	)
Total distributions			(0.62	)			(0.47	)			(0.52	)			(0.62	)			(0.42	)			(0.62	)			(0.43	)			(0.51	)
Net asset value, end of period		$	18.11			$	18.99			$	19.45			$	18.21			$	18.95			$	18.06			$	18.96			$	19.44
Total Return(d)			(1.43	)%**			0.01	%			(0.21	)%**			(0.67	)%**			0.16	%**			(1.54	)%**			(0.30	)%			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	166,985			$	230,386			$	200,812			$	4			$	478			$	168,547			$	268,473			$	34,229
Net operating expenses to average daily net assets(e)			0.80	%*			0.76	%			0.77	%*			0.96	%*			0.93	%*			1.06	%*			1.02	%			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.66	%*			0.49	%			0.29	%*			0.60	%*			0.53	%*			0.64	%*			0.51	%			0.23	%*
Total net expenses to average daily net assets(e)			1.46	%*			1.25	%			1.05	%*			1.56	%*			1.46	%*			1.70	%*			1.53	%			1.25	%*
Net investment income (loss) to average daily net assets(a)			0.00	%(g)*			(0.10	)%			0.88	%*			(0.06	)%*			(0.26	)%*			(0.20	)%*			(0.44	) %			0.98	%*
Portfolio turnover rate(h)			281	%**			410	%			243	%**			281	%**			410	%**			281	%**			410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)			0.12	%*			0.15	%			0.27	%*			0.12	%*			0.16	%*			0.12	%*			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)  Rounds to less than $0.01.

^(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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 281%, 411% and 250%, 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.

See accompanying notes to the financial statements. 113

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017								2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.97			$	25.53			$	26.36			$	27.76			$	25.78			$	23.46			$	25.96			$	25.53			$	26.35			$	27.75			$	25.78			$	23.46
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.07	)			0.40				0.83				0.82				0.52				0.37				(0.07	)			0.43				0.83				0.88				0.58				0.40
Net realized and unrealized gain (loss)			0.49				0.98				(0.75	)			(1.30	)			2.12				2.35				0.50				0.96				(0.73	)			(1.35	)			2.06				2.33
Total from investment operations			0.42				1.38				0.08				(0.48	)			2.64				2.72				0.43				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		$	26.39			$	25.97			$	25.53			$	26.36			$	27.76			$	25.78			$	26.39			$	25.96			$	25.53			$	26.35			$	27.75			$	25.78
Total Return(b)			1.62	%**			5.60	%			0.11	%			(1.55	)%			10.28	%			11.66	%			1.66	%**			5.61	%			0.21	%			(1.50	)%			10.30	%			11.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,792,737			$	2,227,712			$	3,785,568			$	4,642,211			$	5,162,084			$	5,248,863			$	2,102,453			$	1,965,528			$	2,085,324			$	2,737,619			$	2,756,005			$	2,663,418
Net operating expenses to average daily net assets(c)			0.75	%			0.70	%			0.66	%			0.65	%			0.65	%			0.65	%			0.70	%*			0.66	%			0.61	%			0.60	%			0.60	%			0.60	%
Net investment income (loss) to average daily net assets(a)			(0.55	)%*			1.59	%			3.12	%			3.07	%			1.93	%			1.46	%			(0.49	)%*			1.73	%			3.12	%			3.29	%			2.13	%			1.61	%
Portfolio turnover rate			2	%**			20	%			10	%			18	%			9	%			7	%			2	%**			20	%			10	%			18	%			9	%			7	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.06	%*			0.11	%			0.15	%			0.15	%			0.16	%			0.15	%			0.06	%*			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	(d)		$	0.01			$	0.02			$	—			$	—			$	—			$	0.00	(d)		$	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, if any (Note 5).

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

114 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares																								Class R6 Shares								Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Period from May 1, 2020 (commencement of operations) through February 28, 2021)				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from August 8, 2019 (commencement of operations) through February 29, 2020
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.99			$	25.55			$	26.38			$	27.77			$	25.80			$	23.47			$	25.95			$	23.95			$	25.95			$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.07	)			0.38				0.83				0.77				0.56				0.35				(0.07	)			0.24				(0.09	)			0.33				1.10
Net realized and unrealized gain (loss)			0.50				1.01				(0.74	)			(1.23	)			2.08				2.39				0.49				2.72				0.50				1.02				(0.93	)
Total from investment operations			0.43				1.39				0.09				(0.46	)			2.64				2.74				0.42				2.96				0.41				1.35				0.17
Less distributions to shareholders:
From net investment income			—				(0.79	)			(0.91	)			(0.91	)			(0.67	)			(0.41	)			—				(0.80	)			—				(0.76	)			(0.89	)
From net realized gains			—				(0.16	)			(0.01	)			(0.02	)			—				—				—				(0.16	)			—				(0.16	)			—
Total distributions			—				(0.95	)			(0.92	)			(0.93	)			(0.67	)			(0.41	)			—				(0.96	)			—				(0.92	)			(0.89	)
Net asset value, end of period		$	26.42			$	25.99			$	25.55			$	26.38			$	27.77			$	25.80			$	26.37			$	25.95			$	26.36			$	25.95			$	25.52
Total Return(b)			1.65	%**			5.64	%			0.16	%			(1.47	)%			10.29	%			11.76	%			1.62	%**			12.55	%**			1.58	%**			5.47	%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,586,437			$	1,716,252			$	2,827,442			$	3,926,518			$	5,622,091			$	5,858,177			$	283,345			$	310,687			$	343,400			$	324,819			$	98,453
Net operating expenses to average daily net assets(c)			0.70	%*			0.65	%			0.61	%			0.60	%			0.60	%			0.60	%(d)			0.75	%*			0.74	%*			0.85	%*			0.81	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			(0.49	)%*			1.54	%			3.12	%			2.88	%			2.06	%			1.38	%			(0.55	)%*			1.16	%*			(0.63	)%*			1.30	%			7.22	%*
Portfolio turnover rate			2	%**			20	%			10	%			18	%			9	%			7	%			2	%**			20	%**			2	%**			20	%			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)			0.06	%*			0.11	%			0.15	%			0.15	%			0.16	%			0.16	%			0.06	%*			0.08	%*			0.06	%*			0.10	%			0.15	%*
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, if any (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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 115

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	19.48			$	18.88			$	19.56			$	20.91			$	18.95			$	17.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.52				0.72				0.58				0.46				0.43
Net realized and unrealized gain (loss)			0.04				0.71				(0.59	)			(1.21	)			2.10				2.01
Total from investment operations			0.39				1.23				0.13				(0.63	)			2.56				2.44
Less distributions to shareholders:
From net investment income			(0.05	)			(0.63	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)
Total distributions			(0.05	)			(0.63	)			(0.81	)			(0.72	)			(0.60	)			(0.49	)
Net asset value, end of period		$	19.82			$	19.48			$	18.88			$	19.56			$	20.91			$	18.95
Total Return(b)			1.99	%**			6.64	%			0.41	%			(2.80	)%			13.59	%			14.52	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,043,647			$	2,158,496			$	2,583,930			$	3,165,731			$	4,486,489			$	4,394,260
Net operating expenses to average daily net assets(c)			0.03	%*			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)			0.31	%*			0.08	%			0.03	%			0.04	%			0.00	%(d)			0.00	%(d)
Total net expenses to average daily net assets(c)			0.34	%*			0.12	%			0.05	%			0.06	%			0.02	%			0.01	%
Net investment income (loss) to average daily net assets(a)			3.45	%*			2.86	%			3.64	%			2.92	%			2.29	%			2.37	%
Portfolio turnover rate(f)			57	%**			145	%			50	%			59	%			78	%			83	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 61%, 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.

* Annualized.

** Not annualized.

116 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
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28, 2021				Period from September 30, 2019 (commencement of operations) through February 29, 2020				Six Months Ended August 31, 2021 (Unaudited)				Period from January 6, 2021 (commencement of operations) through February 28, 2021
					2021				2020				2019				2018				2017(a)
Net asset value, beginning of period		$	34.92			$	31.50			$	31.47			$	33.31			$	30.48			$	27.60			$	34.93			$	31.50			$	32.56			$	34.92			$	34.71
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.22				0.88				1.08				1.02				0.73				0.61				0.08				0.93				0.86				0.18				(0.01	)
Net realized and unrealized gain (loss)			1.64				3.91				0.29				(1.74	)			2.93				3.00				1.75				3.87				(0.71	)			1.67				0.22
Total from investment operations			1.86				4.79				1.37				(0.72	)			3.66				3.61				1.83				4.80				0.15				1.85				0.21
Less distributions to shareholders:
From net investment income			(0.25	)			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(0.25	)			(1.37	)			(1.21	)			(0.24	)			—
From net realized gains			—				—				—				—				—				—				—				—				—				—				—
Total distributions			(0.25	)			(1.37	)			(1.34	)			(1.12	)			(0.83	)			(0.73	)			(0.25	)			(1.37	)			(1.21	)			(0.24	)			—
Net asset value, end of period		$	36.53			$	34.92			$	31.50			$	31.47			$	33.31			$	30.48			$	36.51			$	34.93			$	31.50			$	36.53			$	34.92
Total Return(c)			5.34	%**			15.39	%			4.12	%			(1.96	)%			12.04	%			13.21	%			5.25	%**			15.42	%			0.22	%**			5.29	%**			0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	608,881			$	692,580			$	1,539,522			$	1,909,728			$	2,475,605			$	2,423,945			$	31,935			$	183,052			$	17,888			$	13,513			$	20,497
Net operating expenses to average daily net assets(d)			0.01	%*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.01	%*			0.01	%			0.00	%(e)			0.11	%			0.11	%
Net investment income (loss) to average daily net assets(b)			1.18	%*			2.78	%			3.32	%			3.17	%			2.24	%			2.06	%			0.47	%*			2.78	%			6.23	%*			1.00	%*			(0.10	)%*
Portfolio turnover rate			13	%(f)**			30	%(f)			27	%(f)			21	%(f)			20	%(f)			19	%(f)			13	%(f)**			30	%(f)			27	%(f)**			13	%(f)**			30	%(f)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%*			0.02	%			0.01	%*			0.03	%*			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, if any (Note 5).

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018 and February 28, 2017, including transactions in USTF, was 16%, 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. 117

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	25.79			$	20.87			$	21.20			$	22.88			$	19.60			$	17.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.30				0.75				0.25				0.57				0.42				0.52
Net realized and unrealized gain (loss)			2.72				5.12				0.42				(1.67	)			3.55				2.87
Total from investment operations			3.02				5.87				0.67				(1.10	)			3.97				3.39
Less distributions to shareholders:
From net investment income			(0.06	)			(0.95	)			(0.74	)			(0.58	)			(0.69	)			(0.55	)
From net realized gains			(0.24	)			—				(0.26	)			—				—				(0.64	)
Total distributions			(0.30	)			(0.95	)			(1.00	)			(0.58	)			(0.69	)			(1.19	)
Net asset value, end of period		$	28.51			$	25.79			$	20.87			$	21.20			$	22.88			$	19.60
Total Return(b)			11.72	%**			28.41	%			2.87	%			(4.58	)%			20.39	%			20.03	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	98,469			$	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	%			0.00	%
Net investment income (loss) to average daily net assets(a)			2.12	%*			3.39	%			1.16	%			2.62	%			1.99	%			2.78	%
Portfolio turnover rate			1	%**			25	%			21	%			6	%			5	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			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, if any (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.

118 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
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Period from July 15, 2020 (commencement of operations) through February 28, 2021				Six Months Ended August 31, 2021 (Unaudited)				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		$	29.91			$	24.37			$	24.63			$	26.86			$	22.84			$	19.71			$	29.91			$	25.19			$	29.91			$	26.14
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.30				0.88				0.83				0.65				0.68				0.57				0.30				0.81				0.29				0.90
Net realized and unrealized gain (loss)			2.53				5.75				(0.16	)			(2.18	)			4.11				3.67				2.54				4.96				2.52				3.91
Total from investment operations			2.83				6.63				0.67				(1.53	)			4.79				4.24				2.84				5.77				2.81				4.81
Less distributions to shareholders:
From net investment income			(0.04	)			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(0.70	)			(0.04	)			(1.05	)			(0.03	)			(1.04	)
From net realized gains			—				—				—				—				—				(0.41	)			—				—				—				—
Total distributions			(0.04	)			(1.09	)			(0.93	)			(0.70	)			(0.77	)			(1.11	)			(0.04	)			(1.05	)			(0.03	)			(1.04	)
Net asset value, end of period		$	32.70			$	29.91			$	24.37			$	24.63			$	26.86			$	22.84			$	32.71			$	29.91			$	32.69			$	29.91
Total Return(c)			9.46	%**			27.51	%			2.36	%			(5.43	)%			21.06	%			21.93	%			9.49	%**			23.14	%**			9.39	%**			18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,699,029			$	1,638,868			$	1,456,064			$	1,637,744			$	2,328,921			$	2,206,818			$	7,505			$	6,781			$	2,628			$	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)			0.00	%(e)*			0.00	%(e)*			0.10	%*			0.10	%*
Net investment income (loss) to average daily net assets(b)			1.85	%*			3.44	%			3.26	%			2.56	%			2.67	%			2.63	%			1.87	%*			4.70	%*			1.79	%*			5.95	%*
Portfolio turnover rate			7	%**			20	%			20	%			11	%			14	%			27	%			7	%**			20	%**			7	%**			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	%*			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, if any (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. 119

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	12.70			$	12.74			$	13.22			$	14.09			$	13.06			$	11.80
Income (loss) from investment operations:
Net investment income (loss)†			0.23	(a)			0.35	(a)			0.49	(a)			0.40				0.33				0.27
Net realized and unrealized gain (loss)			0.03				(0.11	)			(0.43	)			(0.69	)			1.11				1.24
Total from investment operations			0.26				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		$	12.96			$	12.70			$	12.74			$	13.22			$	14.09			$	13.06
Total Return(c)			2.05	%*			1.95	%			0.25	%			(1.88	)%			11.12	%			12.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,567,642			$	5,970,367			$	7,114,306			$	8,965,578			$	11,505,699			$	11,226,684
Net operating expenses to average daily net assets			0.00	%(d)(e)*			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)			0.40	%*			0.15	%			0.06	%			0.10	%			0.04	%			0.05	%
Total net expenses to average daily net assets			0.40	%(e)*			0.16	%(e)			0.06	%(e)			0.10	%			0.04	%			0.05	%
Net investment income (loss) to average daily net assets			3.43	%(a)*			2.89	%(a)			3.65	%(a)			2.95	%			2.44	%			2.11	%
Portfolio turnover rate			89	%**			189	%(g)			97	%(g)			112	%			146	%			142	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%(h)*			0.06	%(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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021 and February 29, 2020, including transactions in USTF, was 92%, 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.

* Annualized.

** Not annualized.

120 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
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				Period from January 22, 2021 (commencement of operations) through February 28, 2021
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	16.95			$	14.52			$	14.75			$	17.32			$	14.72			$	13.05			$	16.95			$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.31				0.61				0.49				0.51				0.53				0.45				0.31				(0.00	)(e)
Net realized and unrealized gain (loss)			1.24				2.56				(0.12	)			(2.56	)			2.61				1.79				1.24				(0.13	)
Total from investment operations			1.55				3.17				0.37				(2.05	)			3.14				2.24				1.55				(0.13	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.02	)			—
From net realized gains			(0.02	)			0.00				0.00				0.00				0.00				0.00				(0.02	)			—
Total distributions			(0.04	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)			(0.57	)			(0.04	)			—
Net asset value, end of period		$	18.46			$	16.95			$	14.52			$	14.75			$	17.32			$	14.72			$	18.46			$	16.95
Total Return(b)			9.14	%**			22.02	%			2.14	%			(11.57	)%			21.41	%			17.37	%			9.14	%**			(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	245,025			$	217,129			$	297,463			$	572,830			$	664,867			$	601,792			$	9,209			$	8,254
Net expenses to average daily net assets(c)(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%*			0.01	%*
Net investment income (loss) to average daily net assets(a)			3.38	%*			4.20	%			3.25	%			3.25	%			3.20	%			3.14	%			3.38	%*			(0.01	)%*
Portfolio turnover rate			3	%**			17	%			11	%			8	%			5	%			10	%			3	%**			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.03	%			0.02	%			0.02	%			0.01	%			0.01	%			0.05	%*			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, if any (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. 121

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares																								Class R6 Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2021 (Unaudited)				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		$	32.31			$	27.45			$	28.09			$	32.62			$	27.49			$	23.40			$	32.30			$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.42				1.24				1.02				0.91				0.93				0.84				0.43				1.29				1.14
Net realized and unrealized gain (loss)			1.66				4.91				(0.46	)			(4.47	)			5.19				4.15				1.65				4.86				0.33
Total from investment operations			2.08				6.15				0.56				(3.56	)			6.12				4.99				2.08				6.15				1.47
Less distributions to shareholders:
From net investment income			(0.10	)			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(0.10	)			(1.29	)			(1.10	)
From net realized gains			—				—				—				—				—				—				—				—				—
Total distributions			(0.10	)			(1.29	)			(1.20	)			(0.97	)			(0.99	)			(0.90	)			(0.10	)			(1.29	)			(1.10	)
Net asset value, end of period		$	34.29			$	32.31			$	27.45			$	28.09			$	32.62			$	27.49			$	34.28			$	32.30			$	27.44
Total Return(c)			6.44	%**			22.67	%			1.62	%			(10.69	)%			22.38	%			21.57	%			6.44	%**			22.68	%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	570,868			$	598,701			$	646,622			$	929,967			$	1,151,327			$	1,085,803			$	272,576			$	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	%*			0.00	%			0.00	%*
Net investment income (loss) to average daily net assets(b)			2.45	%*			4.40	%			3.55	%			3.09	%			3.00	%			3.20	%			2.49	%*			4.56	%			7.83	%*
Portfolio turnover rate			5	%**			16	%			7	%			8	%			12	%			7	%			5	%**			16	%			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%*			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, if any (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.

122 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																		Class VI Shares
	Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28/29,															Six Months Ended August 31, 2021 (Unaudited)			Year Ended February 28/29,
				2021			2020			2019			2018			2017						2021			2020			2019			2018			2017
Net asset value, beginning of period	$	32.07		$	31.13		$	32.17		$	31.87		$	32.68		$	33.25		$	32.03		$	31.07		$	32.11		$	31.78		$	32.57		$	33.26
Income (loss) from investment operations:
Net investment income (loss)(a)†		(0.12	)		(0.09	)		0.27			0.31			0.24			(0.21	)		(0.11	)		(0.06	)		0.25			0.33			0.05			(0.16	)
Net realized and unrealized gain (loss)		(0.28	)		1.81			(0.83	)		0.11	(b)		0.23			1.87			(0.27	)		1.80			(0.77	)		0.13	(b)		0.44			1.85
Total from investment operations		(0.40	)		1.72			(0.56	)		0.42			0.47			1.66			(0.38	)		1.74			(0.52	)		0.46			0.49			1.69
Less distributions to shareholders:
From net investment income		(0.71	)		(0.03	)		(0.48	)		(0.12	)		—			(1.01	)		(0.73	)		(0.03	)		(0.52	)		(0.13	)		—			(1.16	)
From net realized gains		(1.17	)		(0.75	)		—			—			(1.28	)		(1.22	)		(1.17	)		(0.75	)		—			—			(1.28	)		(1.22	)
Total distributions		(1.88	)		(0.78	)		(0.48	)		(0.12	)		(1.28	)		(2.23	)		(1.90	)		(0.78	)		(0.52	)		(0.13	)		(1.28	)		(2.38	)
Net asset value, end of period	$	29.79		$	32.07		$	31.13		$	32.17		$	31.87		$	32.68		$	29.75		$	32.03		$	31.07		$	32.11		$	31.78		$	32.57
Total Return(c)		(1.25	)%**		5.48	%		(1.74	)%		1.32	%		1.44	%		5.12	%		(1.20	)%**		5.56	%		(1.65	)%		1.47	%		1.50	%		5.22	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	30,592		$	30,126		$	18,527		$	45,409		$	26,630		$	6,117		$	260,580		$	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	%		1.01	%		1.00	%		1.00	%		1.00	%		0.91	%*		0.91	%		0.91	%		0.91	%		0.91	%		0.91	%
Net investment income (loss) to average daily net assets(a)		(0.78	)%*		(0.27	)%		0.85	%		0.97	%		0.75	%		(0.61	)%		(0.68	)%*		(0.17	)%		0.79	%		1.04	%		0.16	%		(0.47	)%
Portfolio turnover rate		52	%**		76	%		46	%		49	%(e)		106	%(e)		15	%(e)		52	%**		76	%		46	%		49	%(e)		106	%(e)		15	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.09	%*		0.07	%		0.05	%		0.04	%		0.03	%		0.04	%		0.08	%*		0.07	%		0.04	%		0.04	%		0.03	%		0.04	%

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

^(b)  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, 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. 123

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2021 (Unaudited)				Period from September 23, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	32.06			$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.14	)			(0.04	)
Net realized and unrealized gain (loss)			(0.28	)			0.48
Total from investment operations			(0.42	)			0.44
Less distributions to shareholders:
From net investment income			(0.72	)			—
From net realized gains			(1.17	)			(0.75	)
Total distributions			(1.89	)			(0.75	)
Net asset value, end of period		$	29.75			$	32.06
Total Return(b)			(1.30	)%**			1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	26,561			$	13,842
Net expenses to average daily net assets(c)			1.11	%*			1.11	%*
Net investment income (loss) to average daily net assets(a)			(0.89	)%*			(0.28	)%*
Portfolio turnover rate			52	%**			76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*			0.14	%*

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

124 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2021 (Unaudited)				Year Ended February 28/29,
					2021				2020				2019				2018				2017
Net asset value, beginning of period		$	21.56			$	18.98			$	19.48			$	22.08			$	19.76			$	17.43
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.54				0.67				0.62				0.58				0.51
Net realized and unrealized gain (loss)			1.24				2.93				(0.11	)			(1.45	)			2.39				2.36
Total from investment operations			1.45				3.47				0.56				(0.83	)			2.97				2.87
Less distributions to shareholders:
From net investment income			(0.05	)			(0.71	)			(0.77	)			(0.67	)			(0.63	)			(0.53	)
From net realized gains			(0.25	)			(0.18	)			(0.29	)			(1.10	)			(0.02	)			(0.01	)
Total distributions			(0.30	)			(0.89	)			(1.06	)			(1.77	)			(0.65	)			(0.54	)
Net asset value, end of period		$	22.71			$	21.56			$	18.98			$	19.48			$	22.08			$	19.76
Total Return(b)			6.71	%**			18.66	%			2.57	%			(3.45	)%			15.10	%			16.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	375,322			$	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	%			0.01	%			0.00	%(d)			0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.30	%*			0.07	%			0.03	%			0.03	%			—				—
Total net expenses to average daily net assets(c)			0.31	%*			0.08	%			0.04	%			0.04	%			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.81	%*			2.85	%			3.35	%			3.01	%			2.73	%			2.69	%
Portfolio turnover rate(f)			37	%**			61	%			36	%			35	%			20	%			28	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%*			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, if any (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 period ended August 31, 2021, and the years ended February 28, 2021, February 29, 2020, February 28, 2019, February 28, 2018, and February 28, 2017, including transactions in USTF, was 51%, 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.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 125

GMO Trust Funds

Notes to Financial Statements

August 31, 2021 (Unaudited)

1. Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund 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

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disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Basis of presentation and principles of consolidation: Alternative Allocation Fund, 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 period ended August 31, 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.

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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.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2021:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,250,098	$	—	$	3,250,098
Belgium		—		792,610		—		792,610
Canada		6,771,965		—		—		6,771,965
China		376,080		3,100,452		440,319		3,916,851
Denmark		—		1,168,104		—		1,168,104
Finland		—		449,249		—		449,249
France		—		1,343,632		—		1,343,632
Germany		—		8,198,040		—		8,198,040

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Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hong Kong	$	—	$	946,856	$	—	$	946,856
India		—		684,551		—		684,551
Israel		715,050		—		—		715,050
Italy		—		1,191,567		—		1,191,567
Japan		—		7,205,001		—		7,205,001
Malaysia		—		28,961		—		28,961
Netherlands		442,244		1,821,734		—		2,263,978
New Zealand		—		256,026		—		256,026
South Africa		—		334,529		—		334,529
South Korea		—		48,647		—		48,647
Spain		—		1,108,372		—		1,108,372
Sweden		—		348,339		—		348,339
Switzerland		—		383,993		—		383,993
Taiwan		—		137,355		—		137,355
United Kingdom		4,779		5,013,888		—		5,018,667
United States		176,669,930		—		—		176,669,930
TOTAL COMMON STOCKS		184,980,048		37,812,004		440,319		223,232,371
Preferred Stocks
Germany		—		231,145		—		231,145
TOTAL PREFERRED STOCKS		—		231,145		—		231,145
Rights/Warrants
United States		—		—		263,451		263,451
TOTAL RIGHTS/WARRANTS		—		—		263,451		263,451
Investment Funds
United States		—		—		5,040,035		5,040,035
TOTAL INVESTMENT FUNDS		—		—		5,040,035		5,040,035
Debt Obligations
United States		57,270,249		24,203,359		—		81,473,608
TOTAL DEBT OBLIGATIONS		57,270,249		24,203,359		—		81,473,608
Mutual Funds
United States		12,573,638		—		—		12,573,638
TOTAL MUTUAL FUNDS		12,573,638		—		—		12,573,638
Short-Term Investments		1,140,056		200,882		—		1,340,938
Purchased Options		169,275		—		—		169,275
Total Investments		256,133,266		62,447,390		5,743,805		324,324,461
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,856,370		—		1,856,370
Futures Contracts
Equity Risk		905,244		51,567		—		956,811
Interest Rate Risk		280,284		—		—		280,284
Swap Contracts
Credit Risk		—		3,177,395		—		3,177,395
Equity Risk		—		28,034		—		28,034
Interest Rate Risk		—		2,140,735		—		2,140,735
Total	$	257,318,794	$	69,701,491	$	5,743,805	$	332,764,090

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Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,807,479	)	$	—	$	(1,807,479	)
Austria		—			(583,425	)		—		(583,425	)
Belgium		—			(64,710	)		—		(64,710	)
Canada		(2,417,935	)		—			—		(2,417,935	)
Denmark		—			(220,781	)		—		(220,781	)
France		—			(2,271,786	)		—		(2,271,786	)
Germany		—			(2,693,068	)		—		(2,693,068	)
Israel		(501,060	)		—			—		(501,060	)
Italy		—			(1,550,117	)		—		(1,550,117	)
Japan		—			(7,162,786	)		—		(7,162,786	)
Netherlands		—			(1,075,733	)		—		(1,075,733	)
New Zealand		—			(112,373	)		—		(112,373	)
Norway		—			(136,161	)		—		(136,161	)
Singapore		—			(484,326	)		—		(484,326	)
Spain		—			(1,384,002	)		—		(1,384,002	)
Sweden		—			(730,886	)		—		(730,886	)
Switzerland		—			(1,112,429	)		—		(1,112,429	)
United Kingdom		—			(4,675,125	)		—		(4,675,125	)
United States		(121,975,326	)		—			—		(121,975,326	)
TOTAL COMMON STOCKS		(124,894,321	)		(26,065,187	)		—		(150,959,508	)
Preferred Stocks
Germany		—			(428,887	)		—		(428,887	)
TOTAL PREFERRED STOCKS		—			(428,887	)		—		(428,887	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,261,505	)		—		(2,261,505	)
Futures Contracts
Equity Risk		(2,173,017	)		(404,482	)		—		(2,577,499	)
Interest Rate Risk		(325,422	)		—			—		(325,422	)
Written Options
Credit Risk		—			(31,307	)		—		(31,307	)
Equity Risk		(57,370	)		—			—		(57,370	)
Swap Contracts
Credit Risk		—			(1,862,013	)		—		(1,862,013	)
Equity Risk		—			(446,817	)		—		(446,817	)
Interest Rate Risk		—			(1,762,322	)		—		(1,762,322	)
Total	$	(127,450,130	)	$	(33,262,520	)	$	—	$	(160,712,650	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	6,106,577,259		$	—		$	—	$	6,106,577,259
Short-Term Investments		4,706,724			—			—		4,706,724
Total Investments		6,111,283,983			—			—		6,111,283,983
Total	$	6,111,283,983		$	—		$	—	$	6,111,283,983

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Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	311,034	$	—	$	—		$	311,034
Australia		—		30,086,679		—			30,086,679
Austria		—		148,504		—			148,504
Belgium		—		10,240,258		—			10,240,258
Brazil		9,151,456		20,194,232		—			29,345,688
Canada		26,997,272		—		—			26,997,272
Chile		—		827,136		—			827,136
China		17,752,411		225,205,818		2,227,882			245,186,111
Czech Republic		—		878,790		—			878,790
Denmark		—		8,659,846		—			8,659,846
Egypt		—		142,652		—			142,652
Finland		—		6,925,001		—			6,925,001
France		—		34,199,003		—			34,199,003
Germany		—		29,181,856		—			29,181,856
Greece		—		116,414		0	§		116,414
Hong Kong		—		15,983,945		—			15,983,945
Hungary		—		706,946		—			706,946
India		1,765,161		49,891,813		—			51,656,974
Indonesia		—		7,778,688		—			7,778,688
Ireland		1,238,781		8,735,631		—			9,974,412
Israel		5,017,025		1,552,170		—			6,569,195
Italy		245,701		22,035,446		—			22,281,147
Japan		—		275,261,484		—			275,261,484
Kuwait		—		4,512,229		—			4,512,229
Luxembourg		402,412		—		—			402,412
Malaysia		—		1,129,286		—			1,129,286
Mexico		23,251,491		—		—			23,251,491
Netherlands		2,971,543		30,069,604		—			33,041,147
New Zealand		—		1,998,019		—			1,998,019
Norway		—		9,916,454		—			9,916,454
Pakistan		—		921,617		—			921,617
Peru		809,480		—		—			809,480
Philippines		—		703,202		—			703,202
Poland		—		8,624,985		—			8,624,985
Portugal		—		7,985,098		—			7,985,098
Qatar		—		1,298,837		—			1,298,837
Russia		733,172		73,958,504		638,469			75,330,145
Singapore		—		12,775,499		—			12,775,499
South Africa		—		23,005,578		—			23,005,578
South Korea		2,232,452		66,285,804		—			68,518,256
Spain		—		26,173,598		—			26,173,598
Sweden		—		3,838,015		—			3,838,015
Switzerland		—		9,478,587		—			9,478,587
Taiwan		10,116		101,254,931		—			101,265,047
Thailand		—		4,259,945		—			4,259,945
Turkey		—		11,147,335		—			11,147,335
United Arab Emirates		—		908,666		—			908,666
United Kingdom		3,427,979		79,711,143		—			83,139,122
United States		263,717,044		—		—			263,717,044
Vietnam		—		521,095		—			521,095
TOTAL COMMON STOCKS		360,034,530		1,229,230,343		2,866,351			1,592,131,224

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Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	137,681		$	6,155,109		$	—	$	6,292,790
Colombia		121,780			—			—		121,780
Germany		—			4,339,528			—		4,339,528
Russia		—			5,088,323			—		5,088,323
South Korea		—			6,372,520			—		6,372,520
Taiwan		—			94,806			—		94,806
TOTAL PREFERRED STOCKS		259,461			22,050,286			—		22,309,747
Investment Funds
United States		1,115,871			—			—		1,115,871
TOTAL INVESTMENT FUNDS		1,115,871			—			—		1,115,871
Debt Obligations
United States		166,344,329			298,964			—		166,643,293
TOTAL DEBT OBLIGATIONS		166,344,329			298,964			—		166,643,293
Mutual Funds
United States		326,728,838			—			—		326,728,838
TOTAL MUTUAL FUNDS		326,728,838			—			—		326,728,838
Short-Term Investments		4,187,688			—			—		4,187,688
Total Investments		858,670,717			1,251,579,593			2,866,351		2,113,116,661
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,246,988			—		1,246,988
Swap Contracts
Equity Risk		—			208,938			—		208,938
Interest Rate Risk		—			1,549,976			—		1,549,976
Total	$	858,670,717		$	1,254,585,495		$	2,866,351	$	2,116,122,563
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(12,371,393	)	$	—	$	(12,371,393	)
Austria		—			(3,642,410	)		—		(3,642,410	)
Belgium		—			(371,108	)		—		(371,108	)
Canada		(805,179	)		—			—		(805,179	)
Denmark		—			(1,664,286	)		—		(1,664,286	)
France		—			(16,619,413	)		—		(16,619,413	)
Germany		—			(17,803,486	)		—		(17,803,486	)
Israel		(3,273,960	)		—			—		(3,273,960	)
Italy		—			(10,723,353	)		—		(10,723,353	)
Japan		—			(49,514,735	)		—		(49,514,735	)
Netherlands		—			(7,501,538	)		—		(7,501,538	)
New Zealand		—			(849,765	)		—		(849,765	)
Norway		—			(916,070	)		—		(916,070	)
Russia		—			(138,570	)		—		(138,570	)
Singapore		—			(3,464,797	)		—		(3,464,797	)
Spain		—			(9,615,195	)		—		(9,615,195	)
Sweden		—			(5,053,049	)		—		(5,053,049	)
Switzerland		—			(7,705,698	)		—		(7,705,698	)
United Kingdom		—			(32,389,218	)		—		(32,389,218	)
United States		(225,102,298	)		—			—		(225,102,298	)
TOTAL COMMON STOCKS		(229,181,437	)		(180,344,084	)		—		(409,525,521	)

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Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Preferred Stocks
Germany	$	—		$	(3,166,912	)	$	—	$	(3,166,912	)
TOTAL PREFERRED STOCKS		—			(3,166,912	)		—		(3,166,912	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,760,492	)		—		(1,760,492	)
Futures Contracts
Equity Risk		(14,458,707	)		(1,141,446	)		—		(15,600,153	)
Swap Contracts
Equity Risk		—			(1,068,222	)		—		(1,068,222	)
Interest Rate Risk		—			(1,294,933	)		—		(1,294,933	)
Total	$	(243,640,144	)	$	(188,776,089	)	$	—	$	(432,416,233	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	653,752,855		$	—		$	—	$	653,752,855
Debt Obligations
Asset-Backed Securities		—			19,917			—		19,917
TOTAL DEBT OBLIGATIONS		—			19,917			—		19,917
Short-Term Investments		404,409			—			—		404,409
Total Investments		654,157,264			19,917			—		654,177,181
Total	$	654,157,264		$	19,917		$	—	$	654,177,181
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	98,440,630		$	—		$	—	$	98,440,630
Short-Term Investments		59,647			—			—		59,647
Total Investments		98,500,277			—			—		98,500,277
Total	$	98,500,277		$	—		$	—	$	98,500,277
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,708,590,350		$	—		$	—	$	1,708,590,350
Short-Term Investments		659,761			—			—		659,761
Total Investments		1,709,250,111			—			—		1,709,250,111
Total	$	1,709,250,111		$	—		$	—	$	1,709,250,111
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	901,956		$	—		$	—	$	901,956
Australia		—			76,900,269			—		76,900,269
Austria		—			220,433			—		220,433
Belgium		—			25,621,299			—		25,621,299
Brazil		20,744,478			50,346,727			—		71,091,205
Canada		89,759,182			—			—		89,759,182
Chile		—			1,646,875			—		1,646,875

133

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
China	$	40,697,698	$	564,458,566	$	6,764,431	$	611,920,695
Czech Republic		—		2,052,635		—		2,052,635
Denmark		—		23,440,683		—		23,440,683
Egypt		—		404,879		—		404,879
Finland		—		17,655,077		—		17,655,077
France		—		78,647,083		—		78,647,083
Germany		—		94,323,347		—		94,323,347
Greece		—		268,480		—		268,480
Hong Kong		—		39,959,523		—		39,959,523
Hungary		—		1,115,677		—		1,115,677
India		6,648,515		124,106,225		—		130,754,740
Indonesia		—		23,773,903		—		23,773,903
Ireland		2,862,973		19,340,981		—		22,203,954
Israel		13,277,563		2,668,023		—		15,945,586
Italy		364,429		52,571,540		—		52,935,969
Japan		—		686,039,114		—		686,039,114
Kuwait		—		12,339,761		—		12,339,761
Luxembourg		842,890		—		—		842,890
Malaysia		—		2,347,546		—		2,347,546
Mexico		60,656,382		—		—		60,656,382
Netherlands		8,256,701		71,579,447		195		79,836,343
New Zealand		—		4,765,790		—		4,765,790
Norway		—		21,532,232		—		21,532,232
Pakistan		—		4,190,473		—		4,190,473
Peru		1,191,279		—		—		1,191,279
Philippines		—		3,849,799		—		3,849,799
Poland		—		21,961,080		—		21,961,080
Portugal		—		17,482,329		—		17,482,329
Qatar		—		8,059,808		—		8,059,808
Russia		2,209,773		192,654,993		2,004,028		196,868,794
Singapore		—		28,367,230		—		28,367,230
South Africa		—		58,355,293		—		58,355,293
South Korea		4,706,139		158,115,424		—		162,821,563
Spain		—		61,634,688		—		61,634,688
Sweden		—		8,852,710		—		8,852,710
Switzerland		64,673		21,231,105		—		21,295,778
Taiwan		7,455,976		252,027,463		—		259,483,439
Thailand		—		8,316,921		—		8,316,921
Turkey		—		26,673,825		—		26,673,825
United Arab Emirates		—		1,418,442		—		1,418,442
United Kingdom		8,120,918		195,572,560		—		203,693,478
United States		1,333,578,859		—		12,742,231		1,346,321,090
Vietnam		—		1,229,202		—		1,229,202
TOTAL COMMON STOCKS		1,602,340,384		3,068,119,460		21,510,885		4,691,970,729
Preferred Stocks
Brazil		347,881		11,846,649		—		12,194,530
Colombia		471,540		—		—		471,540
Germany		—		9,375,219		—		9,375,219
Russia		—		15,269,918		—		15,269,918
South Korea		—		25,680,738		—		25,680,738
Taiwan		—		837,400		—		837,400
United States		—		—		884,190		884,190
TOTAL PREFERRED STOCKS		819,421		63,009,924		884,190		64,713,535

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
United States	$	—		$	—		$	983,025	$	983,025
TOTAL RIGHTS/WARRANTS		—			—			983,025		983,025
Investment Funds
United States		6,528,592			—			21,898,163		28,426,755
TOTAL INVESTMENT FUNDS		6,528,592			—			21,898,163		28,426,755
Debt Obligations
Brazil		—			2,259,707			—		2,259,707
Canada		—			1,963,867			—		1,963,867
Israel		—			6,098,197			—		6,098,197
Luxembourg		—			—			2,450,775		2,450,775
Netherlands		—			—			118,091		118,091
United States		482,814,963			157,002,785			24,655,794		664,473,542
TOTAL DEBT OBLIGATIONS		482,814,963			167,324,556			27,224,660		677,364,179
Mutual Funds
United States		11,596,552			—			—		11,596,552
TOTAL MUTUAL FUNDS		11,596,552			—			—		11,596,552
Short-Term Investments		40,021,039			49,922			—		40,070,961
Purchased Options		734,865			—			—		734,865
Total Investments		2,144,855,816			3,298,503,862			72,500,923		5,515,860,601
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			8,043,594			—		8,043,594
Futures Contracts
Equity Risk		1,246,798			194,003			—		1,440,801
Interest Rate Risk		1,131,283			—			—		1,131,283
Physical Commodity Contract Risk		339,246			—			—		339,246
Swap Contracts
Equity Risk		—			835,139			—		835,139
Interest Rate Risk		—			9,446,967			—		9,446,967
Total	$	2,147,573,143		$	3,317,023,565		$	72,500,923	$	5,537,097,631
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(33,363,980	)	$	—	$	(33,363,980	)
Austria		—			(10,912,769	)		—		(10,912,769	)
Belgium		—			(951,192	)		—		(951,192	)
Canada		(11,964,927	)		—			—		(11,964,927	)
Denmark		—			(4,112,264	)		—		(4,112,264	)
France		—			(42,720,100	)		—		(42,720,100	)
Germany		—			(49,955,941	)		—		(49,955,941	)
Israel		(8,918,868	)		—			—		(8,918,868	)
Italy		—			(28,458,253	)		—		(28,458,253	)
Japan		—			(130,548,076	)		—		(130,548,076	)
Netherlands		—			(19,984,508	)		—		(19,984,508	)
New Zealand		—			(2,088,301	)		—		(2,088,301	)
Norway		—			(2,526,754	)		—		(2,526,754	)
Russia		—			(348,769	)		—		(348,769	)
Singapore		—			(9,022,224	)		—		(9,022,224	)

135

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—		$	(25,882,610	)	$	—	$	(25,882,610	)
Sweden		—			(13,629,505	)		—		(13,629,505	)
Switzerland		—			(20,416,422	)		—		(20,416,422	)
United Kingdom		(3,730	)		(87,767,323	)		—		(87,771,053	)
United States		(981,193,916	)		—			—		(981,193,916	)
TOTAL COMMON STOCKS		(1,002,081,441	)		(482,688,991	)		—		(1,484,770,432	)
Preferred Stocks
Germany		—			(7,987,445	)		—		(7,987,445	)
TOTAL PREFERRED STOCKS		—			(7,987,445	)		—		(7,987,445	)
Investment Funds
United States		(620,663	)		—			—		(620,663	)
TOTAL INVESTMENT FUNDS		(620,663	)		—			—		(620,663	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(10,273,502	)		—		(10,273,502	)
Futures Contracts
Equity Risk		(31,207,973	)		(3,942,474	)		—		(35,150,447	)
Interest Rate Risk		(1,306,803	)		—			—		(1,306,803	)
Physical Commodity Contract Risk		(1,713,484	)		—			—		(1,713,484	)
Swap Contracts
Credit Risk		—			(676,328	)		—		(676,328	)
Equity Risk		—			(3,247,140	)		—		(3,247,140	)
Interest Rate Risk		—			(7,892,296	)		—		(7,892,296	)
Total	$	(1,036,930,364	)	$	(516,708,176	)	$	—	$	(1,553,638,540	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	254,166,670		$	—		$	—	$	254,166,670
Short-Term Investments		89,564			—			—		89,564
Total Investments		254,256,234			—			—		254,256,234
Total	$	254,256,234		$	—		$	—	$	254,256,234
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	843,176,712		$	—		$	—	$	843,176,712
Short-Term Investments		321,937			—			—		321,937
Total Investments		843,498,649			—			—		843,498,649
Total	$	843,498,649		$	—		$	—	$	843,498,649
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	310,699,956		$	—		$	—	$	310,699,956
TOTAL DEBT OBLIGATIONS		310,699,956			—			—		310,699,956
Short-Term Investments		7,377,942			575,502			—		7,953,444
Total Investments		318,077,898			575,502			—		318,653,400

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

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	$	—		$	1,321,130		$	—		$	1,321,130
Futures Contracts
Equity Risk		4,759,592			144,282			—			4,903,874
Interest Rate Risk		777,354			—			—			777,354
Physical Commodity Contract Risk		239,168			—			—			239,168
Swap Contracts
Equity Risk		—			8,643			—			8,643
Total	$	323,854,012		$	2,049,557		$	—		$	325,903,569
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(506,562	)	$	—		$	(506,562	)
Futures Contracts
Equity Risk		(6,111,501	)		(1,209,483	)		—			(7,320,984	)
Interest Rate Risk		(876,844	)		—			—			(876,844	)
Physical Commodity Contract Risk		(1,236,006	)		—			—			(1,236,006	)
Swap Contracts
Equity Risk		—			(516,113	)		—			(516,113	)
Total	$	(8,224,351	)	$	(2,232,158	)	$	—		$	(10,456,509	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	4,680,657		$	—		$	4,680,657
Belgium		—			1,627,270			—			1,627,270
Canada		3,654,638			—			—			3,654,638
China		474,284			4,025,095			460,840			4,960,219
Denmark		—			1,463,451			—			1,463,451
Finland		—			1,099,635			—			1,099,635
France		—			4,386,948			—			4,386,948
Germany		—			3,459,019			—			3,459,019
Hong Kong		—			2,402,253			—			2,402,253
India		—			1,491,609			—			1,491,609
Ireland		48,567			1,714,016			—			1,762,583
Israel		837,528			334,211			—			1,171,739
Italy		—			3,617,652			—			3,617,652
Japan		—			39,296,577			—			39,296,577
Malaysia		—			37,139			—			37,139
Malta		—			—			0	§		0	§
Mexico		949,271			—			—			949,271
Netherlands		512,335			4,516,481			—			5,028,816
New Zealand		—			321,558			—			321,558
Norway		—			1,839,842			—			1,839,842
Portugal		—			1,254,134			—			1,254,134
Russia		—			711,637			—			711,637
Singapore		—			1,524,597			—			1,524,597
South Africa		—			413,318			—			413,318
South Korea		—			61,741			—			61,741
Spain		—			3,942,909			—			3,942,909

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Sweden	$	—		$	678,976		$	—	$	678,976
Switzerland		—			581,043			—		581,043
Taiwan		—			415,319			—		415,319
United Kingdom		—			12,427,626			—		12,427,626
United States		45,992,830			—			—		45,992,830
TOTAL COMMON STOCKS		52,469,453			98,324,713			460,840		151,255,006
Preferred Stocks
Brazil		—			454,658			—		454,658
Germany		—			364,182			—		364,182
TOTAL PREFERRED STOCKS		—			818,840			—		818,840
Mutual Funds
United States		225,163,660			—			—		225,163,660
TOTAL MUTUAL FUNDS		225,163,660			—			—		225,163,660
Short-Term Investments		605,280			—			—		605,280
Total Investments		278,238,393			99,143,553			460,840		377,842,786
Derivatives^
Swap Contracts
Equity Risk		—			14,631			—		14,631
Total	$	278,238,393		$	99,158,184		$	460,840	$	377,857,417
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(2,096,802	)	$	—	$	(2,096,802	)
Austria		—			(645,755	)		—		(645,755	)
Belgium		—			(65,065	)		—		(65,065	)
Canada		(130,191	)		—			—		(130,191	)
Denmark		—			(270,908	)		—		(270,908	)
France		—			(2,698,486	)		—		(2,698,486	)
Germany		—			(3,198,038	)		—		(3,198,038	)
Israel		(579,064	)		—			—		(579,064	)
Italy		—			(1,851,333	)		—		(1,851,333	)
Japan		—			(8,294,896	)		—		(8,294,896	)
Netherlands		—			(1,268,331	)		—		(1,268,331	)
New Zealand		—			(138,033	)		—		(138,033	)
Norway		—			(164,597	)		—		(164,597	)
Russia		—			(27,078	)		—		(27,078	)
Singapore		—			(614,118	)		—		(614,118	)
Spain		—			(1,642,831	)		—		(1,642,831	)
Sweden		—			(820,093	)		—		(820,093	)
Switzerland		—			(1,331,874	)		—		(1,331,874	)
United Kingdom		—			(5,433,280	)		—		(5,433,280	)
United States		(38,055,434	)		—			—		(38,055,434	)
TOTAL COMMON STOCKS		(38,764,689	)		(30,561,518	)		—		(69,326,207	)
Preferred Stocks
Germany		—			(547,473	)		—		(547,473	)
TOTAL PREFERRED STOCKS		—			(547,473	)		—		(547,473	)

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Swap Contracts
Equity Risk	$	—		$	(162,419	)	$	—	$	(162,419	)
Total	$	(38,764,689	)	$	(31,271,410	)	$	—	$	(70,036,099	)

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 August 31, 2021.

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

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Implementation Fund’s Level 3 holdings also include three common stocks which are priced at the average of broker bids and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 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 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021
Consolidated Alternative Allocation Fund
Common Stocks
China	$	—	$	—	$	—		$	—	$	—	$	—		$	440,319	‡	$	—	$	440,319	$	—
Investment Funds
United States		10,681,155		4,344,956		(9,892,825	)		—		849,312		(942,563	)		—			—		5,040,035		(942,563	)
Rights/Warrants
United States		146,362		13,648		—			—		—		103,441			—			—		263,451		103,441
Total Investments	$	10,827,517	$	4,358,604	$	(9,892,825	)	$	—	$	849,312	$	(839,122	)	$	440,319		$	—	$	5,743,805	$	(839,122	)

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Balances as of February 28, 2021		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2021		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2021
Benchmark-Free Fund
Common Stocks
China	$	11,049	$	—	$	—		$	—	$	—		$	(11,049	)	$	2,227,882	‡	$	—	$	2,227,882	$	—
Russia		—		666,851		—			—		—			(28,384	)		2	‡		—		638,469		(28,384	)
Total Investments	$	11,049	$	666,851	$	—		$	—	$	—		$	(39,433	)	$	2,227,884		$	—	$	2,866,351	$	(28,384	)
Consolidated Implementation Fund
Common Stocks
China	$	38,211	$	—	$	—		$	—	$	—		$	(38,211	)	$	6,764,431	‡	$	—	$	6,764,431	$	—
Netherlands		199		—		—			—		—			(4	)		—			—		195		(4	)
Russia		—		2,093,111		—			—		—			(89,091	)		8	‡		—		2,004,028		(89,091	)
United States		13,767,769		1,868,694		(6,659,439	)		—		228,311			3,536,896			—			—		12,742,231		4,346,016
Preferred Stocks
United States		881,040		38,000		(644,037	)		—		588,037			21,150			—			—		884,190		21,150
Rights/Warrants
United States		737,648		28,602		—			—		—			216,775			—			—		983,025		216,775
Investment Funds
United States		22,494,300		23,120,431		(23,399,751	)		—		—			(316,817	)		—			—		21,898,163		(316,817	)
Debt Obligations
Bank Loans
Jamaica		6,415,674		—		(6,479,715	)		35,081		275,177			(246,217	)		—			—		—		—
Luxembourg		2,478,466		2,542,992		(2,569,793	)		537		5,931			(7,358	)		—			—		2,450,775		3,075
United States		32,146,412		17,017,404		(21,340,335	)		2,097,253		(8,870,946	)		3,550,006			—			—		24,599,794		(383,987	)
Corporate Debt
Netherlands		304,846		29,851		(189,715	)		47,458		35,652			(110,001	)		—			—		118,091		(110,001	)
United States		—		42,000		—			950		—			13,050			—			—		56,000		13,050
Total Investments	$	79,264,565	$	46,781,085	$	(61,282,785	)#	$	2,181,279	$	(7,737,838	)	$	6,530,178		$	6,764,439		$	—	$	72,500,923	$	3,700,166
Strategic Opportunities Allocation Fund
Common Stocks
China	$	—	$	—	$	—		$	460,840	$	—		$	—		$	—		$	—	$	460,840	$	—
Total Investments	$	—	$	—	$	—		$	460,840	$	—		$	—		$	—		$	—	$	460,840	$	—

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

# Includes $19,666,230 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 period ended August 31, 2021 for Funds with material Level 3 investments.

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Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund
Common Stock		440,319	Fair Value	Discount rate	20% (N/A)
Benchmark-Free Fund
Common Stock		2,227,882	Fair Value	Discount rate	20% (N/A)
Common Stock		638,469	Fair Value	Price of comparable equity	(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Consolidated Implementation Fund
Common Stock		8,905,987	Fair Value	Discount rate	20-30% (22.50%)
Common Stock		7,499,171	Fair Value	Most relevant broker quote	$0.005-$22.00 ($19.58)
Common Stock		1,071,511	Fair Value	Price of comparable equity	(N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Debt Obligation		195	Fair Value	Expected payment	(N/A)
Strategic Opportunities Allocation Fund
Common Stock		460,840	Fair Value	Discount Rate	20% (N/A)
Common Stock		—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2021, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund and Consolidated Implementation Fund was $5,303,486 and $55,024,059, 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.

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

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

Rights and warrants

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

Repurchase agreements

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

Reverse repurchase agreements

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

Inflation-indexed bonds

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

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this

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occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

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

At August 31, 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		24,350,984		5,348,116		20,369,196		25,717,312
Consolidated Implementation Fund		64,871,709		11,494,916		55,691,241		67,186,157

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

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge.

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

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

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 period ended August 31, 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.

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

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As of February 28, 2021, certain Funds elected to defer to March 1, 2021, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		(21,162,317)		—
Benchmark-Free Allocation Fund		(4,557,293)		(565,098)
Benchmark-Free Fund		(3,085,266)		(55,466,289)
Global Asset Allocation Fund		(125,045)		—
Global Developed Equity Allocation Fund		(662)		—
Global Equity Allocation Fund		(14,626)		—
Consolidated Implementation Fund		(30,905,794)		—
International Developed Equity Allocation Fund		(1,759)		—
International Equity Allocation Fund		(7,154)		(780,593)
Consolidated SGM Major Markets Fund		—		—
Strategic Opportunities Allocation Fund		—		—

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 ($)		Long-Term ($)
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		—		—

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As of August 31, 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		194,101,975		6,502,223		(27,668,132)		(21,165,909)		(2,209,794)
Benchmark-Free Allocation Fund		6,299,331,593		—		(188,047,610)		(188,047,610)		—
Benchmark-Free Fund		1,572,677,184		252,385,113		(124,638,069)		127,747,044		(16,720,301)
Global Asset Allocation Fund		640,401,401		32,034,227		(18,258,447)		13,775,780		—
Global Developed Equity Allocation Fund		82,529,258		15,971,019		—		15,971,019		—
Global Equity Allocation Fund		1,534,260,744		174,989,367		—		174,989,367		—
Consolidated Implementation Fund		3,982,572,537		583,737,796		(543,828,272)		39,909,524		(37,628,813)
International Developed Equity Allocation Fund		262,167,422		—		(7,911,188)		(7,911,188)		—
International Equity Allocation Fund		777,511,154		65,987,495		—		65,987,495		—
Consolidated SGM Major Markets Fund		384,575,361		94,116		(66,016,077)		(65,921,961)		(2,209,502)
Strategic Opportunities Allocation Fund		267,621,438		53,346,973		(12,999,305)		40,347,668		(147,788)

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 August 31, 2021, each Fund has determined that no tax liability is required to be accrued 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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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 increase or decrease 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 purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

As of August 31, 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.

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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.

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
Event-Driven Risk	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
Non-Diversified Funds	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

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

Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund as a result of its investment in 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; 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 GMO’s view changes adversely (whether due to external events or otherwise) does not mean that a Fund’s existing transactions with that counterparty will 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 (commonly 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 obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the failure of an issuer, guarantor, or obligor to meet its payment obligations or a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments also are subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending on 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 the particular security 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 on whether the securities are supported by the full faith and credit of the United States, supported by the ability of the obligor 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 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 often 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 in U.S. bonds.

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.”

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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 investment 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 are permitted to lend their portfolio securities. A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, resulting among other things in the Fund’s ability to vote the securities or realize on its 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 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 any). 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 be able to do so only 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. The use of 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

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transferred, only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, runs the risk of being unable to obtain payments GMO believes are owed to it under an OTC derivatives contract or of those payments being delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly 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 valuations generated by GMO’s pricing models are different from amounts the Funds realize when they close or sell a 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, none of the Funds will be permitted to trade with that counterparty.

OTC 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. Since 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 those with respect to OTC derivatives (commonly referred to as “bilateral arrangements”), for example, by requiring that funds provide more margin for their cleared

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derivative positions. Also, as a general matter, in contrast to an OTC 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. Clearing houses also have broad rights to increase the margin required for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivative positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy, and an 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 OTC 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 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 will be executed successfully and others 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 OTC 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.

In October 2020, the SEC adopted Rule 18f-4 under the 1940 Act, which, once effective, will govern the use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements) by registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments above a specified amount apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A Fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, the Funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Compliance with Rule 18f-4 will not be required until August 2022. Rule 18f-4 could have an adverse impact on a Fund’s performance and ability to implement its investment strategies as it has historically.

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 OTC derivatives. The cost of derivatives transactions could 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. While

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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.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights at any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may exercise the option only on its expiration date). If a Fund writes a call option and does not hold the underlying security, the Fund’s potential loss is 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. These limits can 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 securities, 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 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.

• EVENT-DRIVEN RISK. While implementing an event-driven strategy, a Fund may purchase securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, acquisition, exchange offer, tender offer or other similar transaction (“event-driven transactions”). The purchase price paid by the Fund may substantially exceed the consideration received upon the closing of the transaction, resulting in losses to the Fund.

If a Fund utilizes an event-driven strategy and the transaction (such as a merger) later appears likely to be delayed or unlikely to be

consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage strategies) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed transaction can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings and general market declines.

Event-driven 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 an event-driven strategy may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not

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actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.

A Fund’s participation in event-driven transactions could result in tax inefficiencies.

• 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 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.

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 those fees and expenses.

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 those investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

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In October 2020, the SEC adopted regulatory changes and took other actions related to the ability of an investment company to invest in the securities of another investment company. These changes include, among other things, (i) the rescission of various SEC exemptive orders permitting investments in excess of the statutory limits (including the Trust’s exemptive order referred to above) and the withdrawal of related SEC staff no-action letters and (ii) the adoption of Rule 12d1-4 under the 1940 Act. Rule 12d1-4, which became effective on January 19, 2021, which permits the Funds to invest in other investment companies beyond the statutory limits, subject to various conditions. The rescission of the applicable exemptive orders and the withdrawal of the related no-action letters will be effective on January 19, 2022. After that date, an investment company will be subject to Rule 12d1-4 and other applicable rules under Section 12(d)(1). While the impact of these regulatory changes on the Funds is uncertain, the changes could reduce a Fund’s flexibility to make investments in other registered investment companies (including other Funds) and require a Fund to modify its investments.

• FUTURES CONTRACTS RISK. The 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 requires a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and as a result a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that 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 subject to 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 and that could occur 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 an increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and 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 and its affiliated entities may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it also may impose sanctions or restrictions. In addition, the CFTC recently adopted rules that, once effective, will expand materially the contracts subject to federal limits. As a result of those 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.

Neither the contracts nor the foreign exchanges of futures contracts traded on exchanges outside the United States are subject to regulation by the CFTC or other U.S. regulators. U.S. regulators lack the power to compel enforcement of the rules of those exchanges or the laws of the country where they are located. In addition, foreign futures contracts may be less liquid and more volatile than U.S. futures 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 or at all. 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 or writing a put or closing a short position). If a Fund is unable to sell an illiquid asset, it could miss other investment opportunities, fail to meet redemption requests, or be unable to meet other cash needs. In addition, it may be required to sell other assets it would prefer to hold.

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 an investment will be less than the price it was valued when held by the Fund. Illiquidity risk also tends to be greater in times of financial stress, including the markets for securities in entire asset classes. For example, inflation-protected securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in

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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 significantly changing their market value. 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 of 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 significantly depress the market price of the securities being sold.

A Fund’s ability to use options in 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. Moreover, the hours of trading for options on an exchange may not conform to the hours of trading of the underlying securities, creating a risk of significant changes in the prices of underlying 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 separate 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 some of those separate accounts hold a substantial portion of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from 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. In some cases, a redemption of a large number of shares could disrupt the Fund’s operations or force the Fund’s liquidation. Further, from time to time a Fund may trade in anticipation of a purchase order or redemption request 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 (if any). 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

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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, in relying on GMO to achieve its investment objective, it 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. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value and 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 reduced 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, corrupting, or preventing access to 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, interfere with the use of quantitative models, 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. In addition, the global spread of COVID-19 has caused the Funds and their service providers to implement business continuity plans, including widespread use of work-from-home arrangements, which may make the Funds and their service providers more susceptible to cyber-attacks. 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 the Funds or accurately pricing their securities. The Funds cannot

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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 the Funds’ service providers and counterparties and 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, sanctions and terrorism) will disrupt securities markets, adversely affect global economies and markets and exacerbate the effects of other risks to which the Funds are subject, 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 held by the Funds. Fraud and other deceptive practices committed by an issuer of securities held by a Fund, 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”), subject to a transition period. Before the end of the transition period, the United Kingdom and the European Union ratified the EU-UK Trade and Cooperation Agreement (the “TCA”), which lays out the terms of the United Kingdom’s future cooperation with the European Union. Notwithstanding the TCA, significant uncertainty remains in the market regarding the ramifications of Brexit, and the range and potential implications of possible political, regulatory, economic and market outcomes are difficult to predict. The impact of Brexit on the U.K. and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in the United Kingdom, Europe, and globally, which may adversely affect the value of a Fund’s investments. 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 industry-specific restrictions, against non-U.S. governments, officials, institutions, and companies (including, in recent years, against countries such as China, Russia, and Venezuela). These sanctions, any additional sanctions or intergovernmental actions or even the threat of further sanctions could result, in a decline in the value and liquidity of securities of companies in such non-U.S. countries, a weakening of the currencies of those countries or other adverse consequences to their economies. Sanctions impair the ability of the Funds to buy, sell, receive or deliver the securities that are subject to the sanctions and may require the Funds to divest their holdings in those securities at inopportune times. 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 impossible 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 known as COVID-19 beginning in late 2019 (described below)), and systemic market dislocations

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(such as the kind surrounding the insolvency of Lehman Brothers in 2008), can adversely affect 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, by causing the Funds’ derivatives counterparties to discontinue or limit offering derivatives on some underlying commodities, securities, reference rates. 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.

A global outbreak of COVID-19 and subsequent efforts to contain its spread have resulted in, among other things, extreme volatility and reduced liquidity in financial markets; exchange trading suspensions and closures; higher default rates; travel restrictions and disruptions; significant disruptions to business operations and supply chains; lower consumer demand for goods and services; significant job losses and increasing unemployment; event and service cancellations and restrictions; significant challenges in healthcare service preparation and delivery; prolonged quarantines; as well as general concern and uncertainty. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Extraordinary actions taken by governments and central banks to support local and global economies and the financial markets in response to the COVID-19 pandemic may not succeed or have the intended effect, and in some cases, have resulted in a large expansion of government deficits and debt, the long-term consequences of which are not known. This crisis or other public health crises may also exacerbate other pre-existing political, social, economic, market and financial risks. The duration of the COVID-19 pandemic and its effects cannot be determined with certainty. The effects of the COVID-19 pandemic or any other future epidemic or pandemic could impair a Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of a Fund’s service providers, exacerbate other risks that apply to a Fund, and adversely affect the value and liquidity of a Fund’s investments.

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

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk — Fixed Income” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income,” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk if obligors of the underlying obligations default on their payment obligations and the value of the principal payments they otherwise would have made 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.

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. A single financial institution may serve as a servicer for many asset-backed securities. As a result, a disruption in that institution’s business likely would have a material impact on the many asset-backed

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securities it services. The obligations underlying an asset-backed security, particularly a security backed by a pool 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.

During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, may result in increased delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.

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 that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Performance of cyclical equities 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 as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. 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

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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.”

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 to near historically low levels. A substantial increase in interest rates could have a material adverse effect on the market value of 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. 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

• 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 (particularly emerging 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 often fluctuate more than those of securities traded on U.S. securities markets. 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, recordkeeping, accounting, custody and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in some non-U.S. countries. Investors in non-U.S. countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against non-U.S. issuers or non-U.S. persons is limited.

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

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GMO’s decision to seek a refund on behalf of a Fund 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 process of seeking a refund may take years, and the outcome of a Fund’s efforts to obtain a refund is inherently uncertain. Accordingly, a refund is not typically reflected in the Fund’s net asset value until GMO believes that the refund is collectible and free from significant contingencies. In some cases, the amount of such refunds could be material to a Fund’s net asset value. If you redeem your shares of a Fund before a potential refund is reflected in the Fund’s net asset value, you will not realize the benefit of that refund. 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 companies 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 and increased risk of currency devaluation and hyperinflation; 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; increased risk of market manipulation or fraudulent trade practices; controls on investment (including restrictions on foreign 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); lower trading volumes; unavailability of currency hedging techniques; less rigorous accounting, auditing, corporate governance, financial reporting, recordkeeping, and regulatory standards and practices; unavailability of reliable information about issuers; slower clearance and settlement; limitations on, or difficulties enforcing legal judgments, contractual rights, or other remedies, including those available to a Fund in respect of its portfolio holdings; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries often 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.

• 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.

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4. Derivative financial instruments

During the period ended August 31, 2021, only Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

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

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

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

The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index(to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e. the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global 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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The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

* * *

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

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

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For Funds that held derivatives during the period ended August 31, 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		Consolidated Implementation Fund*		Consolidated SGM Major Markets Fund*		Strategic Opportunities Allocation Fund
Forward currency contracts
Adjust currency exchange rate risk								X
Adjust exposure to foreign currencies		X		X		X		X
Manage against anticipated currency exchange rate changes		X				X
Futures contracts
Adjust exposure to certain securities markets		X		X		X		X
Substitute for direct investment								X
Adjust interest rate exposure		X						X
Maintain the diversity and liquidity of the portfolio		X		X		X		X
Options (Purchased)
Substitute for direct equity investment		X				X
Options (Written)
Substitute for direct equity investment		X				X
Swap contracts
Adjust exposure to certain markets								X
Adjust interest rate exposure		X		X		X		X
Substitute for direct investment in securities		X		X		X				X
Achieve exposure to a reference entity’s credit		X				X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

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

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

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures 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

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the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

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

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

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

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, 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 period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2021 and the Statements of Operations for the period ended August 31, 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)	$	—	$	—	$	169,275	$	—	$	—	$	169,275
Unrealized Appreciation on Forward Currency Contracts		—		—		—		1,856,370		—		1,856,370
Unrealized Appreciation on Futures Contracts¤		—		—		956,811		—		280,284		1,237,095
Swap Contracts, at value¤		3,177,395		—		28,034		—		2,140,735		5,346,164
Total	$	3,177,395	$	—	$	1,154,120	$	1,856,370	$	2,421,019	$	8,608,904

169

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated Alternative Allocation Fund (continued)
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(2,577,499	)	$	—		$	(325,422	)	$	(2,902,921	)
Unrealized Depreciation on Forward Currency Contracts		—			—			—			(2,261,505	)		—			(2,261,505	)
Written Options, at value		(31,307	)		—			(57,370	)		—			—			(88,677	)
Swap Contracts, at value¤		(1,862,013	)		—			(446,817	)		—			(1,762,322	)		(4,071,152	)
Total	$	(1,893,320	)	$	—		$	(3,081,686	)	$	(2,261,505	)	$	(2,087,744	)	$	(9,324,255	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	91,425		$	—		$	(43,170	)	$	48,255
Forward Currency Contracts		—			—			—			299,584			—			299,584
Futures Contracts		—			—			(2,723,568	)		—			(183,581	)		(2,907,149	)
Written Options		328,844			—			2,180,887			—			—			2,509,731
Swap Contracts		53,985			(1,919,100	)		(1,607,456	)		—			(1,577,801	)		(5,050,372	)
Total	$	382,829		$	(1,919,100	)	$	(2,058,712	)	$	299,584		$	(1,804,552	)	$	(5,099,951	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(77,161	)	$	—		$	18,880		$	(58,281	)
Forward Currency Contracts		—			—			—			(262,480	)		—			(262,480	)
Futures Contracts		—			—			(1,663,067	)		—			1,194,059			(469,008	)
Written Options		15,473			—			378,065			—			—			393,538
Swap Contracts		(409,123	)		—			(1,143,168	)		—			4,977,203			3,424,912
Total	$	(393,650	)	$	—		$	(2,505,331	)	$	(262,480	)	$	6,190,142		$	3,028,681
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	1,246,988		$	—		$	1,246,988
Swap Contracts, at value¤		—			—			208,938			—			1,549,976			1,758,914
Total	$	—		$	—		$	208,938		$	1,246,988		$	1,549,976		$	3,005,902
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,760,492	)	$	—		$	(1,760,492	)
Unrealized Depreciation on Futures Contracts¤		—			—			(15,600,153	)		—			—			(15,600,153	)
Swap Contracts, at value¤		—			—			(1,068,222	)		—			(1,294,933	)		(2,363,155	)
Total	$	—		$	—		$	(16,668,375	)	$	(1,760,492	)	$	(1,294,933	)	$	(19,723,800	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	7,850,441		$	—		$	7,850,441
Futures Contracts		—			—			(67,368,890	)		—			—			(67,368,890	)
Swap Contracts		—			—			9,016,567			—			35,029			9,051,596
Total	$	—		$	—		$	(58,352,323	)	$	7,850,441		$	35,029		$	(50,466,853	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	(704,922	)	$	—		$	(704,922	)
Futures Contracts		—			—			663,647			—			—			663,647
Swap Contracts		—			—			(5,207,453	)		—			1,490,307			(3,717,146	)
Total	$	—		$	—		$	(4,543,806	)	$	(704,922	)	$	1,490,307		$	(3,758,421	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	734,865		$	—		$	—		$	734,865
Unrealized Appreciation on Forward Currency Contracts		—			—			—			8,043,594			—			8,043,594
Unrealized Appreciation on Futures Contracts¤		—			339,246			1,440,801			—			1,131,283			2,911,330
Swap Contracts, at value¤		—			—			835,139			—			9,446,967			10,282,106
Total	$	—		$	339,246		$	3,010,805		$	8,043,594		$	10,578,250		$	21,971,895

170

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated Implementation Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(10,273,502	)	$	—		$	(10,273,502	)
Unrealized Depreciation on Futures Contracts¤		—			(1,713,484	)		(35,150,447	)		—			(1,306,803	)		(38,170,734	)
Swap Contracts, at value¤		(676,328	)		—			(3,247,140	)		—			(7,892,296	)		(11,815,764	)
Total	$	(676,328	)	$	(1,713,484	)	$	(38,397,587	)	$	(10,273,502	)	$	(9,199,099	)	$	(60,260,000	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	405,096		$	—		$	—		$	405,096
Forward Currency Contracts		—			—			—			22,085,975			—			22,085,975
Futures Contracts		—			(3,449,600	)		(162,472,795	)		—			(189,869	)		(166,112,264	)
Written Options		—			—			(107,440	)		—			—			(107,440	)
Swap Contracts		(136,926	)		—			23,297,549			—			(3,586,873	)		19,573,750
Total	$	(136,926	)	$	(3,449,600	)	$	(138,877,590	)	$	22,085,975		$	(3,776,742	)	$	(124,154,883	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(334,563	)	$	—		$	—		$	(334,563	)
Forward Currency Contracts		—			—			—			(3,235,320	)		—			(3,235,320	)
Futures Contracts		—			1,551,304			475,110			—			2,973,362			4,999,776
Swap Contracts		15,783			—			(12,512,004	)		—			12,466,437			(29,784	)
Total	$	15,783		$	1,551,304		$	(12,371,457	)	$	(3,235,320	)	$	15,439,799		$	1,400,109
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	1,321,130		$	—		$	1,321,130
Unrealized Appreciation on Futures Contracts¤		—			239,168			4,903,874			—			777,354			5,920,396
Swap Contracts, at value¤		—			—			8,643			—			—			8,643
Total	$	—		$	239,168		$	4,912,517		$	1,321,130		$	777,354		$	7,250,169
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(506,562	)	$	—		$	(506,562	)
Unrealized Depreciation on Futures Contracts¤		—			(1,236,006	)		(7,320,984	)		—			(876,844	)		(9,433,834	)
Swap Contracts, at value¤		—			—			(516,113	)		—			—			(516,113	)
Total	$	—		$	(1,236,006	)	$	(7,837,097	)	$	(506,562	)	$	(876,844	)	$	(10,456,509	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	(4,419,338	)	$	—		$	(4,419,338	)
Futures Contracts		—			(2,496,649	)		3,084,396			—			430,295			1,018,042
Swap Contracts		—			—			(1,601,614	)		—			—			(1,601,614	)
Total	$	—		$	(2,496,649	)	$	1,482,782		$	(4,419,338	)	$	430,295		$	(5,002,910	)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	2,395,246		$	—		$	2,395,246
Futures Contracts		—			1,219,856			(3,268,099	)		—			2,302,545			254,302
Swap Contracts		—			—			(507,470	)		—			—			(507,470	)
Total	$	—		$	1,219,856		$	(3,775,569	)	$	2,395,246		$	2,302,545		$	2,142,078
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—		$	—		$	14,631		$	—		$	—		$	14,631
Total	$	—		$	—		$	14,631		$	—		$	—		$	14,631
Liability Derivatives
Swap Contracts, at value¤	$	—		$	—		$	(162,419	)	$	—		$	—		$	(162,419	)
Total	$	—		$	—		$	(162,419	)	$	—		$	—		$	(162,419	)

171

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August 31, 2021 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Total
Strategic Opportunities Allocation Fund (continued)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—	$	2,371,717		$	—	$	—	$	2,371,717
Total	$	—	$	—	$	2,371,717		$	—	$	—	$	2,371,717
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—	$	(1,229,771	)	$	—	$	—	$	(1,229,771	)
Total	$	—	$	—	$	(1,229,771	)	$	—	$	—	$	(1,229,771	)

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

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

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 2021, if any.

172

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August 31, 2021 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 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.	$	813,881		$	(769,871	)	$	(44,010	)	$	—	*
Barclays Bank PLC		259,575			—			(259,575	)		—
Citibank N.A.		1,144,467			(1,016,101	)		(128,366	)		—	*
Citigroup Global Markets Inc.		298,429			—			(390	)		298,039
Deutsche Bank AG		88,395			—			(88,395	)		—
Goldman Sachs International		274,550			—			(82,524	)		192,026
JPMorgan Chase Bank, N.A.		1,039,508			(124,867	)		(914,641	)		—	*
Merrill Lynch Capital Services, Inc.		218,314			—			(640	)		217,674
Morgan Stanley & Co. International PLC		778,403			—			(778,403	)		—
Morgan Stanley Capital Services LLC		7,922			—			(7,922	)		—
Morgan Stanley & Co. LLC		169,275			—			(57,370	)		111,905
UBS AG		138,355			—			(138,355	)		—
Total	$	5,231,074		$	(1,910,839	)	$	(2,500,591	)	$	819,644
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.	$	(44,010	)	$	—		$	44,010		$	—
Barclays Bank PLC		(338,966	)		79,391			259,575			—	*
Citibank N.A.		(128,366	)		—			128,366			—
Citigroup Global Markets Inc.		(390	)		—			390			—
Deutsche Bank AG		(185,863	)		97,468			88,395			—	*
Goldman Sachs International		(82,524	)		—			82,524			—
JPMorgan Chase Bank, N.A.		(914,641	)		—			914,641			—
Merrill Lynch Capital Services, Inc.		(640	)		—			640			—
Morgan Stanley & Co. International PLC		(781,903	)		3,500			778,403			—	*
Morgan Stanley Capital Services LLC		(127,733	)		—			7,922			(119,811	)
Morgan Stanley & Co. LLC		(57,370	)		—			57,370			—
State Street Bank and Trust Company		(13,421	)		—			—			(13,421	)
UBS AG		(177,837	)		—			138,355			(39,482	)
Total	$	(2,853,664	)	$	180,359		$	2,500,591		$	(172,714	)

173

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August 31, 2021 (Unaudited)

Benchmark-Free Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	36,342		$	—		$	(20,959	)	$	15,383
Barclays Bank PLC		177,609			—			(177,609	)		—
Brown Brothers Harriman & Co.		30,328			—			—			30,328
Citibank N.A.		69,100			—			(28,940	)		40,160
Deutsche Bank AG		15,380			—			(15,380	)		—
Goldman Sachs International		285,625			(56,878	)		(228,747	)		—	*
JPMorgan Chase Bank, N.A.		249,830			—			(249,830	)		—
Morgan Stanley & Co. International PLC		414,336			—			(414,336	)		—
State Street Bank and Trust Company		177,376			—			(43,778	)		133,598
Total	$	1,455,926		$	(56,878	)	$	(1,179,579	)	$	219,469
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	(20,959	)	$	—		$	20,959		$	—
Barclays Bank PLC		(214,598	)		36,989			177,609			—	*
Citibank N.A.		(28,940	)		—			28,940			—
Deutsche Bank AG		(183,570	)		—			15,380			(168,190	)
Goldman Sachs International		(228,747	)		—			228,747			—
JPMorgan Chase Bank, N.A.		(658,990	)		346,892			249,830			(62,268	)
Morgan Stanley & Co. International PLC		(569,139	)		—			414,336			(154,803	)
Morgan Stanley Capital Services LLC		(879,993	)		521837			—			(358,156	)
State Street Bank and Trust Company		(43,778	)		—			43,778			—
Total	$	(2,828,714	)	$	905,718		$	1,179,579		$	(743,417	)

174

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Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Consolidated Implementation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	237,532		$	—		$	(81,478	)	$	156,054
Barclays Bank PLC		1,123,249			—			(1,123,249	)		—
Citibank N.A.		422,330			(130,000	)		(220,347	)		71,983
Deutsche Bank AG		346,875			—			(346,875	)		—
Goldman Sachs International		1,104,829			(407,435	)		(697,394	)		—	*
JPMorgan Chase Bank, N.A.		2,143,963			—			(2,143,963	)		—
Morgan Stanley & Co. International PLC		2,525,081			—			(2,525,081	)		—
Morgan Stanley & Co. LLC		734,865			—			—			734,865
State Street Bank and Trust Company		405,143			—			(114,471	)		290,672
UBS AG		569,731			—			(569,731	)		—
Total	$	9,613,598		$	(537,435	)	$	(7,822,589	)	$	1,253,574
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.	$	(81,478	)	$	—		$	81,478		$	—
Barclays Bank PLC		(1,560,440	)		437,191			1,123,249			—	*
Citibank N.A.		(220,347	)		—			220,347			—
Credit Suisse International		(162,498	)		—			—			(162,498	)
Deutsche Bank AG		(898,098	)		397,876			346,875			(153,347	)
Goldman Sachs International		(697,394	)		—			697,394			—
JPMorgan Chase Bank, N.A.		(4,375,277	)		1,850,422			2,143,963			(380,892	)
Morgan Stanley & Co. International PLC		(3,166,242	)		60,981			2,525,081			(580,180	)
Morgan Stanley Capital Services LLC		(2,187,851	)		1,163,636			—			(1,024,215	)
State Street Bank and Trust Company		(114,471	)		—			114,471			—
UBS AG		(732,874	)		—			569,731			(163,143	)
Total	$	(14,196,970	)	$	3,910,106		$	7,822,589		$	(2,464,275	)

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Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements			Collateral Received			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	20,718		$	—		$	(20,718	)	$	—
Deutsche Bank AG		229,553			(229,553	)		—			—	*
Goldman Sachs International		8,643			—			(8,643	)		—
JPMorgan Chase Bank, N.A.		474,814			(229,145	)		(53,013	)		192,656
UBS AG		596,045			—			(596,045	)		—
Total	$	1,329,773		$	(458,698	)	$	(678,419	)	$	192,656
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	(70,846	)	$	30,007		$	20,718		$	(20,121	)
Goldman Sachs International		(177,134	)		168,491			8,643			—	*
JPMorgan Chase Bank, N.A.		(53,013	)		—			53,013			—
Morgan Stanley & Co. International PLC		(22,168	)		—			—			(22,168	)
State Street Bank and Trust Company		(24,400	)		24,400			—			—	*
UBS AG		(675,114	)		—			596,045			(79,069	)
Total	$	(1,022,675	)	$	222,898		$	678,419		$	(121,358	)

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	$	14,631		$	—	$	(14,631	)	$	—
Total	$	14,631		$	—	$	(14,631	)	$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements			Collateral Pledged		Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	(31,790	)	$	—	$	14,631		$	(17,159	)
Morgan Stanley Capital Services LLC		(130,629	)		—		—			(130,629	)
Total	$	(162,419	)	$	—	$	14,631		$	(147,788	)

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

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The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2021:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Consolidated Alternative Allocation Fund		697,718,477		218,003,037		31,570,833		466		2,063,793,769
Benchmark-Free Fund		553,477,541		485,664,510		—		—		1,125,048,081
Consolidated Implementation Fund		2,691,640,547		1,911,108,073		—		1,598		6,826,514,478
Consolidated SGM Major Markets Fund		281,994,425		676,974,712		—		—		51,172,721
Strategic Opportunities Allocation Fund		—		—		—		—		7,496,928

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.

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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 August 31,2021.

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 for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap.

For 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, 2022 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

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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, 2022, 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 for the benefit of 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 for the benefit of 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 will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 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		7,692		676
Benchmark-Free Allocation Fund		119,685		12,540
Benchmark-Free Fund		39,465		4,082
Global Asset Allocation Fund		18,534		1,816
Global Developed Equity Allocation Fund		1,445		156
Global Equity Allocation Fund		28,127		2,839
Consolidated Implementation Fund		105,381		10,922
International Developed Equity Allocation Fund		4,030		453
International Equity Allocation Fund		14,124		1,459
Consolidated SGM Major Markets Fund		6,416		840
Strategic Opportunities Allocation Fund		10,502		999

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August 31, 2021 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 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		0.034%
Benchmark-Free Allocation Fund		0.421%	*
Benchmark-Free Fund		0.093%
Global Asset Allocation Fund		0.714%	*
Global Developed Equity Allocation Fund		0.518%
Global Equity Allocation Fund		0.563%
International Developed Equity Allocation Fund		0.608%
International Equity Allocation Fund		0.653%
Strategic Opportunities Allocation Fund		0.341%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 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 period ended August 31, 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		62,285,723		512,667,224		85,022,466		596,198,541
Benchmark-Free Allocation Fund		—		129,822,576		—		688,856,345
Benchmark-Free Fund		205,930,786		847,339,680		166,610,438		959,692,202
Global Asset Allocation Fund		—		110,904,998		—		377,293,412
Global Developed Equity Allocation Fund		—		4,644,486		—		1,367,000
Global Equity Allocation Fund		—		111,517,403		—		157,913,875
Consolidated Implementation Fund		684,746,767		3,136,428,128		682,220,691		3,467,381,439
International Developed Equity Allocation Fund		—		19,783,343		—		7,108,650
International Equity Allocation Fund		—		45,647,542		—		105,758,585
Consolidated SGM Major Markets Fund		179,920,868		—		159,212,769		—
Strategic Opportunities Allocation Fund		—		174,826,714		—		362,222,599

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

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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 as of August 31, 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
Alternative Allocation Fund		3	‡		80.44%
Benchmark-Free Allocation Fund		1			25.95%
Benchmark-Free Fund		1			11.68%
Global Asset Allocation Fund		2			28.93%
Global Developed Equity Allocation Fund		2			82.86%
Global Equity Allocation Fund		3			65.13%
Implementation Fund		1	‡		100.00%
International Developed Equity Allocation Fund		2			95.33%
International Equity Allocation Fund		4			75.74%
SGM Major Markets Fund		2	#		75.41%
Strategic Opportunities Allocation Fund		3			67.68%

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

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

9. Share transactions

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

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Alternative Allocation Fund
Class VI:
Shares sold		277,596		$	5,293,898			6,069,438		$	120,301,372
Shares issued to shareholders in reinvestment of distributions		305,399			5,640,719			277,343			5,356,980
Shares repurchased		(3,495,544	)		(67,191,020	)		(4,536,437	)		(87,729,228	)
Net increase (decrease)		(2,912,549	)	$	(56,256,403	)		1,810,344		$	37,929,124
Class R6:(a)
Shares sold		1,034		$	19,741			26,831		$	519,188
Shares issued to shareholders in reinvestment of distributions		823			15,158			516			9,953
Shares repurchased		(26,894	)		(498,348	)		(2,114	)		(41,558	)
Net increase (decrease)		(25,037	)	$	(463,449	)		25,233		$	487,583

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	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Alternative Allocation Fund (Continued)
Class I:
Shares sold		4,304,838		$	81,361,671			15,492,543		$	298,991,109
Shares issued to shareholders in reinvestment of distributions		162,345			2,992,023			80,844			1,560,033
Shares repurchased		(9,292,745	)		(179,445,136	)		(3,178,089	)		(60,932,252	)
Net increase (decrease)		(4,825,562	)	$	(95,091,442	)		12,395,298		$	239,618,890
Benchmark-Free Allocation Fund
Class III:
Shares sold		1,638,541		$	44,228,354			3,785,990		$	92,615,446
Shares issued to shareholders in reinvestment of distributions		—			—			4,019,280			100,605,473
Shares repurchased		(19,502,299	)		(521,099,041	)		(52,416,850	)		(1,279,526,091	)
Shares repurchased in connection with reorganization(b)		—			—			(17,852,866	)		(463,472,079	)
Net increase (decrease)		(17,863,758	)	$	(476,870,687	)		(62,464,446	)	$	(1,549,777,251	)
Class IV:
Shares sold		6,864,690		$	183,783,076			4,395,247		$	107,395,880
Shares issued to shareholders in reinvestment of distributions		—			—			2,254,813			56,425,045
Shares repurchased		(2,915,903	)		(77,947,991	)		(12,628,848	)		(307,840,416	)
Net increase (decrease)		3,948,787		$	105,835,085			(5,978,788	)	$	(144,019,491	)
Class MF:
Shares sold		661,053		$	17,581,904			863,586		$	22,063,346
Shares issued to shareholders in reinvestment of distributions		—			—			2,769,815			69,378,466
Shares repurchased		(6,655,265	)		(178,265,466	)		(48,245,572	)		(1,184,044,972	)
Net increase (decrease)		(5,994,212	)	$	(160,683,562	)		(44,612,171	)	$	(1,092,603,160	)
Class R6:(c)
Shares sold		1,356,856		$	36,281,295			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(b)		—			—			9,884,492			256,421,515
Shares repurchased		(2,586,547	)		(69,170,264	)		(334,848	)		(8,558,317	)
Net increase (decrease)		(1,229,691	)	$	(32,888,969	)		11,972,933		$	308,687,885
Class I:
Shares sold		1,784,947		$	47,749,321			3,200,275		$	79,569,402
Shares issued to shareholders in reinvestment of distributions		—			—			159,203			3,981,436
Shares issued to shareholders in connection with reorganization(b)		—			—			8,138,329			211,141,897
Shares repurchased		(1,276,021	)		(33,968,452	)		(2,838,085	)		(72,184,369	)
Net increase (decrease)		508,926		$	13,780,869			8,659,722		$	222,508,366
Benchmark-Free Fund
Class III:
Shares sold		—		$	—			3,380,765		$	56,376,837
Shares issued to shareholders in reinvestment of distributions		246,565			4,914,048			3,731,306			69,942,505
Shares repurchased		(7,963,291	)		(160,295,580	)		(33,134,537	)		(610,768,662	)
Net increase (decrease)		(7,716,726	)	$	(155,381,532	)		(26,022,466	)	$	(484,449,320	)

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August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:
Shares sold		580,347		$	21,297,722			1,216,073		$	38,212,261
Shares issued to shareholders in reinvestment of distributions		102,177			3,726,410			976,697			32,629,383
Shares repurchased		(3,847,731	)		(138,467,094	)		(26,333,561	)		(848,073,134	)
Shares repurchased in connection with reorganization(b)		—			—			(4,904,836	)		(173,115,488	)
Net increase (decrease)		(3,165,207	)	$	(113,442,962	)		(29,045,627	)	$	(950,346,978	)
Class R6:(d)
Shares sold		69,585		$	2,504,577			609,510		$	20,452,550
Shares issued to shareholders in reinvestment of distributions		2,613			95,251			15,573			521,472
Shares issued to shareholders in connection with reorganization		—			—			4,380,291			154,608,023
Shares repurchased(b)		(4,438,297	)		(161,550,476	)		(332,593	)		(11,069,669	)
Net increase (decrease)		(4,366,099	)	$	(158,950,648	)		4,672,781		$	164,512,376
Class I:(e)
Shares sold		35,550		$	1,307,564			75,778		$	2,667,247
Shares issued to shareholders in reinvestment of distributions		2,482			90,510			—			—
Shares issued to shareholders in connection with reorganization(b)		—			—			554,741			19,578,025
Shares repurchased		(255,074	)		(9,261,538	)		(43,576	)		(1,539,670	)
Net increase (decrease)		(217,042	)	$	(7,863,464	)		586,943		$	20,705,602
Global Developed Equity Allocation Fund
Class III:
Shares sold		—		$	—			219,276		$	5,622,223
Shares issued to shareholders in reinvestment of distributions		35,607			1,004,489			85,417			2,073,187
Shares repurchased		—			—			(403,077	)		(8,282,753	)
Net increase (decrease)		35,607		$	1,004,489			(98,384	)	$	(587,343	)
Global Equity Allocation Fund
Class III:
Shares sold		1,623		$	50,000			1,378,390		$	33,559,963
Shares issued to shareholders in reinvestment of distributions		59,646			1,939,106			1,927,822			54,272,843
Shares repurchased		(2,897,803	)		(93,136,714	)		(8,268,761	)		(223,473,248	)
Net increase (decrease)		(2,836,534	)	$	(91,147,608	)		(4,962,549	)	$	(135,640,442	)
Class R6:(f)
Shares sold		17,993		$	581,453			246,021		$	6,259,686
Shares issued to shareholders in reinvestment of distributions		278			9,052			8,041			227,894
Shares repurchased		(15,489	)		(509,958	)		(27,387	)		(732,104	)
Net increase (decrease)		2,782		$	80,547			226,675		$	5,755,476
Class I:(g)
Shares sold		8,167		$	262,198			72,846		$	1,917,462
Shares issued to shareholders in reinvestment of distributions		66			2,140			2,267			64,254
Shares repurchased		(2,517	)		(82,279	)		(458	)		(12,411	)
Net increase (decrease)		5,716		$	182,059			74,655		$	1,969,305

183

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
Implementation Fund
Core Class:
Shares sold		8,605,461		$	113,906,329			86,220,208		$	1,048,235,578
Shares issued to shareholders in reinvestment of distributions		—			—			10,748,813			132,218,180
Shares repurchased		(48,895,510	)		(642,314,044	)		(185,451,038	)		(2,225,658,576	)
Net increase (decrease)		(40,290,049	)	$	(528,407,715	)		(88,482,017	)	$	(1,045,204,818	)
International Developed Equity Allocation Fund
Class III:
Shares sold		663,605		$	12,080,896			2,334,558		$	33,800,999
Shares issued to shareholders in reinvestment of distributions		16,481			304,561			386,519			6,277,230
Shares repurchased		(216,131	)		(3,940,476	)		(9,909,526	)		(144,296,950	)
Shares repurchased in connection with reorganization(b)		—			—			(487,958	)		(8,333,525	)
Net increase (decrease)		463,955		$	8,444,981			(7,676,407	)	$	(112,552,246	)
Class R6:(h)
Shares sold		27,059		$	495,016			6,577		$	112,468
$Shares issued to shareholders in reinvestment of distributions		1,063			19,636			—			—
Shares issued to shareholders in connection with reorganization(b)		—			—			492,914			8,418,168
Shares repurchased		(16,181	)		(294,295	)		(12,445	)		(212,488	)
Net increase (decrease)		11,941		$	220,357			487,046		$	8,318,148
International Equity Allocation Fund
Class III:
Shares sold		156,678		$	5,258,094			165,164		$	4,658,164
Shares issued to shareholders in reinvestment of distributions		49,139			1,689,410			767,681			23,461,457
Shares repurchased		(2,087,363	)		(70,117,950	)		(5,584,470	)		(137,383,719	)
Shares repurchased in connection with reorganization(b)		—			—			(376,439	)		(12,333,032	)
Net increase (decrease)		(1,881,546	)	$	(63,170,446	)		(5,028,064	)	$	(121,597,130	)
Class R6:
Shares sold		87,986		$	2,998,171			315,758		$	7,840,712
$Shares issued to shareholders in reinvestment of distributions		23,427			805,193			331,970			10,144,475
Shares issued to shareholders in connection with reorganization(b)		—			—			380,466			12,461,474
Shares repurchased		(297,516	)		(9,881,413	)		(551,315	)		(17,409,367	)
Net increase (decrease)		(186,103	)	$	(6,078,049	)		476,879		$	13,037,294
SGM Major Markets Fund
Class III:
Shares sold		217,692		$	6,755,873			384,363		$	12,641,912
Shares issued to shareholders in reinvestment of distributions		1,047			31,210			515			16,796
Shares repurchased		(131,252	)		(3,992,349	)		(40,476	)		(1,320,080	)
Net increase (decrease)		87,487		$	2,794,734			344,402		$	11,338,628
Class VI:
Shares sold		1,951,297		$	61,018,485			3,231,526		$	104,242,857
Shares issued to shareholders in reinvestment of distributions		653,512			19,455,064			200,949			6,549,429
Shares repurchased		(3,651,293	)		(109,015,660	)		(20,403,300	)		(653,236,278	)
Net increase (decrease)		(1,046,484	)	$	(28,542,111	)		(16,970,825	)	$	(542,443,992	)

184

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

	Six Months Ended August 31, 2021 (Unaudited)						Year Ended February 28, 2021
	Shares			Amount			Shares			Amount
SGM Major Markets Fund (continued)
Class I:(i)
Shares sold		478,528		$	14,804,711			438,717		$	14,414,202
Shares issued to shareholders in reinvestment of distributions		32,794			976,620			2,797			91,322
Shares repurchased		(50,254	)		(1,556,442	)		(9,697	)		(316,848	)
Net increase (decrease)		461,068		$	14,224,889			431,817		$	14,188,676
Strategic Opportunities Allocation Fund
Class III:
Shares sold		221,141		$	5,000,000			1,900,987		$	32,587,762
Shares issued to shareholders in reinvestment of distributions		311,379			6,938,059			1,193,465			23,704,892
Shares repurchased		(10,888,667	)		(243,484,935	)		(16,950,871	)		(322,809,952	)
Net increase (decrease)		(10,356,147	)	$	(231,546,876	)		(13,856,419	)	$	(266,517,298	)

^(a) The period under the heading “Year Ended February 28, 2021” represents the period from July 31, 2020 (commencement of operations) through February 28, 2021.

^(b) A plan of reorganization was completed on January 22, 2021.

^(c)  The period under the heading “Year Ended February 28, 2021” represents the period from May 1, 2020 (commencement of operations) through February 28, 2021.

^(d)  The period under the heading “Year Ended February 28, 2021” represents the period from September 30, 2019 (commencement of operations) through February 29, 2020.

^(e)  The period under the heading “Year Ended February 28, 2021” represents the period from January 6, 2021 (commencement of operations) through February 28, 2021.

^(f)  The period under the heading “Year Ended February 28, 2021 “represents the period from July 15, 2020 (commencement of operations) through February 28, 2021.

^(g)  The period under the heading “Year Ended February 28, 2021 “represents the period from August 17, 2020 (commencement of operations) through February 28, 2021.

^(h)  The period under the heading “Year Ended February 28, 2021” represents the period from January 22, 2021 (commencement of operations) through February 28, 2021.

⁽ⁱ⁾  The period under the heading “Year Ended February 28, 2021” represents the period from September 23, 2020 (commencement of operations) through 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 period ended August 31, 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	$	29,192,704	$	—	$	17,240,000	$	40,947	$	—	$	2,580,654	$	(1,959,720	)	$	12,573,638

185

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	161,366,088	$	4,512,052	$	174,494,031	$	1,856,950		$	2,655,102	$	(136,976	)	$	8,752,867		$	—
GMO Emerging Country Debt Fund, Class VI		—		172,094,031		12,000,000		—			—		(544,633	)		(3,398,048	)		156,151,350
GMO Implementation Fund		5,968,168,051		113,906,328		642,314,044		—			—		(17,711,135	)		146,142,779			5,568,191,979
GMO Opportunistic Income Fund, Class VI		237,695,110		948,914		24,915,678		948,914			—		523,246			865,711			215,117,303
GMO SGM Major Markets Fund, Class VI		176,393,296		10,455,282		7,226,623		3,998,726			6,456,556		(1,034,678	)		(11,470,650	)		167,116,627
Totals	$	6,543,622,545	$	301,916,607	$	860,950,376	$	6,804,590		$	9,111,658	$	(18,904,176	)	$	140,892,659		$	6,106,577,259
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	68,079,210	$	1,931,848	$	73,642,006	$	795,058		$	1,136,790	$	—		$	3,630,948		$	—
GMO Emerging Country Debt Fund, Class VI		—		73,642,006		5,300,000		—			—		204,079			(1,851,610	)		66,694,475
GMO Emerging Markets Fund, Class VI		73,462,563		242,521		—		242,521			—		—			1,007,778			74,712,862
GMO Opportunistic Income Fund, Class VI		95,150,641		11,654,333		—		454,333			—		—			650,026			107,455,000
GMO SGM Major Markets Fund, Class VI		53,275,871		24,347,706		—		1,662,823			2,684,883		—			(5,149,079	)		72,474,498
GMO U.S. Treasury Fund		15,629,132		69,699,579		79,943,287		3,450	**		—		5,787			792			5,392,003
Totals	$	305,597,417	$	181,517,993	$	158,885,293	$	3,158,185		$	3,821,673	$	209,866		$	(1,711,145	)	$	326,728,838
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	178,571,877	$	8,202,742	$	53,786,020	$	—		$	4,192,845	$	(1,747,470	)	$	(3,583,105	)	$	127,658,024
GMO Asset Allocation Bond Fund, Class VI		58,588,962		15,117,924		36,107,738		—			—		2,221,562			(706,037	)		39,114,673
GMO Emerging Country Debt Fund, Class IV		26,636,433		557,358		29,196,240		229,383			327,975		(428,933	)		2,431,382			—
GMO Emerging Country Debt Fund, Class VI		—		22,196,240		—		—			—		—			(1,425,103	)		20,771,137
GMO Emerging Markets Fund, Class VI		175,044,536		3,641,162		63,464,828		407,792			—		7,355,477			(4,698,983	)		117,877,364
GMO International Equity Fund, Class IV		143,733,654		15,333,994		53,606,134		1,916,915			—		5,518,298			5,292,327			116,272,139
GMO-Usonian Japan Value Creation Fund, Class VI		35,718,441		2,366,688		11,406,000		910,021			842,505		2,121,103			(2,288,666	)		26,511,566
GMO Multi-Sector Fixed Income Fund, Class IV		49,437,917		31,917,803		22,632,203		—			1,638,831		(140,358	)		98,508			58,681,667
GMO Opportunistic Income Fund, Class VI		26,706,075		83,369		7,448,346		83,369			—		(68,492	)		196,680			19,469,286
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		26,821,332		1,999,803		9,200,000		220,945			1,778,858		3,366,138			(3,124,829	)		19,862,444
GMO Quality Fund, Class VI		18,091,344		366,983		7,585,000		26,360			226,459		1,839,291			764,229			13,476,847
GMO U.S. Equity Fund, Class VI		73,489,034		4,502,869		31,312,154		160,235			3,161,757		2,196,762			5,549,266			54,425,777
GMO U.S. Small Cap Value Fund, Class VI		58,149,527		4,313,247		26,535,270		83,054			2,368,425		7,218,064			(3,515,694	)		39,629,874
GMO U.S. Treasury Fund		24,707,179		22,501,057		47,206,179		1,892			1		—			—			2,057
Totals	$	895,696,311	$	133,101,239	$	399,486,112	$	4,039,966		$	14,537,656	$	29,451,442		$	(5,010,025	)	$	653,752,855

186

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	8,499,013	$	647,343	$	—	$	29,866		$	—	$	—		$	111,322		$	9,257,678
GMO International Equity Fund, Class IV		37,111,417		1,328,757		—		728,758			—		—			3,115,610			41,555,784
GMO-Usonian Japan Value Creation Fund, Class VI		3,494,510		275,804		—		125,025			115,749		—			(92,755	)		3,677,559
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		4,589,809		500,347		—		55,280			445,066		—			(120,618	)		4,969,538
GMO Quality Fund, Class VI		10,925,424		238,778		95,000		24,895			213,883		27,495			1,899,363			12,996,060
GMO U.S. Equity Fund, Class VI		14,166,705		999,623		112,000		48,217			951,406		14,404			1,611,772			16,680,504
GMO U.S. Small Cap Value Fund, Class VI		9,343,101		653,834		1,160,000		19,130			545,520		338,487			128,085			9,303,507
Totals	$	88,129,979	$	4,644,486	$	1,367,000	$	1,031,171		$	2,271,624	$	380,386		$	6,652,779		$	98,440,630
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	451,468,804	$	8,472,980	$	42,679,854	$	1,472,979		$	—	$	8,675,295		$	(2,288,356	)	$	423,648,869
GMO International Equity Fund, Class IV		546,831,021		49,258,148		35,373,535		10,128,388			—		4,446,639			41,176,322			606,338,595
GMO-Usonian Japan Value Creation Fund, Class VI		65,011,818		4,479,361		—		2,325,966			2,153,395		—			(1,729,067	)		67,762,112
GMO Quality Cyclicals Fund (formerly GMO Cyclical Focus Fund), Class VI		81,133,477		8,844,554		—		977,175			7,867,379		—			(2,132,142	)		87,845,889
GMO Quality Fund, Class VI		220,601,446		13,081,254		36,968,481		477,651			4,103,602		10,206,919			28,244,599			235,165,737
GMO U.S. Equity Fund, Class VI		104,407,865		16,807,034		14,570,639		322,170			6,357,036		2,029,422			9,848,583			118,522,265
GMO U.S. Small Cap Value Fund, Class VI		177,879,688		10,574,072		28,321,366		353,846			10,090,445		8,160,413			1,014,076			169,306,883
Totals	$	1,647,334,119	$	111,517,403	$	157,913,875	$	16,058,175		$	30,571,857	$	33,518,688		$	74,134,015		$	1,708,590,350
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	35,272,723	$	150,927,266	$	174,623,250	$	—	**	$	—	$	4,075		$	15,738		$	11,596,552
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	22,008,788	$	3,310,845	$	5,977,971	$	80,440		$	—	$	365,002		$	(64,405	)	$	19,642,259
GMO International Equity Fund, Class IV		194,337,465		14,919,501		1,130,679		3,782,091			—		82,367			16,105,177			224,313,831
GMO-Usonian Japan Value Creation Fund, Class VI		8,953,179		1,552,997		—		349,460			323,532		—			(295,596	)		10,210,580
Totals	$	225,299,432	$	19,783,343	$	7,108,650	$	4,211,991		$	323,532	$	447,369		$	15,745,176		$	254,166,670
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	354,876,079	$	9,423,453	$	51,809,922	$	1,085,850		$	—	$	10,736,491		$	(5,642,617	)	$	317,583,484
GMO International Equity Fund, Class IV		470,885,277		33,833,722		50,948,663		8,360,163			—		(1,468,223	)		39,043,047			491,345,160
GMO-Usonian Japan Value Creation Fund, Class VI		35,577,814		2,390,366		3,000,000		1,172,145			1,085,180		572,816			(1,292,928	)		34,248,068
Totals	$	861,339,170	$	45,647,541	$	105,758,585	$	10,618,158		$	1,085,180	$	9,841,084		$	32,107,502		$	843,176,712

187

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2021 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	19,111,645	$	356,555	$	19,908,093	$	146,741	$	209,814	$	(739,750	)	$	1,179,643		$	—
GMO Emerging Country Debt Fund, Class VI		—		13,408,093		700,000		—		—		(56,385	)		(63,900	)		12,587,808
GMO Emerging Markets Fund, Class VI		132,412,873		289,741		55,450,000		289,741		—		6,118,014			(4,429,025	)		78,941,603
GMO International Equity Fund, Class IV		68,841,799		8,844,225		27,500,000		844,225		—		2,666,929			2,222,757			55,075,710
GMO Opportunistic Income Fund, Class VI		16,234,952		45,158		6,305,000		45,158		—		223,211			(157,832	)		10,040,489
GMO Quality Fund, Class VI		31,416,895		412,831		15,960,000		43,044		369,787		2,956,241			1,215,270			20,041,237
GMO U.S. Equity Fund, Class VI		29,319,352		1,333,102		13,700,000		64,302		1,268,800		982,045			2,038,834			19,973,333
GMO U.S. Small Cap Value Fund, Class VI		41,144,715		1,625,477		18,600,000		55,070		1,570,407		4,825,863			(2,478,744	)		26,517,311
GMO U.S. Treasury Fund		2,500,173		50,113,864		50,617,173		1,906		2,580		(10,695	)		—			1,986,169
Totals	$	340,982,404	$	76,429,046	$	208,740,266	$	1,490,187	$	3,421,388	$	16,965,473		$	(472,997	)	$	225,163,660

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2021 through August 31, 2021. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2022.

** 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 $76,990 and $159,916 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

11. Subsequent events

Effective October 1, 2021, John Thorndike has been added as a portfolio manager of GMO Alternative Allocation Fund.

Subsequent to August 31, 2021, GMO Strategic Opportunities Allocation Fund received notification from shareholders of their intent to redeem approximately 26% of the Fund at the end of October.

188

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2021 (Unaudited)

GMO Alternative Allocation Fund

Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last

189

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

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

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

190

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

191

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee to the Fund and that the Fund does not directly bear any shareholder servicing and supplemental support fees as a result of fee waivers, instead bearing those fees indirectly as a result of the fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

192

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

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

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the

193

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

194

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its other pooled investment vehicle with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last

195

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that account. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

196

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees considered the fact that the Fund does not pay GMO any fees.

197

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees 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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

198

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

199

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

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

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to the third-party fund, as well as the business and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to the third-party fund. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

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

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, and risk-management personnel), noting personnel changes made in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

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

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

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 10, 2021, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2021 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

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

200

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2021 (Unaudited)

At a meeting on May 13, 2021, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 10, 2021 meeting of the Trustees. At the June 10 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

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

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

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund’s share classes indirectly bear the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had carried on its business during the COVID-19 pandemic without interruption and without a reduction in the quality of its services to the Fund.

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

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

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 in the last few years. In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreements, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

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

201

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2021 (Unaudited)

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

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

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

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

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

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

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

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2021 addressing the Program’s operation, adequacy and effectiveness.

202

GMO Trust Funds

Fund Expenses

August 31, 2021 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 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, March 1, 2021 through August 31, 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 March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$985.70		$7.46		$1,000.00		$1,017.69		$7.58		1.49%
Class R6		$1,000.00		$993.30		$7.99		$1,000.00		$1,017.19		$8.08		1.59%
Class I		$1,000.00		$984.60		$8.65		$1,000.00		$1,016.48		$8.79		1.73%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,016.20		$5.95		$1,000.00		$1,019.31		$5.96		1.17%
Class IV		$1,000.00		$1,016.60		$5.69		$1,000.00		$1,019.56		$5.70		1.12%
Class MF		$1,000.00		$1,016.50		$5.69		$1,000.00		$1,019.56		$5.70		1.12%
Class R6		$1,000.00		$1,016.20		$5.95		$1,000.00		$1,019.31		$5.96		1.17%
Class I		$1,000.00		$1,015.80		$6.45		$1,000.00		$1,018.80		$6.46		1.27%
Benchmark-Free Fund
Class III		$1,000.00		$1,019.90		$2.19		$1,000.00		$1,023.04		$2.19		0.43%
Global Asset Allocation Fund
Class III		$1,000.00		$1,053.40		$3.73		$1,000.00		$1,021.58		$3.67		0.72%
Class R6		$1,000.00		$1,052.50		$3.72		$1,000.00		$1,021.58		$3.67		0.72%
Class I		$1,000.00		$1,052.90		$4.24		$1,000.00		$1,021.07		$4.18		0.82%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,117.20		$2.77		$1,000.00		$1,022.58		$2.65		0.52%
Global Equity Allocation Fund
Class III		$1,000.00		$1,094.60		$2.96		$1,000.00		$1,022.38		$2.85		0.56%
Class R6		$1,000.00		$1,094.90		$2.96		$1,000.00		$1,022.38		$2.85		0.56%
Class I		$1,000.00		$1,093.90		$3.48		$1,000.00		$1,021.88		$3.36		0.66%

203

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2021 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Beginning Account Value March 1, 2021		Ending Account Value August 31, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core		$1,000.00		$1,020.50		$2.04		$1,000.00		$1,023.19		$2.04		0.40%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,091.40		$3.22		$1,000.00		$1,022.13		$3.11		0.61%
Class R6		$1,000.00		$1,091.40		$3.22		$1,000.00		$1,022.13		$3.11		0.61%
International Equity Allocation Fund
Class III		$1,000.00		$1,064.40		$3.38		$1,000.00		$1,021.93		$3.31		0.65%
Class R6		$1,000.00		$1,064.40		$3.38		$1,000.00		$1,021.93		$3.31		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$987.50		$5.06		$1,000.00		$1,020.11		$5.14		1.01%
Class VI		$1,000.00		$988.00		$4.56		$1,000.00		$1,020.62		$4.63		0.91%
Class I		$1,000.00		$987.00		$5.56		$1,000.00		$1,019.61		$5.65		1.11%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,067.10		$3.39		$1,000.00		$1,021.93		$3.31		0.65%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2021, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

204

SR-083121-AA

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.    

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.    

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1)	Not applicable to this filing.
(a)(2)	Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.
(a)(3)	Not applicable to this registrant.
(b)	Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date:	November 1, 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.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date:	November 1, 2021
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date:	November 1, 2021